Implement uncensor and forecast_timeseries model transformation

ricardoV94 · ricardoV94 · commit 96fbc30bb8a0 · 2023-04-20T15:05:07.000+02:00
diff --git a/pymc_experimental/model_transform.py b/pymc_experimental/model_transform.py
@@ -0,0 +1,175 @@
+from pymc import DiracDelta
+from pymc.distributions.censored import CensoredRV
+from pymc.distributions.timeseries import AR, AutoRegressiveRV
+from pymc.model import Model
+from pytensor import shared
+from pytensor.graph import FunctionGraph, node_rewriter
+from pytensor.graph.basic import get_var_by_name
+from pytensor.graph.rewriting.basic import in2out
+
+from pymc_experimental.utils.model_fgraph import (
+    ModelObservedRV,
+    ModelValuedVar,
+    fgraph_from_model,
+    model_free_rv,
+    model_from_fgraph,
+    model_named,
+)
+
+__all__ = (
+    "forecast_timeseries",
+    "uncensor",
+)
+
+
+@node_rewriter(tracks=[ModelValuedVar])
+def uncensor_node_rewrite(fgraph, node):
+    """Rewrite that replaces censored variables by uncensored ones"""
+
+    (
+        censored_rv,
+        value,
+        *dims,
+    ) = node.inputs
+    if not isinstance(censored_rv.owner.op, CensoredRV):
+        return
+
+    model_rv = node.outputs[0]
+    base_rv = censored_rv.owner.inputs[0]
+    uncensored_rv = node.op.make_node(base_rv, value, *dims).default_output()
+    uncensored_rv.name = f"{model_rv.name}_uncensored"
+    return [uncensored_rv]
+
+
+uncensor_rewrite = in2out(uncensor_node_rewrite)
+
+
+def uncensor(model: Model) -> Model:
+    """Replace censored variables in the model by uncensored equivalent.
+
+    Replaced variables have the same name as original ones with an additional "_uncensored" suffix.
+
+    .. code-block:: python
+
+        import arviz as az
+        import pymc as pm
+        from pymc_experimental.model_transform import uncensor
+
+        with pm.Model() as model:
+            x = pm.Normal("x")
+            dist_raw = pm.Normal.dist(x)
+            y = pm.Censored("y", dist=dist_raw, lower=-1, upper=1, observed=[-1, 0.5, 1, 1, 1])
+            idata = pm.sample()
+
+        with uncensor(model):
+            idata_pp = pm.sample_posterior_predictive(idata, var_names=["y_uncensored"])
+
+        az.summary(idata_pp)
+    """
+    fg = fgraph_from_model(model)
+
+    (_, nodes_changed, *_) = uncensor_rewrite.apply(fg)
+    if not nodes_changed:
+        raise RuntimeError("No censored variables were replaced by uncensored counterparts")
+
+    return model_from_fgraph(fg)
+
+
+@node_rewriter(tracks=[ModelValuedVar])
+def forecast_timeseries_node_rewrite(fgraph: FunctionGraph, node):
+    """Rewrite that replaces timeseries variables by new ones starting at the last timepoint(s)."""
+
+    (
+        timeseries_rv,
+        value,
+        *dims,
+    ) = node.inputs
+    if not isinstance(timeseries_rv.owner.op, AutoRegressiveRV):
+        return
+
+    forecast_steps = get_var_by_name(fgraph.inputs, "forecast_steps_")
+    if len(forecast_steps) != 1:
+        return False
+
+    forecast_steps = forecast_steps[0]
+
+    op = timeseries_rv.owner.op
+    model_rv = node.outputs[0]
+
+    # We cannot reference the variable we are planning to replace
+    # Or it will introduce circularities in the graph
+    # FIXME: This special logic shouldn't be needed for ObservedRVs
+    # but PyMC does not allow one to not resample observed.
+    # We hack around by conditioning on the value variable directly,
+    # even though that should not be part of the generative graph...
+    if isinstance(node.op, ModelObservedRV):
+        init_dist = DiracDelta.dist(value[..., -op.ar_order :])
+    else:
+        cloned_model_rv = model_rv.owner.clone().default_output()
+        fgraph.add_output(cloned_model_rv, import_missing=True)
+        init_dist = DiracDelta.dist(cloned_model_rv[..., -op.ar_order :])
+
+    if isinstance(timeseries_rv.owner.op, AutoRegressiveRV):
+        rhos, sigma, *_ = timeseries_rv.owner.inputs
+        new_timeseries_rv = AR.rv_op(
+            rhos=rhos,
+            sigma=sigma,
+            init_dist=init_dist,
+            steps=forecast_steps,
+            ar_order=op.ar_order,
+            constant_term=op.constant_term,
+        )
+
+    new_name = f"{model_rv.name}_forecast"
+    new_value = new_timeseries_rv.type(name=new_name)
+    new_timeseries_rv = model_free_rv(new_timeseries_rv, new_value, transform=None)
+    new_timeseries_rv.name = new_name
+
+    # Import new variables into fgraph (value and RNG)
+    fgraph.import_var(new_timeseries_rv, import_missing=True)
+
+    return [new_timeseries_rv]
+
+
+forecast_timeseries_rewrite = in2out(forecast_timeseries_node_rewrite, ignore_newtrees=True)
+
+
+def forecast_timeseries(model: Model, forecast_steps: int) -> Model:
+    """Replace timeseries variables in the model by forecast that start at the last value.
+
+    Replaced variables have the same name as original ones with an additional "_forecast" suffix.
+
+    The function will fail if any variables with fixed static shape depend on the timeseries being replaced,
+    and forecast_steps differs from the original timeseries steps.
+
+    .. code-block:: python
+
+        import pymc as pm
+        from pymc_experimental.model_transform import forecast_timeseries
+
+        with pm.Model() as model:
+            rho = pm.Normal("rho")
+            sigma = pm.HalfNormal("sigma")
+            init_dist = pm.Normal.dist()
+            y = pm.AR("y", init_dist=init_dist, rho=rho, sigma=sigma, observed=np.zeros(100,))
+            idata = pm.sample()
+
+        forecast_model = forecast_timeseries(mode, forecast_steps=20)
+        with forecast_model:
+            idata_pp = pm.sample_posterior_predictive(idata, var_names=["y_forecast"])
+
+        az.summary(idata_pp)
+    """
+
+    fg = fgraph_from_model(model)
+
+    forecast_steps_sh = shared(forecast_steps, name="forecast_steps_")
+    forecast_steps_sh = model_named(forecast_steps_sh)
+    fg.add_output(forecast_steps_sh, import_missing=True)
+
+    (_, nodes_changed, *_) = forecast_timeseries_rewrite.apply(fg)
+    if not nodes_changed:
+        raise RuntimeError("No timeseries were replaced by forecast counterparts")
+
+    res = model_from_fgraph(fg)
+    return res
diff --git a/pymc_experimental/tests/test_model_transform.py b/pymc_experimental/tests/test_model_transform.py
@@ -0,0 +1,90 @@
+import arviz as az
+import numpy as np
+import pymc as pm
+import pytest
+
+from pymc_experimental.model_transform import forecast_timeseries, uncensor
+
+
+@pytest.mark.parametrize(
+    "transform, kwargs",
+    [
+        (uncensor, dict()),
+        (forecast_timeseries, dict(forecast_steps=20)),
+    ],
+)
+def test_transform_error(transform, kwargs):
+    """Test informative error is raised when the transform is not applicable to a model."""
+    with pm.Model() as model:
+        x = pm.Normal("x")
+        y = pm.Normal("y", x, observed=[0, 5, 10])
+
+    with pytest.raises(RuntimeError, match="No .* were replaced by .* counterparts"):
+        transform(model, **kwargs)
+
+
+def test_uncensor():
+    with pm.Model() as model:
+        x = pm.Normal("x")
+        dist_raw = pm.Normal.dist(x)
+        y = pm.Censored("y", dist=dist_raw, lower=-1, upper=1, observed=[0, 5, 10])
+        det = pm.Deterministic("det", y * 2)
+
+    idata = az.from_dict({"x": np.zeros((2, 500))})
+
+    with uncensor(model):
+        pp = pm.sample_posterior_predictive(
+            idata,
+            var_names=["y_uncensored", "det"],
+            random_seed=18,
+        ).posterior_predictive
+
+    assert np.any(np.abs(pp["y_uncensored"]) > 1)
+    np.testing.assert_allclose(pp["y_uncensored"] * 2, pp["det"])
+
+
+@pytest.mark.parametrize("observed", (True, False))
+@pytest.mark.parametrize("ar_order", (1, 2))
+def test_forecast_timeseries_ar(observed, ar_order):
+    data_steps = 3
+    data = np.hstack((np.zeros(ar_order), (np.arange(data_steps) + 1) * 100.0))
+    with pm.Model() as model:
+        rho = pm.Normal("rho", shape=(ar_order,))
+        sigma = pm.HalfNormal("sigma")
+        init_dist = pm.Normal.dist(0, 1e-3)
+        y = pm.AR(
+            "y",
+            init_dist=init_dist,
+            rho=rho,
+            sigma=sigma,
+            observed=data if observed else None,
+            steps=data_steps,
+        )
+        det = pm.Deterministic("det", y * 2)
+
+    draws = (2, 50)
+    # These rhos mean that all steps will be data[-1] for ar_order > 1
+    idata_dict = {
+        "rho": np.full((*draws, ar_order), (0.1,) + (0,) * (ar_order - 1)),
+        "sigma": np.full(draws, 1e-5),
+    }
+    if observed:
+        idata = az.from_dict(idata_dict, observed_data={"y": data})
+    else:
+        idata_dict["y"] = np.full((*draws, len(data)), data)
+        idata = az.from_dict(idata_dict)
+
+    forecast_steps = 5
+    with forecast_timeseries(model, forecast_steps=forecast_steps):
+        pp = pm.sample_posterior_predictive(
+            idata,
+            var_names=["y_forecast", "det"],
+            random_seed=50,
+        ).posterior_predictive
+
+    expected = data[-1] / np.logspace(0, forecast_steps, forecast_steps + 1)
+    expected = np.hstack((data[-ar_order:-1], expected))
+    np.testing.assert_allclose(
+        pp["y_forecast"].values, np.full((*draws, forecast_steps + ar_order), expected), rtol=0.01
+    )
+    np.testing.assert_allclose(pp["y_forecast"] * 2, pp["det"])
