Python numdiff.approx_hess函数代码示例

    def hessian(self, params):
        """
        Conditional logit Hessian matrix of the log-likelihood

        Parameters
        -----------
        params : array-like
            The parameters of the model

        Returns
        -------
        hess : ndarray, (K, K)
            The Hessian
        Notes
        -----
        It is the second derivative with respect to the flattened parameters
        of the loglikelihood function of the conditional logit model
        evaluated at `params`.

        .. math:: \\frac{\\partial^{2}\\ln L}{\\partial\\beta_{j}\\partial\\beta_{l}}=-\\sum_{i=1}^{n}\\frac{\\exp\\left(\\beta_{j}^{\\prime}x_{i}\\right)}{\\sum_{k=0}^{J}\\exp\\left(\\beta_{k}^{\\prime}x_{i}\\right)}\\left[\\boldsymbol{1}\\left(j=l\\right)-\\frac{\\exp\\left(\\beta_{l}^{\\prime}x_{i}\\right)}{\\sum_{k=0}^{J}\\exp\\left(\\beta_{k}^{\\prime}x_{i}\\right)}\\right]x_{i}x_{l}^{\\prime}

        where
        :math:`\\boldsymbol{1}\\left(j=l\\right)` equals 1 if `j` = `l` and 0
        otherwise.
        """

        # TODO: analytical derivatives
        from statsmodels.tools.numdiff import approx_hess
        # need options for hess (epsilon)
        return approx_hess(params, self.loglike)

    def hessian(self, params):
        """
        Generic Zero Inflated model Hessian matrix of the loglikelihood

        Parameters
        ----------
        params : array-like
            The parameters of the model

        Returns
        -------
        hess : ndarray, (k_vars, k_vars)
            The Hessian, second derivative of loglikelihood function,
            evaluated at `params`

        Notes
        -----
        """
        hess_arr_main = self._hessian_main(params)
        hess_arr_infl = self._hessian_inflate(params)

        if hess_arr_main is None or hess_arr_infl is None:
            return approx_hess(params, self.loglike)

        dim = self.k_exog + self.k_inflate

        hess_arr = np.zeros((dim, dim))

        hess_arr[:self.k_inflate,:] = hess_arr_infl
        hess_arr[self.k_inflate:,self.k_inflate:] = hess_arr_main

        tri_idx = np.triu_indices(self.k_exog + self.k_inflate, k=1)
        hess_arr[tri_idx] = hess_arr.T[tri_idx]

        return hess_arr

    def compute_param_cov(self, params, backcast=None, robust=True):
        """
        Computes parameter covariances using numerical derivatives.

        Parameters
        ----------
        params : 1-d array
            Model parameters
        robust : bool, optional
            Flag indicating whether to use robust standard errors (True) or
            classic MLE (False)

        """
        resids = self.resids(self.starting_values())
        var_bounds = self.volatility.variance_bounds(resids)
        nobs = resids.shape[0]
        if backcast is None and self._backcast is None:
            backcast = self.volatility.backcast(resids)
            self._backcast = backcast
        elif backcast is None:
            backcast = self._backcast

        kwargs = {"sigma2": np.zeros_like(resids), "backcast": backcast, "var_bounds": var_bounds, "individual": False}

        hess = approx_hess(params, self._loglikelihood, kwargs=kwargs)
        hess /= nobs
        inv_hess = np.linalg.inv(hess)
        if robust:
            kwargs["individual"] = True
            scores = approx_fprime(params, self._loglikelihood, kwargs=kwargs)
            score_cov = np.cov(scores.T)
            return inv_hess.dot(score_cov).dot(inv_hess) / nobs
        else:
            return inv_hess / nobs

 def bse(self):  # allow user to specify?
     if self.model.method == "cmle":  # uses different scale/sigma def.
         resid = self.resid
         ssr = np.dot(resid, resid)
         ols_scale = ssr / (self.nobs - self.k_ar - self.k_trend)
         return np.sqrt(np.diag(self.cov_params(scale=ols_scale)))
     else:
         hess = approx_hess(self.params, self.model.loglike)
         return np.sqrt(np.diag(-np.linalg.inv(hess)))

    def hessian_numdiff(self, params, pen_weight=None, **kwds):
        """hessian based on finite difference derivative

        """
        if pen_weight is None:
            pen_weight = self.pen_weight
        loglike = lambda p: self.loglike(p, pen_weight=pen_weight, **kwds)

        from statsmodels.tools.numdiff import approx_hess
        return approx_hess(params, loglike)

    def test_derivatives(self):
        pen = self.pen
        x = self.params

        ps = np.array([pen.deriv(np.atleast_1d(xi)) for xi in x])
        psn = np.array([approx_fprime(np.atleast_1d(xi), pen.func) for xi in x])
        assert_allclose(ps, psn, rtol=1e-7, atol=1e-8)

        ph = np.array([pen.deriv2(np.atleast_1d(xi)) for xi in x])
        phn = np.array([approx_hess(np.atleast_1d(xi), pen.func) for xi in x])
        if ph.ndim == 2:
            # SmoothedSCAD returns only diagonal if hessian if independent
            # TODO should ww allow this also in [email protected]?
            ph = np.array([np.diag(phi) for phi in ph])
        assert_allclose(ph, phn, rtol=1e-7, atol=1e-8)

    def test_compute_covariance_without_hess_inverse(self):
        fitmethod = "powell"
        opt = scipy.optimize.minimize(self.lpost, self.t0,
                                      method=fitmethod,
                                      args=self.neg, tol=1.e-10)

        optres = OptimizationResultsSubclassDummy(self.lpost, opt,
                                                  neg=True)

        optres._compute_covariance(self.lpost, opt)

        if comp_hessian:
            phess = approx_hess(opt.x, self.lpost)
            hess_inv = np.linalg.inv(phess)

            assert np.all(optres.cov == hess_inv)
            assert np.all(optres.err == np.sqrt(np.diag(np.abs(hess_inv))))
        else:
            assert optres.cov is None
            assert optres.err is None

    def _compute_covariance(self, lpost, res):

        if hasattr(res, "hess_inv"):
            if not isinstance(res.hess_inv, np.ndarray):
                self.cov = np.asarray(res.hess_inv.todense())
            else:
                self.cov = res.hess_inv

            self.err = np.sqrt(np.diag(self.cov))
        else:
            if comp_hessian:
                # calculate Hessian approximating with finite differences
                logging.info("Approximating Hessian with finite differences ...")

                phess = approx_hess(self.p_opt, lpost)

                self.cov = np.linalg.inv(phess)
                self.err = np.sqrt(np.diag(np.abs(self.cov)))

            else:
                self.cov = None
                self.err = None

    modp.fixed_params = None
    modp.fixed_paramsmask = None


print('\nResults with TLinearModel')
print('-------------------------')
resp = modp.fit(start_params = modp.start_params, disp=1, method='nm',
                maxfun=10000, maxiter=5000)#'newton')
#resp = modp.fit(start_params = modp.start_params, disp=1, method='newton')

print('using Nelder-Mead')
print(resp.params)
print(resp.bse)
resp2 = modp.fit(start_params = resp.params, method='Newton')
print('using Newton')
print(resp2.params)
print(resp2.bse)

from statsmodels.tools.numdiff import approx_hess

hb=-approx_hess(modp.start_params, modp.loglike, epsilon=-1e-4)
tmp = modp.loglike(modp.start_params)
print(tmp.shape)
print('eigenvalues of numerical Hessian')
print(np.linalg.eigh(np.linalg.inv(hb))[0])

#store_params is only available in original test script
##pp=np.array(store_params)
##print pp.min(0)
##print pp.max(0)

 def hessian(self, params):
     """
     Returns numerical hessian for now.
     """
     loglike = self.loglike
     return approx_hess(params, loglike)

    xk = np.array([1,2,3])
    xk = np.array([1.,1.,1.])
    #xk = np.zeros(3)
    beta = xk
    y = np.dot(x, beta) + 0.1*np.random.randn(nobs)
    xkols = np.dot(np.linalg.pinv(x),y)

    print(approx_fprime((1,2,3),fun,epsilon,x))
    gradtrue = x.sum(0)
    print(x.sum(0))
    gradcs = approx_fprime_cs((1,2,3), fun, (x,), h=1.0e-20)
    print(gradcs, maxabs(gradcs, gradtrue))
    print(approx_hess_cs((1,2,3), fun, (x,), h=1.0e-20))  #this is correctly zero

    print(approx_hess_cs((1,2,3), fun2, (y,x), h=1.0e-20)-2*np.dot(x.T, x))
    print(numdiff.approx_hess(xk,fun2,1e-3, (y,x))[0] - 2*np.dot(x.T, x))

    gt = (-x*2*(y-np.dot(x, [1,2,3]))[:,None])
    g = approx_fprime_cs((1,2,3), fun1, (y,x), h=1.0e-20)#.T   #this shouldn't be transposed
    gd = numdiff.approx_fprime((1,2,3),fun1,epsilon,(y,x))
    print(maxabs(g, gt))
    print(maxabs(gd, gt))


    import statsmodels.api as sm

    data = sm.datasets.spector.load(as_pandas=False)
    data.exog = sm.add_constant(data.exog, prepend=False)
    #mod = sm.Probit(data.endog, data.exog)
    mod = sm.Logit(data.endog, data.exog)
    #res = mod.fit(method="newton")

    def test_compare_numdiff(self):

        n_grp = 200
        grpsize = 5
        k_fe = 3
        k_re = 2

        for use_sqrt in False, True:
            for reml in False, True:
                for profile_fe in False, True:

                    np.random.seed(3558)
                    exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
                    exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
                    exog_re[:, 0] = 1
                    exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
                    slopes = np.random.normal(size=(n_grp, k_re))
                    slopes[:, -1] *= 2
                    slopes = np.kron(slopes, np.ones((grpsize, 1)))
                    slopes_vc = np.random.normal(size=(n_grp, 3))
                    slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
                    slopes_vc[:, -1] *= 2
                    re_values = (slopes * exog_re).sum(1)
                    vc_values = (slopes_vc * exog_vc).sum(1)
                    err = np.random.normal(size=n_grp * grpsize)
                    endog = exog_fe.sum(1) + re_values + vc_values + err
                    groups = np.kron(range(n_grp), np.ones(grpsize))

                    vc = {"a": {}, "b": {}}
                    for i in range(n_grp):
                        ix = np.flatnonzero(groups == i)
                        vc["a"][i] = exog_vc[ix, 0:2]
                        vc["b"][i] = exog_vc[ix, 2:3]

                    model = MixedLM(endog, exog_fe, groups, exog_re, exog_vc=vc, use_sqrt=use_sqrt)
                    rslt = model.fit(reml=reml)

                    loglike = loglike_function(model, profile_fe=profile_fe, has_fe=not profile_fe)

                    # Test the score at several points.
                    for kr in range(5):
                        fe_params = np.random.normal(size=k_fe)
                        cov_re = np.random.normal(size=(k_re, k_re))
                        cov_re = np.dot(cov_re.T, cov_re)
                        vcomp = np.random.normal(size=2) ** 2
                        params = MixedLMParams.from_components(fe_params, cov_re=cov_re, vcomp=vcomp)
                        params_vec = params.get_packed(has_fe=not profile_fe, use_sqrt=use_sqrt)

                        # Check scores
                        gr = -model.score(params, profile_fe=profile_fe)
                        ngr = nd.approx_fprime(params_vec, loglike)
                        assert_allclose(gr, ngr, rtol=1e-3)

                    # Check Hessian matrices at the MLE (we don't have
                    # the profile Hessian matrix and we don't care
                    # about the Hessian for the square root
                    # transformed parameter).
                    if (profile_fe is False) and (use_sqrt is False):
                        hess = -model.hessian(rslt.params_object)
                        params_vec = rslt.params_object.get_packed(use_sqrt=False, has_fe=True)
                        loglike_h = loglike_function(model, profile_fe=False, has_fe=True)
                        nhess = nd.approx_hess(params_vec, loglike_h)
                        assert_allclose(hess, nhess, rtol=1e-3)

 def hessian(self, AB_mask):
     """
     Returns numerical hessian.
     """
     loglike = self.loglike
     return approx_hess(AB_mask, loglike)

    def test_compare_numdiff(self):

        import statsmodels.tools.numdiff as nd

        n_grp = 200
        grpsize = 5
        k_fe = 3
        k_re = 2

        for jl in 0,1:
            for reml in False,True:
                for cov_pen_wt in 0,10:

                    cov_pen = penalties.PSD(cov_pen_wt)

                    np.random.seed(3558)
                    exog_fe = np.random.normal(size=(n_grp*grpsize, k_fe))
                    exog_re = np.random.normal(size=(n_grp*grpsize, k_re))
                    exog_re[:, 0] = 1
                    slopes = np.random.normal(size=(n_grp, k_re))
                    slopes = np.kron(slopes, np.ones((grpsize,1)))
                    re_values = (slopes * exog_re).sum(1)
                    err = np.random.normal(size=n_grp*grpsize)
                    endog = exog_fe.sum(1) + re_values + err
                    groups = np.kron(range(n_grp), np.ones(grpsize))

                    if jl == 0:
                        md = MixedLM(endog, exog_fe, groups, exog_re)
                        score = lambda x: -md.score_sqrt(x)
                        hessian = lambda x : -md.hessian_sqrt(x)
                    else:
                        md = MixedLM(endog, exog_fe, groups, exog_re, use_sqrt=False)
                        score = lambda x: -md.score_full(x)
                        hessian = lambda x: -md.hessian_full(x)
                    md.reml = reml
                    md.cov_pen = cov_pen
                    loglike = lambda x: -md.loglike(x)
                    rslt = md.fit()

                    # Test the score at several points.
                    for kr in range(5):
                        fe_params = np.random.normal(size=k_fe)
                        cov_re = np.random.normal(size=(k_re, k_re))
                        cov_re = np.dot(cov_re.T, cov_re)
                        params = MixedLMParams.from_components(fe_params, cov_re)
                        if jl == 0:
                            params_vec = params.get_packed()
                        else:
                            params_vec = params.get_packed(use_sqrt=False)

                        # Check scores
                        gr = score(params)
                        ngr = nd.approx_fprime(params_vec, loglike)
                        assert_allclose(gr, ngr, rtol=1e-2)

                        # Hessian matrices don't agree well away from
                        # the MLE.
                        #if cov_pen_wt == 0:
                        #    hess = hessian(params)
                        #    nhess = nd.approx_hess(params_vec, loglike)
                        #    assert_allclose(hess, nhess, rtol=1e-2)

                    # Check Hessian matrices at the MLE.
                    if cov_pen_wt == 0:
                        hess = hessian(rslt.params_object)
                        params_vec = rslt.params_object.get_packed()
                        nhess = nd.approx_hess(params_vec, loglike)
                        assert_allclose(hess, nhess, rtol=1e-2)

    def test_compare_numdiff(self, use_sqrt, reml, profile_fe):

        n_grp = 200
        grpsize = 5
        k_fe = 3
        k_re = 2

        np.random.seed(3558)
        exog_fe = np.random.normal(size=(n_grp * grpsize, k_fe))
        exog_re = np.random.normal(size=(n_grp * grpsize, k_re))
        exog_re[:, 0] = 1
        exog_vc = np.random.normal(size=(n_grp * grpsize, 3))
        slopes = np.random.normal(size=(n_grp, k_re))
        slopes[:, -1] *= 2
        slopes = np.kron(slopes, np.ones((grpsize, 1)))
        slopes_vc = np.random.normal(size=(n_grp, 3))
        slopes_vc = np.kron(slopes_vc, np.ones((grpsize, 1)))
        slopes_vc[:, -1] *= 2
        re_values = (slopes * exog_re).sum(1)
        vc_values = (slopes_vc * exog_vc).sum(1)
        err = np.random.normal(size=n_grp * grpsize)
        endog = exog_fe.sum(1) + re_values + vc_values + err
        groups = np.kron(range(n_grp), np.ones(grpsize))

        vc = {"a": {}, "b": {}}
        for i in range(n_grp):
            ix = np.flatnonzero(groups == i)
            vc["a"][i] = exog_vc[ix, 0:2]
            vc["b"][i] = exog_vc[ix, 2:3]

        model = MixedLM(
            endog,
            exog_fe,
            groups,
            exog_re,
            exog_vc=vc,
            use_sqrt=use_sqrt)
        rslt = model.fit(reml=reml)

        loglike = loglike_function(
            model, profile_fe=profile_fe, has_fe=not profile_fe)

        try:
            # Test the score at several points.
            for kr in range(5):
                fe_params = np.random.normal(size=k_fe)
                cov_re = np.random.normal(size=(k_re, k_re))
                cov_re = np.dot(cov_re.T, cov_re)
                vcomp = np.random.normal(size=2)**2
                params = MixedLMParams.from_components(
                    fe_params, cov_re=cov_re, vcomp=vcomp)
                params_vec = params.get_packed(
                    has_fe=not profile_fe, use_sqrt=use_sqrt)

                # Check scores
                gr = -model.score(params, profile_fe=profile_fe)
                ngr = nd.approx_fprime(params_vec, loglike)
                assert_allclose(gr, ngr, rtol=1e-3)

            # Check Hessian matrices at the MLE (we don't have
            # the profile Hessian matrix and we don't care
            # about the Hessian for the square root
            # transformed parameter).
            if (profile_fe is False) and (use_sqrt is False):
                hess = -model.hessian(rslt.params_object)
                params_vec = rslt.params_object.get_packed(
                    use_sqrt=False, has_fe=True)
                loglike_h = loglike_function(
                    model, profile_fe=False, has_fe=True)
                nhess = nd.approx_hess(params_vec, loglike_h)
                assert_allclose(hess, nhess, rtol=1e-3)
        except AssertionError:
            # See GH#5628; because this test fails unpredictably but only on
            #  OSX, we only xfail it there.
            if PLATFORM_OSX:
                pytest.xfail("fails on OSX due to unresolved "
                             "numerical differences")
            else:
                raise