{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Metropolis-Hastings algorithm" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We present here a generic Metropolis-Hasting algorithm. The algorithm has the interesting feature of not needing the value of the normalization constant in the probability density function.\n", "\n", "Take for example an exponential model: the distribution is for each $x$ proportional to $e^{-E(x)}$, where $E$ is some function. Then the distribution writes $\\pi(x) = Z^{-1} e^{-E(x)}$, where $Z = \\int e^{-E(x)} dx$ can be difficult to compute. The Metropolis Hastings algorithm can be used without knowing the value of $Z$.\n", "\n", "Thanks to this feature, when modeling some random variable, one can use quite generic \"energies\" $E$ and efficiently simulate them." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We start by some imports" ] }, { "cell_type": "code", "execution_count": 1, "metadata": { "collapsed": true }, "outputs": [], "source": [ "# For mybinder, uncomment\n", "# !pip install numpy matplotlib ipywidgets" ] }, { "cell_type": "code", "execution_count": 2, "metadata": { "collapsed": true }, "outputs": [], "source": [ "import numpy as np\n", "from numpy.random import normal\n", "import matplotlib.pyplot as plt\n", "% matplotlib inline\n", "% matplotlib notebook\n", "import ipywidgets as widgets\n", "from IPython.display import display" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We define the necessary distributions. pi is the distribution that we want to sample. We use here a Gaussian distribution where V is the inverse of the covariance. q is the transition probability and prop is a function that proposes a transition. We use here the Random Walk Metropolis method, where the transitions are standard Gaussians." ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def pi(x,V):\n", " '''\n", " Density of the target distribution, up to a constant. \n", " \n", " x -- np array of size k\n", " V -- np array of size k*k\n", " '''\n", " return np.exp(-.5*np.dot(x,np.dot(V,x)))" ] }, { "cell_type": "code", "execution_count": 4, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def prop(x):\n", " '''\n", " Random proposition for the Metropolis-Hastings algorithm.\n", " Uses the Random Walk Metropolis formula with unit variance.\n", " \n", " x -- np array of size k\n", " '''\n", " return x + normal(size=len(x))" ] }, { "cell_type": "code", "execution_count": 5, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def q(x,y):\n", " '''\n", " Probability density of transition x to y, up to a constant.\n", " Uses the Random Walk Metropolis formula with unit variance.\n", " \n", " x -- np array of size k\n", " y -- np array of size k\n", " '''\n", " dist = x-y\n", " return np.exp(-.5*np.dot(dist,dist))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We will use some non-diagonal matrix V. The corresponding correlation is -0.9" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "array([[ 5. , 4.5],\n", " [ 4.5, 5. ]])" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/plain": [ "array([[ 1.05263158, -0.94736842],\n", " [-0.94736842, 1.05263158]])" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "example_V = np.array([[5.,4.5],[4.5,5.]])\n", "display(example_V)\n", "display(np.linalg.inv(example_V))" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "-0.89999999999999991" ] }, "execution_count": 7, "metadata": {}, "output_type": "execute_result" } ], "source": [ "np.linalg.inv(example_V)[1,0]/np.linalg.inv(example_V)[0,0]" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Here's the density we want to simulate. Of course, in this 2-dimensional case it would be straightforward, but we use this as an educative example." ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " fig.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
')\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('');\n", " button.click(method_name, toolbar_event);\n", " button.mouseover(tooltip, toolbar_mouse_event);\n", " nav_element.append(button);\n", " }\n", "\n", " // Add the status bar.\n", " var status_bar = $('');\n", " nav_element.append(status_bar);\n", " this.message = status_bar[0];\n", "\n", " // Add the close button to the window.\n", " var buttongrp = $('
');\n", " var button = $('');\n", " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", " buttongrp.append(button);\n", " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", " titlebar.prepend(buttongrp);\n", "}\n", "\n", "mpl.figure.prototype._root_extra_style = function(el){\n", " var fig = this\n", " el.on(\"remove\", function(){\n", "\tfig.close_ws(fig, {});\n", " });\n", "}\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(el){\n", " // this is important to make the div 'focusable\n", " el.attr('tabindex', 0)\n", " // reach out to IPython and tell the keyboard manager to turn it's self\n", " // off when our div gets focus\n", "\n", " // location in version 3\n", " if (IPython.notebook.keyboard_manager) {\n", " IPython.notebook.keyboard_manager.register_events(el);\n", " }\n", " else {\n", " // location in version 2\n", " IPython.keyboard_manager.register_events(el);\n", " }\n", "\n", "}\n", "\n", "mpl.figure.prototype._key_event_extra = function(event, name) {\n", " var manager = IPython.notebook.keyboard_manager;\n", " if (!manager)\n", " manager = IPython.keyboard_manager;\n", "\n", " // Check for shift+enter\n", " if (event.shiftKey && event.which == 13) {\n", " this.canvas_div.blur();\n", " event.shiftKey = false;\n", " // Send a \"J\" for go to next cell\n", " event.which = 74;\n", " event.keyCode = 74;\n", " manager.command_mode();\n", " manager.handle_keydown(event);\n", " }\n", "}\n", "\n", "mpl.figure.prototype.handle_save = function(fig, msg) {\n", " fig.ondownload(fig, null);\n", "}\n", "\n", "\n", "mpl.find_output_cell = function(html_output) {\n", " // Return the cell and output element which can be found *uniquely* in the notebook.\n", " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", " // IPython event is triggered only after the cells have been serialised, which for\n", " // our purposes (turning an active figure into a static one), is too late.\n", " var cells = IPython.notebook.get_cells();\n", " var ncells = cells.length;\n", " for (var i=0; i= 3 moved mimebundle to data attribute of output\n", " data = data.data;\n", " }\n", " if (data['text/html'] == html_output) {\n", " return [cell, data, j];\n", " }\n", " }\n", " }\n", " }\n", "}\n", "\n", "// Register the function which deals with the matplotlib target/channel.\n", "// The kernel may be null if the page has been refreshed.\n", "if (IPython.notebook.kernel != null) {\n", " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", "}\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "25403a25d9e044e1b8440b684ffdba37", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "2c173cce27764e219da1f4386e9be431", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "def start_scatter_first(trajectory):\n", " fig = plt.figure()\n", " lim = np.max(np.abs(trajectory[:,]))\n", " plt.xlim((-lim, lim))\n", " plt.ylim((-lim, lim))\n", " plt.scatter(trajectory[:1,0],trajectory[:1,1],alpha=.5,label='Markov Chain')\n", " plt.legend(loc='best')\n", " plt.show()\n", " return fig\n", "\n", "fig2 = start_scatter_first(traj)\n", "\n", "def update_scatter_first(n,trajectory,figure):\n", " t = trajectory[:n]\n", " plt.figure(figure.number)\n", " pc1, = figure.axes[0].collections\n", " pc1.set_offsets(t)\n", " \n", "def update_length_first(value):\n", " update_scatter_first(n=value['new'],trajectory=traj,figure=fig2)\n", " \n", "slider_first = widgets.IntSlider(min=0,max=100,step=1)\n", "display(slider_first)\n", "slider_first.observe(update_length_first,names='value')\n", "def incrementSlider(b):\n", " slider_first.value += 1\n", "advanceButton = widgets.Button(value=False,description='Advance')\n", "display(advanceButton)\n", "advanceButton.on_click(incrementSlider)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "As you should see above, sometimes pressing 'advance' doesn't create a new point. This means the proposition has been rejected. Instead, the current point increases in darkness. The efficiency of the sampling algorithm depends in part of that effect: if the propositions are too spread out, they will be often rejected. However, if they are too concentrated, the samples will be correlated and the algorithm may take more time to explore the whole state space." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "When one wants to sample independently from pi, one can choose to keep only every few Markov Chain values. Here we will take every 10 values. The initialization is not included in the independent sample." ] }, { "cell_type": "code", "execution_count": 13, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def split_trajectory(trajectory,freq):\n", " trajectory1,trajectory2 = [trajectory[0]],[]\n", " for i in range(1,len(trajectory)):\n", " if i%freq == 0:\n", " trajectory2 += [trajectory[i,:]]\n", " else:\n", " trajectory1 += [trajectory[i,:]]\n", " return np.array(trajectory1),np.array(trajectory2)" ] }, { "cell_type": "code", "execution_count": 14, "metadata": { "collapsed": true }, "outputs": [], "source": [ "traj1,traj2 = split_trajectory(traj,50)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Let's continue with plotting the simulations. We will plit in blue the Markov Chain and in red the points that we'd like to keep to get an approximately independent sample. We will use here an animation iPython widget - you just have to click play." ] }, { "cell_type": "code", "execution_count": 15, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def start_scatter(trajectory1, trajectory2, freq, title='Simulations using RWM Metropolis-Hastings'):\n", " fig = plt.figure()\n", " lim = np.max(np.append(np.abs(trajectory1[:,]),np.abs(trajectory2)))\n", " plt.xlim((-lim, lim))\n", " plt.ylim((-lim, lim))\n", " plt.scatter(trajectory1[:freq,0],trajectory1[:freq,1],alpha=.01,label='Markov Chain')\n", " plt.scatter(trajectory2[0,0],trajectory2[0,1],color='red',alpha=.5,label='Approx. ind. sample')\n", " plt.title(title)\n", " plt.legend(loc='best')\n", " plt.show()\n", " return fig\n", "\n", "def update_scatter(n,trajectory1,trajectory2,freq,figure):\n", " t1 = trajectory1[:(n - int(n / freq))]\n", " t2 = trajectory2[:int(n / freq)]\n", " plt.figure(figure.number)\n", " pc1, pc2 = figure.axes[0].collections\n", " pc1.set_offsets(t1)\n", " pc2.set_offsets(t2)\n", " \n", "def update_length(value):\n", " update_scatter(n=value['new'],trajectory1=traj1,trajectory2=traj2,freq=freq3,figure=fig3) \n", " \n", "#For those who will look deeper into the code, this isn't very proper coding -\n", "#we use the fact that the notebook treats basically all variables as global and\n", "#that you can use undeclared variables inside function definitions." ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " fig.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
')\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('');\n", " button.click(method_name, toolbar_event);\n", " button.mouseover(tooltip, toolbar_mouse_event);\n", " nav_element.append(button);\n", " }\n", "\n", " // Add the status bar.\n", " var status_bar = $('');\n", " nav_element.append(status_bar);\n", " this.message = status_bar[0];\n", "\n", " // Add the close button to the window.\n", " var buttongrp = $('
');\n", " var button = $('');\n", " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", " buttongrp.append(button);\n", " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", " titlebar.prepend(buttongrp);\n", "}\n", "\n", "mpl.figure.prototype._root_extra_style = function(el){\n", " var fig = this\n", " el.on(\"remove\", function(){\n", "\tfig.close_ws(fig, {});\n", " });\n", "}\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(el){\n", " // this is important to make the div 'focusable\n", " el.attr('tabindex', 0)\n", " // reach out to IPython and tell the keyboard manager to turn it's self\n", " // off when our div gets focus\n", "\n", " // location in version 3\n", " if (IPython.notebook.keyboard_manager) {\n", " IPython.notebook.keyboard_manager.register_events(el);\n", " }\n", " else {\n", " // location in version 2\n", " IPython.keyboard_manager.register_events(el);\n", " }\n", "\n", "}\n", "\n", "mpl.figure.prototype._key_event_extra = function(event, name) {\n", " var manager = IPython.notebook.keyboard_manager;\n", " if (!manager)\n", " manager = IPython.keyboard_manager;\n", "\n", " // Check for shift+enter\n", " if (event.shiftKey && event.which == 13) {\n", " this.canvas_div.blur();\n", " event.shiftKey = false;\n", " // Send a \"J\" for go to next cell\n", " event.which = 74;\n", " event.keyCode = 74;\n", " manager.command_mode();\n", " manager.handle_keydown(event);\n", " }\n", "}\n", "\n", "mpl.figure.prototype.handle_save = function(fig, msg) {\n", " fig.ondownload(fig, null);\n", "}\n", "\n", "\n", "mpl.find_output_cell = function(html_output) {\n", " // Return the cell and output element which can be found *uniquely* in the notebook.\n", " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", " // IPython event is triggered only after the cells have been serialised, which for\n", " // our purposes (turning an active figure into a static one), is too late.\n", " var cells = IPython.notebook.get_cells();\n", " var ncells = cells.length;\n", " for (var i=0; i= 3 moved mimebundle to data attribute of output\n", " data = data.data;\n", " }\n", " if (data['text/html'] == html_output) {\n", " return [cell, data, j];\n", " }\n", " }\n", " }\n", " }\n", "}\n", "\n", "// Register the function which deals with the matplotlib target/channel.\n", "// The kernel may be null if the page has been refreshed.\n", "if (IPython.notebook.kernel != null) {\n", " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", "}\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "x = np.arange(-2.0, 4.0, 0.1)\n", "y = np.arange(-2.0, 4.0, 0.1)\n", "X, Y = np.meshgrid(x, y)\n", "Z = np.array([[pi_energy(np.array([X[i,j],Y[i,j]]),E_example1) for j in range(len(X[0]))] for i in range(len(X))])\n", "plt.figure()\n", "CS = plt.contour(X, Y, Z)\n", "plt.clabel(CS, inline=1, fontsize=10);" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "This example uses two energy valleys, at $(1,1)$ and $(-1,-1)$. Intuitively, the Markov Chain tends to stay inside the energy valleys and may have trouble leaving one valley to explore the second one - this is a common issue with energies that are non-convex. To observe that, you can experiment with means that are placed farther away from each other, as well as with the algorithm parameters. " ] }, { "cell_type": "code", "execution_count": 36, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def E_example2(x):\n", " return E_multipleValley(x,[np.ones(2),-np.ones(2)],[np.identity(2),np.identity(2)])" ] }, { "cell_type": "code", "execution_count": 37, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " fig.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
')\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('');\n", " button.click(method_name, toolbar_event);\n", " button.mouseover(tooltip, toolbar_mouse_event);\n", " nav_element.append(button);\n", " }\n", "\n", " // Add the status bar.\n", " var status_bar = $('');\n", " nav_element.append(status_bar);\n", " this.message = status_bar[0];\n", "\n", " // Add the close button to the window.\n", " var buttongrp = $('
');\n", " var button = $('');\n", " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", " buttongrp.append(button);\n", " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", " titlebar.prepend(buttongrp);\n", "}\n", "\n", "mpl.figure.prototype._root_extra_style = function(el){\n", " var fig = this\n", " el.on(\"remove\", function(){\n", "\tfig.close_ws(fig, {});\n", " });\n", "}\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(el){\n", " // this is important to make the div 'focusable\n", " el.attr('tabindex', 0)\n", " // reach out to IPython and tell the keyboard manager to turn it's self\n", " // off when our div gets focus\n", "\n", " // location in version 3\n", " if (IPython.notebook.keyboard_manager) {\n", " IPython.notebook.keyboard_manager.register_events(el);\n", " }\n", " else {\n", " // location in version 2\n", " IPython.keyboard_manager.register_events(el);\n", " }\n", "\n", "}\n", "\n", "mpl.figure.prototype._key_event_extra = function(event, name) {\n", " var manager = IPython.notebook.keyboard_manager;\n", " if (!manager)\n", " manager = IPython.keyboard_manager;\n", "\n", " // Check for shift+enter\n", " if (event.shiftKey && event.which == 13) {\n", " this.canvas_div.blur();\n", " event.shiftKey = false;\n", " // Send a \"J\" for go to next cell\n", " event.which = 74;\n", " event.keyCode = 74;\n", " manager.command_mode();\n", " manager.handle_keydown(event);\n", " }\n", "}\n", "\n", "mpl.figure.prototype.handle_save = function(fig, msg) {\n", " fig.ondownload(fig, null);\n", "}\n", "\n", "\n", "mpl.find_output_cell = function(html_output) {\n", " // Return the cell and output element which can be found *uniquely* in the notebook.\n", " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", " // IPython event is triggered only after the cells have been serialised, which for\n", " // our purposes (turning an active figure into a static one), is too late.\n", " var cells = IPython.notebook.get_cells();\n", " var ncells = cells.length;\n", " for (var i=0; i= 3 moved mimebundle to data attribute of output\n", " data = data.data;\n", " }\n", " if (data['text/html'] == html_output) {\n", " return [cell, data, j];\n", " }\n", " }\n", " }\n", " }\n", "}\n", "\n", "// Register the function which deals with the matplotlib target/channel.\n", "// The kernel may be null if the page has been refreshed.\n", "if (IPython.notebook.kernel != null) {\n", " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", "}\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "x = np.arange(-2.0, 2.0, 0.1)\n", "y = np.arange(-2.0, 2.0, 0.1)\n", "X, Y = np.meshgrid(x, y)\n", "Z = np.array([[pi_energy(np.array([X[i,j],Y[i,j]]),E_example3) for j in range(len(X[0]))] for i in range(len(X))])\n", "plt.figure()\n", "CS = plt.contour(X, Y, Z)\n", "plt.clabel(CS, inline=1, fontsize=10);" ] }, { "cell_type": "code", "execution_count": 40, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def piChoice(i):\n", " if i == 1:\n", " return lambda x: pi_energy(x,E_example1)\n", " elif i == 2:\n", " return lambda x: pi_energy(x,E_example2)\n", " else:\n", " return lambda x: pi_energy(x,E_example3)" ] }, { "cell_type": "code", "execution_count": 41, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def gradChoice(i):\n", " if i == 1:\n", " return lambda x: grad_gauss(x,np.ones(2),np.array([[5.,4.5],[4.5,5.]]))\n", " elif i == 2:\n", " return lambda x: grad_multipleValley(x,[np.ones(2),-np.ones(2)],[np.identity(2),np.identity(2)])\n", " else:\n", " return lambda x: grad_multipleValley(x,[np.ones(2),-np.ones(2),np.array([-1.,1.]),np.array([1.,-1.])],[np.identity(2),np.identity(2),np.identity(2),np.identity(2)])" ] }, { "cell_type": "code", "execution_count": 42, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def algoChoice(i):\n", " d = {1:'RWM',2:'PCN',3:'MALA'}\n", " return d[i]" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The following provides functions that we will use to plot the results and is not mathematically interesting. However, you could be interested if you want to see how ipywidgets work." ] }, { "cell_type": "code", "execution_count": 43, "metadata": { "collapsed": true }, "outputs": [], "source": [ "def initialize_scatter(figNum, trajectory1, trajectory2, freq, title='Simulations using RWM Metropolis-Hastings'):\n", " #sliderFinal.value = freq\n", " fig = plt.figure(figNum)\n", " plt.clf()\n", " lim = np.max(np.append(np.abs(trajectory1[:,]),np.abs(trajectory2)))\n", " plt.xlim((-lim, lim))\n", " plt.ylim((-lim, lim))\n", " plt.scatter(trajectory1[:freq,0],trajectory1[:freq,1],alpha=.01,label='Markov Chain')\n", " plt.scatter(trajectory2[0,0],trajectory2[0,1],color='red',alpha=.5,label='Approx. ind. sample')\n", " plt.title(title)\n", " plt.legend(loc='best')\n", " return fig" ] }, { "cell_type": "code", "execution_count": 44, "metadata": { "collapsed": true }, "outputs": [], "source": [ "trajFinal1, trajFinal2 = np.array([]), np.array([])\n", "def runSimulation(on_press):\n", " global trajFinal, trajFinal1, trajFinal2\n", " pi = piChoice(exampleDropdown.value)\n", " algo = algoChoice(algoDropdown.value)\n", " grad = gradChoice(exampleDropdown.value)\n", " trajectory = MetropolisHastings(lengthIntText.value,pi,algo,grad=grad,eta=etaFloatText.value,rho=rhoBoundedFloatText.value,progressBar=simulationProgress)\n", " trajFinal1,trajFinal2 = split_trajectory(trajectory,freqIntText.value)\n", " title = 'Simulations using '+ algo\n", " \n", " initialize_scatter(figFinal.number,trajFinal1,trajFinal2, freqIntText.value, title)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Here, we define the widgets that we use for the illustration: you can safely skip it." ] }, { "cell_type": "code", "execution_count": 45, "metadata": { "collapsed": true }, "outputs": [], "source": [ "algoDropdown = widgets.Dropdown(\n", " options={'RWM': 1, 'PCN': 2, 'MALA': 3},\n", " value=1,\n", " description='Algorithm:'\n", ")\n", "\n", "exampleDropdown = widgets.Dropdown(\n", " options={'Correlation': 1, 'Double Valley': 2, 'Quadruple valley': 3},\n", " value=1,\n", " description='Example:'\n", ")\n", "\n", "lengthIntText = widgets.IntText(\n", " value=10000,\n", " description='Simulation length:',\n", " disabled=False\n", ")\n", "\n", "freqIntText = widgets.BoundedIntText(\n", " value=100,\n", " min=1,\n", " max= lengthIntText.value,\n", " description='Independent sample frequency:',\n", " disabled=False\n", ")\n", "\n", "sigFloatText = widgets.FloatText(\n", " value=1.,\n", " step=.1,\n", " description='Volatility value:',\n", " disabled=False\n", ")\n", "\n", "rhoBoundedFloatText = widgets.BoundedFloatText(\n", " value=.5,\n", " min=0.,\n", " max=1.0,\n", " step=0.05,\n", " description='Correlation value (for PCN):',\n", " disabled=False\n", ")\n", "\n", "etaFloatText = widgets.FloatText(\n", " value=.1,\n", " step=.01,\n", " description='Gradient coefficient (for MALA):',\n", " disabled=False\n", ")\n", "\n", "runButton = widgets.Button(\n", " value=False,\n", " description='Run!',\n", " disabled=False,\n", " button_style='', # 'success', 'info', 'warning', 'danger' or ''\n", " tooltip='Run!',\n", " icon='check'\n", ")\n", "\n", "simulationProgress = widgets.IntProgress(\n", " value=0,\n", " min=0,\n", " max=lengthIntText.value,\n", " step=freqIntText.value,\n", " description='Simulation:',\n", " bar_style='', # 'success', 'info', 'warning', 'danger' or ''\n", " orientation='horizontal'\n", ")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The following widget code displays the simulation interface. You can choose the algorithm, the example distribution from which you sample and most parameters of the simulation. Run the simulation by clicking 'Run' and display the scatter using the play button or the slider." ] }, { "cell_type": "code", "execution_count": 46, "metadata": {}, "outputs": [ { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "0098a7783a9c447da9e87ee32718ddcb", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "a749eef146774f308f348ff806b8e062", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "02d2192950c44198b7d72fd8f4cdc70d", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "82e3f12261e14e6984cefe301f130fba", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "28c66354c6304d6599a94e85fd23dfb5", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "43e7f7c13d87481fa2b05ae6237c6c28", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "375f1acf182d4c088641aa2d7383867d", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.jupyter.widget-view+json": { "model_id": "9234c28839684b90827c6ed101e2e338", "version_major": 2, "version_minor": 0 }, "text/plain": [ "A Jupyter Widget" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " fig.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
')\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('