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How to use complex_step method in grail

Best Python code snippet using grail_python

besselk.py

Source:besselk.py

1"""2Module providing convenient and fast derivatives of log(scipy.special.k1e)3See the function: logK1e4Asymptotes:5    Kn(x) ~ sqrt(pi/2x) exp(-x) as x -> inf6    7    Kn(x) ~ 1/2 Gamma(n) / (1/2 x)^n, as x -> 0, for n > 08    K0(x) ~ -log(x), as x -> 09    10    11"""12import scipy.special as special13import numpy as np14from lib.deriv.adtools import cs15def k012e(x):16    """Returns k0e(x), k1e(x) and k2e(x) for real or complex x.17    18    For real x, the fast exponentially scaled K_n Bessel functions, k0e end k1e 19    are defined in scipy.special, but not ke2, which is computed here from the 20    other two using the recurion: 21        K_n(x) = K_{n-2}(x) + 2(n-1)/z * K_{n-1}(x) 22    23    For complex x, kve(0,x) and kve(1,x) and the recursion are used.24    25    Returns the outputs all three functions, evaluated at x.26    """27    if np.iscomplexobj(x):28        k0 = special.kve(0,x)29        k1 = special.kve(1,x)30        k2 = k0 + 2.0*k1/x31    else:32        k0 = special.k0e(x)33        k1 = special.k1e(x)34        k2 = k0 + 2.0*k1/x35    return k0, k1, k236#def ddxlogK1e(z):37    """38    ddx K1(z) = (-1/2) * ( K0(z) + K2(z) )39    ddx log(exp(z)K1(z)) 40    = 1 + [ddx K1(z)] / K1(z)41    = 1 - [K0(z) + K2(z)] / [2*K1(z)]42    43    """    44def k0e(x):45    if np.iscomplexobj(x):46        return special.kve(0,x)47    else:48        return special.k0e(x)49def k1e(x):50    if np.iscomplexobj(x):51        return special.kve(1,x)52    else:53        return special.k1e(x)54class csret():55    def __init__(self,z):56        self.val = np.real(z)57        self.deriv = 1e20*np.imag(z)58    59def cs2(f,x):60    z1, back = f(x+1e-20j)61    z2 = back(1.0)62    return csret(z1), csret(z2)63def logK1e(x, deriv = False, complex_step = True):64    """65    log(scipy.special.k1e), with derivative capabilities.66    67    k1e(x) is Bessel function K1(x), scaled by exp(x)  68    69    parameters:70        71        x: real or complex ndarray72        deriv: Bool, optional, default = False73               - False: return only function values74               - True: return function values and a backpropagation function.75        76        - When complex_step=True and x is real, the first derivative is computed 77          with complex step differentiation. This is faster.78        - Otherwise, an explicit first derivative calculation is used.79    80    The whole function can be wrapped in a complex step differentiation. Then81    the function value, the complex-step first derivative, the explicit first82    derivative and the second derivative can all be recovered from the real and83    imaginary parts of the two return values.84    85    86    """87    88    89    complexx = np.iscomplexobj(x)90    complex_step  = complex_step and not complexx91        92    if not deriv: return np.log(k1e(x))93    if complex_step:94        y, dx = cs(k1e,x)95        return np.log(y), lambda dy: dx(dy/y)96    k0 = k0e(x)97    k1 = k1e(x)98    k2 = k0 + 2.0*k1/x99    ddx =  1 - (k0 + k2) / (2*k1)100    return np.log(k1), lambda dy: dy * ddx 101def logK1e_2ndderiv(x):102    """Slow and probably inaccurate for large x. For testing only."""103    f = special.k1e(x)104    k1 = special.kvp(1,x,1)105    k2 = special.kvp(1,x,2)106    e = np.exp(x)107    f1 = f + e*k1108    f2 = f1 + e*(k1+k2)109    return (f2*f - f1**2) / f**2110if __name__ == "__main__":111    print("Running test script for module besselk\n")112    113    from numpy.random import randn114#    n = 10115#    m = 3116#    x = randn(n,m)**2117    x = randn(2,1)**2118    119    y0 = logK1e(x)120    y1, back = cs(logK1e,x); ddx1 = back(1.0)121    y2, back = logK1e(x, deriv = True); ddx2 = back(1.0)  122    y3, back = logK1e(x, deriv = True, complex_step = False); ddx3 = back(1.0)  123    124    r1, r2 = cs2(lambda x: logK1e(x,True), x)125    y4, ddx4 = r1.val, r1.deriv126    ddx5, d2dx5 = r2.val, r2.deriv127    128    d2dx6 = logK1e_2ndderiv(x)129    130    print('comparing values:')131    for yi in (y1,y2,y3,y4):132        print(abs(y0-yi).max())133    print('\ncomparing derivatives:')134    for ddxi in (ddx2,ddx3,ddx4,ddx5):135        print(abs(ddx1-ddxi).max())136    print('\ncomparing 2nd derivatives:')137    print(abs(d2dx5-d2dx6).max())138                139    ...

extendedDFM.py

Source:extendedDFM.py

1#!/usr/bin/env python32# -*- coding: utf-8 -*-3"""4Created on Wed Jan 31 15:25:37 20185@author: congshanzhang6"""7import numpy as np8import pandas as pd9import statsmodels.api as sm10import matplotlib.pyplot as plt11from statsmodels.tsa.statespace import tools12class ExtendedDFM(sm.tsa.DynamicFactor):13    def __init__(self, endog, **kwargs):14            # Setup the model as if we had a factor order of 415            super(ExtendedDFM, self).__init__(16                endog, k_factors=1, factor_order=4, error_order=2,17                **kwargs)18            # Note: `self.parameters` is an ordered dict with the19            # keys corresponding to parameter types, and the values20            # the number of parameters of that type.21            # Add the new parameters22            self.parameters['new_loadings'] = 323            # Cache a slice for the location of the 4 factor AR24            # parameters (a_1, ..., a_4) in the full parameter vector25            offset = (self.parameters['factor_loadings'] +26                      self.parameters['exog'] +27                      self.parameters['error_cov'])28            self._params_factor_ar = np.s_[offset:offset+2]29            self._params_factor_zero = np.s_[offset+2:offset+4]30    @property31    def start_params(self):32        # Add three new loading parameters to the end of the parameter33        # vector, initialized to zeros (for simplicity; they could34        # be initialized any way you like)35        return np.r_[super(ExtendedDFM, self).start_params, 0, 0, 0]36    37    @property38    def param_names(self):39        # Add the corresponding names for the new loading parameters40        #  (the name can be anything you like)41        return super(ExtendedDFM, self).param_names + [42            'loading.L%d.f1.%s' % (i, self.endog_names[3]) for i in range(1,4)]43    def transform_params(self, unconstrained):44            # Perform the typical DFM transformation (w/o the new parameters)45            constrained = super(ExtendedDFM, self).transform_params(46            unconstrained[:-3])47            # Redo the factor AR constraint, since we only want an AR(2),48            # and the previous constraint was for an AR(4)49            ar_params = unconstrained[self._params_factor_ar]50            constrained[self._params_factor_ar] = (51                tools.constrain_stationary_univariate(ar_params))52            # Return all the parameters53            return np.r_[constrained, unconstrained[-3:]]54    def untransform_params(self, constrained):55            # Perform the typical DFM untransformation (w/o the new parameters)56            unconstrained = super(ExtendedDFM, self).untransform_params(57                constrained[:-3])58            # Redo the factor AR unconstraint, since we only want an AR(2),59            # and the previous unconstraint was for an AR(4)60            ar_params = constrained[self._params_factor_ar]61            unconstrained[self._params_factor_ar] = (62                tools.unconstrain_stationary_univariate(ar_params))63            # Return all the parameters64            return np.r_[unconstrained, constrained[-3:]]65    def update(self, params, transformed=True, complex_step=False):66        # Peform the transformation, if required67        if not transformed:68            params = self.transform_params(params)69        params[self._params_factor_zero] = 070        71        # Now perform the usual DFM update, but exclude our new parameters72        super(ExtendedDFM, self).update(params[:-3], transformed=True, complex_step=complex_step)73        # Finally, set our new parameters in the design matrix...

test_merging.py

Source:test_merging.py

1from tests.config_data import (2    complex_step,3    complex_step_alt,4    complex_steps_merged,5    echo_step,6)7from valohai_yaml.objs import Config8def test_merging():9    a = Config.parse([echo_step])10    b = Config.parse([complex_step])11    c = a.merge_with(b)12    assert len(c.steps) == 213    for step in a.steps.keys() & b.steps.keys():14        assert step in c.steps15def test_merging_conflict():16    a = Config.parse([complex_step])17    b = Config.parse([complex_step_alt])18    c = a.merge_with(b)19    expected = Config.parse([complex_steps_merged])...

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