Code for hawkes model

1 files changed, 43 insertions, 0 deletions

diff --git a/hawkes/refine.py b/hawkes/refine.py
new file mode 100644
index 0000000..81fd547
--- /dev/null
+++ b/hawkes/refine.py
@@ -0,0 +1,43 @@
+from cPickle import load
+from itertools import product
+from math import exp, log
+
+
+def iter_events(events):
+    for n, s in events.iteritems():
+        for t in s:
+            yield (n, t)
+
+
+def inprod(a, b):
+    return tuple(float(x * y) for x, y in zip(a, b))
+
+
+def ll(a):
+    lamb, alpha, mu = a
+
+    r1 = sum(log(lamb + sum(alpha * w * mu * exp(-mu * (t1 - t2))
+                            for (n2, t2, w) in s))
+             for ((n1, t1), s) in event_edges.iteritems())
+    r2 = sum(sum(alpha * w * (1 - exp(-mu * (nodes[n2] - t1)))
+                 for n2, w in edges[n1].iteritems() if nodes[n2] > t1)
+             for (n1, t1) in iter_events(events))
+    r3 = lamb * sum(nodes.itervalues())
+    return -(r1 - r2 - r3)
+
+
+if __name__ == "__main__":
+    nodes, edges, events, event_edges = load(open("data.pickle", "rb"))
+    d = {}
+    for line in open("values.txt"):
+        v = map(float, line.strip().split())
+        d[tuple(v[:3])] = v[3]
+    l = d.items()
+    l.sort(key=lambda x: x[1])
+    for a, _ in l[:10]:
+        t = [1. / i for i in range(2, 6)] + [float(i) for i in range(1, 6)]
+        for b in product(t, repeat=3):
+            l, al, m = inprod(a, b)
+            if (l, al, m) in d:
+                continue
+            print l, al, m, ll((l, al, m))