mcmc.py

"""MCMC Test Rig for COVID-19 UK model"""
import optparse
import os
from time import perf_counter

import h5py
import numpy as np
import tensorflow as tf
import tensorflow_probability as tfp
import tqdm
import yaml

from covid import config
from covid.model import load_data, DiscreteTimeStateTransitionModel
from covid.pydata import phe_case_data
from covid.util import sanitise_parameter, sanitise_settings, impute_previous_cases
from covid.impl.util import compute_state
from covid.impl.mcmc import UncalibratedLogRandomWalk, random_walk_mvnorm_fn
from covid.impl.event_time_mh import UncalibratedEventTimesUpdate
from covid.impl.occult_events_mh import UncalibratedOccultUpdate, TransitionTopology
from covid.impl.gibbs import DeterministicScanKernel, GibbsStep, flatten_results
from covid.impl.multi_scan_kernel import MultiScanKernel

from model_spec import CovidUK

###########
# TF Bits #
###########

tfd = tfp.distributions
tfb = tfp.bijectors

DTYPE = config.floatX
STOICHIOMETRY = tf.constant([[-1, 1, 0, 0], [0, -1, 1, 0], [0, 0, -1, 1]], dtype=DTYPE)

# os.environ["CUDA_VISIBLE_DEVICES"] = "-1"
# os.environ["XLA_FLAGS"] = '--xla_dump_to=xla_dump --xla_dump_hlo_pass_re=".*"'

if tf.test.gpu_device_name():
    print("Using GPU")
else:
    print("Using CPU")

# Read in settings
parser = optparse.OptionParser()
parser.add_option(
    "--config",
    "-c",
    dest="config",
    default="example_config.yaml",
    help="configuration file",
)
options, cmd_args = parser.parse_args()
print("Loading config file:", options.config)

with open(options.config, "r") as f:
    config = yaml.load(f, Loader=yaml.FullLoader)

settings = sanitise_settings(config["settings"])

param = sanitise_parameter(config["parameter"])
param = {k: tf.constant(v, dtype=DTYPE) for k, v in param.items()}

# Load in covariate data
covar_data = load_data(config["data"], settings, DTYPE)


# We load in cases and impute missing infections first, since this sets the
# time epoch which we are analysing.
cases = phe_case_data(
    config["data"]["reported_cases"],
    date_range=settings["inference_period"],
    date_type="report",
)
ei_events, lag_ei = impute_previous_cases(cases, 0.44)
se_events, lag_se = impute_previous_cases(ei_events, 2.0)
ir_events = np.pad(cases, ((0, 0), (lag_ei + lag_se - 2, 0)))
ei_events = np.pad(ei_events, ((0, 0), (lag_se - 1, 0)))
events = tf.stack([se_events, ei_events, ir_events], axis=-1)

# Initial conditions are calculated by calculating the state
# at the beginning of the inference period
state = compute_state(
    initial_state=tf.concat(
        [covar_data["pop"][:, tf.newaxis], tf.zeros_like(events[:, 0, :])], axis=-1
    ),
    events=events,
    stoichiometry=STOICHIOMETRY,
)
start_time = state.shape[1] - cases.shape[1]
initial_state = state[:, start_time, :]
events = events[:, start_time:, :]
xi_freq = 14
num_xi = events.shape[1] // xi_freq
num_metapop = covar_data["pop"].shape[0]


model = CovidUK(
    covariates=covar_data,
    xi_freq=14,
    initial_state=initial_state,
    initial_step=0,
    num_steps=events.shape[1],
)


##########################
# Log p and MCMC kernels #
##########################
def logp(theta, xi, events):
    return model.log_prob(
        dict(
            beta1=theta[0],
            beta2=theta[1],
            gamma=theta[2],
            xi=xi,
            nu=param["nu"],
            seir=events,
        )
    )


# Pavel's suggestion for a Gibbs kernel requires
# kernel factory functions.
def make_theta_kernel(scale, bounded_convergence, name):
    return GibbsStep(
        0,
        tfp.mcmc.MetropolisHastings(
            inner_kernel=UncalibratedLogRandomWalk(
                target_log_prob_fn=logp,
                new_state_fn=random_walk_mvnorm_fn(scale, p_u=bounded_convergence),
            )
        ),
        name=name,
    )


def make_xi_kernel(scale, bounded_convergence, name):
    return GibbsStep(
        1,
        tfp.mcmc.RandomWalkMetropolis(
            target_log_prob_fn=logp,
            new_state_fn=random_walk_mvnorm_fn(scale, p_u=bounded_convergence),
        ),
        name=name,
    )


def make_events_step(
    target_event_id, prev_event_id=None, next_event_id=None, name=None
):
    return GibbsStep(
        2,
        tfp.mcmc.MetropolisHastings(
            inner_kernel=UncalibratedEventTimesUpdate(
                target_log_prob_fn=logp,
                target_event_id=target_event_id,
                prev_event_id=prev_event_id,
                next_event_id=next_event_id,
                initial_state=initial_state,
                dmax=config["mcmc"]["dmax"],
                mmax=config["mcmc"]["m"],
                nmax=config["mcmc"]["nmax"],
            )
        ),
        name=name,
    )


def make_occults_step(prev_event_id, target_event_id, next_event_id, name):
    return GibbsStep(
        2,
        tfp.mcmc.MetropolisHastings(
            inner_kernel=UncalibratedOccultUpdate(
                target_log_prob_fn=logp,
                topology=TransitionTopology(
                    prev_event_id, target_event_id, next_event_id
                ),
                cumulative_event_offset=initial_state,
                nmax=config["mcmc"]["occult_nmax"],
                t_range=(events.shape[1] - 21, events.shape[1]),
                name=name,
            )
        ),
        name=name,
    )


def is_accepted(result):
    if hasattr(result, "is_accepted"):
        return tf.cast(result.is_accepted, DTYPE)
    return is_accepted(result.inner_results)


def trace_results_fn(_, results):
    """Returns log_prob, accepted, q_ratio"""

    def f(result):
        log_prob = result.proposed_results.target_log_prob
        accepted = is_accepted(result)
        q_ratio = result.proposed_results.log_acceptance_correction
        if hasattr(result.proposed_results, "extra"):
            proposed = tf.cast(result.proposed_results.extra, log_prob.dtype)
            return tf.concat([[log_prob], [accepted], [q_ratio], proposed], axis=0)
        return tf.concat([[log_prob], [accepted], [q_ratio]], axis=0)

    def recurse(f, list_or_atom):
        if isinstance(list_or_atom, list):
            return [recurse(f, x) for x in list_or_atom]
        return f(list_or_atom)

    return recurse(f, results)


@tf.function(autograph=False, experimental_compile=True)
def sample(n_samples, init_state, sigma_theta, sigma_xi):
    with tf.name_scope("main_mcmc_sample_loop"):

        init_state = init_state.copy()

        kernel = DeterministicScanKernel(
            [
                make_theta_kernel(sigma_theta, 1.0, "theta_kernel"),
                make_xi_kernel(sigma_xi, 1.0, "xi_kernel"),
                MultiScanKernel(
                    config["mcmc"]["num_event_time_updates"],
                    DeterministicScanKernel(
                        [
                            make_events_step(0, None, 1, "se_events"),
                            make_events_step(1, 0, 2, "ei_events"),
                            make_occults_step(None, 0, 1, "se_occults"),
                            make_occults_step(0, 1, 2, "ei_occults"),
                        ]
                    ),
                ),
            ],
            name="gibbs_kernel",
        )

        samples, results = tfp.mcmc.sample_chain(
            n_samples, init_state, kernel=kernel, trace_fn=trace_results_fn
        )

        return samples, results


##################
# MCMC loop here #
##################

# MCMC Control
NUM_BURSTS = config["mcmc"]["num_bursts"]
NUM_BURST_SAMPLES = config["mcmc"]["num_burst_samples"]
NUM_EVENT_TIME_UPDATES = config["mcmc"]["num_event_time_updates"]
THIN_BURST_SAMPLES = NUM_BURST_SAMPLES // config["mcmc"]["thin"]
NUM_SAVED_SAMPLES = THIN_BURST_SAMPLES * NUM_BURSTS

# RNG stuff
tf.random.set_seed(2)

current_state = [
    np.array([0.85, 0.3, 0.25], dtype=DTYPE),
    np.zeros(num_xi, dtype=DTYPE),
    events,
]

# Output Files
posterior = h5py.File(
    os.path.expandvars(config["output"]["posterior"]),
    "w",
    rdcc_nbytes=1024 ** 2 * 400,
    rdcc_nslots=100000,
    libver="latest",
)
event_size = [NUM_SAVED_SAMPLES] + list(current_state[2].shape)

posterior.create_dataset("initial_state", data=initial_state)
posterior.create_dataset(
    "inference_period", data=settings["inference_period"].astype("S")
).attrs["description"] = "inference period [start, end)"
theta_samples = posterior.create_dataset(
    "samples/theta", [NUM_SAVED_SAMPLES, current_state[0].shape[0]], dtype=np.float64,
)
xi_samples = posterior.create_dataset(
    "samples/xi", [NUM_SAVED_SAMPLES, current_state[1].shape[0]], dtype=np.float64,
)
event_samples = posterior.create_dataset(
    "samples/events",
    event_size,
    dtype=DTYPE,
    chunks=(32, 64, 64, 1),
    compression="szip",
    compression_opts=("nn", 16),
)

output_results = [
    posterior.create_dataset("results/theta", (NUM_SAVED_SAMPLES, 3), dtype=DTYPE,),
    posterior.create_dataset("results/xi", (NUM_SAVED_SAMPLES, 3), dtype=DTYPE,),
    posterior.create_dataset(
        "results/move/S->E", (NUM_SAVED_SAMPLES, 3 + num_metapop), dtype=DTYPE,
    ),
    posterior.create_dataset(
        "results/move/E->I", (NUM_SAVED_SAMPLES, 3 + num_metapop), dtype=DTYPE,
    ),
    posterior.create_dataset(
        "results/occult/S->E", (NUM_SAVED_SAMPLES, 6), dtype=DTYPE
    ),
    posterior.create_dataset(
        "results/occult/E->I", (NUM_SAVED_SAMPLES, 6), dtype=DTYPE
    ),
]
posterior.swmr_mode = True

print("Initial logpi:", logp(*current_state))

theta_scale = tf.constant(
    [
        [1.12e-3, 1.67e-4, 1.61e-4],
        [1.67e-4, 7.41e-4, 4.68e-5],
        [1.61e-4, 4.68e-5, 1.28e-4],
    ],
    dtype=DTYPE,
)
theta_scale = theta_scale * 0.2 / theta_scale.shape[0]

xi_scale = tf.eye(current_state[1].shape[0], dtype=DTYPE)
xi_scale = xi_scale * 0.0001 / xi_scale.shape[0]

# We loop over successive calls to sample because we have to dump results
#   to disc, or else end OOM (even on a 32GB system).
# with tf.profiler.experimental.Profile("/tmp/tf_logdir"):
for i in tqdm.tqdm(range(NUM_BURSTS), unit_scale=NUM_BURST_SAMPLES):
    samples, results = sample(
        NUM_BURST_SAMPLES,
        init_state=current_state,
        sigma_theta=theta_scale,
        sigma_xi=xi_scale,
    )
    current_state = [s[-1] for s in samples]
    s = slice(i * THIN_BURST_SAMPLES, i * THIN_BURST_SAMPLES + THIN_BURST_SAMPLES)
    idx = tf.constant(range(0, NUM_BURST_SAMPLES, config["mcmc"]["thin"]))
    theta_samples[s, ...] = tf.gather(samples[0], idx)
    xi_samples[s, ...] = tf.gather(samples[1], idx)
    # cov = np.cov(
    #     np.log(theta_samples[: (i * NUM_BURST_SAMPLES + NUM_BURST_SAMPLES), ...]),
    #     rowvar=False,
    # )
    print(current_state[0].numpy(), flush=True)
    # print(cov, flush=True)
    # if (i * NUM_BURST_SAMPLES) > 1000 and np.all(np.isfinite(cov)):
    #     theta_scale = 2.38 ** 2 * cov / 2.0

    start = perf_counter()
    event_samples[s, ...] = tf.gather(samples[2], idx)
    end = perf_counter()

    flat_results = flatten_results(results)
    for i, ro in enumerate(output_results):
        ro[s, ...] = tf.gather(flat_results[i], idx)

    posterior.flush()
    print("Storage time:", end - start, "seconds")
    print(
        "Acceptance theta:", tf.reduce_mean(tf.cast(flat_results[0][:, 1], tf.float32))
    )
    print("Acceptance xi:", tf.reduce_mean(tf.cast(flat_results[1][:, 1], tf.float32)))
    print(
        "Acceptance move S->E:",
        tf.reduce_mean(tf.cast(flat_results[2][:, 1], tf.float32)),
    )
    print(
        "Acceptance move E->I:",
        tf.reduce_mean(tf.cast(flat_results[3][:, 1], tf.float32)),
    )
    print(
        "Acceptance occult S->E:",
        tf.reduce_mean(tf.cast(flat_results[4][:, 1], tf.float32)),
    )
    print(
        "Acceptance occult E->I:",
        tf.reduce_mean(tf.cast(flat_results[5][:, 1], tf.float32)),
    )

print(f"Acceptance theta: {output_results[0][:, 1].mean()}")
print(f"Acceptance xi: {output_results[1][:, 1].mean()}")
print(f"Acceptance move S->E: {output_results[2][:, 1].mean()}")
print(f"Acceptance move E->I: {output_results[3][:, 1].mean()}")
print(f"Acceptance occult S->E: {output_results[4][:, 1].mean()}")
print(f"Acceptance occult E->I: {output_results[5][:, 1].mean()}")

posterior.close()