from glasflow import RealNVP import matplotlib.pyplot as plt import matplotlib.patches as patches import numpy as np import torch import torch.nn as nn from itertools import chain, permutations from datetime import datetime import pickle from scipy.interpolate import RectBivariateSpline from scipy.integrate import quad import time import shutil import seaborn as sns import os from scipy.stats import norm from nessai.flowsampler import FlowSampler from nessai.model import Model from nessai.utils import setup_logger import corner seed = 2 torch.manual_seed(seed) np.random.seed(seed) sns.set_context("notebook") sns.set_palette("colorblind") device = "cuda" date_id = datetime.today().isoformat() plot_path = '/data/www.astro/chrism/uroboros/{}'.format(date_id) ns_path = './' try: os.mkdir('{}'.format(plot_path)) except: print('unable to make output directory {}'.format(plot_path)) exit(1) shutil.copyfile('./uroboros.py', '{}/uroboros.txt'.format(plot_path)) n_test = 8 # number of individual test data samples n_prior = 128 # number of samples used to represent the conditonal prior n_max = 3 # max the number of measurements per sample n_par = 3 # the number of hyperparameters n_meas = 64 # the size of a measurement n_prior_cc_out = 32 # the size of compressed prior n_meas_cc_out = 16 # the size of compressed measurement n_marg = 0 # the number of parameters per measurememnt to be marginalised n_sigma = 1.0 # the scale of the distance noise n_post = 3000 # the number of posterior samples used for plotting lr = 1e-3 # the learning rate mode = 'cw' # the problem being addressed run_id = '{}_amp_s{}_nmax{}_ntest{}'.format(mode,seed,n_max,n_test) # define a fixed latent space location #z_prior = torch.randn(size=(n_prior,n_par)).to(device) # define the Flow that will estimate the parameters conditional on new data and compressed prior information flow = RealNVP( n_inputs=n_par, # number of params n_transforms=7, n_conditional_inputs=n_prior_cc_out+n_meas_cc_out + 1, # size of compressed prior plus size of measurement plus segment index n_neurons=128, n_blocks_per_transform=4, batch_norm_within_blocks=True, linear_transform='permutation', batch_norm_between_transforms=True, ) flow.to(device) print(f"Created flow and sent to {device}") # the compression model that takes samples from the prior and compresses them #cc_prior_model = nn.Sequential( # nn.Linear((n_par+1)*n_prior, 64), # +1 for the log-likelihood info # nn.ReLU(), # nn.Linear(64, 64), # nn.ReLU(), # nn.Linear(64, 64), # nn.ReLU(), # nn.Linear(64, n_prior_cc_out), # nn.Sigmoid() #) #cc_prior_model.to(device) class PI_NeuralNetwork(nn.Module): def __init__(self): super().__init__() self.flatten = nn.Flatten() self.nn = nn.Sequential( nn.Linear(n_par+1, 64), nn.ReLU(), nn.Linear(64, 64), nn.ReLU(), nn.Linear(64, 64), nn.ReLU(), nn.Linear(64, n_prior_cc_out), ) def forward(self, x): # the input data has shape (bs,n_prior,n_par+1) # we want to make this (bs*n_prior,n_par) x = x.flatten(0,1) x = self.nn(x) x = torch.mean(x.reshape(-1,n_prior,n_prior_cc_out),dim=1) return x cc_prior_model = PI_NeuralNetwork() cc_prior_model.to(device) # the compression model that takes measurement samples and compresses them cc_meas_model = nn.Sequential( nn.Linear(n_meas, 64), nn.ReLU(), nn.Linear(64, 64), nn.ReLU(), nn.Linear(64, 64), nn.ReLU(), nn.Linear(64, n_meas_cc_out), nn.Sigmoid() ) cc_meas_model.to(device) def dL_slow(Om,z,H0=1.0): """ returns the luminosity distance given the Hubble constant, the matter energy density and the redshift This is a basic expansion of the true relation for low redshift. """ f = lambda zp: (Om*(1+zp)**3 + (1.0 - Om))**(-0.5) y, err = quad(f,0,z) dL = y/H0 return dL def dL_fast(H0,Om,z,LUT=None): if LUT is None: values = np.zeros((Om.size, z.size)) for i,a in enumerate(Om): for j,b in enumerate(z): values[i,j] = dL_slow(a,b) LUT = RectBivariateSpline(Om,z,values) return LUT else: return LUT.ev(Om,z)/H0 def dL(H0,Om,z): """ returns the luminosity distance given the Hubble constant, the matter energy density and the redshift This is a basic expansion of the true relation for low redshift. """ q0 = 1.0 - 0.5*Om dL = (1.0/H0)*(z + 0.5*(1.0-q0)*z**2) return dL def sig(Asin,Acos,f0,t,i): """ phi0 - the phase normalise between 0 and 1 f0 - the frequency normalised in reference to the nyquist frequency (0-1) N - the number of samples in teh timeseries i - the index of the timeseries """ f = (0.4 + 0.2*f0) # fraction of the Nyquist frequency (0.4 - 0.6) #return 0.25*np.sin(2.0*np.pi*(phi0 + f*0.5*(t + i))) phase = 2.0*np.pi*(f*0.5*(t + i)) return 0.2*(Asin*np.cos(phase) + Acos*np.sin(phase)) #def sig_sky(Asin,Acos,f0,t,i): # """ # phi0 - the phase normalise between 0 and 1 # f0 - the frequency normalised in reference to the nyquist frequency (0-1) # alpha - the right ascension (0-1) # sindec - the sin of the declinaton (-1-1) # N - the number of samples in teh timeseries # i - the index of the timeseries # """ # f = (0.4 + 0.2*f0) # fraction of the Nyquist frequency (0.4 - 0.6) # #return 0.25*np.sin(2.0*np.pi*(phi0 + f*0.5*(t + i))) # phase = 2.0*np.pi*(f*0.5*(t + sindec*np.sin(2*np.pi*) + i)) # return 0.2*(Asin*np.cos(phase) + Acos*np.sin(phase)) class cw_model(Model): """A simple two-dimensional Gaussian likelihood.""" def __init__(self,d): # Names of parameters to sample self.n_meas = d.shape[1] self.dvec = d self.T = 1.0 self.dt = self.T/self.n_meas self.t = np.arange(self.n_meas)*self.dt self.fmax = 0.5/self.dt self.names = ["Asin", "Acos", "f0"] self.bounds = {"Asin": [-10.0, 10.0], "Acos": [-10.0,10.0], "f0": [0, 1]} def log_prior(self, x): """ Returns log of prior given a live point assuming uniform priors on each parameter. """ # Check if values are in bounds, returns True/False # Then take the log to get 0/-inf and make sure the dtype is float log_p = np.log(self.in_bounds(x), dtype="float") # Iterate through each parameter (x and y) # since the live points are a structured array we can # get each value using just the name #for n in self.names: log_p -= 0.5*(x["Asin"]**2 + x["Acos"]**2) # Gaussian priors on quadratures #log_p -= np.log(self.bounds["phi0"][1] - self.bounds["phi0"][0]) # uniform prior log_p -= np.log(self.bounds["f0"][1] - self.bounds["f0"][0]) # uniform prior return log_p def log_likelihood(self, x): """ Returns log likelihood of given live point assuming a Gaussian likelihood. """ log_l = 0.0 for i,d in enumerate(self.dvec): s = sig(x["Asin"],x["Acos"],x["f0"],np.arange(self.n_meas),self.n_meas*i) log_l += np.sum(norm.logpdf(s,loc=d,scale=n_sigma)) return log_l def make_data(n_data,n_prior=100,n_max=1,n_post=None,flow=None,cc_prior_model=None,cc_meas_model=None,meas=None,LUT=None,valtest=False): """ function to make training data n_data = number of training samples to make n_prior = the number of samples to use from the prior before compression n_post = the number of posterior samples n_max = the max number of measurements per training data sample meas = the distance measurements """ Omega = None # generate measured data if none has been supplied if meas is None: Asin = (torch.randn(size=(n_data,1))).to(device) Acos = (torch.randn(size=(n_data,1))).to(device) f0 = (torch.rand(size=(n_data,1))).to(device) # the true f0 value (bs,1) Omega = (torch.concatenate((Asin,Acos,f0),axis=1)).to(device) n = (n_sigma*torch.randn(size=(n_data,n_meas,n_max))).to(device) # noise on distance (bs,n_max) # generate the signal - the inputs all have shape (n_data,n_meas,n_max). The output has the same shape. meas = sig(torch.tile(Asin.reshape(n_data,1,1),(1,n_meas,n_max)).flatten().cpu(), torch.tile(Acos.reshape(n_data,1,1),(1,n_meas,n_max)).flatten().cpu(), torch.tile(f0.reshape(n_data,1,1),(1,n_meas,n_max)).flatten().cpu(), torch.tile(torch.arange(n_meas).reshape(1,n_meas,1),(n_data,1,n_max)).flatten().cpu(), torch.tile(n_meas*torch.arange(n_max).reshape(1,1,n_max),(n_data,n_meas,1)).flatten().cpu()).reshape(n_data,n_meas,n_max).to(device) + n meas = meas.reshape(n_data,n_meas,n_max).to(device) meas = meas.type(torch.cuda.FloatTensor) # compress the measured data - we should be in training mode for this since # it is the only place we do the compression if not valtest: cc_meas_model.train() else: cc_meas_model.eval() if cc_meas_model is not None: c_meas = torch.zeros(n_data,n_meas_cc_out,n_max).to(device) for i in range(n_max): c_meas[:,:,i] = cc_meas_model(meas[:,:,i].detach()) else: c_meas = meas # initialise the prior samples tensor # there should be a small set of prior samples (and log probs) for each measurement and for each sample prior_label = torch.zeros(n_data,n_prior,n_par+1,n_max).to(device) # initialise the prior label tensor # PRIOR 1 - for 1st signals sample from the original prior #test = flow.inverse(torch.ones(n_data*n_prior,n_par),conditional=test_cond).to(device) #prior_label[:,:,0,0] = test[:,0].reshape(n_prior,n_data).transpose(1,0).to(device) prior_label[:,:,0,0] = torch.randn(size=(n_data,n_prior)).to(device) prior_label[:,:,1,0] = torch.randn(size=(n_data,n_prior)).to(device) prior_label[:,:,2,0] = torch.rand(size=(n_data,n_prior)).to(device) prior_label[:,:,3,0] = (-0.5*prior_label[:,:,0,0]**2 - 0.5*prior_label[:,:,1,0]**2 - np.log(2.0*np.pi)).to(device) #torch.zeros(size=(n_data,n_prior)).to(device) # sort the prior samples by log-lik order #temp, idx = torch.sort(prior_label[:,:,3,0],dim=1) #prior_label[:,:,3,0] = temp ############################################################### # we can stop here IF ONLY 1 measurement is being considered # Otherwise we need to put the 1st (nth) measurement through the flow to get a new prior for the 2nd (n+1) measurement flow.eval() # we DO NOT train the flow in the data generation step cc_prior_model.eval() # we DO NOT train the prior compression in the data generation step for i in range(n_max-1): # loop over each event from the zeroth to the n-1'th (we don't want to do the last one) test = prior_label[:,:,:,i].flatten(1,2) print(test.shape) c_prior = cc_prior_model(prior_label[:,:,:,i]).detach() #.flatten(1,2)).detach() # compress the i'th prior data test_cond = torch.cat((c_meas[:,:,i].detach(),c_prior,i*torch.ones(size=(n_data,1)).to(device)),dim=1).to(device) # combine the compressed measurement and prior and measurement indices test_cond = test_cond.tile(n_prior,1).to(device) # tile it to generate n_prior samples for each of n_data (n_data*n_prior,n_cc+n_meas) with torch.no_grad(): # run the current flow state to generate new posterior -> prior samples and log-likelihoods prior_samples = flow.sample(n_data*n_prior,conditional=test_cond).to(device) # output shape should be (n_data*n_prior,n_cos) #prior_samples, _ = flow.inverse(torch.tile(z_prior,(n_data,1)),conditional=test_cond) prior_logprob = flow.log_prob(prior_samples,conditional=test_cond).to(device) # output shape should be (n_data*n_prior) # fill in the prior labels - these are now the priors for the NEXT measurement prior_label[:,:,0,i+1] = prior_samples[:,0].reshape(n_prior,n_data).transpose(1,0).to(device) prior_label[:,:,1,i+1] = prior_samples[:,1].reshape(n_prior,n_data).transpose(1,0).to(device) prior_label[:,:,2,i+1] = prior_samples[:,2].reshape(n_prior,n_data).transpose(1,0).to(device) prior_label[:,:,3,i+1] = prior_logprob.reshape(n_prior,n_data).transpose(1,0).to(device) # If we want the iteratively generated posteriors -> priors for plotting then we generate more samples # we still use the fixed lower number of samples generated above for each stage # and we now do compute the posterior after the final measurement post_label = None if n_post is not None: post_label = torch.zeros(n_data,n_post,n_par+1,n_max).to(device) # initialise the posterior label tensor flow.eval() # we DO NOT train the flow in the data generation step cc_prior_model.eval() # we DO NOT train the prior compression in the data generation step for i in range(n_max): # POST 1 - compress the uniform prior and add the 1st meas condition c_prior = cc_prior_model(prior_label[:,:,:,i]).detach() #.flatten(1,2)).detach() test_cond = torch.cat((c_meas[:,:,i].detach(),c_prior,i*torch.ones(size=(n_data,1)).to(device)),dim=1).to(device) test_cond = test_cond.tile(n_post,1).to(device) # has shape (n_data*n_prior,n_cc+n_meas) # keep doing this stage until we have the desired number of samples AFTER importance sampling #flag = True #rsum = 0 #prior_samples = np.zeros((n_post,n_par)) #prior_logprob = np.zeros(n_post) #while flag: with torch.no_grad(): temp_prior_samples = flow.sample(n_data*n_post,conditional=test_cond).to(device) # output shape should be (n_data*n_post,n_cos) temp_prior_logprob = flow.log_prob(temp_prior_samples,conditional=test_cond).to(device) # output shape should be (n_data*n_post) # compute true log-probs using analytic likelihood function #fs = cw_model(d[:,:i+1].transpose(1,0).cpu().numpy()) #, output=output, resume=False, seed=1234) #logL = np.zeros((n_post,2)) #t1 = time.time() #for k,s in enumerate(temp_prior_samples.cpu().numpy()): # a = {"Asin": s[0], "Acos": s[1], "f0": s[2]} # logL[k,0] = fs.log_likelihood(a) + fs.log_prior(a) # logL[k,1] = s[-1] #logw = logL[:,0] - logL[:,1] #logw = logw - np.max(logw) #w = np.exp(logw) #idx = np.argwhere(np.random.rand(n_post)=n_post: # flag = False # fill in the posteriors - these are the posteriors AFTER each event post_label[:,:,0,i] = temp_prior_samples[:,0].reshape(n_post,n_data).transpose(1,0).to(device) post_label[:,:,1,i] = temp_prior_samples[:,1].reshape(n_post,n_data).transpose(1,0).to(device) post_label[:,:,2,i] = temp_prior_samples[:,2].reshape(n_post,n_data).transpose(1,0).to(device) post_label[:,:,3,i] = temp_prior_logprob.reshape(n_post,n_data).transpose(1,0).to(device) # overwrite the prior samples with subset of importance sampled values from posterior #if i+10: my_lr = scheduler.get_last_lr()[0] print(f"Epoch {i} - train: {loss['train'][-1]:.3f}, val: {loss['val'][-1]:.3f}, lr: {my_lr:.3e}, n_max: {current_n_max}, sub_batch: {sub_batch}") fig, ax = plt.subplots(n_test,n_max+2, figsize=(4*(n_max+2),4*n_test), dpi=100) loss_fig, loss_ax = plt.subplots(1, 1, figsize=(8, 8), dpi=100) j = 0 for x,d,nd in zip(data_test_tensor,d_test_tensor,test_n_sig.cpu().numpy().astype(int)): _, _, _, old_samples, samples = make_data(1,n_prior=n_prior,n_max=nd,n_post=n_post,flow=flow,cc_prior_model=cc_prior_model,cc_meas_model=cc_meas_model,meas=d.reshape(1,n_meas,n_max),LUT=LUT,valtest=True) # reshape and plot temp_samples = torch.permute(samples,(0,3,1,2))[0,:,:,:].cpu().numpy().reshape(nd,n_post,n_par+1) temp_old_samples = torch.permute(old_samples,(0,3,1,2))[0,:,:,:].cpu().numpy().reshape(nd,n_prior,n_par+1) samples = np.zeros((nd,n_post,n_par+1)) old_samples = np.zeros((nd,n_prior,n_par+1)) samples[:,:,2] = np.sqrt(temp_samples[:,:,0]**2 + temp_samples[:,:,1]**2) samples[:,:,1] = temp_samples[:,:,2] samples[:,:,0] = np.remainder(np.atan2(temp_samples[:,:,0],temp_samples[:,:,1]),2*np.pi)/(2.0*np.pi) old_samples[:,:,2] = np.sqrt(temp_old_samples[:,:,0]**2 + temp_old_samples[:,:,1]**2) old_samples[:,:,1] = temp_old_samples[:,:,2] old_samples[:,:,0] = np.remainder(np.atan2(temp_old_samples[:,:,0],temp_old_samples[:,:,1]),2*np.pi)/(2.0*np.pi) temp_x = x.cpu().numpy() x = np.zeros(n_par) x[2] = np.sqrt(temp_x[0]**2 + temp_x[1]**2) x[1] = temp_x[2] x[0] = np.remainder(np.atan2(temp_x[0],temp_x[1]),2*np.pi)/(2.0*np.pi) ax[j,0].plot(old_samples[0,:,0],old_samples[0,:,1],'xc',markersize=10,label='SNR={:.2f}'.format(x[2]/np.sqrt(0.5))) ax[j,0].legend(loc='upper right') for k in range(1,nd): prior_s = old_samples[k,:,:].reshape(n_prior,n_par+1) post_s = samples[k-1,:,:].reshape(n_post,n_par+1) ax[j,k].plot(post_s[:,0],post_s[:,1],'.b',markersize=1) ax[j,k].plot(ns_samples[j,k-1,:,0],ns_samples[j,k-1,:,1],'.r',markersize=1) ax[j,k].set_xlim([0.0,1.0]) ax[j,k].set_ylim([0.0,1.0]) ax[j,k].plot(x[0],x[1],'xk',label='truth',markersize=10) # loop over multiple different orders of the measurements #it = iter([d[:,np.random.permutation(n_max)] for i in range(50)]) #temp_new_samples = [] #new_n_post = n_post // 50 #for new_d in it: # _, _, _, _, temp_samples = make_data(1,n_prior=n_prior,n_max=nd,n_post=new_n_post,flow=flow,cc_prior_model=cc_prior_model,cc_meas_model=cc_meas_model,meas=new_d.reshape(1,n_meas,n_max),LUT=LUT,valtest=True) # temp_new_samples.append(torch.permute(temp_samples,(0,3,1,2))[0,-1,:,:].cpu().numpy().reshape(new_n_post,n_par+1)) #temp_new_samples = np.array(temp_new_samples).reshape(-1,n_par+1) #new_samples = np.zeros(temp_new_samples.shape) #new_samples[:,2] = np.sqrt(temp_new_samples[:,0]**2 + temp_new_samples[:,1]**2) #new_samples[:,1] = temp_new_samples[:,2] #new_samples[:,0] = np.remainder(np.atan2(temp_new_samples[:,0],temp_new_samples[:,1]),2*np.pi)/(2.0*np.pi) ax[j,nd].plot(samples[-1,:,0],samples[-1,:,1],'.b',markersize=1) #ax[j,nd+1].plot(new_samples[:,0],new_samples[:,1],'.g',markersize=1) ax[j,nd].plot(ns_samples[j,-1,:,0],ns_samples[j,-1,:,1],'.r',markersize=1) #ax[j,nd+1].plot(ns_samples[j,-1,:,0],ns_samples[j,-1,:,1],'.r',markersize=1) ax[j,nd].plot(x[0],x[1],'xk',markersize=10) #ax[j,nd+1].plot(x[0],x[1],'xk',markersize=10) ax[j,nd].set_xlim([0.0,1.0]) ax[j,nd].set_ylim([0.0,1.0]) #ax[j,nd+1].set_xlim([0.0,1.0]) #ax[j,nd+1].set_ylim([0.0,1.0]) ##ax[j,nd+1].legend(loc='upper right') # do importance sampling fs = cw_model(d[:,:].transpose(1,0).cpu().numpy()) #, output=output, resume=False, seed=1234) logL = np.zeros((n_post,2)) t1 = time.time() for k,s in enumerate(temp_samples[-1,:,:]): a = {"Asin": s[0], "Acos": s[1], "f0": s[2]} logL[k,0] = fs.log_likelihood(a) + fs.log_prior(a) logL[k,1] = s[-1] print(logL.shape,time.time()-t1) logw = logL[:,0] - logL[:,1] logw = logw - np.max(logw) w = np.exp(logw) nw = w/(np.sum(w)) ESS = 1.0/np.sum(nw**2) sumw = np.sum(w) print(ESS,sumw,n_post) w_samples = samples[-1,np.random.choice(np.arange(n_post),n_post,p=nw),:] ax[j,nd+1].plot(ns_samples[j,-1,:,0],ns_samples[j,-1,:,1],'.r',markersize=1) ax[j,nd+1].plot(w_samples[:,0],w_samples[:,1],'.k',markersize=1,label='ESS/n={:.2f}'.format(ESS/n_post)) ax[j,nd+1].plot(x[0],x[1],'xk',markersize=10) ax[j,nd+1].set_xlim([0.0,1.0]) ax[j,nd+1].set_ylim([0.0,1.0]) ax[j,nd+1].legend(loc='upper right') kw = {"plot_datapoints": False, "plot_density": False, "levels": [0.5,0.99]} labels = ["phi0","f0"] ax2 = corner.corner(ns_samples[j,-1,:,:2],bins=20,labels=labels,truths=[x[0],x[1]],color='r',range=[(0.0,1.0),(0.0,1.0)],quantiles=None,**kw) corner.corner(samples[nd-1,:,:2],bins=20,range=[(0.0,1.0),(0.0,1.0)],fig=ax2,color='b',**kw) ##corner.corner(new_samples[:,:2],bins=20,range=[(0.0,1.0),(0.0,1.0)],fig=ax2,color='g',**kw) ax2.savefig('{}/training_corner_{}_{}.png'.format(plot_path,i,j)) j += 1 fig.savefig('{}/training_{}.png'.format(plot_path,i)) loss_ax.semilogx(train_loss_smooth, alpha=0.5, label="Train") loss_ax.semilogx(val_loss_smooth, alpha=0.5, label="Val.") loss_ax.set_ylim(np.min(val_loss_smooth)-0.1, np.percentile(np.array(val_loss_smooth),90)) loss_ax.set_xlim([1000,iterations]) loss_ax.set_xlabel("Epoch") loss_ax.set_ylabel("Loss") loss_ax.legend() loss_ax.grid('on') loss_fig.savefig('{}/loss.png'.format(plot_path)) plt.close('all') frac = np.zeros(n_max+1) sub_idx = (i+1)*(2*n_max)/float(iterations) for q in range(n_max+1): frac[q] = int(batch_size*max(((sub_idx-q)/sub_idx),0)) sub_batch = -(np.diff(frac)) sub_batch = np.append(sub_batch,0) old_n_max = current_n_max current_n_max = int(np.argwhere(sub_batch==0)[0]) if old_n_max != current_n_max: print('updated current nmax to {} and sub batch size to {}'.format(current_n_max,sub_batch)) if i > int(iterations/2): sub_batch = (batch_size/n_max)*np.ones(n_max) #if i>0 and not i % 50000 and current_n_max