From 712dbf41493017d8cdaaeb8b9f5da3c539adec9c Mon Sep 17 00:00:00 2001
From: faridm69 <faridmohammadi69@gmail.com>
Date: Thu, 9 Jul 2020 10:08:45 +0200
Subject: [PATCH] [BayesInference] optional multiprocessing argument for MCMC.
---
BayesValidRox/BayesInference/BayesInference.py | 2 ++
BayesValidRox/BayesInference/MCMC.py | 14 +++++++++-----
.../surrogate_models/RegressionFastARD.py | 4 ++--
BayesValidRox/surrogate_models/surrogate_models.py | 2 +-
4 files changed, 14 insertions(+), 8 deletions(-)
diff --git a/BayesValidRox/BayesInference/BayesInference.py b/BayesValidRox/BayesInference/BayesInference.py
index 5a8efd4f4..5befce85e 100644
--- a/BayesValidRox/BayesInference/BayesInference.py
+++ b/BayesValidRox/BayesInference/BayesInference.py
@@ -72,6 +72,7 @@ class BayesInference:
self.Bootstrap = False
self.BootstrapItrNr = 1
self.BootstrapNoise = 0.05
+ self.MultiProcessMCMC = None
self.Corner_title_fmt = '.3f' #'.4e'
@@ -678,6 +679,7 @@ class BayesInference:
# TODO: MCMC
initsamples = None if self.Samples is None else self.Samples
nsteps = 1000 if self.NrofSamples is None else self.NrofSamples
+ multiprocessing = True if self.MultiProcessMCMC is None else self.MultiProcessMCMC
MCMC_ = MCMC(self, initsamples=initsamples, nwalkers=2*self.PCEModel.NofPa,
nsteps = nsteps)
self.Posterior_df = MCMC_.run_sampler(Data[0], TotalSigma2)
diff --git a/BayesValidRox/BayesInference/MCMC.py b/BayesValidRox/BayesInference/MCMC.py
index 029be7754..ae6bb7ba6 100755
--- a/BayesValidRox/BayesInference/MCMC.py
+++ b/BayesValidRox/BayesInference/MCMC.py
@@ -22,7 +22,7 @@ class MCMC():
ntemps = 20
"""
def __init__(self, BayesOpts, initsamples = None, nwalkers = 20, nburn = 100,
- nsteps = 1000, verbose = False):
+ nsteps = 1000, multiprocessing=True, verbose = False):
self.BayesOpts = BayesOpts
self.initsamples = initsamples
@@ -30,6 +30,7 @@ class MCMC():
self.nburn = nburn
self.nsteps = nsteps
self.verbose = verbose
+ self.mp = multiprocessing
def run_sampler(self, Observation, TotalSigma2):
@@ -54,12 +55,15 @@ class MCMC():
for idxDim in range(ndim):
lower, upper = np.min(self.initsamples[:,idxDim]),np.max(self.initsamples[:,idxDim])
initsamples[:,idxDim] = st.uniform(loc=lower, scale=upper-lower).rvs(size=self.nwalkers)
+
+ if self.mp:
+ with Pool() as pool:
+ sampler = emcee.EnsembleSampler(self.nwalkers, ndim, self.log_posterior, args=[Observation, TotalSigma2], pool=pool)
+ sampler.run_mcmc(initsamples, self.nsteps, progress=True)
- with Pool() as pool:
- sampler = emcee.EnsembleSampler(self.nwalkers, ndim, self.log_posterior, args=[Observation, TotalSigma2], pool=pool)
+ else:
+ sampler = emcee.EnsembleSampler(self.nwalkers, ndim, self.log_posterior, args=[Observation, TotalSigma2])
sampler.run_mcmc(initsamples, self.nsteps, progress=True)
- # sampler = emcee.EnsembleSampler(nwalkers, ndim, log_posterior, args=[Observation, TotalSigma2])
- # sampler.run_mcmc(starting_guesses, nsteps, progress=True)
# sampler.chain is of shape (nwalkers, nsteps, ndim)
# we'll throw-out the burn-in points and reshape:
diff --git a/BayesValidRox/surrogate_models/RegressionFastARD.py b/BayesValidRox/surrogate_models/RegressionFastARD.py
index c955d0204..82825c22d 100755
--- a/BayesValidRox/surrogate_models/RegressionFastARD.py
+++ b/BayesValidRox/surrogate_models/RegressionFastARD.py
@@ -51,7 +51,7 @@ def update_precisions(Q,S,q,s,A,active,tol,n_samples,clf_bias):
same_features = np.sum( theta[~recompute] > 0) == 0
# changes in precision for features already in model is below threshold
- no_delta = np.sum( abs( Anew - Arec ) > tol ) == 0
+ no_delta = np.sum( abs( Anew - Arec ) < tol ) == 0
# check convergence: if no features to add or delete and small change in
# precision for current features then terminate
@@ -267,7 +267,7 @@ class RegressionFastARD():
rss = np.sum( ( y - np.dot(X[:,active] , Mn) )**2 )
beta = n_samples - np.sum(active) + np.sum(Aa * Sdiag )
beta /= ( rss + np.finfo(np.float32).eps )
-
+ print("beta itr %s"%i, beta)
# update precision parameters of coefficients
A,converged = update_precisions(Q,S,q,s,A,active,self.tol,
n_samples,False)
diff --git a/BayesValidRox/surrogate_models/surrogate_models.py b/BayesValidRox/surrogate_models/surrogate_models.py
index b357e53e3..6ad90b639 100644
--- a/BayesValidRox/surrogate_models/surrogate_models.py
+++ b/BayesValidRox/surrogate_models/surrogate_models.py
@@ -505,7 +505,7 @@ class aPCE:
elif RegMethod == 'FastARD':
clf_poly = RegressionFastARD(start=startBasisIndices,fit_intercept=False,compute_score=compute_score,
- tol= 1e-3)
+ n_iter = 1000, tol= 1e-5)
elif RegMethod == 'LARS':
clf_poly = linear_model.Lars(fit_intercept=False)
--
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