Merge branch '15_d_gaussian_review' into 'master'

15 D analytical Gaussian

See merge request !547

examples/other_examples/15d_gaussian.py

+from scipy.stats import multivariate_normal
+
+import bilby
+import numpy as np
+
+logger = bilby.core.utils.logger
+
+cov = [
+    [0.045991865933182365, -0.005489748382557155, -0.01025067223674548, 0.0020087713726603213, -0.0032648855847982987,
+     -0.0034218261781145264, -0.0037173401838545774, -0.007694897715679858, 0.005260905282822458, 0.0013607957548231718,
+     0.001970785895702776, 0.006708452591621081, -0.005107684668720825, 0.004402554308030673, -0.00334987648531921],
+    [-0.005489748382557152, 0.05478640427684032, -0.004786202916836846, -0.007930397407501268, -0.0005945107515129139,
+     0.004858466255616657, -0.011667819871670204, 0.003169780190169035, 0.006761345004654851, -0.0037599761532668475,
+     0.005571796842520162, -0.0071098291510566895, -0.004477773540640284, -0.011250694688474672, 0.007465228985669282],
+    [-0.01025067223674548, -0.004786202916836844, 0.044324704403674524, -0.0010572820723801645, -0.009885693540838514,
+     -0.0048321205972943464, -0.004576186966267275, 0.0025107211483955676, -0.010126911913571181, 0.01153595152487264,
+     0.005773054728678472, 0.005286558230422045, -0.0055438798694137734, 0.0044772210361854765, -0.00620416958073918],
+    [0.0020087713726603213, -0.007930397407501268, -0.0010572820723801636, 0.029861342087731065, -0.007803477134405363,
+     -0.0011466944120756021, 0.009925736654597632, -0.0007664415942207051, -0.0057593957402320385,
+     -0.00027248233573270216, 0.003885350572544307, 0.00022362281488693097, 0.006609741178005571, -0.003292722856107429,
+     -0.005873218251875897],
+    [-0.0032648855847982987, -0.0005945107515129156, -0.009885693540838514, -0.007803477134405362, 0.0538403407841302,
+     -0.007446654755103316, -0.0025216534232170153, 0.004499568241334517, 0.009591034277125177, 0.00008612746932654223,
+     0.003386296829505543, -0.002600737873367083, 0.000621148057330571, -0.006603857049454523, -0.009241221870695395],
+    [-0.0034218261781145264, 0.004858466255616657, -0.004832120597294347, -0.0011466944120756015, -0.007446654755103318,
+     0.043746559133865104, 0.008962713024625965, -0.011099652042761613, -0.0006620240117921668, -0.0012591530037708058,
+     -0.006899982952117269, 0.0019732354732442878, -0.002445676747004324, -0.006454778807421816, 0.0033303577606412765],
+    [-0.00371734018385458, -0.011667819871670206, -0.004576186966267273, 0.009925736654597632, -0.0025216534232170153,
+     0.008962713024625965, 0.03664582756831382, -0.009470328827284009, -0.006213741694945105, 0.007118775954484294,
+     -0.0006741237990418526, -0.006003374957986355, 0.005718636997353189, -0.0005191095254772077,
+     -0.008466566781233205],
+    [-0.007694897715679857, 0.0031697801901690347, 0.002510721148395566, -0.0007664415942207059, 0.004499568241334515,
+     -0.011099652042761617, -0.009470328827284016, 0.057734267068088, 0.005521731225009532, -0.017008048805405164,
+     0.006749693090695894, -0.006348460110898, -0.007879244727681924, -0.005321753837620446, 0.011126783289057604],
+    [0.005260905282822458, 0.0067613450046548505, -0.010126911913571181, -0.00575939574023204, 0.009591034277125177,
+     -0.0006620240117921668, -0.006213741694945106, 0.005521731225009532, 0.04610670018969681, -0.010427010812879566,
+     -0.0009861561285861987, -0.008896020395949732, -0.0037627528719902485, 0.00033704453138913093,
+     -0.003173552163182467],
+    [0.0013607957548231744, -0.0037599761532668475, 0.01153595152487264, -0.0002724823357326985, 0.0000861274693265406,
+     -0.0012591530037708062, 0.007118775954484294, -0.01700804880540517, -0.010427010812879568, 0.05909125052583998,
+     0.002192545816395299, -0.002057672237277737, -0.004801518314458135, -0.014065326026662672, -0.005619012077114913],
+    [0.0019707858957027763, 0.005571796842520162, 0.005773054728678472, 0.003885350572544309, 0.003386296829505542,
+     -0.006899982952117272, -0.0006741237990418522, 0.006749693090695893, -0.0009861561285862005, 0.0021925458163952988,
+     0.024417715762416557, -0.003037163447600162, -0.011173674374382736, -0.0008193127407211239, -0.007137012700864866],
+    [0.006708452591621083, -0.0071098291510566895, 0.005286558230422046, 0.00022362281488693216, -0.0026007378733670806,
+     0.0019732354732442886, -0.006003374957986352, -0.006348460110897999, -0.008896020395949732, -0.002057672237277737,
+     -0.003037163447600163, 0.04762367868805726, 0.0008818947598625008, -0.0007262691465810616, -0.006482422704208912],
+    [-0.005107684668720825, -0.0044777735406402895, -0.005543879869413772, 0.006609741178005571, 0.0006211480573305693,
+     -0.002445676747004324, 0.0057186369973531905, -0.00787924472768192, -0.003762752871990247, -0.004801518314458137,
+     -0.011173674374382736, 0.0008818947598624995, 0.042639958466440225, 0.0010194948614718209, 0.0033872675386130637],
+    [0.004402554308030674, -0.011250694688474675, 0.004477221036185477, -0.003292722856107429, -0.006603857049454523,
+     -0.006454778807421815, -0.0005191095254772072, -0.005321753837620446, 0.0003370445313891318, -0.014065326026662679,
+     -0.0008193127407211239, -0.0007262691465810616, 0.0010194948614718226, 0.05244900188599414, -0.000256550861960499],
+    [-0.00334987648531921, 0.007465228985669282, -0.006204169580739178, -0.005873218251875899, -0.009241221870695395,
+     0.003330357760641278, -0.008466566781233205, 0.011126783289057604, -0.0031735521631824654, -0.005619012077114915,
+     -0.007137012700864866, -0.006482422704208912, 0.0033872675386130632, -0.000256550861960499, 0.05380987317762257]]
+
+dim = 15
+mean = np.zeros(dim)
+
+
+class AnalyticalMultidimensionalCovariantGaussian(bilby.Likelihood):
+    """
+        A multivariate Gaussian likelihood
+        with known analytic solution.
+
+        Parameters
+        ----------
+        mean: array_like
+            Array with the mean value of distribution
+        cov: array_like
+            The ndim*ndim covariance matrix
+        """
+
+    def __init__(self, mean, cov):
+        super(AnalyticalMultidimensionalCovariantGaussian, self).__init__(parameters=dict())
+        self.cov = np.array(cov)
+        self.mean = np.array(mean)
+        self.sigma = np.sqrt(np.diag(self.cov))
+        self.pdf = multivariate_normal(mean=self.mean, cov=self.cov)
+
+    @property
+    def dim(self):
+        return len(self.cov[0])
+
+    def log_likelihood(self):
+        x = np.array([self.parameters["x{0}".format(i)] for i in range(self.dim)])
+        return self.pdf.logpdf(x)
+
+
+class AnalyticalMultidimensionalBimodalCovariantGaussian(bilby.Likelihood):
+    """
+        A multivariate Gaussian likelihood
+        with known analytic solution.
+
+        Parameters
+        ----------
+        mean_1: array_like
+            Array with the mean value of the first mode
+        mean_2: array_like
+            Array with the mean value of the second mode
+        cov: array_like
+        """
+
+    def __init__(self, mean_1, mean_2, cov):
+        super(AnalyticalMultidimensionalBimodalCovariantGaussian, self).__init__(parameters=dict())
+        self.cov = np.array(cov)
+        self.mean_1 = np.array(mean_1)
+        self.mean_2 = np.array(mean_2)
+        self.sigma = np.sqrt(np.diag(self.cov))
+        self.pdf_1 = multivariate_normal(mean=self.mean_1, cov=self.cov)
+        self.pdf_2 = multivariate_normal(mean=self.mean_2, cov=self.cov)
+
+    @property
+    def dim(self):
+        return len(self.cov[0])
+
+    def log_likelihood(self):
+        x = np.array([self.parameters["x{0}".format(i)] for i in range(self.dim)])
+        return -np.log(2) + np.logaddexp(self.pdf_1.logpdf(x), self.pdf_2.logpdf(x))
+
+
+label = "multidim_gaussian_unimodal"
+outdir = "outdir"
+
+likelihood = AnalyticalMultidimensionalCovariantGaussian(mean, cov)
+priors = bilby.core.prior.PriorDict()
+priors.update({"x{0}".format(i): bilby.core.prior.Uniform(-5, 5, "x{0}".format(i)) for i in range(dim)})
+
+result = bilby.run_sampler(
+    likelihood=likelihood,
+    priors=priors,
+    sampler="dynesty",
+    outdir=outdir,
+    label=label,
+    check_point_plot=True,
+    resume=True
+)
+
+result.plot_corner(parameters={"x{0}".format(i): mean[i] for i in range(dim)})
+
+# The prior is constant and flat, and the likelihood is normalised such that the area under it is one.
+# The analytical evidence is then given as 1/(prior volume)
+
+log_prior_vol = np.sum(np.log([prior.maximum - prior.minimum for key, prior in priors.items()]))
+log_evidence = -log_prior_vol
+
+sampled_std = [np.std(result.posterior[param]) for param in result.search_parameter_keys]
+
+logger.info("Analytic log evidence: " + str(log_evidence))
+logger.info("Sampled log evidence:  " + str(result.log_evidence) + ' +/- ' + str(result.log_evidence_err))
+
+for i, search_parameter_key in enumerate(result.search_parameter_keys):
+    logger.info(search_parameter_key)
+    logger.info('Expected posterior standard deviation: ' + str(likelihood.sigma[i]))
+    logger.info('Sampled posterior standard deviation:  ' + str(sampled_std[i]))
+
+# BIMODAL distribution
+
+label = "multidim_gaussian_bimodal"
+dim = len(cov[0])
+
+mean_1 = 4 * np.sqrt(np.diag(cov))
+mean_2 = -4 * np.sqrt(np.diag(cov))
+
+likelihood = AnalyticalMultidimensionalBimodalCovariantGaussian(mean_1, mean_2, cov)
+priors = bilby.core.prior.PriorDict()
+priors.update({"x{0}".format(i): bilby.core.prior.Uniform(-5, 5, "x{0}".format(i)) for i in range(dim)})
+
+result = bilby.run_sampler(
+    likelihood=likelihood,
+    priors=priors,
+    sampler="dynesty",
+    outdir=outdir,
+    label=label,
+    check_point_plot=True,
+    resume=True
+)
+result.plot_corner(parameters={"x{0}".format(i): mean_1[i] for i in range(dim)},
+                   filename=outdir + '/multidim_gaussian_bimodal_mode_1')
+result.plot_corner(parameters={"x{0}".format(i): mean_2[i] for i in range(dim)},
+                   filename=outdir + '/multidim_gaussian_bimodal_mode_2')
+
+log_prior_vol = np.sum(np.log([prior.maximum - prior.minimum for key, prior in priors.items()]))
+log_evidence = -log_prior_vol
+sampled_std_1 = []
+sampled_std_2 = []
+for param in result.search_parameter_keys:
+    samples = np.array(result.posterior[param])
+    samples_1 = samples[np.where(samples < 0)]
+    samples_2 = samples[np.where(samples > 0)]
+    sampled_std_1.append(np.std(samples_1))
+    sampled_std_2.append(np.std(samples_2))
+
+logger.info("Analytic log evidence: " + str(log_evidence))
+logger.info("Sampled log evidence:  " + str(result.log_evidence) + ' +/- ' + str(result.log_evidence_err))
+
+for i, search_parameter_key in enumerate(result.search_parameter_keys):
+    logger.info(search_parameter_key)
+    logger.info('Expected posterior standard deviation both modes: ' + str(likelihood.sigma[i]))
+    logger.info('Sampled posterior standard deviation first mode:  ' + str(sampled_std_1[i]))
+    logger.info('Sampled posterior standard deviation second mode:  ' + str(sampled_std_2[i]))