How to implement custom Keras ordinal loss function with tensor evaluation without disturbing TF>2.0 Model Graph? - tensorflow

I am trying to implement a custom loss function in Tensorflow 2.4 using the Keras backend.
The loss function is a ranking loss; I found the following paper with a somewhat log-likelihood loss: Chen et al. Single-Image Depth Perception in the Wild.
Similarly, I wanted to sample some (in this case 50) points from an image to compare the relative order between ground-truth and predicted depth maps using the NYU-Depth dataset. Being a fan of Numpy, I started working with that but came to the following exception:
ValueError: No gradients provided for any variable: [...]
I have learned that this is caused by the arguments not being filled when calling the loss function but instead, a C function is compiled which is then used later. So while I know the dimensions of my tensors (4, 480, 640, 1), I cannot work with the data as wanted and have to use the keras.backend functions on top so that in the end (if I understood correctly), there is supposed to be a path between the input tensors from the TF graph and the output tensor, which has to provide a gradient.
So my question now is: Is this a feasible loss function within keras?
I have already tried a few ideas and different approaches with different variations of my original code, which was something like:
def ranking_loss_function(y_true, y_pred):
# Chen et al. loss
y_true_np = K.eval(y_true)
y_pred_np = K.eval(y_pred)
if y_true_np.shape[0] != None:
num_sample_points = 50
total_samples = num_sample_points ** 2
err_list = [0 for x in range(y_true_np.shape[0])]
for i in range(y_true_np.shape[0]):
sample_points = create_random_samples(y_true, y_pred, num_sample_points)
for x1, y1 in sample_points:
for x2, y2 in sample_points:
if y_true[i][x1][y1] > y_true[i][x2][y2]:
#image_relation_true = 1
err_list[i] += np.log(1 + np.exp(-1 * y_pred[i][x1][y1] + y_pred[i][x2][y2]))
elif y_true[i][x1][y1] < y_true[i][x2][y2]:
#image_relation_true = -1
err_list[i] += np.log(1 + np.exp(y_pred[i][x1][y1] - y_pred[i][x2][y2]))
else:
#image_relation_true = 0
err_list[i] += np.square(y_pred[i][x1][y1] - y_pred[i][x2][y2])
err_list = np.divide(err_list, total_samples)
return K.constant(err_list)
As you can probably tell, the main idea was to first create the sample points and then based on the existing relation between them in y_true/y_pred continue with the corresponding computation from the cited paper.
Can anyone help me and provide some more helpful information or tips on how to correctly implement this loss using keras.backend functions? Trying to include the ordinal relation information really confused me compared to standard regression losses.
EDIT: Just in case this causes confusion: create_random_samples() just creates 50 random sample points (x, y) coordinate pairs based on the shape[1] and shape[2] of y_true (image width and height)
EDIT(2): After finding this variation on GitHub, I have tried out a variation using only TF functions to retrieve data from the tensors and compute the output. The adjusted and probably more correct version still throws the same exception though:
def ranking_loss_function(y_true, y_pred):
#In the Wild ranking loss
y_true_np = K.eval(y_true)
y_pred_np = K.eval(y_pred)
if y_true_np.shape[0] != None:
num_sample_points = 50
total_samples = num_sample_points ** 2
bs = y_true_np.shape[0]
w = y_true_np.shape[1]
h = y_true_np.shape[2]
total_samples = total_samples * bs
num_pairs = tf.constant([total_samples], dtype=tf.float32)
output = tf.Variable(0.0)
for i in range(bs):
sample_points = create_random_samples(y_true, y_pred, num_sample_points)
for x1, y1 in sample_points:
for x2, y2 in sample_points:
y_true_sq = tf.squeeze(y_true)
y_pred_sq = tf.squeeze(y_pred)
d1_t = tf.slice(y_true_sq, [i, x1, y1], [1, 1, 1])
d2_t = tf.slice(y_true_sq, [i, x2, y2], [1, 1, 1])
d1_p = tf.slice(y_pred_sq, [i, x1, y1], [1, 1, 1])
d2_p = tf.slice(y_pred_sq, [i, x2, y2], [1, 1, 1])
d1_t_sq = tf.squeeze(d1_t)
d2_t_sq = tf.squeeze(d2_t)
d1_p_sq = tf.squeeze(d1_p)
d2_p_sq = tf.squeeze(d2_p)
if d1_t_sq > d2_t_sq:
# --> Image relation = 1
output.assign_add(tf.math.log(1 + tf.math.exp(-1 * d1_p_sq + d2_p_sq)))
elif d1_t_sq < d2_t_sq:
# --> Image relation = -1
output.assign_add(tf.math.log(1 + tf.math.exp(d1_p_sq - d2_p_sq)))
else:
output.assign_add(tf.math.square(d1_p_sq - d2_p_sq))
return output/num_pairs
EDIT(3): This is the code for create_random_samples():
(FYI: Because it was weird to get the shape from y_true in this case, I first proceeded to hard-code it here as I know it for the dataset which I am currently using.)
def create_random_samples(y_true, y_pred, num_points=50):
y_true_shape = (4, 480, 640, 1)
y_pred_shape = (4, 480, 640, 1)
if y_true_shape[0] != None:
num_samples = num_points
population = [(x, y) for x in range(y_true_shape[1]) for y in range(y_true_shape[2])]
sample_points = random.sample(population, num_samples)
return sample_points

Related

draw a line in tensorflow

I want to create a human pose skeleton estimation network and for this, I have a two-part network, first part generates 16 heatmaps as output(each heatmap for different joint and hence a key point can be extracted), using these 16 key points I wish to create a human skeleton and feed it to second half of my network. My problem is, how do I draw lines between the key points to create the skeleton? I couldn't find a way to do it on a tensor object using tensorflow or keras.
I know i'm a bit late but here is some code that I think does what you're after (in TFv2.3). Hopefully it will save someone time in the future!
It uses solely tensorflow ops, so you can use it in data loaders etc. The real pain here is that Tensorflow doesn't allow Eager Assignment, so you can't just update tensors by index. This works around that by creating two sparse tensors, one for the mask (where to apply the line) and another for the new_values (what value to apply at the line). The code for simply designing the line might not be applicable in your case (based on https://stackoverflow.com/a/47381058) but ported away from numpy.
import tensorflow as tf
def trapez(y, y0, w):
return tf.clip_by_value(tf.minimum(y + 1 + w/2 - y0, -y + 1 + w/2 + y0), 0, 1)
def apply_output(img, yy, xx, val):
stack = tf.stack([yy, xx], axis=1)
stack = tf.cast(stack, tf.int64)
values = tf.ones(stack.shape[0], tf.float32)
mask = tf.sparse.SparseTensor(indices=stack, values=values, dense_shape=img.shape)
mask = tf.sparse.reorder(mask)
mask = tf.sparse.to_dense(mask)
mask = tf.cast(mask, tf.float32)
new_values = tf.sparse.SparseTensor(indices=stack, values=val, dense_shape=img.shape)
new_values = tf.sparse.reorder(new_values)
new_values = tf.sparse.to_dense(new_values)
img = img * (1 - mask) + new_values * mask
img = tf.cast(tf.expand_dims(img * 255, axis=-1), tf.uint8)
return img
def weighted_line(img, r0, c0, r1, c1, w):
output = img
x = tf.range(c0, c1 + 1, dtype=tf.float32)
slope = (r1-r0) / (c1-c0)
w *= tf.sqrt(1 + tf.abs(slope)) / 2
y = x * slope + (c1*r0-c0*r1) / (c1-c0)
thickness = tf.math.ceil(w/2)
yy = (tf.reshape(tf.math.floor(y), [-1, 1]) + tf.reshape(tf.range(-thickness-1, thickness+2), [1, -1]))
xx = tf.repeat(x, yy.shape[1])
values = tf.reshape(trapez(yy, tf.reshape(y, [-1, 1]), w), [-1])
yy = tf.reshape(yy, [-1])
limits_y = tf.math.logical_and(yy >= 0, yy < img.shape[0])
limits_x = tf.math.logical_and(xx >= 0, xx < img.shape[1])
limits = tf.math.logical_and(limits_y, limits_x)
limits = tf.math.logical_and(limits, values > 0)
yy = tf.cast(yy[limits], tf.float32)
xx = tf.cast(xx[limits], tf.float32)
return yy, xx, values[limits], apply_output(output, yy, xx, values[limits])
Just for a sanity check, you can call it with the following, and display it using opencv
if __name__ == "__main__":
IMG = tf.zeros((500, 500), tf.float32)
yy, xx, vals, FINAL_IMG = weighted_line(IMG, 10, 20, 100, 200, 5)
jpeg_string = tf.io.encode_jpeg(FINAL_IMG)
tf.io.write_file("output.jpg", jpeg_string)
import cv2
img = cv2.imread("output.jpg")
cv2.imshow("Output", img)
cv2.waitKey(0)

Pairwise distance between a set of Matrices in Keras/Tensorflow

I want to calculate pairwise distance between a set of Tensor (e.g 4 Tensor). Each matrix is 2D Tensor. I don't know how to do this in vectorize format. I wrote following sudo-code to determine what I need:
E.shape => [4,30,30]
sum = 0
for i in range(4):
for j in range(4):
res = calculate_distance(E[i],E[j]) # E[i] is one the 30*30 Tensor
sum = sum + reduce_sum(res)
Here is my last try:
x_ = tf.expand_dims(E, 0)
y_ = tf.expand_dims(E, 1)
s = x_ - y_
P = tf.reduce_sum(tf.norm(s, axis=[-2, -1]))
This code works But I don't know how do this in a Batch. For instance when E.shape is [BATCH_SIZE * 4 * 30 * 30] my code doesn't work and Out Of Memory will happen. How can I do this efficiently?
Edit: After a day, I find a solution. it's not perfect but works:
res = tf.map_fn(lambda x: tf.map_fn(lambda y: tf.map_fn(lambda z: tf.norm(z - x), x), x), E)
res = tf.reduce_mean(tf.square(res))
Your solution with expand_dims should be okay if your batch size is not too large. However, given that your original pseudo code loops over range(4), you should probably expand axes 1 and 2, instead of 0 and 1.
You can check the shape of the tensors to ensure that you're specifying the correct axes. For example,
batch_size = 8
E_np = np.random.rand(batch_size, 4, 30, 30)
E = K.variable(E_np) # shape=(8, 4, 30, 30)
x_ = K.expand_dims(E, 1)
y_ = K.expand_dims(E, 2)
s = x_ - y_ # shape=(8, 4, 4, 30, 30)
distances = tf.norm(s, axis=[-2, -1]) # shape=(8, 4, 4)
P = K.sum(distances, axis=[-2, -1]) # shape=(8,)
Now P will be the sum of pairwise distances between the 4 matrices for each of the 8 samples.
You can also verify that the values in P is the same as what would be computed in your pseudo code:
answer = []
for batch_idx in range(batch_size):
s = 0
for i in range(4):
for j in range(4):
a = E_np[batch_idx, i]
b = E_np[batch_idx, j]
s += np.sqrt(np.trace(np.dot(a - b, (a - b).T)))
answer.append(s)
print(answer)
[149.45960605637578, 147.2815068236368, 144.97487402393705, 146.04866735065312, 144.25537059201062, 148.9300986019226, 146.61229889228133, 149.34259789169045]
print(K.eval(P).tolist())
[149.4595947265625, 147.281494140625, 144.97488403320312, 146.04867553710938, 144.25537109375, 148.9300994873047, 146.6123046875, 149.34259033203125]
Tensorflow allows to compute the Frobenius norm via tf.norm function. In case of 2D matrices, it's equivalent to 1-norm.
The following solution isn't vectorized and assumes that the first dimension in E is known statically:
E = tf.random_normal(shape=[5, 3, 3], dtype=tf.float32)
F = tf.split(E, E.shape[0])
total = tf.reduce_sum([tf.norm(tensor=(lhs-rhs), ord=1, axis=(-2, -1)) for lhs in F for rhs in F])
Update:
An optimized vectorized version of the same code:
E = tf.random_normal(shape=[1024, 4, 30, 30], dtype=tf.float32)
lhs = tf.expand_dims(E, axis=1)
rhs = tf.expand_dims(E, axis=2)
total = tf.reduce_sum(tf.norm(tensor=(lhs - rhs), ord=1, axis=(-2, -1)))
Memory concerns: upon evaluating this code,
tf.contrib.memory_stats.MaxBytesInUse() reports that the peak memory consumption is 73729792 = 74Mb, which indicates relatively moderate overhead (the raw lhs-rhs tensor is 59Mb). Your OOM is most likely caused by the duplication of BATCH_SIZE dimension when you compute s = x_ - y_, because your batch size is much larger than the number of matrices (1024 vs 4).

Implementing backpropagation gradient descent using scipy.optimize.minimize

I am trying to train an autoencoder NN (3 layers - 2 visible, 1 hidden) using numpy and scipy for the MNIST digits images dataset. The implementation is based on the notation given here Below is my code:
def autoencoder_cost_and_grad(theta, visible_size, hidden_size, lambda_, data):
"""
The input theta is a 1-dimensional array because scipy.optimize.minimize expects
the parameters being optimized to be a 1d array.
First convert theta from a 1d array to the (W1, W2, b1, b2)
matrix/vector format, so that this follows the notation convention of the
lecture notes and tutorial.
You must compute the:
cost : scalar representing the overall cost J(theta)
grad : array representing the corresponding gradient of each element of theta
"""
training_size = data.shape[1]
# unroll theta to get (W1,W2,b1,b2) #
W1 = theta[0:hidden_size*visible_size]
W1 = W1.reshape(hidden_size,visible_size)
W2 = theta[hidden_size*visible_size:2*hidden_size*visible_size]
W2 = W2.reshape(visible_size,hidden_size)
b1 = theta[2*hidden_size*visible_size:2*hidden_size*visible_size + hidden_size]
b2 = theta[2*hidden_size*visible_size + hidden_size: 2*hidden_size*visible_size + hidden_size + visible_size]
#feedforward pass
a_l1 = data
z_l2 = W1.dot(a_l1) + numpy.tile(b1,(training_size,1)).T
a_l2 = sigmoid(z_l2)
z_l3 = W2.dot(a_l2) + numpy.tile(b2,(training_size,1)).T
a_l3 = sigmoid(z_l3)
#backprop
delta_l3 = numpy.multiply(-(data-a_l3),numpy.multiply(a_l3,1-a_l3))
delta_l2 = numpy.multiply(W2.T.dot(delta_l3),
numpy.multiply(a_l2, 1 - a_l2))
b2_derivative = numpy.sum(delta_l3,axis=1)/training_size
b1_derivative = numpy.sum(delta_l2,axis=1)/training_size
W2_derivative = numpy.dot(delta_l3,a_l2.T)/training_size + lambda_*W2
#print(W2_derivative.shape)
W1_derivative = numpy.dot(delta_l2,a_l1.T)/training_size + lambda_*W1
W1_derivative = W1_derivative.reshape(hidden_size*visible_size)
W2_derivative = W2_derivative.reshape(visible_size*hidden_size)
b1_derivative = b1_derivative.reshape(hidden_size)
b2_derivative = b2_derivative.reshape(visible_size)
grad = numpy.concatenate((W1_derivative,W2_derivative,b1_derivative,b2_derivative))
cost = 0.5*numpy.sum((data-a_l3)**2)/training_size + 0.5*lambda_*(numpy.sum(W1**2) + numpy.sum(W2**2))
return cost,grad
I have also implemented a function to estimate the numerical gradient and verify the correctness of my implementation (below).
def compute_gradient_numerical_estimate(J, theta, epsilon=0.0001):
"""
:param J: a loss (cost) function that computes the real-valued loss given parameters and data
:param theta: array of parameters
:param epsilon: amount to vary each parameter in order to estimate
the gradient by numerical difference
:return: array of numerical gradient estimate
"""
gradient = numpy.zeros(theta.shape)
eps_vector = numpy.zeros(theta.shape)
for i in range(0,theta.size):
eps_vector[i] = epsilon
cost1,grad1 = J(theta+eps_vector)
cost2,grad2 = J(theta-eps_vector)
gradient[i] = (cost1 - cost2)/(2*epsilon)
eps_vector[i] = 0
return gradient
The norm of the difference between the numerical estimate and the one computed by the function is around 6.87165125021e-09 which seems to be acceptable. My main problem seems to be to get the gradient descent algorithm "L-BGFGS-B" working using the scipy.optimize.minimize function as below:
# theta is the 1-D array of(W1,W2,b1,b2)
J = lambda x: utils.autoencoder_cost_and_grad(theta, visible_size, hidden_size, lambda_, patches_train)
options_ = {'maxiter': 4000, 'disp': False}
result = scipy.optimize.minimize(J, theta, method='L-BFGS-B', jac=True, options=options_)
I get the below output from this:
scipy.optimize.minimize() details:
fun: 90.802022224079778
hess_inv: <16474x16474 LbfgsInvHessProduct with dtype=float64>
jac: array([ -6.83667742e-06, -2.74886002e-06, -3.23531941e-06, ...,
1.22425735e-01, 1.23425062e-01, 1.28091250e-01])
message: b'ABNORMAL_TERMINATION_IN_LNSRCH'
nfev: 21
nit: 0
status: 2
success: False
x: array([-0.06836677, -0.0274886 , -0.03235319, ..., 0. ,
0. , 0. ])
Now, this post seems to indicate that the error could mean that the gradient function implementation could be wrong? But my numerical gradient estimate seems to confirm that my implementation is correct. I have tried varying the initial weights by using a uniform distribution as specified here but the problem still persists. Is there anything wrong with my backprop implementation?
Turns out the issue was a syntax error (very silly) with this line:
J = lambda x: utils.autoencoder_cost_and_grad(theta, visible_size, hidden_size, lambda_, patches_train)
I don't even have the lambda parameter x in the function declaration. So the theta array wasn't even being passed whenever J was being invoked.
This fixed it:
J = lambda x: utils.autoencoder_cost_and_grad(x, visible_size, hidden_size, lambda_, patches_train)

tensorflow giving nans when calculating gradient with sparse tensors

The following snippet is from a fairly large piece of code but hopefully I can give all the information necessary:
y2 = tf.matmul(y1,ymask)
dist = tf.norm(ystar-y2,axis=0)
y1 and y2 are 128x30 and ymask is 30x30. ystar is 128x30. dist is 1x30. When ymask is the identity matrix, everything works fine. But when I set it to be all zeros, apart from a single 1 along the diagonal (so as to set all columns but one in y2 to be zero), I get nans for the gradient of dist with respect to y2, using tf.gradients(dist, [y2]). The specific value of dist is [0,0,7.9,0,...], with all the ystar-y2 values being around the range (-1,1) in the third column and zero elsewhere.
I'm pretty confused as to why a numerical issue would occur here, given there are no logs or divisions, is this underflow? Am I missing something in the maths?
For context, I'm doing this to try to train individual dimensions of y, one at a time, using the whole network.
longer version to reproduce:
import tensorflow as tf
import numpy as np
import pandas as pd
batchSize = 128
eta = 0.8
tasks = 30
imageSize = 32**2
groups = 3
tasksPerGroup = 10
trainDatapoints = 10000
w = np.zeros([imageSize, groups * tasksPerGroup])
toyIndex = 0
for toyLoop in range(groups):
m = np.ones([imageSize]) * np.random.randn(imageSize)
for taskLoop in range(tasksPerGroup):
w[:, toyIndex] = m * 0.1 * np.random.randn(1)
toyIndex += 1
xRand = np.random.normal(0, 0.5, (trainDatapoints, imageSize))
taskLabels = np.matmul(xRand, w) + np.random.normal(0,0.5,(trainDatapoints, groups * tasksPerGroup))
DF = np.concatenate((xRand, taskLabels), axis=1)
trainDF = pd.DataFrame(DF[:trainDatapoints, ])
# define graph variables
x = tf.placeholder(tf.float32, [None, imageSize])
W = tf.Variable(tf.zeros([imageSize, tasks]))
b = tf.Variable(tf.zeros([tasks]))
ystar = tf.placeholder(tf.float32, [None, tasks])
ymask = tf.placeholder(tf.float32, [tasks, tasks])
dataLength = tf.cast(tf.shape(ystar)[0],dtype=tf.float32)
y1 = tf.matmul(x, W) + b
y2 = tf.matmul(y1,ymask)
dist = tf.norm(ystar-y2,axis=0)
mse = tf.reciprocal(dataLength) * tf.reduce_mean(tf.square(dist))
grads = tf.gradients(dist, [y2])
trainStep = tf.train.GradientDescentOptimizer(eta).minimize(mse)
# build graph
init = tf.global_variables_initializer()
sess = tf.Session()
sess.run(init)
randTask = np.random.randint(0, 9)
ymaskIn = np.zeros([tasks, tasks])
ymaskIn[randTask, randTask] = 1
batch = trainDF.sample(batchSize)
batch_xs = batch.iloc[:, :imageSize]
batch_ys = np.zeros([batchSize, tasks])
batch_ys[:, randTask] = batch.iloc[:, imageSize + randTask]
gradOut = sess.run(grads, feed_dict={x: batch_xs, ystar: batch_ys, ymask: ymaskIn})
sess.run(trainStep, feed_dict={x: batch_xs, ystar: batch_ys, ymask:ymaskIn})
Here's a very simple reproduction:
import tensorflow as tf
with tf.Graph().as_default():
y = tf.zeros(shape=[1], dtype=tf.float32)
dist = tf.norm(y,axis=0)
(grad,) = tf.gradients(dist, [y])
with tf.Session():
print(grad.eval())
Prints:
[ nan]
The issue is that tf.norm computes sum(x**2)**0.5. The gradient is x / sum(x**2) ** 0.5 (see e.g. https://math.stackexchange.com/a/84333), so when sum(x**2) is zero we're dividing by zero.
There's not much to be done in terms of a special case: the gradient as x approaches all zeros depends on which direction it's approaching from. For example if x is a single-element vector, the limit as x approaches 0 could either be 1 or -1 depending on which side of zero it's approaching from.
So in terms of solutions, you could just add a small epsilon:
import tensorflow as tf
def safe_norm(x, epsilon=1e-12, axis=None):
return tf.sqrt(tf.reduce_sum(x ** 2, axis=axis) + epsilon)
with tf.Graph().as_default():
y = tf.constant([0.])
dist = safe_norm(y,axis=0)
(grad,) = tf.gradients(dist, [y])
with tf.Session():
print(grad.eval())
Prints:
[ 0.]
Note that this is not actually the Euclidean norm. It's a good approximation as long as the input is much larger than epsilon.

Avoiding optimization pitfalls when modeling an ordinal predicted variable in PyMC3

I am trying to model an ordinal predicted variable using PyMC3 based on the approach in chapter 23 of Doing Bayesian Data Analysis. I would like to determine a good starting value using find_MAP, but am receiving an optimization error.
The model:
import pymc3 as pm
import numpy as np
import theano
import theano.tensor as tt
# Some helper functions
def cdf(x, location=0, scale=1):
epsilon = np.array(1e-32, dtype=theano.config.floatX)
location = tt.cast(location, theano.config.floatX)
scale = tt.cast(scale, theano.config.floatX)
div = tt.sqrt(2 * scale ** 2 + epsilon)
div = tt.cast(div, theano.config.floatX)
erf_arg = (x - location) / div
return .5 * (1 + tt.erf(erf_arg + epsilon))
def percent_to_thresh(idx, vect):
return 5 * tt.sum(vect[:idx + 1]) + 1.5
def full_thresh(thresh):
idxs = tt.arange(thresh.shape[0] - 1)
thresh_mod, updates = theano.scan(fn=percent_to_thresh,
sequences=[idxs],
non_sequences=[thresh])
return tt.concatenate([[-1 * np.inf, 1.5], thresh_mod, [6.5, np.inf]])
def compute_ps(thresh, location, scale):
f_thresh = full_thresh(thresh)
return cdf(f_thresh[1:], location, scale) - cdf(f_thresh[:-1], location, scale)
# Generate data
real_ps = [0.05, 0.05, 0.1, 0.1, 0.2, 0.3, 0.2]
data = np.random.choice(7, size=1000, p=real_ps)
# Run model
with pm.Model() as model:
mu = pm.Normal('mu', mu=4, sd=3)
sigma = pm.Uniform('sigma', lower=0.1, upper=70)
thresh = pm.Dirichlet('thresh', a=np.ones(5))
cat_p = compute_ps(thresh, mu, sigma)
results = pm.Categorical('results', p=cat_p, observed=data)
with model:
start = pm.find_MAP()
trace = pm.sample(2000, start=start)
When running this, I receive the following error:
Applied interval-transform to sigma and added transformed sigma_interval_ to model.
Applied stickbreaking-transform to thresh and added transformed thresh_stickbreaking_ to model.
Traceback (most recent call last):
File "cm_net_log.v1-for_so.py", line 53, in <module>
start = pm.find_MAP()
File "/usr/local/lib/python3.5/site-packages/pymc3/tuning/starting.py", line 133, in find_MAP
specific_errors)
ValueError: Optimization error: max, logp or dlogp at max have non-finite values. Some values may be outside of distribution support. max: {'thresh_stickbreaking_': array([-1.04298465, -0.48661088, -0.84326554, -0.44833646]), 'sigma_interval_': array(-2.220446049250313e-16), 'mu': array(7.68422528308479)} logp: array(-3506.530143064723) dlogp: array([ 1.61013190e-06, nan, -6.73994118e-06,
-6.93873894e-06, 6.03358122e-06, 3.18954680e-06])Check that 1) you don't have hierarchical parameters, these will lead to points with infinite density. 2) your distribution logp's are properly specified. Specific issues:
My questions:
How can I determine why dlogp is nan at certain points?
Is there a different way that I can express this model to avoid dlogp being nan?
Also worth noting:
This model runs fine if I don't find_MAP and use a Metropolis sampler. However, I'd like to have the flexibility of using other samplers as this model becomes more complex.
I have a suspicion that the issue is due to the relationship between the thresholds and the normal distribution, but I don't know how to disentangle them for the optimization.
Regarding question 2: I expressed the model for the ordinal predicted variable (single group) differently; I used the Theano #as_op decorator for a function that calculates probabilities for the outcomes. That also explains why I cannot use find_MAP() or gradient based samplers: Theano cannot calculate a gradient for the custom function. (http://pymc-devs.github.io/pymc3/notebooks/getting_started.html#Arbitrary-deterministics)
# Number of outcomes
nYlevels = df.Y.cat.categories.size
thresh = [k + .5 for k in range(1, nYlevels)]
thresh_obs = np.ma.asarray(thresh)
thresh_obs[1:-1] = np.ma.masked
#as_op(itypes=[tt.dvector, tt.dscalar, tt.dscalar], otypes=[tt.dvector])
def outcome_probabilities(theta, mu, sigma):
out = np.empty(nYlevels)
n = norm(loc=mu, scale=sigma)
out[0] = n.cdf(theta[0])
out[1] = np.max([0, n.cdf(theta[1]) - n.cdf(theta[0])])
out[2] = np.max([0, n.cdf(theta[2]) - n.cdf(theta[1])])
out[3] = np.max([0, n.cdf(theta[3]) - n.cdf(theta[2])])
out[4] = np.max([0, n.cdf(theta[4]) - n.cdf(theta[3])])
out[5] = np.max([0, n.cdf(theta[5]) - n.cdf(theta[4])])
out[6] = 1 - n.cdf(theta[5])
return out
with pm.Model() as ordinal_model_single:
theta = pm.Normal('theta', mu=thresh, tau=np.repeat(.5**2, len(thresh)),
shape=len(thresh), observed=thresh_obs, testval=thresh[1:-1])
mu = pm.Normal('mu', mu=nYlevels/2.0, tau=1.0/(nYlevels**2))
sigma = pm.Uniform('sigma', nYlevels/1000.0, nYlevels*10.0)
pr = outcome_probabilities(theta, mu, sigma)
y = pm.Categorical('y', pr, observed=df.Y.cat.codes.as_matrix())
http://nbviewer.jupyter.org/github/JWarmenhoven/DBDA-python/blob/master/Notebooks/Chapter%2023.ipynb