Example: Sparse Regression

We demonstrate how to do (fully Bayesian) sparse linear regression using the approach described in [1]. This approach is particularly suitable for situations with many feature dimensions (large P) but not too many datapoints (small N). In particular we consider a quadratic regressor of the form:

\[f(X) = \text{constant} + \sum_i \theta_i X_i + \sum_{i<j} \theta_{ij} X_i X_j + \text{observation noise}\]

References:

1. Raj Agrawal, Jonathan H. Huggins, Brian Trippe, Tamara Broderick (2019), “The Kernel Interaction Trick: Fast Bayesian Discovery of Pairwise Interactions in High Dimensions”, (https://arxiv.org/abs/1905.06501)

import argparse
import itertools
import os
import time

import numpy as np

from jax import vmap
import jax.numpy as jnp
import jax.random as random
from jax.scipy.linalg import cho_factor, cho_solve, solve_triangular

import numpyro
import numpyro.distributions as dist
from numpyro.infer import MCMC, NUTS


def dot(X, Z):
    return jnp.dot(X, Z[..., None])[..., 0]


# The kernel that corresponds to our quadratic regressor.
def kernel(X, Z, eta1, eta2, c, jitter=1.0e-4):
    eta1sq = jnp.square(eta1)
    eta2sq = jnp.square(eta2)
    k1 = 0.5 * eta2sq * jnp.square(1.0 + dot(X, Z))
    k2 = -0.5 * eta2sq * dot(jnp.square(X), jnp.square(Z))
    k3 = (eta1sq - eta2sq) * dot(X, Z)
    k4 = jnp.square(c) - 0.5 * eta2sq
    if X.shape == Z.shape:
        k4 += jitter * jnp.eye(X.shape[0])
    return k1 + k2 + k3 + k4


# Most of the model code is concerned with constructing the sparsity inducing prior.
def model(X, Y, hypers):
    S, P, N = hypers["expected_sparsity"], X.shape[1], X.shape[0]

    sigma = numpyro.sample("sigma", dist.HalfNormal(hypers["alpha3"]))
    phi = sigma * (S / jnp.sqrt(N)) / (P - S)
    eta1 = numpyro.sample("eta1", dist.HalfCauchy(phi))

    msq = numpyro.sample("msq", dist.InverseGamma(hypers["alpha1"], hypers["beta1"]))
    xisq = numpyro.sample("xisq", dist.InverseGamma(hypers["alpha2"], hypers["beta2"]))

    eta2 = jnp.square(eta1) * jnp.sqrt(xisq) / msq

    lam = numpyro.sample("lambda", dist.HalfCauchy(jnp.ones(P)))
    kappa = jnp.sqrt(msq) * lam / jnp.sqrt(msq + jnp.square(eta1 * lam))

    # compute kernel
    kX = kappa * X
    k = kernel(kX, kX, eta1, eta2, hypers["c"]) + sigma**2 * jnp.eye(N)
    assert k.shape == (N, N)

    # sample Y according to the standard gaussian process formula
    numpyro.sample(
        "Y",
        dist.MultivariateNormal(loc=jnp.zeros(X.shape[0]), covariance_matrix=k),
        obs=Y,
    )


# Compute the mean and variance of coefficient theta_i (where i = dimension) for a
# MCMC sample of the kernel hyperparameters (eta1, xisq, ...).
# Compare to theorem 5.1 in reference [1].
def compute_singleton_mean_variance(X, Y, dimension, msq, lam, eta1, xisq, c, sigma):
    P, N = X.shape[1], X.shape[0]

    probe = jnp.zeros((2, P))
    probe = probe.at[:, dimension].set(jnp.array([1.0, -1.0]))

    eta2 = jnp.square(eta1) * jnp.sqrt(xisq) / msq
    kappa = jnp.sqrt(msq) * lam / jnp.sqrt(msq + jnp.square(eta1 * lam))

    kX = kappa * X
    kprobe = kappa * probe

    k_xx = kernel(kX, kX, eta1, eta2, c) + sigma**2 * jnp.eye(N)
    k_xx_inv = jnp.linalg.inv(k_xx)
    k_probeX = kernel(kprobe, kX, eta1, eta2, c)
    k_prbprb = kernel(kprobe, kprobe, eta1, eta2, c)

    vec = jnp.array([0.50, -0.50])
    mu = jnp.matmul(k_probeX, jnp.matmul(k_xx_inv, Y))
    mu = jnp.dot(mu, vec)

    var = k_prbprb - jnp.matmul(k_probeX, jnp.matmul(k_xx_inv, jnp.transpose(k_probeX)))
    var = jnp.matmul(var, vec)
    var = jnp.dot(var, vec)

    return mu, var


# Compute the mean and variance of coefficient theta_ij for a MCMC sample of the
# kernel hyperparameters (eta1, xisq, ...). Compare to theorem 5.1 in reference [1].
def compute_pairwise_mean_variance(X, Y, dim1, dim2, msq, lam, eta1, xisq, c, sigma):
    P, N = X.shape[1], X.shape[0]

    probe = jnp.zeros((4, P))
    probe = probe.at[:, dim1].set(jnp.array([1.0, 1.0, -1.0, -1.0]))
    probe = probe.at[:, dim2].set(jnp.array([1.0, -1.0, 1.0, -1.0]))

    eta2 = jnp.square(eta1) * jnp.sqrt(xisq) / msq
    kappa = jnp.sqrt(msq) * lam / jnp.sqrt(msq + jnp.square(eta1 * lam))

    kX = kappa * X
    kprobe = kappa * probe

    k_xx = kernel(kX, kX, eta1, eta2, c) + sigma**2 * jnp.eye(N)
    k_xx_inv = jnp.linalg.inv(k_xx)
    k_probeX = kernel(kprobe, kX, eta1, eta2, c)
    k_prbprb = kernel(kprobe, kprobe, eta1, eta2, c)

    vec = jnp.array([0.25, -0.25, -0.25, 0.25])
    mu = jnp.matmul(k_probeX, jnp.matmul(k_xx_inv, Y))
    mu = jnp.dot(mu, vec)

    var = k_prbprb - jnp.matmul(k_probeX, jnp.matmul(k_xx_inv, jnp.transpose(k_probeX)))
    var = jnp.matmul(var, vec)
    var = jnp.dot(var, vec)

    return mu, var


# Sample coefficients theta from the posterior for a given MCMC sample.
# The first P returned values are {theta_1, theta_2, ...., theta_P}, while
# the remaining values are {theta_ij} for i,j in the list `active_dims`,
# sorted so that i < j.
def sample_theta_space(X, Y, active_dims, msq, lam, eta1, xisq, c, sigma):
    P, N, M = X.shape[1], X.shape[0], len(active_dims)
    # the total number of coefficients we return
    num_coefficients = P + M * (M - 1) // 2

    probe = jnp.zeros((2 * P + 2 * M * (M - 1), P))
    vec = jnp.zeros((num_coefficients, 2 * P + 2 * M * (M - 1)))
    start1 = 0
    start2 = 0

    for dim in range(P):
        probe = probe.at[start1 : start1 + 2, dim].set(jnp.array([1.0, -1.0]))
        vec = vec.at[start2, start1 : start1 + 2].set(jnp.array([0.5, -0.5]))
        start1 += 2
        start2 += 1

    for dim1 in active_dims:
        for dim2 in active_dims:
            if dim1 >= dim2:
                continue
            probe = probe.at[start1 : start1 + 4, dim1].set(
                jnp.array([1.0, 1.0, -1.0, -1.0])
            )
            probe = probe.at[start1 : start1 + 4, dim2].set(
                jnp.array([1.0, -1.0, 1.0, -1.0])
            )
            vec = vec.at[start2, start1 : start1 + 4].set(
                jnp.array([0.25, -0.25, -0.25, 0.25])
            )
            start1 += 4
            start2 += 1

    eta2 = jnp.square(eta1) * jnp.sqrt(xisq) / msq
    kappa = jnp.sqrt(msq) * lam / jnp.sqrt(msq + jnp.square(eta1 * lam))

    kX = kappa * X
    kprobe = kappa * probe

    k_xx = kernel(kX, kX, eta1, eta2, c) + sigma**2 * jnp.eye(N)
    L = cho_factor(k_xx, lower=True)[0]
    k_probeX = kernel(kprobe, kX, eta1, eta2, c)
    k_prbprb = kernel(kprobe, kprobe, eta1, eta2, c)

    mu = jnp.matmul(k_probeX, cho_solve((L, True), Y))
    mu = jnp.sum(mu * vec, axis=-1)

    Linv_k_probeX = solve_triangular(L, jnp.transpose(k_probeX), lower=True)
    covar = k_prbprb - jnp.matmul(jnp.transpose(Linv_k_probeX), Linv_k_probeX)
    covar = jnp.matmul(vec, jnp.matmul(covar, jnp.transpose(vec)))

    # sample from N(mu, covar)
    L = jnp.linalg.cholesky(covar)
    sample = mu + jnp.matmul(L, np.random.randn(num_coefficients))

    return sample


# Helper function for doing HMC inference
def run_inference(model, args, rng_key, X, Y, hypers):
    start = time.time()
    kernel = NUTS(model)
    mcmc = MCMC(
        kernel,
        num_warmup=args.num_warmup,
        num_samples=args.num_samples,
        num_chains=args.num_chains,
        progress_bar=False if "NUMPYRO_SPHINXBUILD" in os.environ else True,
    )
    mcmc.run(rng_key, X, Y, hypers)
    mcmc.print_summary()
    print("\nMCMC elapsed time:", time.time() - start)
    return mcmc.get_samples()


# Get the mean and variance of a gaussian mixture
def gaussian_mixture_stats(mus, variances):
    mean_mu = jnp.mean(mus)
    mean_var = jnp.mean(variances) + jnp.mean(jnp.square(mus)) - jnp.square(mean_mu)
    return mean_mu, mean_var


# Create artificial regression dataset where only S out of P feature
# dimensions contain signal and where there is a single pairwise interaction
# between the first and second dimensions.
def get_data(N=20, S=2, P=10, sigma_obs=0.05):
    assert S < P and P > 1 and S > 0
    np.random.seed(0)

    X = np.random.randn(N, P)
    # generate S coefficients with non-negligible magnitude
    W = 0.5 + 2.5 * np.random.rand(S)
    # generate data using the S coefficients and a single pairwise interaction
    Y = (
        np.sum(X[:, 0:S] * W, axis=-1)
        + X[:, 0] * X[:, 1]
        + sigma_obs * np.random.randn(N)
    )
    Y -= jnp.mean(Y)
    Y_std = jnp.std(Y)

    assert X.shape == (N, P)
    assert Y.shape == (N,)

    return X, Y / Y_std, W / Y_std, 1.0 / Y_std


# Helper function for analyzing the posterior statistics for coefficient theta_i
def analyze_dimension(samples, X, Y, dimension, hypers):
    vmap_args = (
        samples["msq"],
        samples["lambda"],
        samples["eta1"],
        samples["xisq"],
        samples["sigma"],
    )
    mus, variances = vmap(
        lambda msq, lam, eta1, xisq, sigma: compute_singleton_mean_variance(
            X, Y, dimension, msq, lam, eta1, xisq, hypers["c"], sigma
        )
    )(*vmap_args)
    mean, variance = gaussian_mixture_stats(mus, variances)
    std = jnp.sqrt(variance)
    return mean, std


# Helper function for analyzing the posterior statistics for coefficient theta_ij
def analyze_pair_of_dimensions(samples, X, Y, dim1, dim2, hypers):
    vmap_args = (
        samples["msq"],
        samples["lambda"],
        samples["eta1"],
        samples["xisq"],
        samples["sigma"],
    )
    mus, variances = vmap(
        lambda msq, lam, eta1, xisq, sigma: compute_pairwise_mean_variance(
            X, Y, dim1, dim2, msq, lam, eta1, xisq, hypers["c"], sigma
        )
    )(*vmap_args)
    mean, variance = gaussian_mixture_stats(mus, variances)
    std = jnp.sqrt(variance)
    return mean, std


def main(args):
    X, Y, expected_thetas, expected_pairwise = get_data(
        N=args.num_data, P=args.num_dimensions, S=args.active_dimensions
    )

    # setup hyperparameters
    hypers = {
        "expected_sparsity": max(1.0, args.num_dimensions / 10),
        "alpha1": 3.0,
        "beta1": 1.0,
        "alpha2": 3.0,
        "beta2": 1.0,
        "alpha3": 1.0,
        "c": 1.0,
    }

    # do inference
    rng_key = random.PRNGKey(0)
    samples = run_inference(model, args, rng_key, X, Y, hypers)

    # compute the mean and square root variance of each coefficient theta_i
    means, stds = vmap(lambda dim: analyze_dimension(samples, X, Y, dim, hypers))(
        jnp.arange(args.num_dimensions)
    )

    print(
        "Coefficients theta_1 to theta_%d used to generate the data:"
        % args.active_dimensions,
        expected_thetas,
    )
    print(
        "The single quadratic coefficient theta_{1,2} used to generate the data:",
        expected_pairwise,
    )
    active_dimensions = []

    for dim, (mean, std) in enumerate(zip(means, stds)):
        # we mark the dimension as inactive if the interval [mean - 3 * std, mean + 3 * std] contains zero
        lower, upper = mean - 3.0 * std, mean + 3.0 * std
        inactive = "inactive" if lower < 0.0 and upper > 0.0 else "active"
        if inactive == "active":
            active_dimensions.append(dim)
        print(
            "[dimension %02d/%02d]  %s:\t%.2e +- %.2e"
            % (dim + 1, args.num_dimensions, inactive, mean, std)
        )

    print(
        "Identified a total of %d active dimensions; expected %d."
        % (len(active_dimensions), args.active_dimensions)
    )

    # Compute the mean and square root variance of coefficients theta_ij for i,j active dimensions.
    # Note that the resulting numbers are only meaningful for i != j.
    if len(active_dimensions) > 0:
        dim_pairs = jnp.array(
            list(itertools.product(active_dimensions, active_dimensions))
        )
        means, stds = vmap(
            lambda dim_pair: analyze_pair_of_dimensions(
                samples, X, Y, dim_pair[0], dim_pair[1], hypers
            )
        )(dim_pairs)
        for dim_pair, mean, std in zip(dim_pairs, means, stds):
            dim1, dim2 = dim_pair
            if dim1 >= dim2:
                continue
            lower, upper = mean - 3.0 * std, mean + 3.0 * std
            if not (lower < 0.0 and upper > 0.0):
                format_str = "Identified pairwise interaction between dimensions %d and %d: %.2e +- %.2e"
                print(format_str % (dim1 + 1, dim2 + 1, mean, std))

        # Draw a single sample of coefficients theta from the posterior, where we return all singleton
        # coefficients theta_i and pairwise coefficients theta_ij for i, j active dimensions. We use the
        # final MCMC sample obtained from the HMC sampler.
        thetas = sample_theta_space(
            X,
            Y,
            active_dimensions,
            samples["msq"][-1],
            samples["lambda"][-1],
            samples["eta1"][-1],
            samples["xisq"][-1],
            hypers["c"],
            samples["sigma"][-1],
        )
        print("Single posterior sample theta:\n", thetas)


if __name__ == "__main__":
    assert numpyro.__version__.startswith("0.15.3")
    parser = argparse.ArgumentParser(description="Gaussian Process example")
    parser.add_argument("-n", "--num-samples", nargs="?", default=1000, type=int)
    parser.add_argument("--num-warmup", nargs="?", default=500, type=int)
    parser.add_argument("--num-chains", nargs="?", default=1, type=int)
    parser.add_argument("--num-data", nargs="?", default=100, type=int)
    parser.add_argument("--num-dimensions", nargs="?", default=20, type=int)
    parser.add_argument("--active-dimensions", nargs="?", default=3, type=int)
    parser.add_argument("--device", default="cpu", type=str, help='use "cpu" or "gpu".')
    args = parser.parse_args()

    numpyro.set_platform(args.device)
    numpyro.set_host_device_count(args.num_chains)

    main(args)