MVGC F value and P value calculation - multivariate-time-series

I am currently working to find Multivariate Granger Causality F value and p value via this code.
def demean(x, axis=0):
"Return x minus its mean along the specified axis"
x = np.asarray(x)
if axis == 0 or axis is None or x.ndim <= 1:
return x - x.mean(axis)
ind = [slice(None)] * x.ndim
ind[axis] = np.newaxis
return x - x.mean(axis)[ind]
#------------------------------
def tsdata_to_autocov(X, q):
import numpy as np
from matplotlib import pylab
if len(X.shape) == 2:
X = np.expand_dims(X, axis=2)
[n, m, N] = np.shape(X)
else:
[n, m, N] = np.shape(X)
X = demean(X, axis=1)
G = np.zeros((n, n, (q+1)))
for k in range(q+1):
M = N * (m-k)
G[:,:,k] = np.dot(np.reshape(X[:,k:m,:], (n, M)), np.reshape(X[:,0:m-k,:], (n, M)).conj().T) / M-1
return G
#-------------------------
def autocov_to_mvgc(G, x, y):
import numpy as np
from mvgc import autocov_to_var
n = G.shape[0]
z = np.arange(n)
z = np.delete(z,[np.array(np.hstack((x, y)))])
# indices of other variables (to condition out)
xz = np.array(np.hstack((x, z)))
xzy = np.array(np.hstack((xz, y)))
F = 0
# full regression
ixgrid1 = np.ix_(xzy,xzy)
[AF,SIG] = autocov_to_var(G[ixgrid1])
# reduced regression
ixgrid2 = np.ix_(xz,xz)
[AF,SIGR] = autocov_to_var(G[ixgrid2])
ixgrid3 = np.ix_(x,x)
F = np.log(np.linalg.det(SIGR[ixgrid3]))-np.log(np.linalg.det(SIG[ixgrid3]))
return F
Can anyone show me an example for how they got to solving for F and p?
It would also help a lot to see what your timeseries data looks like.

Related

how to display results as titles on multiple plots in one image output (python matplotlib)?

What i have done: I am plotting mean values of a distribution of 'v' values on an x-y grid. I choose only those cells in the grid that have mean>2 and I plot them and make them appear as a single image on my console (jupyter notebook).
What I want to do: I want the mean value of each plot to appear as the title of that particular plot in image. Any ideas on how to do that? Thanks!
The full code is:
import matplotlib.pyplot as plt
import numpy as np
x=np.array([11,12,12,13,21,14])
y=np.array([28,5,15,16,12,4])
v=np.array([10,5,2,10,6,7])
x = x // 4
y = y // 4
k=10
cells = [[[] for y in range(k)] for x in range(k)] #creating cells or pixels on x-y plane
#letting v values to fall into the grid cells
for ycell in range(k):
for xcell in range(k):
cells[ycell][xcell] = v[(y == ycell) & (x == xcell)]
for ycell in range(k):
for xcell in range(k):
this = cells[ycell][xcell]
#getting mean from velocity values in each cell
mean_v = [[[] for y in range(k)] for x in range(k)]
to_plot = []
for ycell in range(k):
for xcell in range(k):
cells[ycell][xcell] = v[(y== ycell) & (x== xcell)]
mean_v[ycell][xcell] = np.mean(cells[ycell][xcell])
#h3_pixel=h3[ycell][xcell]
if mean_v[ycell][xcell]>2:
to_plot.append(cells[ycell][xcell])
plt.rcParams["figure.figsize"] = (20, 10)
SIZE = 5
f, ax = plt.subplots(SIZE,SIZE)
for idx, data in enumerate(to_plot):
x = idx % SIZE
y = idx // SIZE
ax[y, x].hist(data)
plt.show()
In your list to_plot, you can hold tuples of (cell, title) and then use set_title to set the title of each subplot.
for ycell in range(k):
for xcell in range(k):
cells[ycell][xcell] = v[(y== ycell) & (x== xcell)]
mean_v[ycell][xcell] = np.mean(cells[ycell][xcell])
if mean_v[ycell][xcell]>2:
to_plot.append((cells[ycell][xcell], mean_v[ycell][xcell]))
plt.rcParams["figure.figsize"] = (20, 10)
SIZE = 5
f, ax = plt.subplots(SIZE,SIZE)
for idx, data in enumerate(to_plot):
x = idx % SIZE
y = idx // SIZE
ax[y, x].hist(data[0])
ax[y, x].set_title(f'Mean = {data[1]}')

How to improve the precessing speed of tensorflow sess.run()

I'm trying to implement Recurrent Lest-Squares filter (RLS) implemented by tensorflow. Use about 300,000 data to train.It costs about 3min. is there any way to reduce the time consumption.
def rls_filter_graphic(x, d, length, Pint, Wint): # Projection matrix
P = tf.Variable(Pint, name='P')
# Filter weight
w = tf.Variable(Wint, name='W')
# Get output of filter
y = tf.matmul(x, w)
# y mast round,if(y>0) y=int(y) else y=int(y+0.5)
y = tf.round(y)
# get expect error which means expect value substract out put value
e = tf.subtract(d, y)
# get gain it is equal as k=P(n-1)x(n)/[lamda+x(n)P(n-1)x(n-1)]
tx = tf.transpose(x)
Px = tf.matmul(P, tx)
xPx = tf.matmul(x, Px)
xPx = tf.add(xPx, LAMDA)
k = tf.div(Px, xPx)
# update w(n) with k(n) as w(n)=w(n-1)+k(n)*err
wn = tf.add(w, tf.matmul(k, e))
# update P(n)=[P(n-1)-K(n)x(n)P(n-1)]/lamda
xP = tf.matmul(x, P)
kxP = tf.matmul(k, xP)
Pn = tf.subtract(P, kxP)
Pn = tf.divide(Pn, LAMDA)
update_P = tf.assign(P, Pn)
update_W = tf.assign(w, wn)
return y, e, w, k, P, update_P, update_W
And this will called in this func
def inter_band_predict(dataset, length, width, height):
img = np.zeros(width * height)
# use iterator get the vectors
itr = dataset.make_one_shot_iterator()
(x, d) = itr.get_next()
# build the predict graphics
ini_P, ini_W, = rls_filter_init(0.001, length)
y_p, err, weight, kn, Pn, update_P, update_W = rls_filter_graphic(x, d, length, ini_P, ini_W)
# err=tf.matmul(x,ini_W)
# init value
with tf.Session() as sess:
init = tf.global_variables_initializer()
sess.run(init)
for i in range(height*width):
[e, trainP, trainW] = sess.run([err, update_P, update_W])
img[i] = e
return img
I found that call sess.run() per every loop is so costly.Is there any way to avoid this.
by the way,the dataset is the form as this
(x, d)
(
[0.1,1.0],[1.0]
[0.0,2.0],[2.0]
[0.2,3.0],[1.0]
……
)
    

Low-Rank Approximation using Frobenious Norm Tolerance

I would love some help with an algorithm I've working on. My specific problem is in the while loop of the algorithm.
What I want the algorithm to do is to sequentially add a singular value in Sk(until the desired TOL is achieved) in the diagonal while making the rest of the matrix 0. The desired goal is to do this to greyscale images.
I can only get 2x2 cycles.
here is the code:
A = rand(5)*30;
[M N] = size(A);
[U S V] = svds(A);
% r = rank(A);
Sn = S(1,1);
Sk = blkdiag(Sn,zeros(N-1));
Ak = U*Sk*V;
X = A - Ak;
F = norm(X,'fro');
tol = 10;
i = 2;
while F > tol
Snk = S(i,i);
Snew = diag([Sn;Snk]);
Sk = blkdiag(Snew,zeros(N-2));
Ak = U*Sk*V';
F = norm(A-Ak,'fro');
i = i + 1;
end

Scipy - A better way to avoid manually loop when matrix is sparse

Logistic regression's objective function is
and the gradient is
where w is a scipy's csr sparse matrix with dim n-by-1.
My question is, when I have one scipy's csr sparse matrix and one numpy array, X_train and y_train respectively. (Each row of X_train is x_i, each element of y_train is y_i)
Is there a better way to calculate the gradient without using manully for loop?
For further information, I'm implementing large scale logistic regression. Therefore the performance is important.
Thanks.
Update 5/19 (Add my current code)
Thanks for #Jaime's reminding, here is my code. I basically want to see if there is a better way to implement gradient(X, y, w).
import numpy as np
import scipy as sp
from sklearn import datasets
from numpy.linalg import norm
from scipy import sparse
eta = 0.01
xi = 0.1
C = 1
X_train, y_train = datasets.load_svmlight_file('lr/datasets/a9a')
X_test, y_test = datasets.load_svmlight_file('lr/datasets/a9a.t', n_features=X_train.shape[1])
def gradient(X, y, w):
# w should be a col vector
summation = w
for i in range(X.shape[0]):
exp_i = np.exp( y[i] * X.getrow(i).dot(w)[0, 0] )
summation = summation - (y[i] / (1 + exp_i)) * X.getrow(i).T
return summation
def hes_mul(X, D, s):
# w and s should be a col vector
# should return a col vector
return s + C * X.T.dot( D.dot( X.dot(s) ) )
def cg(X, y, w):
# gradF is col vector, so all of these are col vectors
gradF = gradient(X, y, w)
s = sparse.csr_matrix( np.zeros(X_train.shape[1]) ).T
r = -1 * gradF
d = r
D = []
for i in range(X.shape[0]):
exp_i = np.exp( (-1) * y[i] * w.T.dot(X.getrow(i).T)[0, 0] )
D.append(exp_i / ((1 + exp_i) ** 2))
D = sparse.diags(D, 0)
while True:
r_norm = np.sqrt((r.data ** 2).sum())
print r_norm
print np.sqrt((gradF.data ** 2).sum())
if r_norm <= xi * np.sqrt((gradF.data ** 2).sum()):
return s
hes_mul_d = hes_mul(X, D, d)
alpha = (r_norm ** 2) / d.T.dot( hes_mul_d )[0, 0]
s = s + alpha * d
r = r - alpha * hes_mul_d
beta = (r.data ** 2).sum() / (r_norm ** 2)
d = r + beta * d
w = sparse.csr_matrix( np.zeros(X_train.shape[1]) ).T
s = cg(X_train, y_train, w)

Python performance: iteration and operations on nested lists

Problem Hey folks. I'm looking for some advice on python performance. Some background on my problem:
Given:
A (x,y) mesh of nodes each with a value (0...255) starting at 0
A list of N input coordinates each at a specified location within the range (0...x, 0...y)
A value Z that defines the "neighborhood" in count of nodes
Increment the value of the node at the input coordinate and the node's neighbors. Neighbors beyond the mesh edge are ignored. (No wrapping)
BASE CASE: A mesh of size 1024x1024 nodes, with 400 input coordinates and a range Z of 75 nodes.
Processing should be O(x*y*Z*N). I expect x, y and Z to remain roughly around the values in the base case, but the number of input coordinates N could increase up to 100,000. My goal is to minimize processing time.
Current results Between my start and the comments below, we've got several implementations.
Running speed on my 2.26 GHz Intel Core 2 Duo with Python 2.6.1:
f1: 2.819s
f2: 1.567s
f3: 1.593s
f: 1.579s
f3b: 1.526s
f4: 0.978s
f1 is the initial naive implementation: three nested for loops.
f2 is replaces the inner for loop with a list comprehension.
f3 is based on Andrei's suggestion in the comments and replaces the outer for with map()
f is Chris's suggestion in the answers below
f3b is kriss's take on f3
f4 is Alex's contribution.
Code is included below for your perusal.
Question How can I further reduce the processing time? I'd prefer sub-1.0s for the test parameters.
Please, keep the recommendations to native Python. I know I can move to a third-party package such as numpy, but I'm trying to avoid any third party packages. Also, I've generated random input coordinates, and simplified the definition of the node value updates to keep our discussion simple. The specifics have to change slightly and are outside the scope of my question.
thanks much!
**`f1` is the initial naive implementation: three nested `for` loops.**
def f1(x,y,n,z):
rows = [[0]*x for i in xrange(y)]
for i in range(n):
inputX, inputY = (int(x*random.random()), int(y*random.random()))
topleft = (inputX - z, inputY - z)
for i in xrange(max(0, topleft[0]), min(topleft[0]+(z*2), x)):
for j in xrange(max(0, topleft[1]), min(topleft[1]+(z*2), y)):
if rows[i][j] <= 255: rows[i][j] += 1
f2 is replaces the inner for loop with a list comprehension.
def f2(x,y,n,z):
rows = [[0]*x for i in xrange(y)]
for i in range(n):
inputX, inputY = (int(x*random.random()), int(y*random.random()))
topleft = (inputX - z, inputY - z)
for i in xrange(max(0, topleft[0]), min(topleft[0]+(z*2), x)):
l = max(0, topleft[1])
r = min(topleft[1]+(z*2), y)
rows[i][l:r] = [j+(j<255) for j in rows[i][l:r]]
UPDATE: f3 is based on Andrei's suggestion in the comments and replaces the outer for with map(). My first hack at this requires several out-of-local-scope lookups, specifically recommended against by Guido: local variable lookups are much faster than global or built-in variable lookups I hardcoded all but the reference to the main data structure itself to minimize that overhead.
rows = [[0]*x for i in xrange(y)]
def f3(x,y,n,z):
inputs = [(int(x*random.random()), int(y*random.random())) for i in range(n)]
rows = map(g, inputs)
def g(input):
inputX, inputY = input
topleft = (inputX - 75, inputY - 75)
for i in xrange(max(0, topleft[0]), min(topleft[0]+(75*2), 1024)):
l = max(0, topleft[1])
r = min(topleft[1]+(75*2), 1024)
rows[i][l:r] = [j+(j<255) for j in rows[i][l:r]]
UPDATE3: ChristopeD also pointed out a couple improvements.
def f(x,y,n,z):
rows = [[0] * y for i in xrange(x)]
rn = random.random
for i in xrange(n):
topleft = (int(x*rn()) - z, int(y*rn()) - z)
l = max(0, topleft[1])
r = min(topleft[1]+(z*2), y)
for u in xrange(max(0, topleft[0]), min(topleft[0]+(z*2), x)):
rows[u][l:r] = [j+(j<255) for j in rows[u][l:r]]
UPDATE4: kriss added a few improvements to f3, replacing min/max with the new ternary operator syntax.
def f3b(x,y,n,z):
rn = random.random
rows = [g1(x, y, z) for x, y in [(int(x*rn()), int(y*rn())) for i in xrange(n)]]
def g1(x, y, z):
l = y - z if y - z > 0 else 0
r = y + z if y + z < 1024 else 1024
for i in xrange(x - z if x - z > 0 else 0, x + z if x + z < 1024 else 1024 ):
rows[i][l:r] = [j+(j<255) for j in rows[i][l:r]]
UPDATE5: Alex weighed in with his substantive revision, adding a separate map() operation to cap the values at 255 and removing all non-local-scope lookups. The perf differences are non-trivial.
def f4(x,y,n,z):
rows = [[0]*y for i in range(x)]
rr = random.randrange
inc = (1).__add__
sat = (0xff).__and__
for i in range(n):
inputX, inputY = rr(x), rr(y)
b = max(0, inputX - z)
t = min(inputX + z, x)
l = max(0, inputY - z)
r = min(inputY + z, y)
for i in range(b, t):
rows[i][l:r] = map(inc, rows[i][l:r])
for i in range(x):
rows[i] = map(sat, rows[i])
Also, since we all seem to be hacking around with variations, here's my test harness to compare speeds: (improved by ChristopheD)
def timing(f,x,y,z,n):
fn = "%s(%d,%d,%d,%d)" % (f.__name__, x, y, z, n)
ctx = "from __main__ import %s" % f.__name__
results = timeit.Timer(fn, ctx).timeit(10)
return "%4.4s: %.3f" % (f.__name__, results / 10.0)
if __name__ == "__main__":
print timing(f, 1024, 1024, 400, 75)
#add more here.
On my (slow-ish;-) first-day Macbook Air, 1.6GHz Core 2 Duo, system Python 2.5 on MacOSX 10.5, after saving your code in op.py I see the following timings:
$ python -mtimeit -s'import op' 'op.f1()'
10 loops, best of 3: 5.58 sec per loop
$ python -mtimeit -s'import op' 'op.f2()'
10 loops, best of 3: 3.15 sec per loop
So, my machine is slower than yours by a factor of a bit more than 1.9.
The fastest code I have for this task is:
def f3(x=x,y=y,n=n,z=z):
rows = [[0]*y for i in range(x)]
rr = random.randrange
inc = (1).__add__
sat = (0xff).__and__
for i in range(n):
inputX, inputY = rr(x), rr(y)
b = max(0, inputX - z)
t = min(inputX + z, x)
l = max(0, inputY - z)
r = min(inputY + z, y)
for i in range(b, t):
rows[i][l:r] = map(inc, rows[i][l:r])
for i in range(x):
rows[i] = map(sat, rows[i])
which times as:
$ python -mtimeit -s'import op' 'op.f3()'
10 loops, best of 3: 3 sec per loop
so, a very modest speedup, projecting to more than 1.5 seconds on your machine - well above the 1.0 you're aiming for:-(.
With a simple C-coded extensions, exte.c...:
#include "Python.h"
static PyObject*
dopoint(PyObject* self, PyObject* args)
{
int x, y, z, px, py;
int b, t, l, r;
int i, j;
PyObject* rows;
if(!PyArg_ParseTuple(args, "iiiiiO",
&x, &y, &z, &px, &py, &rows
))
return 0;
b = px - z;
if (b < 0) b = 0;
t = px + z;
if (t > x) t = x;
l = py - z;
if (l < 0) l = 0;
r = py + z;
if (r > y) r = y;
for(i = b; i < t; ++i) {
PyObject* row = PyList_GetItem(rows, i);
for(j = l; j < r; ++j) {
PyObject* pyitem = PyList_GetItem(row, j);
long item = PyInt_AsLong(pyitem);
if (item < 255) {
PyObject* newitem = PyInt_FromLong(item + 1);
PyList_SetItem(row, j, newitem);
}
}
}
Py_RETURN_NONE;
}
static PyMethodDef exteMethods[] = {
{"dopoint", dopoint, METH_VARARGS, "process a point"},
{0}
};
void
initexte()
{
Py_InitModule("exte", exteMethods);
}
(note: I haven't checked it carefully -- I think it doesn't leak memory due to the correct interplay of reference stealing and borrowing, but it should be code inspected very carefully before being put in production;-), we could do
import exte
def f4(x=x,y=y,n=n,z=z):
rows = [[0]*y for i in range(x)]
rr = random.randrange
for i in range(n):
inputX, inputY = rr(x), rr(y)
exte.dopoint(x, y, z, inputX, inputY, rows)
and the timing
$ python -mtimeit -s'import op' 'op.f4()'
10 loops, best of 3: 345 msec per loop
shows an acceleration of 8-9 times, which should put you in the ballpark you desire. I've seen a comment saying you don't want any third-party extension, but, well, this tiny extension you could make entirely your own;-). ((Not sure what licensing conditions apply to code on Stack Overflow, but I'll be glad to re-release this under the Apache 2 license or the like, if you need that;-)).
1. A (smaller) speedup could definitely be the initialization of your rows...
Replace
rows = []
for i in range(x):
rows.append([0 for i in xrange(y)])
with
rows = [[0] * y for i in xrange(x)]
2. You can also avoid some lookups by moving random.random out of the loops (saves a little).
3. EDIT: after corrections -- you could arrive at something like this:
def f(x,y,n,z):
rows = [[0] * y for i in xrange(x)]
rn = random.random
for i in xrange(n):
topleft = (int(x*rn()) - z, int(y*rn()) - z)
l = max(0, topleft[1])
r = min(topleft[1]+(z*2), y)
for u in xrange(max(0, topleft[0]), min(topleft[0]+(z*2), x)):
rows[u][l:r] = [j+(j<255) for j in rows[u][l:r]]
EDIT: some new timings with timeit (10 runs) -- seems this provides only minor speedups:
import timeit
print timeit.Timer("f1(1024,1024,400,75)", "from __main__ import f1").timeit(10)
print timeit.Timer("f2(1024,1024,400,75)", "from __main__ import f2").timeit(10)
print timeit.Timer("f(1024,1024,400,75)", "from __main__ import f3").timeit(10)
f1 21.1669280529
f2 12.9376120567
f 11.1249599457
in your f3 rewrite, g can be simplified. (Can also be applied to f4)
You have the following code inside a for loop.
l = max(0, topleft[1])
r = min(topleft[1]+(75*2), 1024)
However, it appears that those values never change inside the for loop. So calculate them once, outside the loop instead.
Based on your f3 version I played with the code. As l and r are constants you can avoid to compute them in g1 loop. Also using new ternary if instead of min and max seems to be consistently faster. Also simplified expression with topleft. On my system it appears to be about 20% faster using with the code below.
def f3b(x,y,n,z):
rows = [g1(x, y, z) for x, y in [(int(x*random.random()), int(y*random.random())) for i in range(n)]]
def g1(x, y, z):
l = y - z if y - z > 0 else 0
r = y + z if y + z < 1024 else 1024
for i in xrange(x - z if x - z > 0 else 0, x + z if x + z < 1024 else 1024 ):
rows[i][l:r] = [j+(j<255) for j in rows[i][l:r]]
You can create your own Python module in C, and control the performance as you want:
http://docs.python.org/extending/

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