Fix testing and remove warnings for r2d2m2cp (#284)

* add more typehints

* Update pymc_experimental/tests/distributions/test_multivariate.py

Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>

* Update pymc_experimental/tests/distributions/test_multivariate.py

Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>

* change a letter

* change a letter

* wrap results into a named tuple

---------

Co-authored-by: Ricardo Vieira <28983449+ricardoV94@users.noreply.github.com>

Author: ferrine

pymc_experimental/distributions/multivariate/r2d2m2cp.py

@@ -13,7 +13,8 @@
 #   limitations under the License.
 
 
-from typing import Sequence, Union
+from collections import namedtuple
+from typing import Sequence, Tuple, Union
 
 import numpy as np
 import pymc as pm
@@ -22,14 +23,23 @@
 __all__ = ["R2D2M2CP"]
 
 
-def _psivar2musigma(psi: pt.TensorVariable, explained_var: pt.TensorVariable, psi_mask):
+def _psivar2musigma(
+    psi: pt.TensorVariable,
+    explained_var: pt.TensorVariable,
+    psi_mask: Union[pt.TensorLike, None],
+) -> Tuple[pt.TensorVariable, pt.TensorVariable]:
+    sign = pt.sign(psi - 0.5)
+    if psi_mask is not None:
+        # any computation might be ignored for ~psi_mask
+        # sign and explained_var are used
+        psi = pt.where(psi_mask, psi, 0.5)
     pi = pt.erfinv(2 * psi - 1)
     f = (1 / (2 * pi**2 + 1)) ** 0.5
     sigma = explained_var**0.5 * f
     mu = sigma * pi * 2**0.5
     if psi_mask is not None:
         return (
-            pt.where(psi_mask, mu, pt.sign(pi) * explained_var**0.5),
+            pt.where(psi_mask, mu, sign * explained_var**0.5),
             pt.where(psi_mask, sigma, 0),
         )
     else:
@@ -47,7 +57,7 @@ def _R2D2M2CP_beta(
     psi_mask,
     dims: Union[str, Sequence[str]],
     centered=False,
-):
+) -> pt.TensorVariable:
     """R2D2M2CP beta prior.
 
     Parameters
@@ -65,7 +75,7 @@ def _R2D2M2CP_beta(
     psi: tensor
         probability of a coefficients to be positive
     """
-    explained_variance = phi * pt.expand_dims(r2 * output_sigma**2, -1)
+    explained_variance = phi * pt.expand_dims(r2 * output_sigma**2, (-1,))
     mu_param, std_param = _psivar2musigma(psi, explained_variance, psi_mask=psi_mask)
     if not centered:
         with pm.Model(name):
@@ -107,7 +117,10 @@ def _R2D2M2CP_beta(
     return beta
 
 
-def _broadcast_as_dims(*values, dims):
+def _broadcast_as_dims(
+    *values: np.ndarray,
+    dims: Sequence[str],
+) -> Union[Tuple[np.ndarray, ...], np.ndarray]:
     model = pm.modelcontext(None)
     shape = [len(model.coords[d]) for d in dims]
     ret = tuple(np.broadcast_to(v, shape) for v in values)
@@ -117,7 +130,12 @@ def _broadcast_as_dims(*values, dims):
     return ret
 
 
-def _psi_masked(positive_probs, positive_probs_std, *, dims):
+def _psi_masked(
+    positive_probs: pt.TensorLike,
+    positive_probs_std: pt.TensorLike,
+    *,
+    dims: Sequence[str],
+) -> Tuple[Union[pt.TensorLike, None], pt.TensorVariable]:
     if not (
         isinstance(positive_probs, pt.Constant) and isinstance(positive_probs_std, pt.Constant)
     ):
@@ -152,7 +170,12 @@ def _psi_masked(positive_probs, positive_probs_std, *, dims):
     return mask, psi
 
 
-def _psi(positive_probs, positive_probs_std, *, dims):
+def _psi(
+    positive_probs: pt.TensorLike,
+    positive_probs_std: Union[pt.TensorLike, None],
+    *,
+    dims: Sequence[str],
+) -> Tuple[Union[pt.TensorLike, None], pt.TensorVariable]:
     if positive_probs_std is not None:
         mask, psi = _psi_masked(
             positive_probs=pt.as_tensor(positive_probs),
@@ -171,12 +194,12 @@ def _psi(positive_probs, positive_probs_std, *, dims):
 
 
 def _phi(
-    variables_importance,
-    variance_explained,
-    importance_concentration,
+    variables_importance: Union[pt.TensorLike, None],
+    variance_explained: Union[pt.TensorLike, None],
+    importance_concentration: Union[pt.TensorLike, None],
     *,
-    dims,
-):
+    dims: Sequence[str],
+) -> pt.TensorVariable:
     *broadcast_dims, dim = dims
     model = pm.modelcontext(None)
     if variables_importance is not None:
@@ -200,47 +223,50 @@ def _phi(
         return phi
 
 
+R2D2M2CPOut = namedtuple("R2D2M2CPOut", ["eps", "beta"])
+
+
 def R2D2M2CP(
-    name,
-    output_sigma,
-    input_sigma,
+    name: str,
+    output_sigma: pt.TensorLike,
+    input_sigma: pt.TensorLike,
     *,
-    dims,
-    r2,
-    variables_importance=None,
-    variance_explained=None,
-    importance_concentration=None,
-    r2_std=None,
-    positive_probs=0.5,
-    positive_probs_std=None,
-    centered=False,
-):
+    dims: Sequence[str],
+    r2: pt.TensorLike,
+    variables_importance: Union[pt.TensorLike, None] = None,
+    variance_explained: Union[pt.TensorLike, None] = None,
+    importance_concentration: Union[pt.TensorLike, None] = None,
+    r2_std: Union[pt.TensorLike, None] = None,
+    positive_probs: Union[pt.TensorLike, None] = 0.5,
+    positive_probs_std: Union[pt.TensorLike, None] = None,
+    centered: bool = False,
+) -> R2D2M2CPOut:
     """R2D2M2CP Prior.
 
     Parameters
     ----------
     name : str
         Name for the distribution
-    output_sigma : tensor
+    output_sigma : Tensor
         Output standard deviation
-    input_sigma : tensor
+    input_sigma : Tensor
         Input standard deviation
     dims : Union[str, Sequence[str]]
         Dims for the distribution
-    r2 : tensor
+    r2 : Tensor
         :math:`R^2` estimate
-    variables_importance : tensor, optional
+    variables_importance : Tensor, optional
         Optional estimate for variables importance, positive, by default None
-    variance_explained : tensor, optional
+    variance_explained : Tensor, optional
         Alternative estimate for variables importance which is point estimate of
         variance explained, should sum up to one, by default None
-    importance_concentration : tensor, optional
+    importance_concentration : Tensor, optional
         Confidence around variance explained or variable importance estimate
-    r2_std : tensor, optional
+    r2_std : Tensor, optional
         Optional uncertainty over :math:`R^2`, by default None
-    positive_probs : tensor, optional
+    positive_probs : Tensor, optional
         Optional probability of variables contribution to be positive, by default 0.5
-    positive_probs_std : tensor, optional
+    positive_probs_std : Tensor, optional
         Optional uncertainty over effect direction probability, by default None
     centered : bool, optional
         Centered or Non-Centered parametrization of the distribution, by default Non-Centered. Advised to check both
@@ -419,4 +445,4 @@ def R2D2M2CP(
         psi_mask=mask,
     )
     resid_sigma = (1 - r2) ** 0.5 * output_sigma
-    return resid_sigma, beta
+    return R2D2M2CPOut(resid_sigma, beta)

pymc_experimental/tests/distributions/test_multivariate.py

@@ -1,11 +1,17 @@
 import numpy as np
 import pymc as pm
+import pytensor
 import pytest
 
 import pymc_experimental as pmx
 
 
 class TestR2D2M2CP:
+    @pytest.fixture(autouse=True)
+    def fast_compile(self):
+        with pytensor.config.change_flags(mode="FAST_COMPILE", exception_verbosity="high"):
+            yield
+
     @pytest.fixture(autouse=True)
     def model(self):
         # every method is within a model
@@ -95,17 +101,13 @@ def phi_args(self, request, phi_args_base):
             phi_args_base["importance_concentration"] = 10
         return phi_args_base
 
-    def test_init(
+    def test_init_r2(
         self,
         dims,
-        centered,
         input_std,
         output_std,
         r2,
         r2_std,
-        positive_probs,
-        positive_probs_std,
-        phi_args,
         model: pm.Model,
     ):
         eps, beta = pmx.distributions.R2D2M2CP(
@@ -115,10 +117,6 @@ def test_init(
             dims=dims,
             r2=r2,
             r2_std=r2_std,
-            centered=centered,
-            positive_probs_std=positive_probs_std,
-            positive_probs=positive_probs,
-            **phi_args
         )
         assert not np.isnan(beta.eval()).any()
         assert eps.eval().shape == output_std.shape
@@ -127,9 +125,63 @@ def test_init(
         assert "beta" in model.named_vars
         assert ("beta::r2" in model.named_vars) == (r2_std is not None), set(model.named_vars)
         # phi is only created if variable importance is not None and there is more than one var
+        assert np.isfinite(model.compile_logp()(model.initial_point()))
+
+    def test_init_importance(
+        self,
+        dims,
+        centered,
+        input_std,
+        output_std,
+        phi_args,
+        model: pm.Model,
+    ):
+        eps, beta = pmx.distributions.R2D2M2CP(
+            "beta",
+            output_std,
+            input_std,
+            dims=dims,
+            r2=1,
+            centered=centered,
+            **phi_args,
+        )
+        assert not np.isnan(beta.eval()).any()
+        assert eps.eval().shape == output_std.shape
+        assert beta.eval().shape == input_std.shape
+        # r2 rv is only created if r2 std is not None
+        assert "beta" in model.named_vars
+        # phi is only created if variable importance is not None and there is more than one var
         assert ("beta::phi" in model.named_vars) == (
             "variables_importance" in phi_args or "importance_concentration" in phi_args
         ), set(model.named_vars)
+        assert np.isfinite(model.compile_logp()(model.initial_point()))
+
+    def test_init_positive_probs(
+        self,
+        dims,
+        centered,
+        input_std,
+        output_std,
+        positive_probs,
+        positive_probs_std,
+        model: pm.Model,
+    ):
+        eps, beta = pmx.distributions.R2D2M2CP(
+            "beta",
+            output_std,
+            input_std,
+            dims=dims,
+            r2=1.0,
+            centered=centered,
+            positive_probs_std=positive_probs_std,
+            positive_probs=positive_probs,
+        )
+        assert not np.isnan(beta.eval()).any()
+        assert eps.eval().shape == output_std.shape
+        assert beta.eval().shape == input_std.shape
+        # r2 rv is only created if r2 std is not None
+        assert "beta" in model.named_vars
+        # phi is only created if variable importance is not None and there is more than one var
         assert ("beta::psi" in model.named_vars) == (
             positive_probs_std is not None and positive_probs_std.any()
         ), set(model.named_vars)