##### https://github.com/tansey/smoothfdr
Revision 49cb69c5a18fdb262964fbfeb47ab2099eb32c5c authored by Wesley Tansey on 03 May 2018, 19:46:59 UTC, committed by Wesley Tansey on 03 May 2018, 19:46:59 UTC
2 parent s b713c52 + 63bb329
Tip revision: 49cb69c
normix.py
``````import numpy as np
from scipy.stats import norm as norm
from scipy.optimize import fmin_bfgs
from copy import deepcopy

class GridDistribution:
def __init__(self, x, y):
self.x = x
self.y = y

def pdf(self, data):
# Find the closest bins
rhs = np.searchsorted(self.x, data)
lhs = (rhs - 1).clip(0)
rhs = rhs.clip(0, len(self.x) - 1)

# Linear approximation (trapezoid rule)
rhs_dist = np.abs(self.x[rhs] - data)
lhs_dist = np.abs(self.x[lhs] - data)
denom = rhs_dist + lhs_dist
denom[denom == 0] = 1. # handle the zero-distance edge-case
rhs_weight = 1.0 - rhs_dist / denom
lhs_weight = 1.0 - rhs_weight

return lhs_weight * self.y[lhs] + rhs_weight * self.y[rhs]

def trapezoid(x, y):
return np.sum((x[1:] - x[0:-1]) * (y[1:] + y[0:-1]) / 2.)

def generate_sweeps(num_sweeps, num_samples):
results = []
for sweep in range(num_sweeps):
a = np.arange(num_samples)
np.random.shuffle(a)
results.extend(a)
return np.array(results)

def predictive_recursion(z, num_sweeps, grid_x, mu0=0., sig0=1.,
nullprob=1.0, decay=-0.67):
sweeporder = generate_sweeps(num_sweeps, len(z))
theta_guess = np.ones(len(grid_x)) / float(len(grid_x))
return predictive_recursion_fdr(z, sweeporder, grid_x, theta_guess,
mu0, sig0, nullprob, decay)

def predictive_recursion_fdr(z, sweeporder, grid_x, theta_guess, mu0 = 0.,
sig0 = 1.0, nullprob = 1.0, decay = -0.67):
gridsize = grid_x.shape[0]
theta_subdens = deepcopy(theta_guess)
pi0 = nullprob
joint1 = np.zeros(gridsize)
ftheta1 = np.zeros(gridsize)

# Begin sweep through the data
for i, k in enumerate(sweeporder):
cc = (3. + i)**decay
joint1 = norm.pdf(grid_x, loc=z[k] - mu0, scale=sig0) * theta_subdens
m0 = pi0 * norm.pdf(z[k] - mu0, 0., sig0)
m1 = trapezoid(grid_x, joint1)
mmix = m0 + m1
pi0 = (1. - cc) * pi0 + cc * (m0 / mmix)
ftheta1 = joint1 / mmix
theta_subdens = (1. - cc) * theta_subdens + cc * ftheta1

# Now calculate marginal distribution along the grid points
y_mix = np.zeros(gridsize)
y_signal = np.zeros(gridsize)
for i, x in enumerate(grid_x):
joint1 = norm.pdf(grid_x, x - mu0, sig0) * theta_subdens
m0 = pi0 * norm.pdf(x, mu0, sig0)
m1 = trapezoid(grid_x, joint1)
y_mix[i] = m0 + m1;
y_signal[i] = m1 / (1. - pi0)

return {'grid_x': grid_x,
'sweeporder': sweeporder,
'theta_subdens': theta_subdens,
'pi0': pi0,
'y_mix': y_mix,
'y_signal': y_signal}

def empirical_null(z, nmids=150, pct=-0.01, pct0=0.25, df=4, verbose=0):
'''Estimate f(z) and f_0(z) using a polynomial approximation to Efron (2004)'s method.'''
N = len(z)
med = np.median(z)
lb = med + (1 - pct) * (z.min() - med)
ub = med + (1 - pct) * (z.max() - med)

breaks = np.linspace(lb, ub, nmids+1)
zcounts = np.histogram(z, bins=breaks)[0]
mids = (breaks[:-1] + breaks[1:])/2

### Truncated Polynomial

# Truncate to [-3, 3]
selected = np.logical_and(mids >= -3, mids <= 3)
zcounts = zcounts[selected]
mids = mids[selected]

# Form a polynomial basis and multiply by z-counts
X = np.array([mids ** i for i in range(df+1)]).T
beta0 = np.zeros(df+1)
loglambda_loss = lambda beta, X, y: -((X * y[:,np.newaxis]).dot(beta) - np.exp(X.dot(beta).clip(-20,20))).sum() + 1e-6*np.sqrt((beta ** 2).sum())
results = fmin_bfgs(loglambda_loss, beta0, args=(X, zcounts), disp=verbose)
a = np.linspace(-3,3,1000)
B = np.array([a ** i for i in range(df+1)]).T
beta_hat = results

# Back out the mean and variance from the Taylor terms
x_max = mids[np.argmax(X.dot(beta_hat))]
loglambda_deriv1_atmode = np.array([i * beta_hat[i] * x_max**(i-1) for i in range(1,df+1)]).sum()
loglambda_deriv2_atmode = np.array([i * (i-1) * beta_hat[i] * x_max**(i-2) for i in range(2,df+1)]).sum()

# Handle the edge cases that arise with numerical precision issues
sigma_enull = np.sqrt(-1.0/loglambda_deriv2_atmode) if loglambda_deriv2_atmode < 0 else 1
mu_enull = (x_max - loglambda_deriv1_atmode/loglambda_deriv2_atmode) if loglambda_deriv2_atmode != 0 else 0

return (mu_enull, sigma_enull)
``````

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