variational inference sgd function

1 files changed, 46 insertions, 8 deletions

diff --git a/simulation/vi.py b/simulation/vi.py
index 9f2ed40..3ba6b96 100644
--- a/simulation/vi.py
+++ b/simulation/vi.py
@@ -1,3 +1,5 @@
+import time
+import main as mn
 import autograd.numpy as np
 from autograd import grad
 
@@ -10,20 +12,56 @@ def h(m):
     return -m
 
 
-def ll(cascades, theta):
+def ll(x, s, theta):
+    """
+    x : infected
+    s : susceptible
+    """
     res = 0
-    for x, s in cascades:
-        for t in range(1, x.shape[1] + 1):
-            w = np.dot(x[t-1], theta)
-            res += g(w)[x[t]].sum() + h(w)[~x[t] & s[t]].sum()
+    for t in range(1, x.shape[1] + 1):
+        w = np.dot(x[t-1], theta)
+        res += g(w)[x[t]].sum() + h(w)[~x[t] & s[t]].sum()
 
 
 def sample(params):
     return np.random.normal(*params)
 
 
-def ll_full(params, cascades):
-    nsamples = 50
-    return np.mean([ll(cascades, sample(params)) for _ in xrange(nsamples)])
+def ll_full(params, x, s, nsamples=50):
+    return np.mean([ll(x, s, sample(params)) for _ in xrange(nsamples)])
+
 
 grad_ll_full = grad(ll_full)
+
+
+def kl(params1, params0):
+    mu0, sig0 = params0
+    mu1, sig1 = params1
+    return np.sum(np.log(sig1/sig0) + (sig0**2 + (mu0 - mu1)**2)/(2*sig1)**2)
+
+
+grad_kl = grad(kl)
+
+
+def sgd(mu1, sig1, mu0, sig0, cascades, n_e, lr=lambda t: 1e-3):
+    g_mu1, g_sig1 = grad_kl((mu1, sig1), (mu0, sig0))
+    for t in xrange(n_e):
+        lrt = lr(t)  # learning rate
+        mu1, sig1 = mu1 + lrt * g_mu1, sig1 + lrt * g_sig1
+        for x, s in cascades:
+            g_mu1, g_sig1 = grad_ll_full((mu1, sig1), x, s)
+            mu1, sig1 = mu1 + lrt * g_mu1, sig1 + lrt * g_sig1
+        res = np.sum(ll_full((mu1, sig1), x, s) for x, s in cascades) +\
+                kl((mu1, sig1), (mu0, sig0))
+        print("Epoch: {}\t LB: {}\t Time: {}".format(t, res, time.time()))
+
+
+if __name__=='__main__':
+    g = np.array([[0, 0, 1], [0, 0, 0.5], [0, 0, 0]])
+    p = 0.5
+    g = np.log(1. / (1 - p * g))
+    cascades = mn.build_cascade_list(mn.simulate_cascades(100, g))
+    params0 = (1. + .2 * np.random.normal(len(g)), \
+                1 + .2 * np.random.normal(len(g)))
+    params1 = (1. + .2 * np.random.normal(len(g)), \
+                1 + .2 * np.random.normal(len(g)))