scripts/logistic_regression/simulated_data/dc_bayesian_fusion/SD4_DCGBF.R
In rchan26/hierarchicalFusion: Divide-and-Conquer Monte Carlo Fusion
library(DCFusion)
library(HMCBLR)
##### Initialise example #####
seed <- 2022
set.seed(seed)
nsamples <- 10000
ndata <- 1000
time_choice <- 0.5
prior_means <- rep(0, 5)
prior_variances <- rep(1, 5)
C <- 4
n_cores <- parallel::detectCores()
true_beta <- c(-3, 1.2, -0.5, 0.8, 3)
frequencies <- c(0.2, 0.3, 0.5, 0.01)
ESS_threshold <- 0.5
CESS_0_threshold <- 0.5
CESS_j_threshold <- 0.2
diffusion_estimator <- 'NB'
# simulate data set
simulated_data <- simulate_LR_data(N = ndata,
alpha = true_beta[1],
frequencies = frequencies,
coefficients = true_beta[2:length(true_beta)],
seed = seed)
# check activity of the parameters
check_activity(simulated_data)
##### Sampling from full posterior #####
full_data_count <- unique_row_count(y = simulated_data[,1],
X = cbind('intercept' = rep(1, ndata), simulated_data[,2:ncol(simulated_data)]))$full_data_count
full_posterior <- hmc_sample_BLR(full_data_count = full_data_count,
C = 1,
prior_means = prior_means,
prior_variances = prior_variances,
iterations = nsamples + 10000,
warmup = 10000,
chains = 1,
seed = seed,
output = T)
##### Sampling from sub-posterior C=4 #####
data_split_4 <- split_data(simulated_data, y_col_index = 1, X_col_index = 2:ncol(simulated_data), C = C, as_dataframe = F)
sub_posteriors_4 <- hmc_base_sampler_BLR(nsamples = nsamples,
data_split = data_split_4,
C = C,
prior_means = prior_means,
prior_variances = prior_variances,
warmup = 10000,
seed = seed,
output = T)
##### Applying other methodologies #####
print('Applying other methodologies')
consensus_mat_4 <- consensus_scott(S = 4, samples_to_combine = sub_posteriors_4, indep = F)
consensus_sca_4 <- consensus_scott(S = 4, samples_to_combine = sub_posteriors_4, indep = T)
neiswanger_true_4 <- neiswanger(S = 4,
samples_to_combine = sub_posteriors_4,
anneal = TRUE)
neiswanger_false_4 <- neiswanger(S = 4,
samples_to_combine = sub_posteriors_4,
anneal = FALSE)
weierstrass_importance_4 <- weierstrass(Samples = sub_posteriors_4,
method = 'importance')
weierstrass_rejection_4 <- weierstrass(Samples = sub_posteriors_4,
method = 'reject')
integrated_abs_distance(full_posterior, consensus_mat_4$samples)
integrated_abs_distance(full_posterior, consensus_sca_4$samples)
integrated_abs_distance(full_posterior, neiswanger_true_4$samples)
integrated_abs_distance(full_posterior, neiswanger_false_4$samples)
integrated_abs_distance(full_posterior, weierstrass_importance_4$samples)
integrated_abs_distance(full_posterior, weierstrass_rejection_4$samples)
##### NB (Hypercube Centre) #####
print('NB Fusion (hypercube centre)')
NB_hc_4 <- bal_binary_fusion_SMC_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_schedule = rep(time_choice, 2),
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
cv_location = 'hypercube_centre',
diffusion_estimator = 'NB',
seed = seed,
n_cores = n_cores)
NB_hc_4$particles <- resample_particle_y_samples(particle_set = NB_hc_4$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
NB_hc_4$proposed_samples <- NB_hc_4$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, NB_hc_4$particles$y_samples))
##### Generalised Bayesian Fusion #####
##### all at once #####
GBF_4 <- list('reg' = bal_binary_GBF_BLR(N_schedule = nsamples,
m_schedule = 4,
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 2,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = FALSE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed))
GBF_4$adaptive <- bal_binary_GBF_BLR(N_schedule = nsamples,
m_schedule = 4,
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 2,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = TRUE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed)
# regular mesh
GBF_4$reg$particles <- resample_particle_y_samples(particle_set = GBF_4$reg$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
print(integrated_abs_distance(full_posterior, GBF_4$reg$particles$y_samples))
# adaptive mesh
GBF_4$adaptive$particles <- resample_particle_y_samples(particle_set = GBF_4$adaptive$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
print(integrated_abs_distance(full_posterior, GBF_4$adaptive$particles$y_samples))
##### bal binary combining two sub-posteriors at a time #####
balanced_C4 <- list('reg' = bal_binary_GBF_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = FALSE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed))
balanced_C4$adaptive <- bal_binary_GBF_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = TRUE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed)
# regular mesh
balanced_C4$reg$particles <- resample_particle_y_samples(particle_set = balanced_C4$reg$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
balanced_C4$reg$proposed_samples <- balanced_C4$reg$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, balanced_C4$reg$particles$y_samples))
# adaptive mesh
balanced_C4$adaptive$particles <- resample_particle_y_samples(particle_set = balanced_C4$adaptive$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
balanced_C4$adaptive$proposed_samples <- balanced_C4$adaptive$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, balanced_C4$adaptive$particles$y_samples))
##### IAD #####
integrated_abs_distance(full_posterior, GBF_4$reg$particles$y_samples)
integrated_abs_distance(full_posterior, GBF_4$adaptive$particles$y_samples)
integrated_abs_distance(full_posterior, balanced_C4$reg$particles$y_samples)
integrated_abs_distance(full_posterior, balanced_C4$adaptive$particles$y_samples)
integrated_abs_distance(full_posterior, NB_hc_4$particles$y_samples)
save.image('SD4_DCGBF.RData')
rchan26/hierarchicalFusion documentation built on Sept. 11, 2022, 10:30 p.m.
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library(DCFusion)
library(HMCBLR)
##### Initialise example #####
seed <- 2022
set.seed(seed)
nsamples <- 10000
ndata <- 1000
time_choice <- 0.5
prior_means <- rep(0, 5)
prior_variances <- rep(1, 5)
C <- 4
n_cores <- parallel::detectCores()
true_beta <- c(-3, 1.2, -0.5, 0.8, 3)
frequencies <- c(0.2, 0.3, 0.5, 0.01)
ESS_threshold <- 0.5
CESS_0_threshold <- 0.5
CESS_j_threshold <- 0.2
diffusion_estimator <- 'NB'
# simulate data set
simulated_data <- simulate_LR_data(N = ndata,
alpha = true_beta[1],
frequencies = frequencies,
coefficients = true_beta[2:length(true_beta)],
seed = seed)
# check activity of the parameters
check_activity(simulated_data)
##### Sampling from full posterior #####
full_data_count <- unique_row_count(y = simulated_data[,1],
X = cbind('intercept' = rep(1, ndata), simulated_data[,2:ncol(simulated_data)]))$full_data_count
full_posterior <- hmc_sample_BLR(full_data_count = full_data_count,
C = 1,
prior_means = prior_means,
prior_variances = prior_variances,
iterations = nsamples + 10000,
warmup = 10000,
chains = 1,
seed = seed,
output = T)
##### Sampling from sub-posterior C=4 #####
data_split_4 <- split_data(simulated_data, y_col_index = 1, X_col_index = 2:ncol(simulated_data), C = C, as_dataframe = F)
sub_posteriors_4 <- hmc_base_sampler_BLR(nsamples = nsamples,
data_split = data_split_4,
C = C,
prior_means = prior_means,
prior_variances = prior_variances,
warmup = 10000,
seed = seed,
output = T)
##### Applying other methodologies #####
print('Applying other methodologies')
consensus_mat_4 <- consensus_scott(S = 4, samples_to_combine = sub_posteriors_4, indep = F)
consensus_sca_4 <- consensus_scott(S = 4, samples_to_combine = sub_posteriors_4, indep = T)
neiswanger_true_4 <- neiswanger(S = 4,
samples_to_combine = sub_posteriors_4,
anneal = TRUE)
neiswanger_false_4 <- neiswanger(S = 4,
samples_to_combine = sub_posteriors_4,
anneal = FALSE)
weierstrass_importance_4 <- weierstrass(Samples = sub_posteriors_4,
method = 'importance')
weierstrass_rejection_4 <- weierstrass(Samples = sub_posteriors_4,
method = 'reject')
integrated_abs_distance(full_posterior, consensus_mat_4$samples)
integrated_abs_distance(full_posterior, consensus_sca_4$samples)
integrated_abs_distance(full_posterior, neiswanger_true_4$samples)
integrated_abs_distance(full_posterior, neiswanger_false_4$samples)
integrated_abs_distance(full_posterior, weierstrass_importance_4$samples)
integrated_abs_distance(full_posterior, weierstrass_rejection_4$samples)
##### NB (Hypercube Centre) #####
print('NB Fusion (hypercube centre)')
NB_hc_4 <- bal_binary_fusion_SMC_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_schedule = rep(time_choice, 2),
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
cv_location = 'hypercube_centre',
diffusion_estimator = 'NB',
seed = seed,
n_cores = n_cores)
NB_hc_4$particles <- resample_particle_y_samples(particle_set = NB_hc_4$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
NB_hc_4$proposed_samples <- NB_hc_4$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, NB_hc_4$particles$y_samples))
##### Generalised Bayesian Fusion #####
##### all at once #####
GBF_4 <- list('reg' = bal_binary_GBF_BLR(N_schedule = nsamples,
m_schedule = 4,
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 2,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = FALSE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed))
GBF_4$adaptive <- bal_binary_GBF_BLR(N_schedule = nsamples,
m_schedule = 4,
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 2,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = TRUE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed)
# regular mesh
GBF_4$reg$particles <- resample_particle_y_samples(particle_set = GBF_4$reg$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
print(integrated_abs_distance(full_posterior, GBF_4$reg$particles$y_samples))
# adaptive mesh
GBF_4$adaptive$particles <- resample_particle_y_samples(particle_set = GBF_4$adaptive$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
print(integrated_abs_distance(full_posterior, GBF_4$adaptive$particles$y_samples))
##### bal binary combining two sub-posteriors at a time #####
balanced_C4 <- list('reg' = bal_binary_GBF_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = FALSE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed))
balanced_C4$adaptive <- bal_binary_GBF_BLR(N_schedule = rep(nsamples, 2),
m_schedule = rep(2, 2),
time_mesh = NULL,
base_samples = sub_posteriors_4,
L = 3,
dim = 5,
data_split = data_split_4,
prior_means = prior_means,
prior_variances = prior_variances,
C = 4,
precondition = TRUE,
resampling_method = 'resid',
ESS_threshold = ESS_threshold,
adaptive_mesh = TRUE,
mesh_parameters = list('condition' = 'SH',
'CESS_0_threshold' = CESS_0_threshold,
'CESS_j_threshold' = CESS_j_threshold,
'vanilla' = FALSE),
diffusion_estimator = diffusion_estimator,
seed = seed)
# regular mesh
balanced_C4$reg$particles <- resample_particle_y_samples(particle_set = balanced_C4$reg$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
balanced_C4$reg$proposed_samples <- balanced_C4$reg$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, balanced_C4$reg$particles$y_samples))
# adaptive mesh
balanced_C4$adaptive$particles <- resample_particle_y_samples(particle_set = balanced_C4$adaptive$particles[[1]],
multivariate = TRUE,
resampling_method = 'resid',
seed = seed)
balanced_C4$adaptive$proposed_samples <- balanced_C4$adaptive$proposed_samples[[1]]
print(integrated_abs_distance(full_posterior, balanced_C4$adaptive$particles$y_samples))
##### IAD #####
integrated_abs_distance(full_posterior, GBF_4$reg$particles$y_samples)
integrated_abs_distance(full_posterior, GBF_4$adaptive$particles$y_samples)
integrated_abs_distance(full_posterior, balanced_C4$reg$particles$y_samples)
integrated_abs_distance(full_posterior, balanced_C4$adaptive$particles$y_samples)
integrated_abs_distance(full_posterior, NB_hc_4$particles$y_samples)
save.image('SD4_DCGBF.RData')
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