Source code for cdt.causality.pairwise.ANM

"""Additive Noise Model.

Ref : Hoyer, Patrik O and Janzing, Dominik and Mooij, Joris M and Peters, Jonas and Schölkopf, Bernhard,
  "Nonlinear causal discovery with additive noise models", NIPS 2009

.. MIT License
..
.. Copyright (c) 2018 Diviyan Kalainathan
..
.. Permission is hereby granted, free of charge, to any person obtaining a copy
.. of this software and associated documentation files (the "Software"), to deal
.. in the Software without restriction, including without limitation the rights
.. to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
.. copies of the Software, and to permit persons to whom the Software is
.. furnished to do so, subject to the following conditions:
..
.. The above copyright notice and this permission notice shall be included in all
.. copies or substantial portions of the Software.
..
.. THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
.. IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
.. FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
.. AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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.. SOFTWARE.
"""

from sklearn.gaussian_process import GaussianProcessRegressor
from sklearn.preprocessing import scale
from .model import PairwiseModel
import numpy as np


def rbf_dot2(p1, p2, deg):
    if p1.ndim == 1:
        p1 = p1[:, np.newaxis]
        p2 = p2[:, np.newaxis]

    size1 = p1.shape
    size2 = p2.shape

    G = np.sum(p1 * p1, axis=1)[:, np.newaxis]
    H = np.sum(p2 * p2, axis=1)[:, np.newaxis]
    Q = np.tile(G, (1, size2[0]))
    R = np.tile(H.T, (size1[0], 1))
    H = Q + R - 2.0 * np.dot(p1, p2.T)
    H = np.exp(-H / 2.0 / (deg ** 2))

    return H


def rbf_dot(X, deg):
    # Set kernel size to median distance between points, if no kernel specified
    if X.ndim == 1:
        X = X[:, np.newaxis]
    m = X.shape[0]
    G = np.sum(X * X, axis=1)[:, np.newaxis]
    Q = np.tile(G, (1, m))
    H = Q + Q.T - 2.0 * np.dot(X, X.T)
    if deg == -1:
        dists = (H - np.tril(H)).flatten()
        deg = np.sqrt(0.5 * np.median(dists[dists > 0]))
    H = np.exp(-H / 2.0 / (deg ** 2))

    return H


def FastHsicTestGamma(X, Y, sig=[-1, -1], maxpnt=200):
    """This function implements the HSIC independence test using a Gamma approximation
     to the test threshold. Use at most maxpnt points to save time.

    :param X: contains dx columns, m rows. Each row is an i.i.d sample
    :param Y: contains dy columns, m rows. Each row is an i.i.d sample
    :param sig: [0] (resp [1]) is kernel size for x(resp y) (set to median distance if -1)
    :return: test statistic

    """

    m = X.shape[0]
    if m > maxpnt:
        indx = np.floor(np.r_[0:m:float(m - 1) / (maxpnt - 1)]).astype(int)
        #       indx = np.r_[0:maxpnt]
        Xm = X[indx].astype(float)
        Ym = Y[indx].astype(float)
        m = Xm.shape[0]
    else:
        Xm = X.astype(float)
        Ym = Y.astype(float)

    H = np.eye(m) - 1.0 / m * np.ones((m, m))

    K = rbf_dot(Xm, sig[0])
    L = rbf_dot(Ym, sig[1])

    Kc = np.dot(H, np.dot(K, H))
    Lc = np.dot(H, np.dot(L, H))

    testStat = (1.0 / m) * (Kc.T * Lc).sum()
    if ~np.isfinite(testStat):
        testStat = 0

    return testStat


def normalized_hsic(x, y):
    x = (x - np.mean(x)) / np.std(x)
    y = (y - np.mean(y)) / np.std(y)
    h = FastHsicTestGamma(x, y)

    return h


[docs]class ANM(PairwiseModel): """ANM algorithm. **Description**: The Additive noise model is one of the most popular approaches for pairwise causality. It bases on the fitness of the data to the additive noise model on one direction and the rejection of the model on the other direction. **Data Type**: Continuous **Assumptions**: Assuming that :math:`x\\rightarrow y` then we suppose that the data follows an additive noise model, i.e. :math:`y=f(x)+E`. E being a noise variable and f a deterministic function. The causal inference bases itself on the independence between x and e. It is proven that in such case if the data is generated using an additive noise model, the model would only be able to fit in the true causal direction. .. note:: Ref : Hoyer, Patrik O and Janzing, Dominik and Mooij, Joris M and Peters, Jonas and Schölkopf, Bernhard, "Nonlinear causal discovery with additive noise models", NIPS 2009 https://papers.nips.cc/paper/3548-nonlinear-causal-discovery-with-additive-noise-models.pdf Example: >>> from cdt.causality.pairwise import ANM >>> import networkx as nx >>> import matplotlib.pyplot as plt >>> from cdt.data import load_dataset >>> data, labels = load_dataset('tuebingen') >>> obj = ANM() >>> >>> # This example uses the predict() method >>> output = obj.predict(data) >>> >>> # This example uses the orient_graph() method. The dataset used >>> # can be loaded using the cdt.data module >>> data, graph = load_dataset('sachs') >>> output = obj.orient_graph(data, nx.DiGraph(graph)) >>> >>> # To view the directed graph run the following command >>> nx.draw_networkx(output, font_size=8) >>> plt.show() """ def __init__(self): """Init the model.""" super(ANM, self).__init__()
[docs] def predict_proba(self, data, **kwargs): """Prediction method for pairwise causal inference using the ANM model. Args: dataset (tuple): Couple of np.ndarray variables to classify Returns: float: Causation score (Value : 1 if a->b and -1 if b->a) """ a, b = data a = scale(a).reshape((-1, 1)) b = scale(b).reshape((-1, 1)) return self.anm_score(b, a) - self.anm_score(a, b)
[docs] def anm_score(self, x, y): """Compute the fitness score of the ANM model in the x->y direction. Args: a (numpy.ndarray): Variable seen as cause b (numpy.ndarray): Variable seen as effect Returns: float: ANM fit score """ gp = GaussianProcessRegressor().fit(x, y) y_predict = gp.predict(x) indepscore = normalized_hsic(y_predict - y, x) return indepscore