from __future__ import absolute_import, division, print_function
import torch
import warnings
from pyro.distributions.util import logsumexp
import pyro.poutine as poutine
from .abstract_infer import TracePosterior
[docs]class Importance(TracePosterior):
"""
:param model: probabilistic model defined as a function
:param guide: guide used for sampling defined as a function
:param num_samples: number of samples to draw from the guide (default 10)
This method performs posterior inference by importance sampling
using the guide as the proposal distribution.
If no guide is provided, it defaults to proposing from the model's prior.
"""
def __init__(self, model, guide=None, num_samples=None):
"""
Constructor. default to num_samples = 10, guide = model
"""
super(Importance, self).__init__()
if num_samples is None:
num_samples = 10
warnings.warn("num_samples not provided, defaulting to {}".format(num_samples))
if guide is None:
# propose from the prior by making a guide from the model by hiding observes
guide = poutine.block(model, hide_types=["observe"])
self.num_samples = num_samples
self.model = model
self.guide = guide
def _traces(self, *args, **kwargs):
"""
Generator of weighted samples from the proposal distribution.
"""
for i in range(self.num_samples):
guide_trace = poutine.trace(self.guide).get_trace(*args, **kwargs)
model_trace = poutine.trace(
poutine.replay(self.model, trace=guide_trace)).get_trace(*args, **kwargs)
log_weight = model_trace.log_prob_sum() - guide_trace.log_prob_sum()
yield (model_trace, log_weight)
[docs] def get_log_normalizer(self):
"""
Estimator of the normalizing constant of the target distribution.
(mean of the unnormalized weights)
"""
# ensure list is not empty
if self.log_weights:
log_w = torch.tensor(self.log_weights)
log_num_samples = torch.log(torch.tensor(self.num_samples * 1.))
return logsumexp(log_w - log_num_samples, 0)
else:
warnings.warn("The log_weights list is empty, can not compute normalizing constant estimate.")
[docs] def get_normalized_weights(self, log_scale=False):
"""
Compute the normalized importance weights.
"""
if self.log_weights:
log_w = torch.tensor(self.log_weights)
log_w_norm = log_w - logsumexp(log_w, 0)
return log_w_norm if log_scale else torch.exp(log_w_norm)
else:
warnings.warn("The log_weights list is empty. There is nothing to normalize.")
[docs] def get_ESS(self):
"""
Compute (Importance Sampling) Effective Sample Size (ESS).
"""
if self.log_weights:
log_w_norm = self.get_normalized_weights(log_scale=True)
ess = torch.exp(-logsumexp(2*log_w_norm, 0))
else:
warnings.warn("The log_weights list is empty, effective sample size is zero.")
ess = 0
return ess