351 lines
11 KiB
Python
351 lines
11 KiB
Python
"""
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PyMC Model Diagnostics Script
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Comprehensive diagnostic checks for PyMC models.
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Run this after sampling to validate results before interpretation.
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Usage:
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from scripts.model_diagnostics import check_diagnostics, create_diagnostic_report
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# Quick check
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check_diagnostics(idata)
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# Full report with plots
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create_diagnostic_report(idata, var_names=['alpha', 'beta', 'sigma'], output_dir='diagnostics/')
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"""
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import arviz as az
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import numpy as np
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import matplotlib.pyplot as plt
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from pathlib import Path
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def check_diagnostics(idata, var_names=None, ess_threshold=400, rhat_threshold=1.01):
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"""
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Perform comprehensive diagnostic checks on MCMC samples.
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Parameters
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----------
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idata : arviz.InferenceData
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InferenceData object from pm.sample()
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var_names : list, optional
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Variables to check. If None, checks all model parameters
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ess_threshold : int
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Minimum acceptable effective sample size (default: 400)
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rhat_threshold : float
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Maximum acceptable R-hat value (default: 1.01)
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Returns
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-------
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dict
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Dictionary with diagnostic results and flags
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"""
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print("="*70)
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print(" " * 20 + "MCMC DIAGNOSTICS REPORT")
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print("="*70)
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# Get summary statistics
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summary = az.summary(idata, var_names=var_names)
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results = {
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'summary': summary,
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'has_issues': False,
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'issues': []
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}
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# 1. Check R-hat (convergence)
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print("\n1. CONVERGENCE CHECK (R-hat)")
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print("-" * 70)
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bad_rhat = summary[summary['r_hat'] > rhat_threshold]
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if len(bad_rhat) > 0:
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print(f"⚠️ WARNING: {len(bad_rhat)} parameters have R-hat > {rhat_threshold}")
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print("\nTop 10 worst R-hat values:")
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print(bad_rhat[['r_hat']].sort_values('r_hat', ascending=False).head(10))
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print("\n⚠️ Chains may not have converged!")
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print(" → Run longer chains or check for multimodality")
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results['has_issues'] = True
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results['issues'].append('convergence')
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else:
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print(f"✓ All R-hat values ≤ {rhat_threshold}")
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print(" Chains have converged successfully")
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# 2. Check Effective Sample Size
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print("\n2. EFFECTIVE SAMPLE SIZE (ESS)")
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print("-" * 70)
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low_ess_bulk = summary[summary['ess_bulk'] < ess_threshold]
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low_ess_tail = summary[summary['ess_tail'] < ess_threshold]
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if len(low_ess_bulk) > 0 or len(low_ess_tail) > 0:
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print(f"⚠️ WARNING: Some parameters have ESS < {ess_threshold}")
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if len(low_ess_bulk) > 0:
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print(f"\n Bulk ESS issues ({len(low_ess_bulk)} parameters):")
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print(low_ess_bulk[['ess_bulk']].sort_values('ess_bulk').head(10))
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if len(low_ess_tail) > 0:
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print(f"\n Tail ESS issues ({len(low_ess_tail)} parameters):")
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print(low_ess_tail[['ess_tail']].sort_values('ess_tail').head(10))
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print("\n⚠️ High autocorrelation detected!")
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print(" → Sample more draws or reparameterize to reduce correlation")
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results['has_issues'] = True
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results['issues'].append('low_ess')
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else:
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print(f"✓ All ESS values ≥ {ess_threshold}")
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print(" Sufficient effective samples")
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# 3. Check Divergences
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print("\n3. DIVERGENT TRANSITIONS")
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print("-" * 70)
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divergences = idata.sample_stats.diverging.sum().item()
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if divergences > 0:
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total_samples = len(idata.posterior.draw) * len(idata.posterior.chain)
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divergence_rate = divergences / total_samples * 100
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print(f"⚠️ WARNING: {divergences} divergent transitions ({divergence_rate:.2f}% of samples)")
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print("\n Divergences indicate biased sampling in difficult posterior regions")
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print(" Solutions:")
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print(" → Increase target_accept (e.g., target_accept=0.95 or 0.99)")
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print(" → Use non-centered parameterization for hierarchical models")
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print(" → Add stronger/more informative priors")
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print(" → Check for model misspecification")
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results['has_issues'] = True
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results['issues'].append('divergences')
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results['n_divergences'] = divergences
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else:
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print("✓ No divergences detected")
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print(" NUTS explored the posterior successfully")
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# 4. Check Tree Depth
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print("\n4. TREE DEPTH")
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print("-" * 70)
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tree_depth = idata.sample_stats.tree_depth
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max_tree_depth = tree_depth.max().item()
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# Typical max_treedepth is 10 (default in PyMC)
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hits_max = (tree_depth >= 10).sum().item()
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if hits_max > 0:
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total_samples = len(idata.posterior.draw) * len(idata.posterior.chain)
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hit_rate = hits_max / total_samples * 100
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print(f"⚠️ WARNING: Hit maximum tree depth {hits_max} times ({hit_rate:.2f}% of samples)")
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print("\n Model may be difficult to explore efficiently")
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print(" Solutions:")
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print(" → Reparameterize model to improve geometry")
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print(" → Increase max_treedepth (if necessary)")
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results['issues'].append('max_treedepth')
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else:
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print(f"✓ No maximum tree depth issues")
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print(f" Maximum tree depth reached: {max_tree_depth}")
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# 5. Check Energy (if available)
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if hasattr(idata.sample_stats, 'energy'):
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print("\n5. ENERGY DIAGNOSTICS")
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print("-" * 70)
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print("✓ Energy statistics available")
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print(" Use az.plot_energy(idata) to visualize energy transitions")
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print(" Good separation indicates healthy HMC sampling")
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# Summary
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print("\n" + "="*70)
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print("SUMMARY")
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print("="*70)
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if not results['has_issues']:
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print("✓ All diagnostics passed!")
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print(" Your model has sampled successfully.")
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print(" Proceed with inference and interpretation.")
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else:
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print("⚠️ Some diagnostics failed!")
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print(f" Issues found: {', '.join(results['issues'])}")
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print(" Review warnings above and consider re-running with adjustments.")
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print("="*70)
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return results
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def create_diagnostic_report(idata, var_names=None, output_dir='diagnostics/', show=False):
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"""
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Create comprehensive diagnostic report with plots.
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Parameters
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----------
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idata : arviz.InferenceData
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InferenceData object from pm.sample()
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var_names : list, optional
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Variables to plot. If None, uses all model parameters
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output_dir : str
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Directory to save diagnostic plots
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show : bool
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Whether to display plots (default: False, just save)
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Returns
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-------
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dict
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Diagnostic results from check_diagnostics
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"""
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# Create output directory
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output_path = Path(output_dir)
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output_path.mkdir(parents=True, exist_ok=True)
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# Run diagnostic checks
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results = check_diagnostics(idata, var_names=var_names)
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print(f"\nGenerating diagnostic plots in '{output_dir}'...")
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# 1. Trace plots
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fig, axes = plt.subplots(
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len(var_names) if var_names else 5,
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2,
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figsize=(12, 10)
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)
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az.plot_trace(idata, var_names=var_names, axes=axes)
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plt.tight_layout()
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plt.savefig(output_path / 'trace_plots.png', dpi=300, bbox_inches='tight')
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print(f" ✓ Saved trace plots")
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if show:
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plt.show()
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else:
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plt.close()
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# 2. Rank plots (check mixing)
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fig = plt.figure(figsize=(12, 8))
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az.plot_rank(idata, var_names=var_names)
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plt.tight_layout()
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plt.savefig(output_path / 'rank_plots.png', dpi=300, bbox_inches='tight')
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print(f" ✓ Saved rank plots")
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if show:
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plt.show()
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else:
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plt.close()
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# 3. Autocorrelation plots
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fig = plt.figure(figsize=(12, 8))
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az.plot_autocorr(idata, var_names=var_names, combined=True)
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plt.tight_layout()
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plt.savefig(output_path / 'autocorr_plots.png', dpi=300, bbox_inches='tight')
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print(f" ✓ Saved autocorrelation plots")
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if show:
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plt.show()
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else:
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plt.close()
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# 4. Energy plot (if available)
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if hasattr(idata.sample_stats, 'energy'):
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fig = plt.figure(figsize=(10, 6))
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az.plot_energy(idata)
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plt.tight_layout()
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plt.savefig(output_path / 'energy_plot.png', dpi=300, bbox_inches='tight')
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print(f" ✓ Saved energy plot")
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if show:
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plt.show()
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else:
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plt.close()
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# 5. ESS plot
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fig = plt.figure(figsize=(10, 6))
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az.plot_ess(idata, var_names=var_names, kind='evolution')
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plt.tight_layout()
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plt.savefig(output_path / 'ess_evolution.png', dpi=300, bbox_inches='tight')
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print(f" ✓ Saved ESS evolution plot")
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if show:
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plt.show()
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else:
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plt.close()
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# Save summary to CSV
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results['summary'].to_csv(output_path / 'summary_statistics.csv')
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print(f" ✓ Saved summary statistics")
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print(f"\nDiagnostic report complete! Files saved in '{output_dir}'")
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return results
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def compare_prior_posterior(idata, prior_idata, var_names=None, output_path=None):
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"""
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Compare prior and posterior distributions.
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Parameters
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----------
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idata : arviz.InferenceData
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InferenceData with posterior samples
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prior_idata : arviz.InferenceData
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InferenceData with prior samples
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var_names : list, optional
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Variables to compare
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output_path : str, optional
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If provided, save plot to this path
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Returns
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-------
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None
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"""
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fig, axes = plt.subplots(
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len(var_names) if var_names else 3,
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1,
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figsize=(10, 8)
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)
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if not isinstance(axes, np.ndarray):
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axes = [axes]
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for idx, var in enumerate(var_names if var_names else list(idata.posterior.data_vars)[:3]):
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# Plot prior
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az.plot_dist(
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prior_idata.prior[var].values.flatten(),
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label='Prior',
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ax=axes[idx],
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color='blue',
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alpha=0.3
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)
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# Plot posterior
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az.plot_dist(
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idata.posterior[var].values.flatten(),
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label='Posterior',
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ax=axes[idx],
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color='green',
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alpha=0.3
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)
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axes[idx].set_title(f'{var}: Prior vs Posterior')
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axes[idx].legend()
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plt.tight_layout()
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if output_path:
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plt.savefig(output_path, dpi=300, bbox_inches='tight')
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print(f"Prior-posterior comparison saved to {output_path}")
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else:
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plt.show()
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# Example usage
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if __name__ == '__main__':
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print("This script provides diagnostic functions for PyMC models.")
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print("\nExample usage:")
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print("""
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import pymc as pm
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from scripts.model_diagnostics import check_diagnostics, create_diagnostic_report
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# After sampling
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with pm.Model() as model:
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# ... define model ...
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idata = pm.sample()
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# Quick diagnostic check
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results = check_diagnostics(idata)
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# Full diagnostic report with plots
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create_diagnostic_report(
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idata,
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var_names=['alpha', 'beta', 'sigma'],
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output_dir='my_diagnostics/'
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)
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""")
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