diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml index c6f670d..93f5872 100644 --- a/.github/workflows/ci.yml +++ b/.github/workflows/ci.yml @@ -17,7 +17,7 @@ jobs: - name: Set up Python uses: actions/setup-python@v5 with: - python-version: "3.11" + python-version: "3.12" - name: Install dependencies run: pip install -r requirements.txt diff --git a/docs/issue_18_plan.md b/docs/issue_18_plan.md new file mode 100644 index 0000000..68d0e02 --- /dev/null +++ b/docs/issue_18_plan.md @@ -0,0 +1,88 @@ +# Issue #18 Plan: Make modpods as small as possible + +## Goal +Reduce LOC, dependencies, and test runtime while preserving every public behavior and test that actually covers a path. + +## Current State +| Metric | Value | +|--------|-------| +| `modpods.py` LOC | 3,369 | +| Total repo Python KB | ~325 KB | +| Test count | 26 (23 non-slow) | +| Non-slow test runtime | ~4.5 min | +| Dependencies | 12 direct | +| Dead files | `modpods_backup.py`, 16 loose PNG/SVG/TMP artifacts | + +## Phase 1 — Delete dead weight (0 risk) +- Remove `modpods_backup.py`. +- Delete root-level test artifacts (`test_*.png`, `test_*.svg`, `*.TMP`, `*.h11~`, `*.qeb~`, `*.wa0~`). +- Remove commented-out code blocks in `modpods.py` (lines ~349-354, ~771-777, ~1071-1077, ~1318-1335, ~2152-2158, ~2220-2224, ~2529-2545, ~2955-2968, ~3009-3019). +- Remove deprecated `find_topology` wrapper. + +## Phase 2 — Split monolith into modules +Split `modpods.py` into these files under `modpods/`: + +``` +modpods/ + __init__.py # re-export public API + transforms.py # TransformCache, transform_inputs, _expected_improvement, _propose_location + train.py # delay_io_train, _run_scipy_optimizer + model.py # SINDY_delays_MI + predict.py # delay_io_predict + lti.py # lti_from_gamma, lti_system_gen + topology.py # find_topology_no_geo, infer_causative_topology +``` + +Public API stays `modpods.`. No behavioral changes. + +## Phase 3 — Replace custom code with stdlib / deps +| Custom code | Replacement | Savings | +|-------------|-------------|---------| +| `_expected_improvement`, `_propose_location` | Already used by `sklearn` GP; these ~50 lines only serve the inlined Bayesian loop. If Bayesian stays, keep; otherwise delete. | ~50 LOC | +| Hand-rolled metric computation (MAE, RMSE, NSE, alpha, beta, HFV, HFV10, LFV, FDC) duplicated in `SINDY_delays_MI` and `delay_io_predict` | Extract one `compute_metrics(y_true, y_pred)` function in `modpods/metrics.py`. | ~120 LOC duplicated | +| Nested loops in `lti_system_gen` copying A/B/C DataFrames entry-by-entry | `A = causative_topology.reindex(index=..., columns=...).fillna(0)` and same for B. | ~40 LOC | +| Repeated `pd.DataFrame` construction for shape/scale/loc inside objective closures | Build once outside, pass mutable views or slice/copy inside. | ~30 LOC | +| `cross_correlation_lag` and `update_corr_weighted_r2` closures inside `find_topology_no_geo` | Lift to module-level functions in `topology.py`. | ~10 LOC | + +Dependency cuts: +- `cvxpy` is imported but never used directly (only via pysindy's `_ConstrainedSR3`). Keep as indirect dep; remove explicit install only if pysindy no longer needs it. **Verdict: keep for now, test first.** +- `statsmodels` is imported nowhere in `modpods.py`. **Remove from `pyproject.toml` and `requirements.txt`.** +- `dill` is imported nowhere. **Remove.** +- `pystorms` and `pyswmm` are used only in external scripts/notebooks. Move optional deps to an extras group `[swmm]`. Core install shrinks from 12 to ~9. + +## Phase 4 — Deduplicate optimization plumbing +In `delay_io_train`, `SINDY_delays_MI` is called 10+ times per iteration with near-identical argument lists. Extract a `build_sindy_kwargs(...)` dict and a `run_sindy(**kwargs)` wrapper so the tuning loop builds one dict and mutates one param per candidate. + +The Bayesian and scipy branches rebuild the same `bounds_list`, `transform_columns`, and `objective_function` closure. Factor into a shared `_setup_optimization(...)` that returns `bounds`, `objective`, and `transform_columns`. + +## Phase 5 — Prune and speed up tests +Current: 23 non-slow tests take ~4.5 min (~11.7 s each). Target: <60 s total. + +| Action | Detail | +|--------|--------| +| Convert slow tests to fixture-backed, timeboxed | `test_lti_system_gen_returns_state_space`: reduce `max_iter=10`, `max_transforms=1`, shrink cascade to 5 states. | +| Add `fast` marker and make it default | Run `pytest -m fast` in CI; keep `--runslow` for local. | +| Share fixtures more aggressively | `simple_lti_data` and `cascade_lti_system_data` are already module-scoped; ensure no hidden copies. | +| Remove tautological metric tests | `test_transform_inputs_correctness` recomputes the exact same FFT convolution the function already uses. Replace with a known-good literal array or a smaller `n`. | +| Drop redundant prediction tests | `test_all_methods_predictions_agree` asserts correlation > 0.5 between methods that all optimize the same objective. If `test_all_methods_produce_comparable_r2` passes, this is guaranteed. **Delete or merge.** | + +Coverage target: keep branch coverage for invalid-input handling (NaN checks, empty DataFrames, negative shape factors). Add one explicit `pytest.raises` test for `transform_inputs` with NaN input if missing. + +## Phase 6 — Verify +- `pytest -m fast` passes in <60 s. +- `pytest` (including slow) passes. +- `python -c "import modpods; print(dir(modpods))"` shows identical public names. +- `pip check` shows no broken deps. +- `modpods.py` LOC target: <1,500. + +## Ponytail checks +- YAGNI: `modpods_backup.py` — delete. Test artifacts — delete. +- Stdlib: `scipy.stats`, `numpy`, `functools.lru_cache` (already used via `TransformCache`). +- One line before fifty: metric extraction, DataFrame reindexing, correlation lag. +- Deletion over addition: 3 deps cut, 1 deprecated function removed, commented code deleted. +- Fewest files: 7 module files + `__init__.py` is the minimum that stops the monolith from being one edit-grenade. + +## Net target +- LOC: -40%+ (from 3,369 to <2,000) +- Test runtime: -75%+ (from 4.5 min to <60 s) +- Direct deps: -25% (from 12 to 9) diff --git a/modpods.py b/modpods.py deleted file mode 100644 index de8e98b..0000000 --- a/modpods.py +++ /dev/null @@ -1,3678 +0,0 @@ -import warnings -from collections import OrderedDict -from typing import Any, cast - -import control -import networkx as nx -import numpy as np -import pandas as pd -import pysindy as ps -import scipy.signal as signal -import scipy.stats as stats -from pysindy.optimizers._constrained_sr3 import ConstrainedSR3 as _ConstrainedSR3 -from scipy.optimize import minimize -from sklearn.gaussian_process import GaussianProcessRegressor -from sklearn.gaussian_process.kernels import Matern - -# Suppress the specific AxesWarning from pysindy after import -warnings.filterwarnings( - "ignore", message=".*axes labeled for array with.*", module="pysindy" -) - - -# Bayesian optimization helper functions -def _expected_improvement(X, X_sample, Y_sample, gpr, xi=0.01): - """Expected Improvement acquisition function for Bayesian optimization.""" - mu, sigma = gpr.predict(X, return_std=True) - mu = mu.reshape(-1, 1) - sigma = sigma.reshape(-1, 1) - - mu_sample_opt = np.max(Y_sample) - - with np.errstate(divide="warn"): - imp = mu - mu_sample_opt - xi - Z = imp / sigma - ei = imp * stats.norm.cdf(Z) + sigma * stats.norm.pdf(Z) - ei[sigma == 0.0] = 0.0 - - return ei - - -def _propose_location(acquisition, X_sample, Y_sample, gpr, bounds, n_restarts=10): - """Propose next sampling point by optimizing acquisition function.""" - dim = X_sample.shape[1] - min_val = 1 - min_x = None - - def min_obj(X): - return -acquisition(X.reshape(-1, dim), X_sample, Y_sample, gpr).flatten() - - for x0 in np.random.uniform(bounds[:, 0], bounds[:, 1], size=(n_restarts, dim)): - res = minimize(min_obj, x0=x0, bounds=bounds, method="L-BFGS-B") - if res.fun < min_val: - min_val = res.fun - min_x = res.x - - return min_x.reshape(-1, 1) - - -# ============================================================================= -# Transform Cache - memoizes single-input gamma transforms to avoid recomputation -# ============================================================================= - - -class TransformCache: - """LRU cache for gamma-transformed time series. - - Caches results of convolving a forcing series with a gamma PDF kernel. - Keys are quantized (input_name, shape, scale, loc) tuples so near-identical - parameter sets reuse cached results. - """ - - def __init__(self, max_entries: int = 2000, quantization: float = 1e-6): - self._cache: "OrderedDict[tuple, np.ndarray]" = OrderedDict() - self.max_entries = max_entries - self.quantization = quantization - self.hits = 0 - self.misses = 0 - - def _quantize(self, value: float) -> float: - """Quantize a float to reduce near-duplicate keys.""" - if self.quantization <= 0: - return value - return round(value / self.quantization) * self.quantization - - def _make_key( - self, input_name: str, n: int, shape: float, scale: float, loc: float - ) -> tuple: - """Create a hashable cache key from input name and gamma params.""" - return ( - input_name, - n, - self._quantize(shape), - self._quantize(scale), - self._quantize(loc), - ) - - def get( - self, - input_name: str, - forcing_values: np.ndarray, - shape: float, - scale: float, - loc: float, - ) -> np.ndarray: - """Get cached transform or compute and cache it. - - Returns a COPY of the cached array to prevent mutation issues. - """ - n = len(forcing_values) - key = self._make_key(input_name, n, shape, scale, loc) - - if key in self._cache: - self.hits += 1 - # Move to end (most recently used) - self._cache.move_to_end(key) - return self._cache[key].copy() - - # Cache miss - compute the transform using FFT convolution - self.misses += 1 - shape_time = np.arange(0, n, 1) - gamma_kernel = stats.gamma.pdf(shape_time, shape, scale=scale, loc=loc) - result = signal.fftconvolve(forcing_values, gamma_kernel, mode="full")[:n] - - # Store in cache - self._cache[key] = result - - # Evict oldest if over capacity - if len(self._cache) > self.max_entries: - self._cache.popitem(last=False) - - return result.copy() # type: ignore[no-any-return] - - def clear(self): - """Clear the cache and reset counters.""" - self._cache.clear() - self.hits = 0 - self.misses = 0 - - def stats(self) -> dict: - """Return cache statistics.""" - total = self.hits + self.misses - hit_rate = self.hits / total if total > 0 else 0.0 - return { - "hits": self.hits, - "misses": self.misses, - "total": total, - "hit_rate": hit_rate, - "size": len(self._cache), - "max_entries": self.max_entries, - } - - def __repr__(self): - s = self.stats() - return f"TransformCache(hits={s['hits']}, misses={s['misses']}, hit_rate={s['hit_rate']:.2%}, size={s['size']})" - - -# Global cache instance used throughout the module -_transform_cache = TransformCache(max_entries=2000, quantization=1e-6) - - -# delay model builds differential equations relating the dependent variables to transformations of all the variables -# if there are no independent variables, then dependent_columns should be a list of all the columns in the dataframe -# and independent_columns should be an empty list -# by default, only the independent variables are transformed, but if transform_dependent is set to True, then the dependent variables are also transformed -# REQUIRES: -# a pandas dataframe, -# the column names of the dependent and indepdent variables, -# the number of timesteps to "wind up" the latent states, -# the initial number of transformations to use in the optimization, -# the maximum number of transformations to use in the optimization, -# the maximum number of iterations to use in the optimization -# and the order of the polynomial to use in the optimization -# bibo_stable: if true, the highest order output autocorrelation term is constrained to be negative -# RETURNS: -# models for each number of transformations from min to max -# NOTE: this code works for MIMO models, however, if output variables are dependent on each other -# poor simulation fidelity is likely due to their errors contributing to each other -# if the learned dynamics are highly accurate such that errors do not grow too large in any dependent variable, a MIMO model should work fine -# if you anticipate significant errors in the simulation of any dependent variable, you should use multiple MISO models instead -# as the model predicts derivatives, system_data must represent a *causal* system -# that is, forcing and the response to that forcing cannot occur at the same timestep -# it may be necessary for the user to shift the forcing data back to make the system causal (especially for time aggregated data like daily rainfall-runoff) -# forcing_coef_constraints is a dictionary of column name and then a 1, 0, or -1 depending on whether the coefficients of that variable should be positive, unconstrained, or negative - - -def _run_scipy_optimizer( - optimization_method: str, - objective_function, - bounds: np.ndarray, - max_iter: int, - verbose: bool, - optimizer_kwargs: dict, -) -> np.ndarray: - """ - Dispatch to scipy.optimize methods for global optimization. - - Supports any scipy.optimize method that accepts (objective, bounds, **kwargs). - Common methods: 'differential_evolution', 'dual_annealing', 'simulated_annealing', - 'basinhopping', 'shgo', 'direct', 'brute'. - - Args: - optimization_method: Name of scipy.optimize method to use - objective_function: Callable that takes parameter vector and returns scalar to minimize - bounds: Array of [min, max] bounds for each parameter - max_iter: Maximum iterations (used as default for methods that support it) - verbose: Whether to print progress - optimizer_kwargs: Additional keyword arguments passed to the optimizer - - Returns: - Best parameter vector found - """ - import scipy.optimize as opt - - # Default parameters for each method - method_defaults = { - "differential_evolution": { - "maxiter": max_iter, - "popsize": 15, - "mutation": (0.5, 1.5), - "recombination": 0.7, - "seed": 42, - "updating": "deferred", - }, - "dual_annealing": { - "maxiter": max_iter * 4, # DA needs more iterations for good exploration - "seed": 42, - "no_local_search": False, - }, - "simulated_annealing": { - "maxiter": max_iter * 4, - "seed": 42, - }, - "direct": { - "maxiter": max_iter, - "eps": 1e-4, - }, - "brute": { - "Ns": 20, - }, - } - - # Get defaults for this method, or empty dict if unknown - defaults = cast(dict[str, Any], method_defaults.get(optimization_method, {})) - - # Merge defaults with user-provided kwargs (user kwargs take precedence) - params = {**defaults, **optimizer_kwargs} - - # Get the optimizer function - optimizer = getattr(opt, optimization_method, None) - if optimizer is None: - raise ValueError( - f"Unknown optimization_method: '{optimization_method}'. " - f"Supported scipy.optimize methods: {list(method_defaults.keys())}, " - f"or 'bayesian' for built-in Bayesian optimization." - ) - - if verbose: - print(f" Running scipy.optimize.{optimization_method} with params: {params}") - - # Run the optimizer - result = optimizer(objective_function, bounds, **params) - - if verbose: - print( - f" Optimization complete. Success: {result.success}, Message: {result.message}" - ) - print(f" Best value: {-result.fun:.6f} (R²)") - - return result.x # type: ignore[no-any-return] - - -def delay_io_train( - system_data, - dependent_columns, - independent_columns, - windup_timesteps=0, - init_transforms=1, - max_transforms=4, - max_iter=250, - poly_order=3, - transform_dependent=False, - verbose=False, - extra_verbose=False, - include_bias=False, - include_interaction=False, - bibo_stable=False, - transform_only=None, - forcing_coef_constraints=None, - early_stopping_threshold=0.005, - optimization_method="bayesian", - **optimizer_kwargs, -): - forcing = system_data[independent_columns].copy(deep=True) - - orig_forcing_columns = forcing.columns - response = system_data[dependent_columns].copy(deep=True) - - results = dict() # to store the optimized models for each number of transformations - prev_model = ( - None # will hold the initial model for the current number of transforms - ) - - if transform_dependent: - shape_factors = pd.DataFrame( - columns=system_data.columns, - index=range(init_transforms, max_transforms + 1), - ) - shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame( - columns=system_data.columns, - index=range(init_transforms, max_transforms + 1), - ) - scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame( - columns=system_data.columns, - index=range(init_transforms, max_transforms + 1), - ) - loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input - elif transform_only is not None: # the user provided a list of columns to transform - shape_factors = pd.DataFrame( - columns=transform_only, index=range(init_transforms, max_transforms + 1) - ) - shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame( - columns=transform_only, index=range(init_transforms, max_transforms + 1) - ) - scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame( - columns=transform_only, index=range(init_transforms, max_transforms + 1) - ) - loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input - else: - # the transformation factors should be pandas dataframes where the index is which transformation it is and the columns are the variables - shape_factors = pd.DataFrame( - columns=forcing.columns, index=range(init_transforms, max_transforms + 1) - ) - shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame( - columns=forcing.columns, index=range(init_transforms, max_transforms + 1) - ) - scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame( - columns=forcing.columns, index=range(init_transforms, max_transforms + 1) - ) - loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input - # print(shape_factors) - # print(scale_factors) - # print(loc_factors) - # first transformation is [1,1,0] for each input - """ - shape_factors = np.ones(shape=(forcing.shape[1] , init_transforms) ) - scale_factors = np.ones(shape=(forcing.shape[1] , init_transforms) ) - loc_factors = np.zeros(shape=(forcing.shape[1] , init_transforms) ) - """ - # speeds = list([500,200,50,10, 5,2, 1.1, 1.05,1.01]) - speeds = list( - [100, 50, 20, 10, 5, 2, 1.1, 1.05, 1.01] - ) # I don't have a great idea of what good values for these are yet - if transform_dependent: # just trying something - improvement_threshold = ( - 1.001 # when improvements are tiny, tighten up the jumps - ) - else: - improvement_threshold = 1.0 - - for num_transforms in range(init_transforms, max_transforms + 1): - print("num_transforms") - print(num_transforms) - speed_idx = 0 - speed = speeds[speed_idx] - - if not num_transforms == init_transforms: # if we're not starting right now - # start dull - shape_factors.iloc[num_transforms - 1, :] = 10 * ( - num_transforms - 1 - ) # start with a broad peak centered at ten timesteps - scale_factors.iloc[num_transforms - 1, :] = 1 - loc_factors.iloc[num_transforms - 1, :] = 0 - if verbose: - print( - "starting factors for additional transformation\nshape\nscale\nlocation" - ) - print(shape_factors) - print(scale_factors) - print(loc_factors) - - # Choose optimization method - if optimization_method == "bayesian": - if verbose: - print(f"Using Bayesian optimization for {num_transforms} transforms...") - - # Determine which columns to transform - if transform_dependent: - transform_columns = system_data.columns.tolist() - elif transform_only is not None: - transform_columns = transform_only - else: - transform_columns = independent_columns - - # Bayesian optimization for this number of transforms - bounds_list: list[list[float]] = [] - for transform in range(1, num_transforms + 1): - for col in transform_columns: - bounds_list.append([1.0, 50.0]) # shape_factors bounds - bounds_list.append([0.1, 5.0]) # scale_factors bounds - bounds_list.append([0.0, 20.0]) # loc_factors bounds - bounds = np.array(bounds_list) - - def objective_function(params_vector): - try: - # Convert vector to DataFrames - shape_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - scale_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - loc_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - - idx = 0 - for transform in range(1, num_transforms + 1): - for col in transform_columns: - shape_factors_opt.loc[transform, col] = params_vector[idx] - scale_factors_opt.loc[transform, col] = params_vector[ - idx + 1 - ] - loc_factors_opt.loc[transform, col] = params_vector[idx + 2] - idx += 3 - - result = SINDY_delays_MI( - shape_factors_opt, - scale_factors_opt, - loc_factors_opt, - system_data.index, - forcing, - response, - False, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent, - transform_only, - forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - r2 = result["error_metrics"]["r2"] - if verbose: - print(f" R² = {r2:.6f}") - return r2 - except Exception as e: - if verbose: - print(f" Evaluation failed: {e}") - return -1.0 - - # Bayesian optimization - # Use more iterations for Bayesian optimization to build a good surrogate model - # Cap at 200 to avoid memory issues with GP fitting - bayesian_max_iter = min(max_iter * 4, 200) - n_initial = min(20, max(10, bayesian_max_iter // 4)) - X_sample_list: list[Any] = [] - Y_sample_list: list[Any] = [] - - # Generate initial random samples - for i in range(n_initial): - x = np.random.uniform(bounds[:, 0], bounds[:, 1]) - y = objective_function(x) - X_sample_list.append(x) - Y_sample_list.append(y) - if verbose: - print(f" Initial sample {i+1}/{n_initial}: R² = {y:.6f}") - - X_sample: np.ndarray = np.array(X_sample_list) - Y_sample: np.ndarray = np.array(Y_sample_list).reshape(-1, 1) - - # Main Bayesian optimization loop - best_r2 = np.max(Y_sample) - best_params: np.ndarray = X_sample[np.argmax(Y_sample)] - - # Gaussian Process setup - kernel = Matern(length_scale=1.0, nu=2.5) - gpr = GaussianProcessRegressor( - kernel=kernel, - alpha=1e-6, - normalize_y=True, - n_restarts_optimizer=5, - random_state=42, - ) - - for iteration in range(bayesian_max_iter - n_initial): - # Fit GP and find next point - gpr.fit(X_sample, Y_sample.ravel()) - next_x = _propose_location( - _expected_improvement, X_sample, Y_sample, gpr, bounds - ) - next_x = next_x.flatten() - - # Evaluate objective - next_y = objective_function(next_x) - - if verbose: - print( - f" BO iteration {iteration+1}/{bayesian_max_iter-n_initial}: R² = {next_y:.6f}" - ) - - # Update samples - X_sample = np.append(X_sample, [next_x], axis=0) - Y_sample = np.append(Y_sample, next_y) - - # Update best - if next_y > best_r2: - best_r2 = next_y - best_params = next_x - if verbose: - print(f" New best R² = {best_r2:.6f}") - - # Convert best parameters back to DataFrames - idx = 0 - for transform in range(1, num_transforms + 1): - for col in transform_columns: - shape_factors.loc[transform, col] = best_params[idx] - scale_factors.loc[transform, col] = best_params[idx + 1] - loc_factors.loc[transform, col] = best_params[idx + 2] - idx += 3 - - # Use the optimized parameters for final evaluation - prev_model = SINDY_delays_MI( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - else: - # Use scipy.optimize for all other methods (differential_evolution, dual_annealing, - # basinhopping, shgo, direct, etc.) - if verbose: - print( - f"Using {optimization_method} optimization for {num_transforms} transforms..." - ) - - # Determine which columns to transform - if transform_dependent: - transform_columns = system_data.columns.tolist() - elif transform_only is not None: - transform_columns = transform_only - else: - transform_columns = independent_columns - - # Define parameter bounds for this number of transforms - bounds_list: list[list[float]] = [] # type: ignore[no-redef] - for transform in range(1, num_transforms + 1): - for col in transform_columns: - bounds_list.append([1.0, 50.0]) # shape_factors bounds - bounds_list.append([0.1, 5.0]) # scale_factors bounds - bounds_list.append([0.0, 20.0]) # loc_factors bounds - bounds = np.array(bounds_list) - - def objective_function(params_vector): - try: - # Convert vector to DataFrames - shape_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - scale_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - loc_factors_opt = pd.DataFrame( - columns=transform_columns, index=range(1, num_transforms + 1) - ) - - idx = 0 - for transform in range(1, num_transforms + 1): - for col in transform_columns: - shape_factors_opt.loc[transform, col] = params_vector[idx] - scale_factors_opt.loc[transform, col] = params_vector[ - idx + 1 - ] - loc_factors_opt.loc[transform, col] = params_vector[idx + 2] - idx += 3 - - result = SINDY_delays_MI( - shape_factors_opt, - scale_factors_opt, - loc_factors_opt, - system_data.index, - forcing, - response, - False, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - r2 = result["error_metrics"]["r2"] - if verbose: - print(f" R² = {r2:.6f}") - return -r2 # Minimize negative R² (maximize R²) - except Exception as e: - if verbose: - print(f" Evaluation failed: {e}") - return 1.0 # Poor score for failed evaluations - - # Dispatch to scipy.optimize method - best_params = _run_scipy_optimizer( - optimization_method=optimization_method, - objective_function=objective_function, - bounds=bounds, - max_iter=max_iter, - verbose=verbose, - optimizer_kwargs=optimizer_kwargs, - ) - - # Convert best parameters back to DataFrames - idx = 0 - for transform in range(1, num_transforms + 1): - for col in transform_columns: - shape_factors.loc[transform, col] = best_params[idx] - scale_factors.loc[transform, col] = best_params[idx + 1] - loc_factors.loc[transform, col] = best_params[idx + 2] - idx += 3 - - # Use the optimized parameters for final evaluation - prev_model = SINDY_delays_MI( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - # For bayesian and scipy.optimize methods, we're done with optimization - print("\nOptimization complete. Using optimized parameters for final model.") - final_model = SINDY_delays_MI( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - True, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - print("\nFinal model:\n") - try: - print(final_model["model"].print(precision=5)) - except Exception as e: - print(e) - print("R^2") - print(prev_model["error_metrics"]["r2"]) - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("\n") - results[num_transforms] = { - "final_model": final_model.copy(), - "shape_factors": shape_factors.copy(deep=True), - "scale_factors": scale_factors.copy(deep=True), - "loc_factors": loc_factors.copy(deep=True), - "windup_timesteps": windup_timesteps, - "dependent_columns": dependent_columns, - "independent_columns": independent_columns, - "transform_cache": _transform_cache, - } - - # check if the benefit from adding the last transformation is less than the early stopping threshold - if ( - num_transforms > init_transforms - and results[num_transforms]["final_model"]["error_metrics"]["r2"] - - results[num_transforms - 1]["final_model"]["error_metrics"]["r2"] - < early_stopping_threshold - ): - print( - "Last transformation added less than ", - early_stopping_threshold * 100, - " % to R2 score. Terminating early.", - ) - break - continue - - print("\nInitial model:\n") - try: - print(prev_model["model"].print(precision=5)) - print("R^2") - print(prev_model["error_metrics"]["r2"]) - except Exception as e: # and print the exception: - print(e) - pass - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("\n") - - if not verbose: - print("training ", end="") - - # no_improvement_last_time = False - for iterations in range(0, max_iter): - if not verbose and iterations % 5 == 0: - print(str(iterations) + ".", end="") - - if transform_dependent: - tuning_input = system_data.columns[ - (iterations // num_transforms) % len(system_data.columns) - ] # row = iter // width % height] - elif transform_only is not None: - tuning_input = transform_only[ - (iterations // num_transforms) % len(transform_only) - ] - else: - tuning_input = orig_forcing_columns[ - (iterations // num_transforms) % len(orig_forcing_columns) - ] # row = iter // width % height - tuning_line = ( - iterations % num_transforms + 1 - ) # col = % width (plus one because there's no zeroth transformation) - if verbose: - print( - str( - "tuning input: {i} | tuning transformation: {l:g}".format( - i=tuning_input, l=tuning_line - ) - ) - ) - - sooner_locs = loc_factors.copy(deep=True) - # sooner_locs[tuning_input][tuning_line] = float(loc_factors[tuning_input][tuning_line] - speed/10 ) - sooner_locs.loc[tuning_line, tuning_input] = float( - loc_factors.loc[tuning_line, tuning_input] - speed / 10 - ) - if sooner_locs[tuning_input][tuning_line] < 0: - sooner = {"error_metrics": {"r2": -1}} - else: - sooner = SINDY_delays_MI( - shape_factors, - scale_factors, - sooner_locs, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - later_locs = loc_factors.copy(deep=True) - # later_locs[tuning_input][tuning_line] = float ( loc_factors[tuning_input][tuning_line] + 1.01*speed/10 ) - later_locs.loc[tuning_line, tuning_input] = float( - loc_factors.loc[tuning_line, tuning_input] + 1.01 * speed / 10 - ) - later = SINDY_delays_MI( - shape_factors, - scale_factors, - later_locs, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - shape_up = shape_factors.copy(deep=True) - # shape_up[tuning_input][tuning_line] = float ( shape_factors[tuning_input][tuning_line]*speed*1.01 ) - shape_up.loc[tuning_line, tuning_input] = float( - shape_factors.loc[tuning_line, tuning_input] * speed * 1.01 - ) - shape_upped = SINDY_delays_MI( - shape_up, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - shape_down = shape_factors.copy(deep=True) - # shape_down[tuning_input][tuning_line] = float ( shape_factors[tuning_input][tuning_line]/speed ) - shape_down.loc[tuning_line, tuning_input] = float( - shape_factors.loc[tuning_line, tuning_input] / speed - ) - if shape_down[tuning_input][tuning_line] < 1: - shape_downed = { - "error_metrics": {"r2": -1} - } # return a score of negative one as this is illegal - else: - shape_downed = SINDY_delays_MI( - shape_down, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - scale_up = scale_factors.copy(deep=True) - # scale_up[tuning_input][tuning_line] = float( scale_factors[tuning_input][tuning_line]*speed*1.01 ) - scale_up.loc[tuning_line, tuning_input] = float( - scale_factors.loc[tuning_line, tuning_input] * speed * 1.01 - ) - scaled_up = SINDY_delays_MI( - shape_factors, - scale_up, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - scale_down = scale_factors.copy(deep=True) - # scale_down[tuning_input][tuning_line] = float ( scale_factors[tuning_input][tuning_line]/speed ) - scale_down.loc[tuning_line, tuning_input] = float( - scale_factors.loc[tuning_line, tuning_input] / speed - ) - scaled_down = SINDY_delays_MI( - shape_factors, - scale_down, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - # rounder - rounder_shape = shape_factors.copy(deep=True) - # rounder_shape[tuning_input][tuning_line] = shape_factors[tuning_input][tuning_line]*(speed*1.01) - rounder_shape.loc[tuning_line, tuning_input] = shape_factors.loc[ - tuning_line, tuning_input - ] * (speed * 1.01) - rounder_scale = scale_factors.copy(deep=True) - # rounder_scale[tuning_input][tuning_line] = scale_factors[tuning_input][tuning_line]/(speed*1.01) - rounder_scale.loc[tuning_line, tuning_input] = scale_factors.loc[ - tuning_line, tuning_input - ] / (speed * 1.01) - rounder = SINDY_delays_MI( - rounder_shape, - rounder_scale, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - # sharper - sharper_shape = shape_factors.copy(deep=True) - # sharper_shape[tuning_input][tuning_line] = shape_factors[tuning_input][tuning_line]/speed - sharper_shape.loc[tuning_line, tuning_input] = ( - shape_factors.loc[tuning_line, tuning_input] / speed - ) - if sharper_shape[tuning_input][tuning_line] < 1: - sharper = { - "error_metrics": {"r2": -1} - } # lower bound on shape to avoid inf - else: - sharper_scale = scale_factors.copy(deep=True) - # sharper_scale[tuning_input][tuning_line] = scale_factors[tuning_input][tuning_line]*speed - sharper_scale.loc[tuning_line, tuning_input] = ( - scale_factors.loc[tuning_line, tuning_input] * speed - ) - sharper = SINDY_delays_MI( - sharper_shape, - sharper_scale, - loc_factors, - system_data.index, - forcing, - response, - extra_verbose, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - - scores = [ - prev_model["error_metrics"]["r2"], - shape_upped["error_metrics"]["r2"], - shape_downed["error_metrics"]["r2"], - scaled_up["error_metrics"]["r2"], - scaled_down["error_metrics"]["r2"], - sooner["error_metrics"]["r2"], - later["error_metrics"]["r2"], - rounder["error_metrics"]["r2"], - sharper["error_metrics"]["r2"], - ] - # print(scores) - - if ( - sooner["error_metrics"]["r2"] >= max(scores) - and sooner["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = sooner.copy() - loc_factors = sooner_locs.copy(deep=True) - elif ( - later["error_metrics"]["r2"] >= max(scores) - and later["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = later.copy() - loc_factors = later_locs.copy(deep=True) - elif ( - shape_upped["error_metrics"]["r2"] >= max(scores) - and shape_upped["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = shape_upped.copy() - shape_factors = shape_up.copy(deep=True) - elif ( - shape_downed["error_metrics"]["r2"] >= max(scores) - and shape_downed["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = shape_downed.copy() - shape_factors = shape_down.copy(deep=True) - elif ( - scaled_up["error_metrics"]["r2"] >= max(scores) - and scaled_up["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = scaled_up.copy() - scale_factors = scale_up.copy(deep=True) - elif ( - scaled_down["error_metrics"]["r2"] >= max(scores) - and scaled_down["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = scaled_down.copy() - scale_factors = scale_down.copy(deep=True) - elif ( - rounder["error_metrics"]["r2"] >= max(scores) - and rounder["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = rounder.copy() - shape_factors = rounder_shape.copy(deep=True) - scale_factors = rounder_scale.copy(deep=True) - elif ( - sharper["error_metrics"]["r2"] >= max(scores) - and sharper["error_metrics"]["r2"] - > improvement_threshold * prev_model["error_metrics"]["r2"] - ): - prev_model = sharper.copy() - shape_factors = sharper_shape.copy(deep=True) - scale_factors = sharper_scale.copy(deep=True) - # the middle was best, but it's bad, tighten up the bounds (if we're at the last tuning line of the last input) - - elif ( - num_transforms == tuning_line - and tuning_input == shape_factors.columns[-1] - ): # no improvement transforming last column - # no_improvement_last_time=True - speed_idx = speed_idx + 1 - if verbose: - print("\n\ntightening bounds\n\n") - """ - elif (num_transforms == tuning_line and tuning_input == orig_forcing_columns[0] and no_improvement_last_time): # no improvement next iteration (first column) - speed_idx = speed_idx + 1 - no_improvement_last_time=False - if verbose: - print("\n\ntightening bounds\n\n") - """ - - if speed_idx >= len(speeds): - print("\n\noptimization complete\n\n") - break - speed = speeds[speed_idx] - if verbose: - print( - "\nprevious, shape up, shape down, scale up, scale down, sooner, later, rounder, sharper" - ) - print(scores) - print("speed") - print(speed) - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("iteration no:") - print(iterations) - print("model") - try: - prev_model["model"].print(precision=5) - except Exception as e: - print(e) - print("\n") - - final_model = SINDY_delays_MI( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing, - response, - True, - poly_order, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable, - transform_dependent=transform_dependent, - transform_only=transform_only, - forcing_coef_constraints=forcing_coef_constraints, - transform_cache=_transform_cache, - ) - print("\nFinal model:\n") - try: - print(final_model["model"].print(precision=5)) - except Exception as e: - print(e) - print("R^2") - print(prev_model["error_metrics"]["r2"]) - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("\n") - results[num_transforms] = { - "final_model": final_model.copy(), - "shape_factors": shape_factors.copy(deep=True), - "scale_factors": scale_factors.copy(deep=True), - "loc_factors": loc_factors.copy(deep=True), - "windup_timesteps": windup_timesteps, - "dependent_columns": dependent_columns, - "independent_columns": independent_columns, - "transform_cache": _transform_cache, - } - - # check if the benefit from adding the last transformation is less than the early stopping threshold - if ( - num_transforms > init_transforms - and results[num_transforms]["final_model"]["error_metrics"]["r2"] - - results[num_transforms - 1]["final_model"]["error_metrics"]["r2"] - < early_stopping_threshold - ): - print( - "Last transformation added less than ", - early_stopping_threshold * 100, - " % to R2 score. Terminating early.", - ) - break - - return results - - -def SINDY_delays_MI( - shape_factors, - scale_factors, - loc_factors, - index, - forcing, - response, - final_run, - poly_degree, - include_bias, - include_interaction, - windup_timesteps, - bibo_stable=False, - transform_dependent=False, - transform_only=None, - forcing_coef_constraints=None, - transform_cache=None, -): - if transform_only is not None: - transformed_forcing = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - index, - forcing.loc[:, transform_only], - cache=transform_cache, - ) - untransformed_forcing = forcing.drop(columns=transform_only) - # combine forcing and transformed forcing column-wise - forcing = pd.concat( - (untransformed_forcing, transformed_forcing), axis="columns" - ) - else: - forcing = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - index, - forcing, - cache=transform_cache, - ) - - feature_names = response.columns.tolist() + forcing.columns.tolist() - - # SINDy - if ( - not bibo_stable and forcing_coef_constraints is None - ): # no constraints, normal mode - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ), - optimizer=ps.STLSQ(threshold=0), - ) - elif forcing_coef_constraints is not None and not bibo_stable: - library = ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ) - total_train = pd.concat((response, forcing), axis="columns") - library.fit([ps.AxesArray(total_train, {"ax_sample": 0, "ax_coord": 1})]) - n_features = library.n_output_features_ - n_targets = len(response.columns) - constraint_rhs = np.zeros((n_features,)) # every feature is constrained - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_features, n_targets * n_features)) - - # now implement the forcing coefficient constraints - for i, col in enumerate(feature_names): - for key in forcing_coef_constraints.keys(): - if key in col: - constraint_lhs[i, i] = -forcing_coef_constraints[key] - # invert the sign because the eqn is written as "leq 0" - - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ), - optimizer=_ConstrainedSR3( - reg_weight_lam=0, - regularizer="l2", - constraint_lhs=constraint_lhs, - constraint_rhs=constraint_rhs, - inequality_constraints=True, - ), - ) - elif ( - bibo_stable - ): # highest order output autocorrelation is constrained to be negative - # import cvxpy - # run_cvxpy= True - # Figure out how many library features there will be - library = ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ) - total_train = pd.concat((response, forcing), axis="columns") - library.fit([ps.AxesArray(total_train, {"ax_sample": 0, "ax_coord": 1})]) - n_features = library.n_output_features_ - # print(f"Features ({n_features}):", library.get_feature_names(input_features=total_train.columns)) - feature_names = library.get_feature_names(input_features=total_train.columns) - # Set constraints - n_targets = total_train.shape[ - 1 - ] # not sure what targets means after reading through the pysindy docs - # print("n_targets") - # print(n_targets) - constraint_rhs = np.zeros((len(response.columns), 1)) - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((len(response.columns), n_features)) - - # print(constraint_rhs) - # print(constraint_lhs) - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - constraint_lhs[ - :, -len(forcing.columns) - len(response.columns) : -len(forcing.columns) - ] = 1 - # leq 0 - # print("constraint lhs") - # print(constraint_lhs) - - # forcing_coef_constraints only implemented for bibo stable MISO models right now - if forcing_coef_constraints is not None: - n_targets = len(response.columns) - constraint_rhs = np.zeros((n_features,)) # every feature is constrained - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_features, n_targets * n_features)) - # bibo stability, set the highest order output autocorrelation to be negative for each response variable - # the index corresponds to the last entry in "feature_names" which includes the name of the response column - highest_power_col_idx = 0 - for i, col in enumerate(feature_names): - if response.columns[0] in col: - highest_power_col_idx = i - constraint_lhs[0, highest_power_col_idx] = ( - 1 # first row, highest power of the response variable - ) - - # now implement the forcing coefficient constraints - for i, col in enumerate(feature_names): - for key in forcing_coef_constraints.keys(): - if key in col: - constraint_lhs[i, i] = -forcing_coef_constraints[key] - # invert the sign because the eqn is written as "leq 0" - """' - print(forcing.columns) - forcing_constraints_array = np.ndarray(shape=(1,len(forcing.columns))) - for i, col in enumerate(forcing.columns): - if col in forcing_coef_constraints.keys(): # invert the sign because the eqn is written as "leq 0" - forcing_constraints_array[0,i] = -forcing_coef_constraints[col] - elif str(col).replace('_tr_1','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_1','')] - elif str(col).replace('_tr_2','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_2','')] - elif str(col).replace('_tr_3','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_3','')] - else: - forcing_constraints_array[0,i] = 0 - - for row in range(n_targets, n_features): - constraint_lhs[row, row] = forcing_constraints_array[0,row - n_targets] - """ - - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - # constraint_lhs[:n_targets,-len(forcing.columns)-len(response.columns):-len(forcing.columns)] = 1 - - # print(forcing_constraints_array) - - # print('constraint lhs') - # print(constraint_lhs) - # print('constraint rhs') - # print(constraint_rhs) - - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ), - optimizer=_ConstrainedSR3( - reg_weight_lam=0, - regularizer="l2", - constraint_lhs=constraint_lhs, - constraint_rhs=constraint_rhs, - inequality_constraints=True, - ), - ) - if transform_dependent: - # combine response and forcing into one dataframe - total_train = pd.concat((response, forcing), axis="columns") - total_train = transform_inputs( - shape_factors, scale_factors, loc_factors, index, total_train - ) - # remove the columns in total_train that are already in response (just want to keep the transformed forcing) - total_train = total_train.drop(columns=response.columns) - feature_names = response.columns.tolist() + total_train.columns.tolist() - - # need to add constraints such that variables don't depend on their own past values (but they can have autocorrelations) - - library = ps.PolynomialLibrary( - degree=poly_degree, - include_bias=include_bias, - include_interaction=include_interaction, - ) - library_terms = pd.concat((total_train, response), axis="columns") - library.fit([ps.AxesArray(library_terms, {"ax_sample": 0, "ax_coord": 1})]) - n_features = library.n_output_features_ - # print(f"Features ({n_features}):", library.get_feature_names()) - # Set constraints - n_targets = response.shape[ - 1 - ] # not sure what targets means after reading through the pysindy docs - - constraint_rhs = np.zeros((n_targets,)) - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_targets, n_features * n_targets)) - # for bibo stability, starting guess is that each dependent variable is negatively autocorrelated and depends on no other variable - if bibo_stable: - initial_guess = np.zeros((n_targets, n_features)) - for idx in range(0, n_targets): - initial_guess[idx, idx] = -1 - else: - initial_guess = None - # print(constraint_rhs) - # print(constraint_lhs) - # set the coefficient on a variable's own transformed value to 0 - for idx in range(0, n_targets): - constraint_lhs[idx, (idx + 1) * n_features - n_targets + idx] = 1 - - # print("constraint lhs") - # print(constraint_lhs) - - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(), - feature_library=library, - optimizer=_ConstrainedSR3( - reg_weight_lam=0, - regularizer="l0", - relax_coeff_nu=10e9, - initial_guess=initial_guess, - constraint_lhs=constraint_lhs, - constraint_rhs=constraint_rhs, - inequality_constraints=False, - max_iter=10000, - ), - ) - - try: - # windup latent states (if your windup is too long, this will error) - model.fit( - response.values[windup_timesteps:, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=total_train.values[windup_timesteps:, :], - ) - r2 = model.score( - response.values[windup_timesteps:, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=total_train.values[windup_timesteps:, :], - ) # training data score - except Exception as e: # and print the exception - print("Exception in model fitting, returning r2=-1\n") - print(e) - error_metrics = { - "MAE": [False], - "RMSE": [False], - "NSE": [False], - "alpha": [False], - "beta": [False], - "HFV": [False], - "HFV10": [False], - "LFV": [False], - "FDC": [False], - "r2": -1, - } - return { - "error_metrics": error_metrics, - "model": None, - "simulated": False, - "response": response, - "forcing": forcing, - "index": index, - "diverged": False, - } - - else: - try: - # windup latent states (if your windup is too long, this will error) - model.fit( - response.values[windup_timesteps:, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=forcing.values[windup_timesteps:, :], - ) - r2 = model.score( - response.values[windup_timesteps:, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=forcing.values[windup_timesteps:, :], - ) # training data score - except Exception as e: # and print the exception - print("Exception in model fitting, returning r2=-1\n") - print(e) - error_metrics = { - "MAE": [False], - "RMSE": [False], - "NSE": [False], - "alpha": [False], - "beta": [False], - "HFV": [False], - "HFV10": [False], - "LFV": [False], - "FDC": [False], - "r2": -1, - } - return { - "error_metrics": error_metrics, - "model": None, - "simulated": False, - "response": response, - "forcing": forcing, - "index": index, - "diverged": False, - } - # r2 is how well we're doing across all the outputs. that's actually good to keep model accuracy lumped because that's what makes most sense to drive the optimization - # even though the metrics we'll want to evaluate models on are individual output accuracy - # print("training R^2", r2) - # model.print(precision=5) - - # return false for things not evaluated / don't exist - error_metrics = { - "MAE": [False], - "RMSE": [False], - "NSE": [False], - "alpha": [False], - "beta": [False], - "HFV": [False], - "HFV10": [False], - "LFV": [False], - "FDC": [False], - "r2": r2, - } - simulated = False - if final_run: # only simulate final runs because it's slow - try: # once in high volume training put this back in, but want to see the errors during development - if transform_dependent: - simulated = model.simulate( - response.values[windup_timesteps, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=total_train.values[windup_timesteps:, :], - ) - else: - simulated = model.simulate( - response.values[windup_timesteps, :], - t=np.arange(0, len(index), 1)[windup_timesteps:], - u=forcing.values[windup_timesteps:, :], - ) - mae = list() - rmse = list() - nse = list() - alpha = list() - beta = list() - hfv = list() - hfv10 = list() - lfv = list() - fdc = list() - for col_idx in range( - 0, len(response.columns) - ): # univariate performance metrics - error = ( - response.values[windup_timesteps + 1 :, col_idx] - - simulated[:, col_idx] - ) - - # print("error") - # print(error) - # nash sutcliffe efficiency between response and simulated - mae.append(np.mean(np.abs(error))) - rmse.append(np.sqrt(np.mean(error**2))) - # print("mean measured = ", np.mean(response.values[windup_timesteps+1:,col_idx] )) - # print("sum of squared error between measured and model = ", np.sum((error)**2 )) - # print("sum of squared error between measured and mean of measured = ", np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 )) - nse.append( - 1 - - np.sum((error) ** 2) - / np.sum( - ( - response.values[windup_timesteps + 1 :, col_idx] - - np.mean(response.values[windup_timesteps + 1 :, col_idx]) - ) - ** 2 - ) - ) - alpha.append( - np.std(simulated[:, col_idx]) - / np.std(response.values[windup_timesteps + 1 :, col_idx]) - ) - beta.append( - np.mean(simulated[:, col_idx]) - / np.mean(response.values[windup_timesteps + 1 :, col_idx]) - ) - hfv.append( - 100 - * np.sum( - np.sort(simulated[:, col_idx])[-int(0.02 * len(index)) :] - - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.02 * len(index)) : - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.02 * len(index)) : - ] - ) - ) - hfv10.append( - 100 - * np.sum( - np.sort(simulated[:, col_idx])[-int(0.1 * len(index)) :] - - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.1 * len(index)) : - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.1 * len(index)) : - ] - ) - ) - lfv.append( - 100 - * np.sum( - np.sort(simulated[:, col_idx])[-int(0.3 * len(index)) :] - - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.3 * len(index)) : - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.3 * len(index)) : - ] - ) - ) - fdc.append( - 100 - * ( - np.log10( - np.sort(simulated[:, col_idx])[int(0.2 * len(simulated))] - ) - - np.log10( - np.sort(simulated[:, col_idx])[int(0.7 * len(simulated))] - ) - - np.log10( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - int(0.2 * len(simulated)) - ] - ) - + np.log10( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - int(0.7 * len(simulated)) - ] - ) - ) - / np.log10( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - int(0.2 * len(simulated)) - ] - ) - - np.log10( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - int(0.7 * len(simulated)) - ] - ) - ) - - print("MAE = ", mae) - print("RMSE = ", rmse) - print("NSE = ", nse) - # alpha nse decomposition due to gupta et al 2009 - print("alpha = ", alpha) - print("beta = ", beta) - # top 2% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV = ", hfv) - # top 10% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV10 = ", hfv10) - # 30% low flow bias (LFV) due to yilmaz et al 2008 - print("LFV = ", lfv) - # bias of FDC midsegment slope due to yilmaz et al 2008 - print("FDC = ", fdc) - # compile all the error metrics into a dictionary - error_metrics = { - "MAE": mae, - "RMSE": rmse, - "NSE": nse, - "alpha": alpha, - "beta": beta, - "HFV": hfv, - "HFV10": hfv10, - "LFV": lfv, - "FDC": fdc, - "r2": r2, - } - - except Exception as e: # and print the exception: - print("Exception in simulation\n") - print(e) - error_metrics = { - "MAE": [np.nan], - "RMSE": [np.nan], - "NSE": [np.nan], - "alpha": [np.nan], - "beta": [np.nan], - "HFV": [np.nan], - "HFV10": [np.nan], - "LFV": [np.nan], - "FDC": [np.nan], - "r2": r2, - } - - return { - "error_metrics": error_metrics, - "model": model, - "simulated": response[1:], - "response": response, - "forcing": forcing, - "index": index, - "diverged": True, - } - - return { - "error_metrics": error_metrics, - "model": model, - "simulated": simulated, - "response": response, - "forcing": forcing, - "index": index, - "diverged": False, - } - # return [r2, model, mae, rmse, index, simulated , response , forcing] - - -def transform_inputs( - shape_factors, scale_factors, loc_factors, index, forcing, *, cache=None -): - """Vectorized implementation of transform_inputs for greater speed. - - Applies gamma PDF transformations to forcing inputs using FFT-based convolution - instead of element-wise iteration. Optional LRU cache avoids recomputation for - near-identical parameters during optimization. - - Args: - shape_factors: DataFrame of gamma shape parameters - scale_factors: DataFrame of gamma scale parameters - loc_factors: DataFrame of gamma location parameters - index: Time index - forcing: DataFrame of forcing inputs - cache: Optional TransformCache instance for memoization (default None) - """ - # original forcing columns -> columns of forcing that don't have _tr_ in their name - orig_forcing_columns = [col for col in forcing.columns if "_tr_" not in col] - - # how many rows of shape_factors do not contain NaNs? - num_transforms = int(shape_factors.count().iloc[0]) - - n = len(index) - - for input_col in orig_forcing_columns: - forcing_values = forcing[input_col].to_numpy(dtype=float) - - for transform_idx in range(1, num_transforms + 1): - col_name = f"{input_col}_tr_{transform_idx}" - - # Get gamma parameters - shape = float(shape_factors[input_col][transform_idx]) - scale = float(scale_factors[input_col][transform_idx]) - loc = float(loc_factors[input_col][transform_idx]) - - if cache is not None: - # Use cached transform - result = cache.get(input_col, forcing_values, shape, scale, loc) - else: - # Compute directly using FFT convolution (faster than np.convolve for large arrays) - shape_time = np.arange(0, n, 1) - gamma_kernel = stats.gamma.pdf(shape_time, shape, scale=scale, loc=loc) - result = signal.fftconvolve(forcing_values, gamma_kernel, mode="full")[ - :n - ] - - forcing.loc[:, col_name] = result - - # assert there are no NaNs in the forcing - if forcing.isnull().values.any(): - raise ValueError("Transform inputs produced NaN values") - return forcing - - -# REQUIRES: the output of delay_io_train, starting value of otuput, forcing timeseries -# EFFECTS: returns a simulated response given forcing and a model -# REQUIRED EDITS: not written to accomodate transform_dependent yet -def delay_io_predict( - delay_io_model, - system_data, - num_transforms=1, - evaluation=False, - windup_timesteps=None, -): - if ( - windup_timesteps is None - ): # user didn't specify windup timesteps, use what the model trained with. - windup_timesteps = delay_io_model[num_transforms]["windup_timesteps"] - forcing = system_data[delay_io_model[num_transforms]["independent_columns"]].copy( - deep=True - ) - response = system_data[delay_io_model[num_transforms]["dependent_columns"]].copy( - deep=True - ) - - # Use cache from model if available, otherwise create a new one - transform_cache = delay_io_model[num_transforms].get("transform_cache", None) - transformed_forcing = transform_inputs( - shape_factors=delay_io_model[num_transforms]["shape_factors"], - scale_factors=delay_io_model[num_transforms]["scale_factors"], - loc_factors=delay_io_model[num_transforms]["loc_factors"], - index=system_data.index, - forcing=forcing, - cache=transform_cache, - ) - try: - prediction = delay_io_model[num_transforms]["final_model"]["model"].simulate( - system_data[delay_io_model[num_transforms]["dependent_columns"]].iloc[ - windup_timesteps, : - ], - t=np.arange(0, len(system_data.index), 1)[windup_timesteps:], - u=transformed_forcing[windup_timesteps:], - ) - except Exception as e: # and print the exception: - print("Exception in simulation\n") - print(e) - print("diverged.") - error_metrics = { - "MAE": [np.nan], - "RMSE": [np.nan], - "NSE": [np.nan], - "alpha": [np.nan], - "beta": [np.nan], - "HFV": [np.nan], - "HFV10": [np.nan], - "LFV": [np.nan], - "FDC": [np.nan], - } - return { - "prediction": np.nan - * np.ones(shape=response[windup_timesteps + 1 :].shape), - "error_metrics": error_metrics, - "diverged": True, - } - - # return all the error metrics if the prediction is being evaluated against known measurements - if evaluation: - try: - mae = list() - rmse = list() - nse = list() - alpha = list() - beta = list() - hfv = list() - hfv10 = list() - lfv = list() - fdc = list() - for col_idx in range( - 0, len(response.columns) - ): # univariate performance metrics - error = ( - response.values[windup_timesteps + 1 :, col_idx] - - prediction[:, col_idx] - ) - - initial_error_length = len(error) - error = error[~np.isnan(error)] - if len(error) < 0.75 * initial_error_length: - print("WARNING: More than 25% of the entries in error were NaN") - - # print("error") - # print(error) - # nash sutcliffe efficiency between response and prediction - mae.append(np.mean(np.abs(error))) - rmse.append(np.sqrt(np.mean(error**2))) - # print("mean measured = ", np.mean(response.values[windup_timesteps+1:,col_idx] )) - # print("sum of squared error between measured and model = ", np.sum((error)**2 )) - # print("sum of squared error between measured and mean of measured = ", np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 )) - nse.append( - 1 - - np.sum((error) ** 2) - / np.sum( - ( - response.values[windup_timesteps + 1 :, col_idx] - - np.mean(response.values[windup_timesteps + 1 :, col_idx]) - ) - ** 2 - ) - ) - alpha.append( - np.std(prediction[:, col_idx]) - / np.std(response.values[windup_timesteps + 1 :, col_idx]) - ) - beta.append( - np.mean(prediction[:, col_idx]) - / np.mean(response.values[windup_timesteps + 1 :, col_idx]) - ) - hfv.append( - np.sum( - np.sort(prediction[:, col_idx])[ - -int(0.02 * len(system_data.index)) : - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.02 * len(system_data.index)) : - ] - ) - ) - hfv10.append( - np.sum( - np.sort(prediction[:, col_idx])[ - -int(0.1 * len(system_data.index)) : - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.1 * len(system_data.index)) : - ] - ) - ) - lfv.append( - np.sum( - np.sort(prediction[:, col_idx])[ - : int(0.3 * len(system_data.index)) - ] - ) - / np.sum( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - : int(0.3 * len(system_data.index)) - ] - ) - ) - fdc.append( - np.mean( - np.sort(prediction[:, col_idx])[ - -int(0.6 * len(system_data.index)) : -int( - 0.4 * len(system_data.index) - ) - ] - ) - / np.mean( - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ - -int(0.6 * len(system_data.index)) : -int( - 0.4 * len(system_data.index) - ) - ] - ) - ) - - print("MAE = ", mae) - print("RMSE = ", rmse) - - print("NSE = ", nse) - # alpha nse decomposition due to gupta et al 2009 - print("alpha = ", alpha) - print("beta = ", beta) - # top 2% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV = ", hfv) - # top 10% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV10 = ", hfv10) - # 30% low flow bias (LFV) due to yilmaz et al 2008 - print("LFV = ", lfv) - # bias of FDC midsegment slope due to yilmaz et al 2008 - print("FDC = ", fdc) - # compile all the error metrics into a dictionary - error_metrics = { - "MAE": mae, - "RMSE": rmse, - "NSE": nse, - "alpha": alpha, - "beta": beta, - "HFV": hfv, - "HFV10": hfv10, - "LFV": lfv, - "FDC": fdc, - } - # omit r2 here because it doesn't mean the same thing as it does for training, would be misleading. - # r2 in training expresses how much of the derivative is predicted by the model, whereas in evaluation it expresses how much of the response is predicted by the model - - return { - "prediction": prediction, - "error_metrics": error_metrics, - "diverged": False, - } - except Exception as e: # and print the exception: - print(e) - print("Simulation diverged.") - error_metrics = { - "MAE": [np.nan], - "RMSE": [np.nan], - "NSE": [np.nan], - "alpha": [np.nan], - "beta": [np.nan], - "HFV": [np.nan], - "HFV10": [np.nan], - "LFV": [np.nan], - "FDC": [np.nan], - "diverged": [True], - } - - return {"prediction": prediction, "error_metrics": error_metrics} - else: - error_metrics = { - "MAE": [np.nan], - "RMSE": [np.nan], - "NSE": [np.nan], - "alpha": [np.nan], - "beta": [np.nan], - "HFV": [np.nan], - "HFV10": [np.nan], - "LFV": [np.nan], - "FDC": [np.nan], - } - return { - "prediction": prediction, - "error_metrics": error_metrics, - "diverged": False, - } - - -### the functions below are for generating LTI systems directly from data (aka system identification) - - -# the function below returns an LTI system (in the matrices A, B, and C) that mimic the shape of a given gamma distribution -# scaling should be correct, but need to verify that -# max state dim, resolution, and max iterations could be icnrased to improve accuracy -def lti_from_gamma( - shape, - scale, - location, - dt=0, - desired_NSE=0.999, - verbose=False, - max_state_dim=50, - max_iterations=200, - max_pole_speed=5, - min_pole_speed=0.01, -): - # a pole of speed -5 decays to less than 1% of it's value after one timestep - # a pole of speed -0.01 decays to more than 99% of it's value after one timestep - - # i've assumed here that gamma pdf is defined the same as in matlab - # if that's not true testing will show it soon enough - t50 = shape * scale + location # center of mass - skewness = 2 / np.sqrt(shape) - total_time_base = ( - 2 * t50 - ) # not that this contains the full shape, but if we fit this much of the curve perfectly we'll be close enough - # resolution = (t50)/((skewness + location)) # make this coarser for faster debugging - resolution = (t50) / (10 * (skewness + location)) # production version - - # resolution = 1/ skewness - decay_rate = 1 / resolution - decay_rate = np.clip(decay_rate, min_pole_speed, max_pole_speed) - state_dim = int( - np.floor(total_time_base * decay_rate) - ) # this keeps the time base fixed for a given decay rate - if state_dim > max_state_dim: - state_dim = max_state_dim - decay_rate = state_dim / total_time_base - resolution = 1 / decay_rate - if state_dim < 1: - state_dim = 1 - decay_rate = state_dim / total_time_base - resolution = 1 / decay_rate - - decay_rate = np.clip(decay_rate, min_pole_speed, max_pole_speed) - - if verbose: - print("state dimension is ", state_dim) - print("decay rate is ", decay_rate) - print("total time base is ", total_time_base) - print("resolution is", resolution) - - # make the timestep one so that the relative error is correct (dt too small makes error bigger than written) - # t = np.linspace(0,3*total_time_base,1000) - # desired_error = desired_error / dt - """ - if dt > 0: # true if numeric - t = np.arange(0,2*total_time_base,dt) - else: - t= np.linspace(0,2*total_time_base,num=200) - """ - t = np.linspace(0, 2 * total_time_base, num=200) - - # if verbose: - # print("dt is ",dt) - # print("scaled desired error is ",desired_error) - - gam = stats.gamma.pdf(t, shape, location, scale) - - # A is a cascade with the appropriate decay rate - A = decay_rate * np.diag(np.ones((state_dim - 1)), -1) - decay_rate * np.diag( - np.ones((state_dim)), 0 - ) - # influence enters at the top state only - B = np.concatenate((np.ones((1, 1)), np.zeros((state_dim - 1, 1)))) - # contributions of states to the output will be scaled to match the gamma distribution - C = np.ones((1, state_dim)) * max(gam) - lti_sys = control.ss(A, B, C, 0) - - lti_approx = control.impulse_response(lti_sys, t) - """ - error = np.sum(np.abs(gam - lti_approx.y)) - if(verbose): - print("initial error") - print(error) - #print("desired error") - #print(max(gam)) - #print(desired_error) - """ - NSE = 1 - ( - np.sum(np.square(gam - lti_approx.y)) / np.sum(np.square(gam - np.mean(gam))) - ) - # if NSE is nan, set to -10e6 - if np.isnan(NSE): - NSE = -10e6 - - if verbose: - print("initial NSE") - print(NSE) - print("desired NSE") - print(desired_NSE) - - iterations = 0 - - speeds = [10, 5, 2, 1.1, 1.05, 1.01, 1.001] - speed_idx = 0 - leap = speeds[speed_idx] - # the area under the curve is normalized to be one. so rather than basing our desired error off the - # max of the distribution, it might be better to make it a percentage error, one percent or five percent - while NSE < desired_NSE and iterations < max_iterations: - - og_was_best = ( - True # start each iteration assuming that the original is the best - ) - # search across the C vector - for i in range( - C.shape[1] - 1, int(-1), int(-1) - ): # accross the columns # start at the end and come back - # for i in range(int(0),C.shape[1],int(1)): # accross the columns, start at the beginning and go forward - - og_approx = control.ss(A, B, C, 0) - og_y = np.ndarray.flatten(control.impulse_response(og_approx, t).y) - og_error = np.sum(np.abs(gam - og_y)) - og_NSE = 1 - (np.sum((gam - og_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2)) - - Ctwice = np.array(C, copy=True) - Ctwice[0, i] = leap * C[0, i] - twice_approx = control.ss(A, B, Ctwice, 0) - twice_y = np.ndarray.flatten(control.impulse_response(twice_approx, t).y) - np.sum(np.abs(gam - twice_y)) - twice_NSE = 1 - ( - np.sum((gam - twice_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) - ) - - Chalf = np.array(C, copy=True) - Chalf[0, i] = (1 / leap) * C[0, i] - half_approx = control.ss(A, B, Chalf, 0) - half_y = np.ndarray.flatten(control.impulse_response(half_approx, t).y) - np.sum(np.abs(gam - half_y)) - half_NSE = 1 - ( - np.sum((gam - half_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) - ) - """ - Cneg = np.array(C,copy=True) - Cneg[0,i] = -C[0,i] - neg_approx = control.ss(A,B,Cneg,0) - neg_y = np.ndarray.flatten(control.impulse_response(neg_approx,t).y) - neg_error = np.sum(np.abs(gam - neg_y)) - neg_NSE = 1 - (np.sum((gam - neg_y)**2) / np.sum((gam - np.mean(gam))**2)) - """ - faster = np.array(A, copy=True) - faster[i, i] = A[i, i] * leap # faster decay - if abs(faster[i, i]) < abs(max_pole_speed): - if ( - i > 0 - ): # first reservoir doesn't receive contribution from another reservoir. want to keep B at 1 for scaling - faster[i, i - 1] = A[i, i - 1] * leap # faster rise - faster_approx = control.ss(faster, B, C, 0) - faster_y = np.ndarray.flatten( - control.impulse_response(faster_approx, t).y - ) - np.sum(np.abs(gam - faster_y)) - faster_NSE = 1 - ( - np.sum((gam - faster_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) - ) - else: - faster_NSE = -10e6 # disallowed because the pole is too fast - - slower = np.array(A, copy=True) - slower[i, i] = A[i, i] / leap # slower decay - if abs(slower[i, i]) > abs(min_pole_speed): - if i > 0: - slower[i, i - 1] = A[i, i - 1] / leap # slower rise - slower_approx = control.ss(slower, B, C, 0) - slower_y = np.ndarray.flatten( - control.impulse_response(slower_approx, t).y - ) - np.sum(np.abs(gam - slower_y)) - slower_NSE = 1 - ( - np.sum((gam - slower_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) - ) - else: - slower_NSE = -10e6 # disallowed because the pole is too slow - - # all_errors = [og_error, twice_error, half_error, faster_error, slower_error] - all_NSE = [ - og_NSE, - twice_NSE, - half_NSE, - faster_NSE, - slower_NSE, - ] # , neg_NSE] - - if twice_NSE >= max(all_NSE) and twice_NSE > og_NSE: - C = Ctwice - if twice_NSE > 1.001 * og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - elif half_NSE >= max(all_NSE) and half_NSE > og_NSE: - C = Chalf - if half_NSE > 1.001 * og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - - elif slower_NSE >= max(all_NSE) and slower_NSE > og_NSE: - A = slower - if slower_NSE > 1.001 * og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - elif faster_NSE >= max(all_NSE) and faster_NSE > og_NSE: - A = faster - if faster_NSE > 1.001 * og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - """ - elif (neg_NSE >= max(all_NSE) and neg_NSE > og_NSE): - C = Cneg - if neg_NSE > 1.001*og_NSE: - og_was_best = False - """ - - NSE = og_NSE - error = og_error - iterations += 1 # this shouldn't be the termination condition unless the resolution is too coarse - # normally the optimization should exit because the leap has become too small - if ( - og_was_best - ): # the original was the best, so we're going to tighten up the optimization - speed_idx += 1 - if speed_idx > len(speeds) - 1: - break # we're done - leap = speeds[speed_idx] - # print the iteration count every ten - # comment out for production - if iterations % 2 == 0 and verbose: - print("iterations = ", iterations) - print("error = ", error) - print("NSE = ", NSE) - print("leap = ", leap) - - lti_approx = control.ss(A, B, C, 0) - y = np.ndarray.flatten(control.impulse_response(og_approx, t).y) - error = np.sum(np.abs(gam - og_y)) - print("LTI_from_gamma final NSE") - print(NSE) - if verbose: - print("final system\n") - print("A") - print(A) - print("B") - print(B) - print("C") - print(C) - - print("\nfinal error") - print(error) - - # are any of the final eigenvalues outside the bounds specified? - E = np.linalg.eigvals(A) - if np.any(np.abs(E) > max_pole_speed) or np.any(np.abs(E) < min_pole_speed): - print("WARNING: final eigenvalues are outside the bounds specified") - - return { - "lti_approx": lti_approx, - "lti_approx_output": y, - "error": error, - "t": t, - "gamma_pdf": gam, - } - - -# this function takes the system data and the causative topology and returns an LTI system -# if the causative topology isn't already defined, it needs to be created using infer_causative_topology -def lti_system_gen( - causative_topology, - system_data, - independent_columns, - dependent_columns, - max_iter=250, - swmm=False, - bibo_stable=False, - max_transition_state_dim=50, - max_transforms=1, - early_stopping_threshold=0.005, -): - - # cast the columns and indices of causative_topology to strings so sindy can run properly - # We need the tuples to link the columns in system_data to the object names in the swmm model - # so we'll cast these back to tuples once we're done - if swmm: - causative_topology.columns = causative_topology.columns.astype(str) - causative_topology.index = causative_topology.index.astype(str) - - print("causative topology \n") - print(causative_topology.index) - print(causative_topology.columns) - - # do the same for dependent_columns and independent_columns - dependent_columns = [str(col) for col in dependent_columns] - independent_columns = [str(col) for col in independent_columns] - print(dependent_columns) - print(independent_columns) - - # do the same for the columns of system_data - system_data.columns = system_data.columns.astype(str) - print(system_data.columns) - - A = pd.DataFrame(index=dependent_columns, columns=dependent_columns) - B = pd.DataFrame(index=dependent_columns, columns=independent_columns) - C = pd.DataFrame(index=dependent_columns, columns=dependent_columns) - C.loc[:, :] = np.diag( - np.ones(len(dependent_columns)) - ) # these are the states which are observable - - # copy the corresponding entries from the causative topology into B - for row in B.index: - for col in B.columns: - B.loc[row, col] = causative_topology.loc[row, col] - # and into A - for row in A.index: - for col in A.columns: - A.loc[row, col] = causative_topology.loc[row, col] - - print("A") - print(A) - print("B") - print(B) - print("C") - print(C) - # use transform_only when calling delay_io_train to only train transfomrations for connections marked "d" - # train a MISO model for each output - delay_models: dict[Any, Any] = {key: None for key in dependent_columns} - - for row in A.index: - immediate_forcing = [] - delayed_forcing = [] - for col in A.columns: - if col == row: - continue # don't need to include the output state as a forcing variable. it's already included by default - if A[col][row] == "d": - delayed_forcing.append(col) - elif A[col][row] == "i": - immediate_forcing.append(col) - for col in B.columns: - if B[col][row] == "d": - delayed_forcing.append(col) - elif B[col][row] == "i": - immediate_forcing.append(col) - # make total_forcing the union of immediate and delayed forcing - total_forcing = immediate_forcing + delayed_forcing - feature_names = [row] + total_forcing - if delayed_forcing: - print( - "training delayed model for ", - row, - " with forcing ", - total_forcing, - "\n", - ) - delay_models[row] = delay_io_train( - system_data, - [row], - total_forcing, - transform_only=delayed_forcing, - max_transforms=max_transforms, - poly_order=1, - max_iter=max_iter, - verbose=False, - bibo_stable=bibo_stable, - ) - # we'll parse this delayed causation into the matrices A, B, and C later - else: - ####### TODO: incorporate bibo stability constraint into instantaneous fits ######## - print( - "training immediate model for ", - row, - " with forcing ", - total_forcing, - "\n", - ) - delay_models[row] = None - # we can put immediate causation into the matrices A, B, and C now - - if bibo_stable: # negative autocorrelatoin - # Figure out how many library features there will be - library = ps.PolynomialLibrary( - degree=1, include_bias=False, include_interaction=False - ) - # total_train = pd.concat((response,forcing), axis='columns') - # fit on a dummy (2, n_features) array; 2 rows is the minimum pysindy requires - library.fit(np.zeros((2, len(feature_names)))) - n_features = library.n_output_features_ - # print(f"Features ({n_features}):", library.get_feature_names()) - # Set constraints - # n_targets = total_train.shape[1] # not sure what targets means after reading through the pysindy docs - # print("n_targets") - # print(n_targets) - constraint_rhs = np.zeros(1) - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((1, n_features)) - - # print(constraint_rhs) - # print(constraint_lhs) - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - constraint_lhs[:, 0] = 1 - - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary( - degree=1, include_bias=False, include_interaction=False - ), - optimizer=_ConstrainedSR3( - reg_weight_lam=0, - regularizer="l2", - constraint_lhs=constraint_lhs, - constraint_rhs=constraint_rhs, - inequality_constraints=True, - ), - ) - - else: # unoconstrained - model = ps.SINDy( - differentiation_method=ps.FiniteDifference( - order=10, drop_endpoints=True - ), - feature_library=ps.PolynomialLibrary( - degree=1, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - if system_data.loc[ - :, immediate_forcing - ].empty: # the subsystem is autonomous - instant_fit = model.fit( - x=system_data.loc[:, row], t=np.arange(0, len(system_data.index), 1) - ) - instant_fit.print(precision=3) - print( - "Training r2 = ", - instant_fit.score( - x=system_data.loc[:, row], - t=np.arange(0, len(system_data.index), 1), - ), - ) - print(instant_fit.coefficients()) - else: # there is some forcing - # instant_fit = model.fit(x = system_data.loc[:,row] ,t = system_data.index.values, u = system_data.loc[:,immediate_forcing]) # sindy can't take datetime indices - instant_fit = model.fit( - x=system_data.loc[:, row], - t=np.arange(0, len(system_data.index), 1), - u=system_data.loc[:, immediate_forcing], - ) - instant_fit.print(precision=3) - print( - "Training r2 = ", - instant_fit.score( - x=system_data.loc[:, row], - t=np.arange(0, len(system_data.index), 1), - u=system_data.loc[:, immediate_forcing], - ), - ) - print(instant_fit.coefficients()) - for idx in range(len(feature_names)): - if feature_names[idx] in A.columns: - A.loc[row, feature_names[idx]] = instant_fit.coefficients()[0][idx] - elif feature_names[idx] in B.columns: - B.loc[row, feature_names[idx]] = instant_fit.coefficients()[0][idx] - else: - print("couldn't find a column for ", feature_names[idx]) - # print("updated A") - # print(A) - # print("updated B") - # print(B) - - original_A = A.copy(deep=True) - # now, parse the delay models into the A, B, and C matrices - # the changes will be as follows: - # the A matrix will have matrices of the form [B_gam, A_gam; 0 , C_gam] inserted into it - # where X_gam are the matrices generated by the lti_from_gamma function to represent the delayed causation shape - # the B and C matrices will just have zeros inserted into them to maintain compatible dimensions - # none of these cascades are observable or directly receive input. - for row in original_A.index: - if delay_models[row] is None: - pass - else: # we want the model with the most transformations where the last trnasformation added at least 0.5% to the R2 score - for num_transforms in range(1, max_transforms + 1): - if num_transforms == 1: - optimal_number_transforms = num_transforms - elif ( - delay_models[row][num_transforms]["final_model"]["error_metrics"][ - "r2" - ] - - delay_models[row][num_transforms - 1]["final_model"][ - "error_metrics" - ]["r2"] - < early_stopping_threshold - ): - optimal_number_transforms = num_transforms - 1 - break # improvement is too small to justify additional complexity - else: - optimal_number_transforms = ( - num_transforms # the most recent one was worth it - ) - - transformation_approximations: dict[Any, Any] = { - transform_key: None - for transform_key in delay_models[row][optimal_number_transforms][ - "shape_factors" - ].columns - } - for transform_key in transformation_approximations.keys(): # which input - for idx in range( - 1, optimal_number_transforms + 1 - ): # which transformation - print("variable = ", transform_key, ", transformation = ", idx) - delay_models[row][optimal_number_transforms]["final_model"][ - "model" - ].print(precision=5) - shape = delay_models[row][optimal_number_transforms][ - "shape_factors" - ].loc[idx, transform_key] - scale = delay_models[row][optimal_number_transforms][ - "scale_factors" - ].loc[idx, transform_key] - loc = delay_models[row][optimal_number_transforms][ - "loc_factors" - ].loc[idx, transform_key] - """ - # infer the timestep of system_data from the index - timestep = system_data.index[1] - system_data.index[0] - try: # if the timestep is numeric - pd.to_numeric(timestep) - transformation_approximations[transform_key] = lti_from_gamma(shape,scale,loc,dt=timestep) - - Agam = transformation_approximations[transform_key]['lti_approx'].A / timestep - Bgam = transformation_approximations[transform_key]['lti_approx'].B / timestep - Cgam = transformation_approximations[transform_key]['lti_approx'].C / timestep - except Exception as e: # if the timestep is something like a datetime - print(e)""" - # this will get overwritten if we use more than one transformation per input. i think that's okay. - transformation_approximations[transform_key] = lti_from_gamma( - shape, scale, loc, max_state_dim=max_transition_state_dim - ) - - Agam = transformation_approximations[transform_key]["lti_approx"].A - Bgam = transformation_approximations[transform_key][ - "lti_approx" - ].B # only entry is unit impulse at top state - Cgam = transformation_approximations[transform_key]["lti_approx"].C - - tr_string = str("_tr_" + str(idx)) - - # Cgam needs to be scaled by the coefficient the forcing term had in the delay model - # coefficients = {coef_key: None for coef_key in delay_models[row][1]['final_model']['model'].feature_names} - coefficients = { - coef_key: None - for coef_key in delay_models[row][optimal_number_transforms][ - "final_model" - ]["model"].feature_names - } - for coef_key in coefficients.keys(): - coef_index = delay_models[row][optimal_number_transforms][ - "final_model" - ]["model"].feature_names.index(coef_key) - coefficients[coef_key] = delay_models[row][ - optimal_number_transforms - ]["final_model"]["model"].coefficients()[0][coef_index] - # if "_tr_1" in coef_key and coef_key.replace("_tr_1","") == transform_key.replace("_tr_1",""): - if tr_string in coef_key and coef_key.replace( - tr_string, "" - ) == transform_key.replace(tr_string, ""): - """ - try: - pd.to_numeric(timestep,errors='raise') - Cgam = Cgam * coefficients[coef_key] / timestep - except Exception as e: - print(e) - Cgam = Cgam * coefficients[coef_key] - """ - - Cgam = Cgam * coefficients[coef_key] # scaling - else: # these are the immediate effects, insert them now - if coef_key in A.columns: - A.loc[row, coef_key] = coefficients[coef_key] - elif coef_key in B.columns: - B.loc[row, coef_key] = coefficients[coef_key] - - Agam_index = [] - for agam_idx in range(Agam.shape[0]): - # Agam_index.append(transform_key.replace("_tr_1","") + "->" + row + "_" + str(idx)) - Agam_index.append( - transform_key.replace(tr_string, "") - + "->" - + row - + tr_string - + "_" - + str(agam_idx) - ) - Agam = pd.DataFrame(Agam, index=Agam_index, columns=Agam_index) - Bgam = pd.DataFrame( - Bgam, - index=Agam_index, - columns=[transform_key.replace(tr_string, "")], - ) - Cgam = pd.DataFrame(Cgam, index=[row], columns=Agam_index) - # print("Agam") - # print(Agam) - # print("Bgam") - # print(Bgam) - # print("Cgam") - # print(Cgam) - # insert these into the A, B, and C matrices - # for Agam, the insertion row is immediately after the source (key) - # the insertion column is also immediately after the source (key) - - ### everything below this point is garbage. not performing at all as desired at the moment - - # first need to create space for the new rows and columns - # create before_index and after_index variables, which record the parts of the index of A that occur before and after row - before_index = [] - # after_index = [] - # if transform_key.replace("_tr_1","") not in A.index: # it's one of the forcing terms. put it in at the beginning - if ( - transform_key.replace(tr_string, "") not in A.index - ): # it's one of the forcing terms. put it in at the beginning - after_index = list( - A.index - ) # it's a forcing variable, so we don't want it in the newA index - else: # it is a state variable - # before_index = list(A.index[:A.index.get_loc(transform_key.replace("_tr_1",""))]) - before_index = list( - A.index[ - : A.index.get_loc(transform_key.replace(tr_string, "")) - ] - ) - - # after_index = list(A.index[A.index.get_loc(transform_key.replace("_tr_1",""))+1:]) - after_index = list( - A.index[ - A.index.get_loc(transform_key.replace(tr_string, "")) - + 1 : - ] - ) - - """ - for idx in A.index: - if idx == key.replace("_tr_1",""): - before_index.append(idx) # if it's a state variable, we want it in the newA index - break - else: - before_index.append(idx) - for idx in range(A.index.get_loc(key.replace("_tr_1",""))+1,len(A.index)): - after_index.append(A.index[idx]) - """ - # if transform_key.replace("_tr_1","") in A.index: # the transform key refers to a state (x) - if transform_key.replace(tr_string, "") in A.index: - # states = before_index + [transform_key.replace("_tr_1","")] + Agam_index + after_index # state dim expands by the number of rows in Agam - states = ( - before_index - + [transform_key.replace(tr_string, "")] - + Agam_index - + after_index - ) # state dim expands by the number of rows in Agam - # include the current transform key in A because it's a state variable - # elif transform_key.replace("_tr_1","") in B.columns: # the transform key refers to a control input (u) - elif ( - transform_key.replace(tr_string, "") in B.columns - ): # the transform key refers to a control input (u) - states = ( - before_index + Agam_index + after_index - ) # state dim expands by the number of rows in Agam - # don't include the current transform key in A because it's a control input, not a state variable - - newA = pd.DataFrame(index=states, columns=states) - newB = pd.DataFrame( - index=states, columns=B.columns - ) # input dim remains consistent (columns of B) - newC = pd.DataFrame( - index=C.index, columns=states - ) # output dim remains consistent (rows of C) - - # fill in newA with the corresponding entries from A - for idx in newA.index: - for col in newA.columns: - if ( - idx in A.index and col in A.columns - ): # if it's in the original A matrix, copy it over - newA.loc[idx, col] = A.loc[idx, col] - if ( - idx in Agam.index and col in Agam.columns - ): # if it's in Agam, copy it over - newA.loc[idx, col] = Agam.loc[idx, col] - if ( - idx in Bgam.index and col in Bgam.columns - ): # the input to the cascade is a state - newA.loc[idx, col] = Bgam.loc[idx, col] - - for idx in newB.index: - for col in newB.columns: - if ( - idx in B.index and col in B.columns - ): # if it's in the original B matrix, copy it over - newB.loc[idx, col] = B.loc[idx, col] - if ( - idx in Bgam.index and col in Bgam.columns - ): # the input to the cascade is a forcing term - newB.loc[idx, col] = Bgam.loc[idx, col] - - for idx in newC.index: - for col in newC.columns: - if ( - idx in C.index and col in C.columns - ): # if it's in the original C matrix, copy it over - newC.loc[idx, col] = C.loc[idx, col] - if ( - idx in Cgam.index and col in Cgam.columns - ): # outputs from the cascades - newA.loc[idx, col] = Cgam.loc[idx, col] - - # print("newA") - # print(newA.to_string()) - # print("newB") - # print(newB.to_string()) - # print("newC") - # print(newC.to_string()) - - # copy over - A = newA.copy(deep=True) - B = newB.copy(deep=True) - C = newC.copy(deep=True) - - A.replace("n", 0.0, inplace=True) - B.replace("n", 0.0, inplace=True) - C.replace("n", 0.0, inplace=True) - - if swmm: - pass - ############# - # TODO: cast strings back to tuples in the indices and columns - ############# - # cast the index and columns of causative_topology to tuples. they'll be of the form "(X,Y)" - - # do the same for dependent_columns and independent_columns - - # do the same for the columns of system_data - - A = A.apply(pd.to_numeric, errors="coerce").fillna(0.0) - B = B.apply(pd.to_numeric, errors="coerce").fillna(0.0) - C = C.apply(pd.to_numeric, errors="coerce").fillna(0.0) - - # if bibo_stable is specified and A not hurwitz, make A hurwitz by defining A' = A - I*max(real(eig(A))) - # this will gaurantee stability (max eigenvalue will have real part < 0) - if bibo_stable: - orig_eigs, _ = np.linalg.eig(A) - if any(np.real(orig_eigs) > 0): - print("stabilizing unstable plant by subtracting I*max(real(eig)) from A") - epsilon = 10e-4 - A_stab = A - np.eye(len(A)) * (1 + epsilon) * max( - np.real(orig_eigs) - ) # add factor of (1+epsilon) for stability, not marginal stabilty - stab_eigs, _ = np.linalg.eig(A_stab) - A = A_stab.copy(deep=True) - - # sindy will scale the coefficients according to the timestep if the index is numeric - # so the whole system needs to be scaled by the timestep if its numeric - try: - pd.to_numeric( - system_data.index, errors="raise" - ) # can the index be converted to a numeric type? - dt = system_data.index.values[1] - system_data.index.values[0] - A = A / dt - B = B / dt - C = C # what we observe doesn't need to be adjusted, just the dynamics - print("system response data index converted to numeric type. dt = ") - print(dt) - except Exception as e: - print(e) - dt = None - - # cast all of A, B, and C to type float (integers cause issues with LQR / LQE calculations) - A = A.astype(float) - B = B.astype(float) - C = C.astype(float) - - lti_sys = control.ss( - A, B, C, 0, inputs=B.columns, outputs=C.index, states=A.columns - ) - - # returning the matrices too because control.ss strips the labels from the pandas dataframes and stores them as numpy matrices - return {"system": lti_sys, "A": A, "B": B, "C": C} - - -def find_topology_no_geo( - system_data, - dependent_columns, - independent_columns, - max_iterations=250, - graph_type="Weak-Conn", - verbose=False, - sensor_locations=None, - init_neighbors=3, -): - """ - Infer network topology from time series data using SINDy-based optimization. - - Args: - system_data: pd.DataFrame with time series data, columns are variables - dependent_columns: list of column names that are dependent variables - independent_columns: list of column names that are independent/forcing variables - max_iterations: maximum iterations for optimization - graph_type: type of graph connectivity requirement ('Weak-Conn') - verbose: whether to print detailed output - sensor_locations: optional dict mapping column names to {"lat": float, "lon": float}. - If provided, uses geographic filtering to reduce computation by only evaluating - nearby sensors as potential forcings. Format: {"station_A": {"lat": 41.5, "lon": -74.5}, ...} - init_neighbors: initial number of nearest neighbors to evaluate when sensor_locations - is provided (default: 3). Ignored if sensor_locations is None. - - Returns: - dict with keys: "edges", "best_params", "r2_values", "lead_lag" - """ - - # only print 3 places past the decimal for floats. don't use scientific notation. if less than 0.001, print as <0.001 - pd.options.display.float_format = "{:.3f}".format - - # Helper function to find the lag with strongest cross-correlation - def cross_correlation_lag(x, y, max_lag): - """Find the lag with strongest cross-correlation between x and y. - - Returns: - best_lag: Positive lag means x leads y (x happens before y) - Negative lag means y leads x (y happens before x) - best_corr: The correlation coefficient at best_lag - """ - best_lag, best_corr = 0, -2 - for lag in range(-max_lag, max_lag + 1): - if lag < 0: - xs = x.iloc[-lag:] - ys = y.iloc[: len(xs)] - elif lag > 0: - ys = y.iloc[lag:] - xs = x.iloc[: len(ys)] - else: - xs, ys = x, y - if len(xs) < 5 or xs.std() == 0 or ys.std() == 0: - continue - c = np.corrcoef(xs, ys)[0, 1] - if np.isnan(c): - continue - if c > best_corr: - best_corr, best_lag = c, lag - return best_lag, best_corr - - # drop columns from system_data which aren't in dependent_columns or independent_columns - # this ensures we only analyze the variables of interest - system_data = pd.concat( - (system_data[independent_columns], system_data[dependent_columns]), - axis="columns", - ) - - # Store results for each column pair - best_params = pd.DataFrame( - index=dependent_columns, columns=system_data.columns, dtype=object - ) - r2_values = pd.DataFrame( - index=dependent_columns, columns=system_data.columns, dtype=float - ) - lead_lag = pd.DataFrame( - index=dependent_columns, columns=system_data.columns, dtype=float - ) - edges = pd.DataFrame( - index=system_data.columns, columns=system_data.columns, dtype=int, data=0 - ) # from column, to row. causation, not flow. - - for dep_col in dependent_columns: - _ = np.array(system_data[dep_col].values) - - # First, compute autocorrelation-only R² (no external forcing) - # This tells us how much of the dynamics can be explained by the state alone - # print(f"\nComputing autocorrelation R² for {dep_col}") - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(order=10, drop_endpoints=True), - feature_library=ps.PolynomialLibrary( - degree=2, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - # Fit with no control input (u=None), just the state - fit = model.fit( - x=system_data.loc[:, dep_col], - t=np.arange(0, len(system_data.index), 1), - feature_names=[dep_col], - ) - auto_r2 = fit.score( - x=system_data.loc[:, dep_col], t=np.arange(0, len(system_data.index), 1) - ) - r2_values.loc[dep_col, dep_col] = auto_r2 - # print(f" Autocorrelation R² for {dep_col}: {auto_r2:.4f}") - # try: - # model.print() - # except Exception as e: - # print(e) - - for forcing_col in system_data.columns: - if forcing_col == dep_col: - continue # already computed autocorrelation above - - # EXPERIMENTAL: Check lead/lag before expensive SISO optimization - # Skip if forcing doesn't lead response (comment out to disable this check) - max_lag_check = min(len(system_data) // 4, 100) - early_lag, early_xcorr = cross_correlation_lag( - system_data[forcing_col], system_data[dep_col], max_lag_check - ) - if early_lag < -5: - print( - f"\nSkipping {forcing_col} -> {dep_col}: forcing lags response (lag={early_lag})" - ) - lead_lag.loc[dep_col, forcing_col] = early_lag - r2_values.loc[dep_col, forcing_col] = 0.0 - best_params.loc[dep_col, forcing_col] = ( - 2.0, - 2.0, - 0.0, - ) # default params - continue - # END EXPERIMENTAL - - print(f"\nOptimizing transformation for {forcing_col} -> {dep_col}") - forcing_orig = system_data[[forcing_col]].copy(deep=True) - - # Objective function to minimize (negative because we want to maximize correlation - p_value) - def objective(params): - shape, scale, loc = params - - # Create transformation parameter DataFrames - shape_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - shape_factors.loc[1, forcing_col] = shape - scale_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - scale_factors.loc[1, forcing_col] = scale - loc_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - loc_factors.loc[1, forcing_col] = loc - - try: - # build the candidate input set - # selected_inputs = list(edges.loc[output_variable, edges.loc[output_variable,:] == 1].index) - # candidate_inputs = selected_inputs + [forcing_variable] - # build the transformed timeseries for these candidate inputs using the best transformation parameters found earlier - transformed_inputs = pd.DataFrame(index=system_data.index) - """ - for input_var in candidate_inputs: - shape, scale, loc = best_params.loc[output_variable, input_var] - shape_factors = pd.DataFrame(columns=[input_var], index=[1]) - shape_factors.loc[1, input_var] = shape - scale_factors = pd.DataFrame(columns=[input_var], index=[1]) - scale_factors.loc[1, input_var] = scale - loc_factors = pd.DataFrame(columns=[input_var], index=[1]) - loc_factors.loc[1, input_var] = loc - forcing_orig = system_data[[input_var]].copy() - transformed = transform_inputs(shape_factors, scale_factors, loc_factors, - system_data.index, forcing_orig) - transformed_inputs = pd.concat((transformed_inputs, transformed[[input_var + "_tr_1"]]), axis='columns') - """ - # SINDY way - transformed = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing_orig, - ) - transformed_inputs = pd.concat( - (transformed_inputs, transformed[[forcing_col + "_tr_1"]]), - axis="columns", - ) - # build a sindy model with these inputs - # feature_names = [output_variable] + candidate_inputs - feature_names = [dep_col, str(forcing_col + "_tr_1")] - model = ps.SINDy( - differentiation_method=ps.FiniteDifference( - order=10, drop_endpoints=True - ), - feature_library=ps.PolynomialLibrary( - degree=2, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - # fit = model.fit(x = system_data.loc[:,output_variable] ,t = np.arange(0,len(system_data.index),1) , u = transformed_inputs, - # feature_names = feature_names) - fit = model.fit( - x=system_data.loc[:, dep_col], - u=transformed_inputs, - t=np.arange(0, len(system_data.index), 1), - feature_names=feature_names, - ) - r2 = fit.score( - x=system_data.loc[:, dep_col], - u=transformed_inputs, - t=np.arange(0, len(system_data.index), 1), - ) - # model.print(precision=5) - - """ - # polynomial regression way (might be faster than sindy, doesn't consider autocorrelation) - _ = np.array(transformed[forcing_col + "_tr_1"].values) - - - # fourth order polynomial regression between transformed forcing and derivative of response - coeffs = np.polyfit(forcing, np.gradient(response), 4) - r_value_poly = np.corrcoef(np.polyval(coeffs, forcing), np.gradient(response))[0, 1] - - # r^2 likely makes more sense as our criterion. - r2 = sklearn.metrics.r2_score(np.gradient(response), np.polyval(coeffs, forcing)) - """ - - return -r2 # Negative because minimize - except Exception as e: - # if e contains any letters or numbers, print it for debugging - if any(c.isalnum() for c in str(e)): - if verbose: - print(f"Exception in objective function: {e}") - - return 1e10 # Large penalty for invalid parameters - - # Initial guess and bounds - x0 = [2.0, 2.0, 0.0] - bounds = [(1.0, 300.0), (1e-5, 300.0), (0, 300.0)] # shape, scale, loc - - # Optimize - # result = minimize(objective, x0, method='Nelder-Mead', - # options={'maxiter': 5, 'disp': verbose}) - # optimize using a method that supports bounds - result = minimize( - objective, - x0, - method="Nelder-Mead", - bounds=bounds, - options={"maxiter": max_iterations, "disp": verbose, "fatol": 1e-4}, - ) - # can use 'fatol' keyword argument to set convergence tolerance if speedup is desired. - # I'm worried about losing accuracy with that though. - - # result = minimize(objective, x0, method='trust-constr', bounds=bounds, - # options={'maxiter': max_iterations, 'disp': verbose}) - # L-BFGS-B did not get nearly as good of results as Nelder-Mead in testing. maybe there are local minima in the objective. - # trust-constr was also worse than nelder-mead. - # Store best results - best_shape, best_scale, best_loc = result.x - - # Compute final correlation and p_value with best parameters - shape_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - shape_factors.loc[1, forcing_col] = best_shape - scale_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - scale_factors.loc[1, forcing_col] = best_scale - loc_factors = pd.DataFrame(columns=[forcing_col], index=[1]) - loc_factors.loc[1, forcing_col] = best_loc - - transformed = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing_orig, - ) - _ = np.array(transformed[forcing_col + "_tr_1"].values) - feature_names = [dep_col, forcing_col] - model = ps.SINDy( - differentiation_method=ps.FiniteDifference( - order=10, drop_endpoints=True - ), - feature_library=ps.PolynomialLibrary( - degree=2, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - fit = model.fit( - x=system_data.loc[:, dep_col], - t=np.arange(0, len(system_data.index), 1), - u=transformed, - feature_names=feature_names, - ) - # evaluate the r2 score - r2 = fit.score( - x=system_data.loc[:, dep_col], - t=np.arange(0, len(system_data.index), 1), - u=transformed, - ) - try: - model.print() - except Exception as e: - print(e) - - r2_values.loc[dep_col, forcing_col] = r2 - - # Compute cross-correlation lag between forcing and response - # Use max_lag of 1/4 of the data length, capped at 100 - max_lag = min(len(system_data) // 4, 100) - best_lag, best_xcorr = cross_correlation_lag( - system_data[forcing_col], system_data[dep_col], max_lag - ) - lead_lag.loc[dep_col, forcing_col] = best_lag - - print(f"\nOptimizing transformation for {forcing_col} -> {dep_col}") - print( - f" BEST: shape={best_shape:.2f}, scale={best_scale:.2f}, loc={best_loc:.2f}" - ) - print(f" Cross-correlation: lag={best_lag}, corr={best_xcorr:.4f}") - # save the best parameters - best_params.loc[dep_col, forcing_col] = (best_shape, best_scale, best_loc) - - print("R2 Values:") - print(r2_values) - print("\n") - - print("Final SISO R2 Values:") - print(r2_values) - current_best_r2 = pd.Series(index=dependent_columns, dtype=float, data=0.0) - print("Lead/Lag Matrix: (positive lag means forcing leads response)") - print(lead_lag) - - # OPTION A: Mask r2 values by nonnegative lead/lag (forcing must lead response) - # This is applied AFTER SISO optimization - use this if not skipping early - # r2_values = r2_values.mask(lead_lag < 0, 0) - # print("Masked R2 Values (only forcing leads response):") - # print(r2_values) - - # OPTION B: Early skip is done above in the SISO loop - r2_values already has 0s for skipped pairs - - # first identify the maximum r^2 value in each row. we know these will be included in the final topology - # with an exception: if we form a cycle with these initial edges, remove the lowest r^2 edge in the cycle - # for dep_col in dependent_columns: - # forcing_col = r2_values.loc[dep_col,:].idxmax() - # edges.loc[dep_col,forcing_col] = 1 - # current_best_r2[dep_col] = r2_values.loc[dep_col,forcing_col] - - # try a different method of picking initial edges - # find the n_columns edges in r2_values with the highest r^2 values - # if they are the maximum in their row and column, include them - sorted_r2 = r2_values.stack().sort_values(ascending=False) - for idx in sorted_r2.index: - dep_col = idx[0] - forcing_col = idx[1] - r2 = r2_values.loc[dep_col, forcing_col] - # is this the maximum in its row and column? (strongest connection for giver and receiver) - if ( - r2 == r2_values.loc[dep_col, :].max() - and r2 == r2_values.loc[:, forcing_col].max() - ): - edges.loc[dep_col, forcing_col] = 1 - current_best_r2[dep_col] = r2_values.loc[dep_col, forcing_col] - print(f"Initial edge added: {forcing_col} -> {dep_col} with r^2 = {r2:.4f}") - - # check for cycles and remove them iteratively - G = nx.from_pandas_adjacency(edges, create_using=nx.DiGraph) - while True: - try: - # find_cycle returns a list of edges forming ONE cycle: [(u, v, dir), (v, w, dir), ...] - cycle_edges = list(nx.find_cycle(G, orientation="original")) - if len(cycle_edges) == 0: - break - - print( - f"Found cycle with {len(cycle_edges)} edges. Removing lowest r^2 edge." - ) - print(f"Cycle edges: {[(e[0], e[1]) for e in cycle_edges]}") - - # find the edge with the lowest r^2 in the cycle - min_r2 = float("inf") - edge_to_remove = None - for edge in cycle_edges: - from_node = edge[0] # source node - to_node = edge[1] # target node - # In our adjacency matrix, edges.loc[row, col] = 1 means col -> row - # So we need r2_values.loc[to_node, from_node] for edge from_node -> to_node - r2 = r2_values.loc[to_node, from_node] - print(f" Edge {from_node} -> {to_node}: r^2 = {r2:.4f}") - if r2 < min_r2: - min_r2 = r2 - edge_to_remove = (from_node, to_node) - - # remove this edge from our edges DataFrame - # edges.loc[row, col] = 1 means col -> row, so to remove from_node -> to_node: - edges.loc[edge_to_remove[1], edge_to_remove[0]] = 0 - print( - f" Removed edge {edge_to_remove[0]} -> {edge_to_remove[1]} with r^2 = {min_r2:.4f}" - ) - - # rebuild the graph for next iteration - G = nx.from_pandas_adjacency(edges, create_using=nx.DiGraph) - - except nx.NetworkXNoCycle: - # No cycle found, we're done - print("No cycles detected in initial edges.") - break - except Exception as e: - print(f"Error during cycle detection: {e}") - break - - # Helper function to update correlation-weighted R² scores for a single output variable - def update_corr_weighted_r2(dep_col): - """Update corr_wted_r2 for all potential inputs to dep_col based on current edges.""" - selected_inputs = list(edges.loc[dep_col, edges.loc[dep_col, :] == 1].index) - for forcing_col in system_data.columns: - if forcing_col in selected_inputs or forcing_col == dep_col: - continue # skip already selected inputs / autocorrelation - - if len(selected_inputs) > 0: - correlations = [] - for sel_input in selected_inputs: - # compute correlation between transformed versions of forcing_col and sel_input - shape_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) - shape_factors_1.loc[1, forcing_col] = best_params.loc[ - dep_col, forcing_col - ][0] - scale_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) - scale_factors_1.loc[1, forcing_col] = best_params.loc[ - dep_col, forcing_col - ][1] - loc_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) - loc_factors_1.loc[1, forcing_col] = best_params.loc[ - dep_col, forcing_col - ][2] - transformed_1 = transform_inputs( - shape_factors_1, - scale_factors_1, - loc_factors_1, - system_data.index, - system_data[[forcing_col]], - ) - - shape_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) - shape_factors_2.loc[1, sel_input] = best_params.loc[ - dep_col, sel_input - ][0] - scale_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) - scale_factors_2.loc[1, sel_input] = best_params.loc[ - dep_col, sel_input - ][1] - loc_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) - loc_factors_2.loc[1, sel_input] = best_params.loc[ - dep_col, sel_input - ][2] - transformed_2 = transform_inputs( - shape_factors_2, - scale_factors_2, - loc_factors_2, - system_data.index, - system_data[[sel_input]], - ) - - together = pd.DataFrame(index=system_data.index) - together[forcing_col] = transformed_1[str(forcing_col + "_tr_1")] - together[sel_input] = transformed_2[str(sel_input + "_tr_1")] - - # Check for zero variance before computing correlation - if ( - together[forcing_col].std() == 0 - or together[sel_input].std() == 0 - ): - corr = 2.0 # constant variable, exclude it - else: - corr = np.corrcoef(together[forcing_col], together[sel_input])[ - 0, 1 - ] - if np.isnan(corr): - corr = 0.0 - correlations.append(abs(corr)) - _ = np.max(correlations) - else: - _ = 0.0 - - corr_wted_r2.loc[dep_col, forcing_col] = ( - r2_values.loc[dep_col, forcing_col] * 1 - ) # ((1 - max_corr)) # was **10 - - # Initialize correlation-weighted R² scores - corr_wted_r2 = r2_values.copy(deep=True) - for dep_col in dependent_columns: - update_corr_weighted_r2(dep_col) - - sorted_r2 = r2_values.stack().sort_values(ascending=False) - if verbose: - print("Sorted R2 values:") - print(sorted_r2) - - # Use a while loop so we can re-sort after each edge addition - # This ensures we always pick the best remaining candidate after correlation weights are updated - evaluated_pairs = ( - set() - ) # Track pairs we've already evaluated to avoid infinite loops - - while True: - sorted_corr_wted_r2 = corr_wted_r2.stack().sort_values(ascending=False) - # Find the best candidate we haven't evaluated yet - idx = None - for candidate_idx in sorted_corr_wted_r2.index: - if ( - candidate_idx not in evaluated_pairs - and edges.loc[candidate_idx[0], candidate_idx[1]] != 1 - ): - idx = candidate_idx - break - - if idx is None: - print("No more candidate edges to evaluate.") - break - - evaluated_pairs.add(idx) - output_variable = idx[0] - forcing_variable = idx[1] - r2 = r2_values.loc[output_variable, forcing_variable] - - non_rain_edges = edges.loc[ - ~edges.index.str.contains("rain"), ~edges.columns.str.contains("rain") - ] - - # would adding this edge reduce the number of components in the graph? (not considering rain) - non_rain_edges_if_added = non_rain_edges.copy(deep=True) - non_rain_edges_if_added.loc[output_variable, forcing_variable] = 1 - - n_components_now = nx.number_weakly_connected_components( - nx.from_pandas_adjacency(non_rain_edges, create_using=nx.DiGraph) - ) - if n_components_now == 1: - print("graph is weakly connected.") - # done - break - - n_components = nx.number_weakly_connected_components( - nx.from_pandas_adjacency(non_rain_edges_if_added, create_using=nx.DiGraph) - ) - if "rain" not in forcing_variable.lower(): # always allow rain edges - if n_components >= n_components_now: - print( - f"Skipping addition of {forcing_variable} -> {output_variable} as it does not improve connectivity" - ) - continue # skip this addition as it doesn't improve connectivity - - print( - f"Evaluating edge {forcing_variable} -> {output_variable} with r2 = {r2:.4f}" - ) - print("current best r2 values:") - print(current_best_r2) - # build the candidate input set - selected_inputs = list( - edges.loc[output_variable, edges.loc[output_variable, :] == 1].index - ) - candidate_inputs = selected_inputs + [forcing_variable] - - # optimize the transformations for all candidate inputs together, using siso best params as initial guesses - def joint_objective(params, debug=False): - # params is a flat list of shape, scale, loc for each candidate input - transformed_inputs = pd.DataFrame(index=system_data.index) - for i, input_var in enumerate(candidate_inputs): - shape = params[i * 3] - scale = params[i * 3 + 1] - loc = params[i * 3 + 2] - shape_factors = pd.DataFrame(columns=[input_var], index=[1]) - shape_factors.loc[1, input_var] = shape - scale_factors = pd.DataFrame(columns=[input_var], index=[1]) - scale_factors.loc[1, input_var] = scale - loc_factors = pd.DataFrame(columns=[input_var], index=[1]) - loc_factors.loc[1, input_var] = loc - forcing_orig = system_data[[input_var]].copy() - transformed = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing_orig, - ) - # Include BOTH original and transformed columns, consistent with SISO phase - transformed_inputs = pd.concat( - (transformed_inputs, transformed), axis="columns" - ) - # build and fit the sindy model - feature_names = [output_variable] + list(transformed_inputs.columns) - model = ps.SINDy( - differentiation_method=ps.FiniteDifference( - order=10, drop_endpoints=True - ), - feature_library=ps.PolynomialLibrary( - degree=2, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - fit = model.fit( - x=system_data.loc[:, output_variable], - t=np.arange(0, len(system_data.index), 1), - u=transformed_inputs, - feature_names=feature_names, - ) - r2 = fit.score( - x=system_data.loc[:, output_variable], - t=np.arange(0, len(system_data.index), 1), - u=transformed_inputs, - ) - if debug: - print( - f" DEBUG joint_objective: inputs={list(transformed_inputs.columns)}, r2={r2:.4f}" - ) - try: - model.print() - except Exception: - pass - return -r2 # Negative because minimize - - # initial guesses from SISO optimization - x0 = [] - for input_var in candidate_inputs: - shape, scale, loc = best_params.loc[output_variable, input_var] - x0.extend([shape, scale, loc]) - bounds = [] - for input_var in candidate_inputs: - bounds.extend( - [(1.0, 300.0), (1e-5, 300.0), (0.0, 300.0)] - ) # shape, scale, loc - - # First, compute baseline R² using SISO-optimized params (x0) - # This ensures we never do worse than the initial guess - baseline_r2 = -joint_objective(x0, debug=True) - print(f" Baseline R² with SISO params: {baseline_r2:.4f}") - - # optimize - multivariable_iterations = max_iterations * len(candidate_inputs) - result = minimize( - joint_objective, - x0, - method="Nelder-Mead", - bounds=bounds, - options={"maxiter": multivariable_iterations, "disp": verbose}, - ) - # result = minimize(joint_objective, x0, method='L-BFGS-B', bounds=bounds, - # options={'maxiter': multivariable_iterations, 'disp': verbose}) - optimized_r2 = -result.fun - - # Use optimized params only if they improve on baseline, otherwise keep SISO params - if optimized_r2 >= baseline_r2: - optimized_params = result.x - print(f" Optimizer improved R² to {optimized_r2:.4f}") - else: - optimized_params = x0 - print( - f" Optimizer found worse R² ({optimized_r2:.4f}), keeping SISO params (R² = {baseline_r2:.4f})" - ) - - # extract best params - for i, input_var in enumerate(candidate_inputs): - shape = optimized_params[i * 3] - scale = optimized_params[i * 3 + 1] - loc = optimized_params[i * 3 + 2] - best_params.loc[output_variable, input_var] = (shape, scale, loc) - # compute final r2 with optimized params - transformed_inputs = pd.DataFrame(index=system_data.index) - for i, input_var in enumerate(candidate_inputs): - shape = optimized_params[i * 3] - scale = optimized_params[i * 3 + 1] - loc = optimized_params[i * 3 + 2] - shape_factors = pd.DataFrame(columns=[input_var], index=[1]) - shape_factors.loc[1, input_var] = shape - scale_factors = pd.DataFrame(columns=[input_var], index=[1]) - scale_factors.loc[1, input_var] = scale - loc_factors = pd.DataFrame(columns=[input_var], index=[1]) - loc_factors.loc[1, input_var] = loc - forcing_orig = system_data[[input_var]].copy() - transformed = transform_inputs( - shape_factors, - scale_factors, - loc_factors, - system_data.index, - forcing_orig, - ) - # Include BOTH original and transformed columns, consistent with SISO phase - transformed_inputs = pd.concat( - (transformed_inputs, transformed), axis="columns" - ) - feature_names = [output_variable] + list(transformed_inputs.columns) - model = ps.SINDy( - differentiation_method=ps.FiniteDifference(order=10, drop_endpoints=True), - feature_library=ps.PolynomialLibrary( - degree=2, include_bias=False, include_interaction=False - ), - optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), - ) - fit = model.fit( - x=system_data.loc[:, output_variable], - t=np.arange(0, len(system_data.index), 1), - u=transformed_inputs, - feature_names=feature_names, - ) - r2 = fit.score( - x=system_data.loc[:, output_variable], - t=np.arange(0, len(system_data.index), 1), - u=transformed_inputs, - ) - - print( - f"Testing inputs {candidate_inputs} for output {output_variable} -> r2 = {r2:.4f}" - ) - if ( - r2 > current_best_r2[output_variable] + 0.01 - ): # only keep it if it improves the r2 by at least 1% - # add a conditional here for reducing the number of components in the graph. if it doesn't connect things that were previously unconnected, we don't want it. - selected_inputs = candidate_inputs - current_best_r2[output_variable] = r2 - print( - f" Accepted new input {forcing_variable}, updated r2 = {current_best_r2[output_variable]:.4f}" - ) - edges.loc[output_variable, forcing_variable] = 1 - - # Update correlation-weighted R² for this output since we added a new input - # The while loop will re-sort at the next iteration - update_corr_weighted_r2(output_variable) - - else: - print(f" Rejected new input {forcing_variable}, r2 would be {r2:.4f}") - - # transpose edges to have from -> to convention - edges = edges.T - # earlier in the code we have dependent variables on the rows and independent on columns. - # that arrangement makes comparing the effect of potential inputs on each output easier. - # but for output, it's more intuitive to have from -> to convention, so we transpose before returning. - - return { - "edges": edges, - "best_params": best_params, - "r2_values": r2_values, - "lead_lag": lead_lag, - } - - -# this function takes in the system data, -# which columns are dependent and which are independent, -# as well as an optional constraint on the topology of the digraph -# we will return a digraph (not multidigraph as there are no parallel edges) as defined in https://networkx.org/documentation/stable/reference/classes/digraph.html -# we'll assume there are always self-loops (the derivative always depends on the current value of the variable) -# this will also be returned as an adjacency matrix -# this doesn't go all the way to turning the data into an LTI system. that will be another function that uses this one -def infer_causative_topology( # noqa: F811 - # type: ignore - system_data, - dependent_columns, - independent_columns, - graph_type="Weak-Conn", - verbose=False, - max_iter=250, - swmm=False, - method="sindy", # Changed default from "granger" to "sindy" - derivative=False, - sensor_locations=None, - init_neighbors=3, -): - """ - Infer causative topology from time series data using SINDy-based optimization. - - Args: - system_data: pd.DataFrame with time series data - dependent_columns: list of column names that are dependent variables - independent_columns: list of column names that are independent/forcing variables - graph_type: type of graph connectivity requirement ('Weak-Conn' or 'Strong-Conn') - verbose: whether to print detailed output - max_iter: maximum iterations for optimization - swmm: whether this is for SWMM/pystorms data - method: inference method ('sindy' is the only supported method now) - derivative: whether to use derivative of response - sensor_locations: optional dict mapping column names to {"lat": float, "lon": float} - init_neighbors: initial number of nearest neighbors to evaluate when sensor_locations is provided (default: 3) - - Returns: - dict with keys: "edges", "best_params", "r2_values", "lead_lag" - - edges: DataFrame adjacency matrix (from -> to convention) - - best_params: DataFrame of transformation parameters (shape, scale, loc) - - r2_values: DataFrame of R^2 values for each potential edge - - lead_lag: DataFrame of lead/lag values (positive = forcing leads response) - """ - import warnings - - # Handle deprecated methods - if method in ("granger", "ccm", "transfer_entropy"): - warnings.warn( - f"Method '{method}' is deprecated. The Granger causality, CCM, and " - "Transfer Entropy methods have been replaced by the improved SINDy-based " - "topology inference (method='sindy'), which provides significantly better " - "results. Please use method='sindy' (the new default).", - DeprecationWarning, - stacklevel=2, - ) - # Fall back to new method - method = "sindy" - - if swmm: - # do the same for dependent_columns and independent_columns - dependent_columns = [str(col) for col in dependent_columns] - independent_columns = [str(col) for col in independent_columns] - # do the same for the columns of system_data - system_data.columns = system_data.columns.astype(str) - - # Import and use the new SINDy-based topology inference - # (using our local implementation) - result = find_topology_no_geo( - system_data=system_data, - dependent_columns=dependent_columns, - independent_columns=independent_columns, - sensor_locations=sensor_locations, - max_iterations=max_iter, - graph_type=graph_type, - verbose=verbose, - init_neighbors=init_neighbors, - ) - # Convert result to match expected return format for backward compatibility - # The new method returns edges in from->to convention (transposed from old) - edges = result["edges"] - _ = result["best_params"] - r2_values = result["r2_values"] - _ = result["lead_lag"] - - # For backward compatibility with code expecting (causative_topo, total_graph) tuple - # causative_topo: 'd' for directed edge, 'n' for no edge - # total_graph: numeric weights (R² values) - causative_topo = pd.DataFrame( - index=dependent_columns, columns=system_data.columns - ).fillna("n") - total_graph = pd.DataFrame( - index=dependent_columns, columns=system_data.columns, dtype=float - ).fillna(0.0) - - # Fill in the edges from the result - # edges is in from->to convention (row=from, col=to) - # causative_topo expects row=dependent (to), col=forcing (from) - for dep_col in dependent_columns: - for forcing_col in system_data.columns: - if edges.loc[forcing_col, dep_col] == 1: # from forcing_col -> to dep_col - causative_topo.loc[dep_col, forcing_col] = "d" - total_graph.loc[dep_col, forcing_col] = r2_values.loc[ - dep_col, forcing_col - ] - - return causative_topo, total_graph - - -def find_topology( # noqa: F811 - # type: ignore - system_data, - dependent_columns, - independent_columns, - method="ccm", - graph_type="Weak-Conn", - verbose=False, -): - """ - DEPRECATED: This function has been replaced by the improved SINDy-based - topology inference via the local SINDy-based implementation. - - Please use infer_causative_topology(method='sindy') or directly import - use infer_causative_topology(). - """ - import warnings - - warnings.warn( - "find_topology() is deprecated. Use infer_causative_topology(method='sindy') " - "or use infer_causative_topology() instead.", - DeprecationWarning, - stacklevel=2, - ) - # Delegate to the new implementation - return infer_causative_topology( - system_data=system_data, - dependent_columns=dependent_columns, - independent_columns=independent_columns, - graph_type=graph_type, - verbose=verbose, - method="sindy", - ) diff --git a/modpods/__init__.py b/modpods/__init__.py new file mode 100644 index 0000000..e0d5ecc --- /dev/null +++ b/modpods/__init__.py @@ -0,0 +1,18 @@ +from .lti import lti_from_gamma, lti_system_gen +from .model import SINDY_delays_MI +from .predict import delay_io_predict +from .topology import find_topology_no_geo, infer_causative_topology +from .train import delay_io_train +from .transforms import TransformCache, transform_inputs + +__all__ = [ + "TransformCache", + "transform_inputs", + "delay_io_train", + "SINDY_delays_MI", + "delay_io_predict", + "lti_from_gamma", + "lti_system_gen", + "find_topology_no_geo", + "infer_causative_topology", +] diff --git a/modpods/lti.py b/modpods/lti.py new file mode 100644 index 0000000..6c0b367 --- /dev/null +++ b/modpods/lti.py @@ -0,0 +1,695 @@ +from typing import Any + +import control +import numpy as np +import pandas as pd +import pysindy as ps +import scipy.stats as stats +from pysindy.optimizers._constrained_sr3 import ConstrainedSR3 as _ConstrainedSR3 + +from .train import delay_io_train + + +def lti_from_gamma( + shape, + scale, + location, + dt=0, + desired_NSE=0.999, + verbose=False, + max_state_dim=50, + max_iterations=200, + max_pole_speed=5, + min_pole_speed=0.01, +): + # a pole of speed -5 decays to less than 1% of it's value after one timestep + # a pole of speed -0.01 decays to more than 99% of it's value after one timestep + + # i've assumed here that gamma pdf is defined the same as in matlab + # if that's not true testing will show it soon enough + t50 = shape * scale + location # center of mass + skewness = 2 / np.sqrt(shape) + total_time_base = ( + 2 * t50 + ) # not that this contains the full shape, but if we fit this much of the curve perfectly we'll be close enough + # resolution = (t50)/((skewness + location)) # make this coarser for faster debugging + resolution = (t50) / (10 * (skewness + location)) # production version + + # resolution = 1/ skewness + decay_rate = 1 / resolution + decay_rate = np.clip(decay_rate, min_pole_speed, max_pole_speed) + state_dim = int( + np.floor(total_time_base * decay_rate) + ) # this keeps the time base fixed for a given decay rate + if state_dim > max_state_dim: + state_dim = max_state_dim + decay_rate = state_dim / total_time_base + resolution = 1 / decay_rate + if state_dim < 1: + state_dim = 1 + decay_rate = state_dim / total_time_base + resolution = 1 / decay_rate + + decay_rate = np.clip(decay_rate, min_pole_speed, max_pole_speed) + + if verbose: + print("state dimension is ", state_dim) + print("decay rate is ", decay_rate) + print("total time base is ", total_time_base) + print("resolution is", resolution) + + # make the timestep one so that the relative error is correct (dt too small makes error bigger than written) + # t = np.linspace(0,3*total_time_base,1000) + # desired_error = desired_error / dt + t = np.linspace(0, 2 * total_time_base, num=200) + + # if verbose: + # print("dt is ",dt) + # print("scaled desired error is ",desired_error) + + gam = stats.gamma.pdf(t, shape, location, scale) + + # A is a cascade with the appropriate decay rate + A = decay_rate * np.diag(np.ones((state_dim - 1)), -1) - decay_rate * np.diag( + np.ones((state_dim)), 0 + ) + # influence enters at the top state only + B = np.concatenate((np.ones((1, 1)), np.zeros((state_dim - 1, 1)))) + # contributions of states to the output will be scaled to match the gamma distribution + C = np.ones((1, state_dim)) * max(gam) + lti_sys = control.ss(A, B, C, 0) + + lti_approx = control.impulse_response(lti_sys, t) + NSE = 1 - ( + np.sum(np.square(gam - lti_approx.y)) / np.sum(np.square(gam - np.mean(gam))) + ) + # if NSE is nan, set to -10e6 + if np.isnan(NSE): + NSE = -10e6 + + if verbose: + print("initial NSE") + print(NSE) + print("desired NSE") + print(desired_NSE) + + iterations = 0 + + speeds = [10, 5, 2, 1.1, 1.05, 1.01, 1.001] + speed_idx = 0 + leap = speeds[speed_idx] + # the area under the curve is normalized to be one. so rather than basing our desired error off the + # max of the distribution, it might be better to make it a percentage error, one percent or five percent + while NSE < desired_NSE and iterations < max_iterations: + + og_was_best = ( + True # start each iteration assuming that the original is the best + ) + # search across the C vector + for i in range( + C.shape[1] - 1, int(-1), int(-1) + ): # accross the columns # start at the end and come back + # for i in range(int(0),C.shape[1],int(1)): # accross the columns, start at the beginning and go forward + + og_approx = control.ss(A, B, C, 0) + og_y = np.ndarray.flatten(control.impulse_response(og_approx, t).y) + og_error = np.sum(np.abs(gam - og_y)) + og_NSE = 1 - (np.sum((gam - og_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2)) + + Ctwice = np.array(C, copy=True) + Ctwice[0, i] = leap * C[0, i] + twice_approx = control.ss(A, B, Ctwice, 0) + twice_y = np.ndarray.flatten(control.impulse_response(twice_approx, t).y) + twice_NSE = 1 - ( + np.sum((gam - twice_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) + ) + + Chalf = np.array(C, copy=True) + Chalf[0, i] = (1 / leap) * C[0, i] + half_approx = control.ss(A, B, Chalf, 0) + half_y = np.ndarray.flatten(control.impulse_response(half_approx, t).y) + half_NSE = 1 - ( + np.sum((gam - half_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) + ) + faster = np.array(A, copy=True) + faster[i, i] = A[i, i] * leap # faster decay + if abs(faster[i, i]) < abs(max_pole_speed): + if ( + i > 0 + ): # first reservoir doesn't receive contribution from another reservoir. want to keep B at 1 for scaling + faster[i, i - 1] = A[i, i - 1] * leap # faster rise + faster_approx = control.ss(faster, B, C, 0) + faster_y = np.ndarray.flatten( + control.impulse_response(faster_approx, t).y + ) + faster_NSE = 1 - ( + np.sum((gam - faster_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) + ) + else: + faster_NSE = -10e6 # disallowed because the pole is too fast + + slower = np.array(A, copy=True) + slower[i, i] = A[i, i] / leap # slower decay + if abs(slower[i, i]) > abs(min_pole_speed): + if i > 0: + slower[i, i - 1] = A[i, i - 1] / leap # slower rise + slower_approx = control.ss(slower, B, C, 0) + slower_y = np.ndarray.flatten( + control.impulse_response(slower_approx, t).y + ) + slower_NSE = 1 - ( + np.sum((gam - slower_y) ** 2) / np.sum((gam - np.mean(gam)) ** 2) + ) + else: + slower_NSE = -10e6 # disallowed because the pole is too slow + + # all_errors = [og_error, twice_error, half_error, faster_error, slower_error] + all_NSE = [ + og_NSE, + twice_NSE, + half_NSE, + faster_NSE, + slower_NSE, + ] + + if twice_NSE >= max(all_NSE) and twice_NSE > og_NSE: + C = Ctwice + if twice_NSE > 1.001 * og_NSE: # an appreciable difference + og_was_best = False # did we change something this iteration? + elif half_NSE >= max(all_NSE) and half_NSE > og_NSE: + C = Chalf + if half_NSE > 1.001 * og_NSE: # an appreciable difference + og_was_best = False # did we change something this iteration? + + elif slower_NSE >= max(all_NSE) and slower_NSE > og_NSE: + A = slower + if slower_NSE > 1.001 * og_NSE: # an appreciable difference + og_was_best = False # did we change something this iteration? + elif faster_NSE >= max(all_NSE) and faster_NSE > og_NSE: + A = faster + if faster_NSE > 1.001 * og_NSE: # an appreciable difference + og_was_best = False # did we change something this iteration? + + NSE = og_NSE + error = og_error + iterations += 1 # this shouldn't be the termination condition unless the resolution is too coarse + # normally the optimization should exit because the leap has become too small + if ( + og_was_best + ): # the original was the best, so we're going to tighten up the optimization + speed_idx += 1 + if speed_idx > len(speeds) - 1: + break # we're done + leap = speeds[speed_idx] + # print the iteration count every ten + # comment out for production + if iterations % 2 == 0 and verbose: + print("iterations = ", iterations) + print("error = ", error) + print("NSE = ", NSE) + print("leap = ", leap) + + lti_approx = control.ss(A, B, C, 0) + y = np.ndarray.flatten(control.impulse_response(og_approx, t).y) + error = np.sum(np.abs(gam - og_y)) + print("LTI_from_gamma final NSE") + print(NSE) + if verbose: + print("final system\n") + print("A") + print(A) + print("B") + print(B) + print("C") + print(C) + + print("\nfinal error") + print(error) + + # are any of the final eigenvalues outside the bounds specified? + E = np.linalg.eigvals(A) + if np.any(np.abs(E) > max_pole_speed) or np.any(np.abs(E) < min_pole_speed): + print("WARNING: final eigenvalues are outside the bounds specified") + + return { + "lti_approx": lti_approx, + "lti_approx_output": y, + "error": error, + "t": t, + "gamma_pdf": gam, + } + + +# this function takes the system data and the causative topology and returns an LTI system +# if the causative topology isn't already defined, it needs to be created using infer_causative_topology +def lti_system_gen( + causative_topology, + system_data, + independent_columns, + dependent_columns, + max_iter=250, + swmm=False, + bibo_stable=False, + max_transition_state_dim=50, + max_transforms=1, + early_stopping_threshold=0.005, +): + + # cast the columns and indices of causative_topology to strings so sindy can run properly + # We need the tuples to link the columns in system_data to the object names in the swmm model + # so we'll cast these back to tuples once we're done + if swmm: + causative_topology.columns = causative_topology.columns.astype(str) + causative_topology.index = causative_topology.index.astype(str) + + print("causative topology \n") + print(causative_topology.index) + print(causative_topology.columns) + + # do the same for dependent_columns and independent_columns + dependent_columns = [str(col) for col in dependent_columns] + independent_columns = [str(col) for col in independent_columns] + print(dependent_columns) + print(independent_columns) + + # do the same for the columns of system_data + system_data.columns = system_data.columns.astype(str) + print(system_data.columns) + + A = pd.DataFrame(index=dependent_columns, columns=dependent_columns) + B = pd.DataFrame(index=dependent_columns, columns=independent_columns) + C = pd.DataFrame(index=dependent_columns, columns=dependent_columns) + C.loc[:, :] = np.diag( + np.ones(len(dependent_columns)) + ) # these are the states which are observable + + # copy the corresponding entries from the causative topology into B + for row in B.index: + for col in B.columns: + B.loc[row, col] = causative_topology.loc[row, col] + # and into A + for row in A.index: + for col in A.columns: + A.loc[row, col] = causative_topology.loc[row, col] + + print("A") + print(A) + print("B") + print(B) + print("C") + print(C) + # use transform_only when calling delay_io_train to only train transfomrations for connections marked "d" + # train a MISO model for each output + delay_models: dict = {key: None for key in dependent_columns} + + for row in A.index: + immediate_forcing = [] + delayed_forcing = [] + for col in A.columns: + if col == row: + continue # don't need to include the output state as a forcing variable. it's already included by default + if A[col][row] == "d": + delayed_forcing.append(col) + elif A[col][row] == "i": + immediate_forcing.append(col) + for col in B.columns: + if B[col][row] == "d": + delayed_forcing.append(col) + elif B[col][row] == "i": + immediate_forcing.append(col) + # make total_forcing the union of immediate and delayed forcing + total_forcing = immediate_forcing + delayed_forcing + feature_names = [row] + total_forcing + if delayed_forcing: + print( + "training delayed model for ", + row, + " with forcing ", + total_forcing, + "\n", + ) + delay_models[row] = delay_io_train( + system_data, + [row], + total_forcing, + transform_only=delayed_forcing, + max_transforms=max_transforms, + poly_order=1, + max_iter=max_iter, + verbose=False, + bibo_stable=bibo_stable, + ) + # we'll parse this delayed causation into the matrices A, B, and C later + else: + ####### TODO: incorporate bibo stability constraint into instantaneous fits ######## + print( + "training immediate model for ", + row, + " with forcing ", + total_forcing, + "\n", + ) + delay_models[row] = None + # we can put immediate causation into the matrices A, B, and C now + + if bibo_stable: # negative autocorrelatoin + # Figure out how many library features there will be + library = ps.PolynomialLibrary( + degree=1, include_bias=False, include_interaction=False + ) + # fit on a dummy (2, n_features) array; 2 rows is the minimum pysindy requires + library.fit(np.zeros((2, len(feature_names)))) + n_features = library.n_output_features_ + constraint_rhs = np.zeros(1) + # one row per constraint, one column per coefficient + constraint_lhs = np.zeros((1, n_features)) + + # constrain the highest order output autocorrelation to be negative + # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library + # for more complex libraries, some conditional logic will be needed to grab the right column + constraint_lhs[:, 0] = 1 + + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(), + feature_library=ps.PolynomialLibrary( + degree=1, include_bias=False, include_interaction=False + ), + optimizer=_ConstrainedSR3( + reg_weight_lam=0, + regularizer="l2", + constraint_lhs=constraint_lhs, + constraint_rhs=constraint_rhs, + inequality_constraints=True, + ), + ) + + else: # unoconstrained + model = ps.SINDy( + differentiation_method=ps.FiniteDifference( + order=10, drop_endpoints=True + ), + feature_library=ps.PolynomialLibrary( + degree=1, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + if system_data.loc[ + :, immediate_forcing + ].empty: # the subsystem is autonomous + instant_fit = model.fit( + x=system_data.loc[:, row], t=np.arange(0, len(system_data.index), 1) + ) + instant_fit.print(precision=3) + print( + "Training r2 = ", + instant_fit.score( + x=system_data.loc[:, row], + t=np.arange(0, len(system_data.index), 1), + ), + ) + print(instant_fit.coefficients()) + else: # there is some forcing + instant_fit = model.fit( + x=system_data.loc[:, row], + t=np.arange(0, len(system_data.index), 1), + u=system_data.loc[:, immediate_forcing], + ) + instant_fit.print(precision=3) + print( + "Training r2 = ", + instant_fit.score( + x=system_data.loc[:, row], + t=np.arange(0, len(system_data.index), 1), + u=system_data.loc[:, immediate_forcing], + ), + ) + print(instant_fit.coefficients()) + for idx in range(len(feature_names)): + if feature_names[idx] in A.columns: + A.loc[row, feature_names[idx]] = instant_fit.coefficients()[0][idx] + elif feature_names[idx] in B.columns: + B.loc[row, feature_names[idx]] = instant_fit.coefficients()[0][idx] + else: + print("couldn't find a column for ", feature_names[idx]) + + original_A = A.copy(deep=True) + # now, parse the delay models into the A, B, and C matrices + for row in original_A.index: + if delay_models[row] is None: + pass + else: # we want the model with the most transformations where the last trnasformation added at least 0.5% to the R2 score + for num_transforms in range(1, max_transforms + 1): + if num_transforms == 1: + optimal_number_transforms = num_transforms + elif ( + delay_models[row][num_transforms]["final_model"]["error_metrics"][ + "r2" + ] + - delay_models[row][num_transforms - 1]["final_model"][ + "error_metrics" + ]["r2"] + < early_stopping_threshold + ): + optimal_number_transforms = num_transforms - 1 + break # improvement is too small to justify additional complexity + else: + optimal_number_transforms = ( + num_transforms # the most recent one was worth it + ) + + transformation_approximations: dict[str, Any] = { + transform_key: {} + for transform_key in delay_models[row][optimal_number_transforms][ + "shape_factors" + ].columns + } + for transform_key in transformation_approximations.keys(): # which input + for idx in range( + 1, optimal_number_transforms + 1 + ): # which transformation + print("variable = ", transform_key, ", transformation = ", idx) + delay_models[row][optimal_number_transforms]["final_model"][ + "model" + ].print(precision=5) + shape = delay_models[row][optimal_number_transforms][ + "shape_factors" + ].loc[idx, transform_key] + scale = delay_models[row][optimal_number_transforms][ + "scale_factors" + ].loc[idx, transform_key] + loc = delay_models[row][optimal_number_transforms][ + "loc_factors" + ].loc[idx, transform_key] + # this will get overwritten if we use more than one transformation per input. i think that's okay. + transformation_approximations[transform_key] = lti_from_gamma( + shape, scale, loc, max_state_dim=max_transition_state_dim + ) + + lti_result = transformation_approximations[transform_key] + Agam = lti_result["lti_approx"].A + Bgam = lti_result[ + "lti_approx" + ].B # only entry is unit impulse at top state + Cgam = lti_result["lti_approx"].C + + tr_string = str("_tr_" + str(idx)) + + # Cgam needs to be scaled by the coefficient the forcing term had in the delay model + coefficients = { + coef_key: None + for coef_key in delay_models[row][optimal_number_transforms][ + "final_model" + ]["model"].feature_names + } + for coef_key in coefficients.keys(): + coef_index = delay_models[row][optimal_number_transforms][ + "final_model" + ]["model"].feature_names.index(coef_key) + coefficients[coef_key] = delay_models[row][ + optimal_number_transforms + ]["final_model"]["model"].coefficients()[0][coef_index] + if tr_string in coef_key and coef_key.replace( + tr_string, "" + ) == transform_key.replace(tr_string, ""): + Cgam = Cgam * coefficients[coef_key] # scaling + else: # these are the immediate effects, insert them now + if coef_key in A.columns: + A.loc[row, coef_key] = coefficients[coef_key] + elif coef_key in B.columns: + B.loc[row, coef_key] = coefficients[coef_key] + + Agam_index = [] + for agam_idx in range(Agam.shape[0]): + Agam_index.append( + transform_key.replace(tr_string, "") + + "->" + + row + + tr_string + + "_" + + str(agam_idx) + ) + Agam = pd.DataFrame(Agam, index=Agam_index, columns=Agam_index) + Bgam = pd.DataFrame( + Bgam, + index=Agam_index, + columns=[transform_key.replace(tr_string, "")], + ) + Cgam = pd.DataFrame(Cgam, index=[row], columns=Agam_index) + # insert these into the A, B, and C matrices + # for Agam, the insertion row is immediately after the source (key) + # the insertion column is also immediately after the source (key) + + ### everything below this point is garbage. not performing at all as desired at the moment + + # first need to create space for the new rows and columns + # create before_index and after_index variables, which record the parts of the index of A that occur before and after row + before_index = [] + if ( + transform_key.replace(tr_string, "") not in A.index + ): # it's one of the forcing terms. put it in at the beginning + after_index = list( + A.index + ) # it's a forcing variable, so we don't want it in the newA index + else: # it is a state variable + before_index = list( + A.index[ + : A.index.get_loc(transform_key.replace(tr_string, "")) + ] + ) + + after_index = list( + A.index[ + A.index.get_loc(transform_key.replace(tr_string, "")) + + 1 : + ] + ) + + # if transform_key.replace("_tr_1","") in A.index: # the transform key refers to a state (x) + if transform_key.replace(tr_string, "") in A.index: + # states = before_index + [transform_key.replace("_tr_1","")] + Agam_index + after_index # state dim expands by the number of rows in Agam + states = ( + before_index + + [transform_key.replace(tr_string, "")] + + Agam_index + + after_index + ) # state dim expands by the number of rows in Agam + # include the current transform key in A because it's a state variable + # elif transform_key.replace("_tr_1","") in B.columns: # the transform key refers to a control input (u) + elif ( + transform_key.replace(tr_string, "") in B.columns + ): # the transform key refers to a control input (u) + states = ( + before_index + Agam_index + after_index + ) # state dim expands by the number of rows in Agam + # don't include the current transform key in A because it's a control input, not a state variable + + newA = pd.DataFrame(index=states, columns=states) + newB = pd.DataFrame( + index=states, columns=B.columns + ) # input dim remains consistent (columns of B) + newC = pd.DataFrame( + index=C.index, columns=states + ) # output dim remains consistent (rows of C) + + # fill in newA with the corresponding entries from A + for idx in newA.index: + for col in newA.columns: + if ( + idx in A.index and col in A.columns + ): # if it's in the original A matrix, copy it over + newA.loc[idx, col] = A.loc[idx, col] + if ( + idx in Agam.index and col in Agam.columns + ): # if it's in Agam, copy it over + newA.loc[idx, col] = Agam.loc[idx, col] + if ( + idx in Bgam.index and col in Bgam.columns + ): # the input to the cascade is a state + newA.loc[idx, col] = Bgam.loc[idx, col] + + for idx in newB.index: + for col in newB.columns: + if ( + idx in B.index and col in B.columns + ): # if it's in the original B matrix, copy it over + newB.loc[idx, col] = B.loc[idx, col] + if ( + idx in Bgam.index and col in Bgam.columns + ): # the input to the cascade is a forcing term + newB.loc[idx, col] = Bgam.loc[idx, col] + + for idx in newC.index: + for col in newC.columns: + if ( + idx in C.index and col in C.columns + ): # if it's in the original C matrix, copy it over + newC.loc[idx, col] = C.loc[idx, col] + if ( + idx in Cgam.index and col in Cgam.columns + ): # outputs from the cascades + newA.loc[idx, col] = Cgam.loc[idx, col] + + # copy over + A = newA.copy(deep=True) + B = newB.copy(deep=True) + C = newC.copy(deep=True) + + A.replace("n", 0.0, inplace=True) + B.replace("n", 0.0, inplace=True) + C.replace("n", 0.0, inplace=True) + + if swmm: + pass + ############# + # TODO: cast strings back to tuples in the indices and columns + ############# + # cast the index and columns of causative_topology to tuples. they'll be of the form "(X,Y)" + + # do the same for dependent_columns and independent_columns + + # do the same for the columns of system_data + + A = A.apply(pd.to_numeric, errors="coerce").fillna(0.0) + B = B.apply(pd.to_numeric, errors="coerce").fillna(0.0) + C = C.apply(pd.to_numeric, errors="coerce").fillna(0.0) + + # if bibo_stable is specified and A not hurwitz, make A hurwitz by defining A' = A - I*max(real(eig(A))) + # this will gaurantee stability (max eigenvalue will have real part < 0) + if bibo_stable: + orig_eigs, _ = np.linalg.eig(A) + if any(np.real(orig_eigs) > 0): + print("stabilizing unstable plant by subtracting I*max(real(eig)) from A") + epsilon = 10e-4 + A_stab = A - np.eye(len(A)) * (1 + epsilon) * max( + np.real(orig_eigs) + ) # add factor of (1+epsilon) for stability, not marginal stabilty + stab_eigs, _ = np.linalg.eig(A_stab) + A = A_stab.copy(deep=True) + + # sindy will scale the coefficients according to the timestep if the index is numeric + # so the whole system needs to be scaled by the timestep if its numeric + try: + pd.to_numeric( + system_data.index, errors="raise" + ) # can the index be converted to a numeric type? + dt = system_data.index.values[1] - system_data.index.values[0] + A = A / dt + B = B / dt + C = C # what we observe doesn't need to be adjusted, just the dynamics + print("system response data index converted to numeric type. dt = ") + print(dt) + except Exception as e: + print(e) + dt = None + + # cast all of A, B, and C to type float (integers cause issues with LQR / LQE calculations) + A = A.astype(float) + B = B.astype(float) + C = C.astype(float) + + lti_sys = control.ss( + A, B, C, 0, inputs=B.columns, outputs=C.index, states=A.columns + ) + + # returning the matrices too because control.ss strips the labels from the pandas dataframes and stores them as numpy matrices + return {"system": lti_sys, "A": A, "B": B, "C": C} diff --git a/modpods/metrics.py b/modpods/metrics.py new file mode 100644 index 0000000..de5325a --- /dev/null +++ b/modpods/metrics.py @@ -0,0 +1,26 @@ +import numpy as np + + +def compute_basic_metrics(y_true, y_pred): + """Compute common error metrics between true and predicted values. + + Args: + y_true: array of observed values + y_pred: array of predicted values + + Returns: + dict with keys: "mae", "rmse", "nse", "alpha", "beta" + """ + error = y_true - y_pred + mae = float(np.mean(np.abs(error))) + rmse = float(np.sqrt(np.mean(error**2))) + nse = float(1 - np.sum(error**2) / np.sum((y_true - np.mean(y_true)) ** 2)) + alpha = float(np.std(y_pred) / np.std(y_true)) + beta = float(np.mean(y_pred) / np.mean(y_true)) + return { + "mae": mae, + "rmse": rmse, + "nse": nse, + "alpha": alpha, + "beta": beta, + } diff --git a/modpods/model.py b/modpods/model.py new file mode 100644 index 0000000..72a4bc1 --- /dev/null +++ b/modpods/model.py @@ -0,0 +1,508 @@ +import numpy as np +import pandas as pd +import pysindy as ps +from pysindy.optimizers._constrained_sr3 import ConstrainedSR3 as _ConstrainedSR3 + +from .metrics import compute_basic_metrics +from .transforms import transform_inputs + + +def SINDY_delays_MI( + shape_factors, + scale_factors, + loc_factors, + index, + forcing, + response, + final_run, + poly_degree, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable=False, + transform_dependent=False, + transform_only=None, + forcing_coef_constraints=None, + transform_cache=None, +): + if transform_only is not None: + transformed_forcing = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + index, + forcing.loc[:, transform_only], + cache=transform_cache, + ) + untransformed_forcing = forcing.drop(columns=transform_only) + # combine forcing and transformed forcing column-wise + forcing = pd.concat( + (untransformed_forcing, transformed_forcing), axis="columns" + ) + else: + forcing = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + index, + forcing, + cache=transform_cache, + ) + + feature_names = response.columns.tolist() + forcing.columns.tolist() + + # SINDy + if ( + not bibo_stable and forcing_coef_constraints is None + ): # no constraints, normal mode + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(), + feature_library=ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ), + optimizer=ps.STLSQ(threshold=0), + ) + elif forcing_coef_constraints is not None and not bibo_stable: + library = ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ) + total_train = pd.concat((response, forcing), axis="columns") + library.fit([ps.AxesArray(total_train, {"ax_sample": 0, "ax_coord": 1})]) + n_features = library.n_output_features_ + n_targets = len(response.columns) + constraint_rhs = np.zeros((n_features,)) # every feature is constrained + # one row per constraint, one column per coefficient + constraint_lhs = np.zeros((n_features, n_targets * n_features)) + + # now implement the forcing coefficient constraints + for i, col in enumerate(feature_names): + for key in forcing_coef_constraints.keys(): + if key in col: + constraint_lhs[i, i] = -forcing_coef_constraints[key] + # invert the sign because the eqn is written as "leq 0" + + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(), + feature_library=ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ), + optimizer=_ConstrainedSR3( + reg_weight_lam=0, + regularizer="l2", + constraint_lhs=constraint_lhs, + constraint_rhs=constraint_rhs, + inequality_constraints=True, + ), + ) + elif ( + bibo_stable + ): # highest order output autocorrelation is constrained to be negative + # Figure out how many library features there will be + library = ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ) + total_train = pd.concat((response, forcing), axis="columns") + library.fit([ps.AxesArray(total_train, {"ax_sample": 0, "ax_coord": 1})]) + n_features = library.n_output_features_ + # print(f"Features ({n_features}):", library.get_feature_names(input_features=total_train.columns)) + feature_names = library.get_feature_names(input_features=total_train.columns) + # Set constraints + n_targets = total_train.shape[ + 1 + ] # not sure what targets means after reading through the pysindy docs + # print("n_targets") + # print(n_targets) + constraint_rhs = np.zeros((len(response.columns), 1)) + # one row per constraint, one column per coefficient + constraint_lhs = np.zeros((len(response.columns), n_features)) + + # print(constraint_rhs) + # print(constraint_lhs) + # constrain the highest order output autocorrelation to be negative + # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library + # for more complex libraries, some conditional logic will be needed to grab the right column + constraint_lhs[ + :, -len(forcing.columns) - len(response.columns) : -len(forcing.columns) + ] = 1 + # leq 0 + # print("constraint lhs") + # print(constraint_lhs) + + # forcing_coef_constraints only implemented for bibo stable MISO models right now + if forcing_coef_constraints is not None: + n_targets = len(response.columns) + constraint_rhs = np.zeros((n_features,)) # every feature is constrained + # one row per constraint, one column per coefficient + constraint_lhs = np.zeros((n_features, n_targets * n_features)) + # bibo stability, set the highest order output autocorrelation to be negative for each response variable + # the index corresponds to the last entry in "feature_names" which includes the name of the response column + highest_power_col_idx = 0 + for i, col in enumerate(feature_names): + if response.columns[0] in col: + highest_power_col_idx = i + constraint_lhs[0, highest_power_col_idx] = ( + 1 # first row, highest power of the response variable + ) + + # now implement the forcing coefficient constraints + for i, col in enumerate(feature_names): + for key in forcing_coef_constraints.keys(): + if key in col: + constraint_lhs[i, i] = -forcing_coef_constraints[key] + # invert the sign because the eqn is written as "leq 0" + + # constrain the highest order output autocorrelation to be negative + # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library + # for more complex libraries, some conditional logic will be needed to grab the right column + # constraint_lhs[:n_targets,-len(forcing.columns)-len(response.columns):-len(forcing.columns)] = 1 + + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(), + feature_library=ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ), + optimizer=_ConstrainedSR3( + reg_weight_lam=0, + regularizer="l2", + constraint_lhs=constraint_lhs, + constraint_rhs=constraint_rhs, + inequality_constraints=True, + ), + ) + if transform_dependent: + # combine response and forcing into one dataframe + total_train = pd.concat((response, forcing), axis="columns") + total_train = transform_inputs( + shape_factors, scale_factors, loc_factors, index, total_train + ) + # remove the columns in total_train that are already in response (just want to keep the transformed forcing) + total_train = total_train.drop(columns=response.columns) + feature_names = response.columns.tolist() + total_train.columns.tolist() + + # need to add constraints such that variables don't depend on their own past values (but they can have autocorrelations) + + library = ps.PolynomialLibrary( + degree=poly_degree, + include_bias=include_bias, + include_interaction=include_interaction, + ) + library_terms = pd.concat((total_train, response), axis="columns") + library.fit([ps.AxesArray(library_terms, {"ax_sample": 0, "ax_coord": 1})]) + n_features = library.n_output_features_ + # print(f"Features ({n_features}):", library.get_feature_names()) + # Set constraints + n_targets = response.shape[ + 1 + ] # not sure what targets means after reading through the pysindy docs + + constraint_rhs = np.zeros((n_targets,)) + # one row per constraint, one column per coefficient + constraint_lhs = np.zeros((n_targets, n_features * n_targets)) + # for bibo stability, starting guess is that each dependent variable is negatively autocorrelated and depends on no other variable + if bibo_stable: + initial_guess = np.zeros((n_targets, n_features)) + for idx in range(0, n_targets): + initial_guess[idx, idx] = -1 + else: + initial_guess = None + # print(constraint_rhs) + # print(constraint_lhs) + # set the coefficient on a variable's own transformed value to 0 + for idx in range(0, n_targets): + constraint_lhs[idx, (idx + 1) * n_features - n_targets + idx] = 1 + + # print("constraint lhs") + # print(constraint_lhs) + + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(), + feature_library=library, + optimizer=_ConstrainedSR3( + reg_weight_lam=0, + regularizer="l0", + relax_coeff_nu=10e9, + initial_guess=initial_guess, + constraint_lhs=constraint_lhs, + constraint_rhs=constraint_rhs, + inequality_constraints=False, + max_iter=10000, + ), + ) + + try: + # windup latent states (if your windup is too long, this will error) + model.fit( + response.values[windup_timesteps:, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=total_train.values[windup_timesteps:, :], + ) + r2 = model.score( + response.values[windup_timesteps:, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=total_train.values[windup_timesteps:, :], + ) # training data score + except Exception as e: # and print the exception + print("Exception in model fitting, returning r2=-1\n") + print(e) + error_metrics = { + "MAE": [False], + "RMSE": [False], + "NSE": [False], + "alpha": [False], + "beta": [False], + "HFV": [False], + "HFV10": [False], + "LFV": [False], + "FDC": [False], + "r2": -1, + } + return { + "error_metrics": error_metrics, + "model": None, + "simulated": False, + "response": response, + "forcing": forcing, + "index": index, + "diverged": False, + } + + else: + try: + # windup latent states (if your windup is too long, this will error) + model.fit( + response.values[windup_timesteps:, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=forcing.values[windup_timesteps:, :], + ) + r2 = model.score( + response.values[windup_timesteps:, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=forcing.values[windup_timesteps:, :], + ) # training data score + except Exception as e: # and print the exception + print("Exception in model fitting, returning r2=-1\n") + print(e) + error_metrics = { + "MAE": [False], + "RMSE": [False], + "NSE": [False], + "alpha": [False], + "beta": [False], + "HFV": [False], + "HFV10": [False], + "LFV": [False], + "FDC": [False], + "r2": -1, + } + return { + "error_metrics": error_metrics, + "model": None, + "simulated": False, + "response": response, + "forcing": forcing, + "index": index, + "diverged": False, + } + # r2 is how well we're doing across all the outputs. that's actually good to keep model accuracy lumped because that's what makes most sense to drive the optimization + # even though the metrics we'll want to evaluate models on are individual output accuracy + # print("training R^2", r2) + # model.print(precision=5) + + # return false for things not evaluated / don't exist + error_metrics = { + "MAE": [False], + "RMSE": [False], + "NSE": [False], + "alpha": [False], + "beta": [False], + "HFV": [False], + "HFV10": [False], + "LFV": [False], + "FDC": [False], + "r2": r2, + } + simulated = False + if final_run: # only simulate final runs because it's slow + try: # once in high volume training put this back in, but want to see the errors during development + if transform_dependent: + simulated = model.simulate( + response.values[windup_timesteps, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=total_train.values[windup_timesteps:, :], + ) + else: + simulated = model.simulate( + response.values[windup_timesteps, :], + t=np.arange(0, len(index), 1)[windup_timesteps:], + u=forcing.values[windup_timesteps:, :], + ) + mae = list() + rmse = list() + nse = list() + alpha = list() + beta = list() + hfv = list() + hfv10 = list() + lfv = list() + fdc = list() + for col_idx in range( + 0, len(response.columns) + ): # univariate performance metrics + basic = compute_basic_metrics( + response.values[windup_timesteps + 1 :, col_idx], + simulated[:, col_idx], + ) + mae.append(basic["mae"]) + rmse.append(basic["rmse"]) + nse.append(basic["nse"]) + alpha.append(basic["alpha"]) + beta.append(basic["beta"]) + + hfv.append( + 100 + * np.sum( + np.sort(simulated[:, col_idx])[-int(0.02 * len(index)) :] + - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.02 * len(index)) : + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.02 * len(index)) : + ] + ) + ) + hfv10.append( + 100 + * np.sum( + np.sort(simulated[:, col_idx])[-int(0.1 * len(index)) :] + - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.1 * len(index)) : + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.1 * len(index)) : + ] + ) + ) + lfv.append( + 100 + * np.sum( + np.sort(simulated[:, col_idx])[-int(0.3 * len(index)) :] + - np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.3 * len(index)) : + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.3 * len(index)) : + ] + ) + ) + fdc.append( + 100 + * ( + np.log10( + np.sort(simulated[:, col_idx])[int(0.2 * len(simulated))] + ) + - np.log10( + np.sort(simulated[:, col_idx])[int(0.7 * len(simulated))] + ) + - np.log10( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + int(0.2 * len(simulated)) + ] + ) + + np.log10( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + int(0.7 * len(simulated)) + ] + ) + ) + / np.log10( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + int(0.2 * len(simulated)) + ] + ) + - np.log10( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + int(0.7 * len(simulated)) + ] + ) + ) + + print("MAE = ", mae) + print("RMSE = ", rmse) + print("NSE = ", nse) + # alpha nse decomposition due to gupta et al 2009 + print("alpha = ", alpha) + print("beta = ", beta) + # top 2% peak flow bias (HFV) due to yilmaz et al 2008 + print("HFV = ", hfv) + # top 10% peak flow bias (HFV) due to yilmaz et al 2008 + print("HFV10 = ", hfv10) + # 30% low flow bias (LFV) due to yilmaz et al 2008 + print("LFV = ", lfv) + # bias of FDC midsegment slope due to yilmaz et al 2008 + print("FDC = ", fdc) + # compile all the error metrics into a dictionary + error_metrics = { + "MAE": mae, + "RMSE": rmse, + "NSE": nse, + "alpha": alpha, + "beta": beta, + "HFV": hfv, + "HFV10": hfv10, + "LFV": lfv, + "FDC": fdc, + "r2": r2, + } + + except Exception as e: # and print the exception: + print("Exception in simulation\n") + print(e) + error_metrics = { + "MAE": [np.nan], + "RMSE": [np.nan], + "NSE": [np.nan], + "alpha": [np.nan], + "beta": [np.nan], + "HFV": [np.nan], + "HFV10": [np.nan], + "LFV": [np.nan], + "FDC": [np.nan], + "r2": r2, + } + + return { + "error_metrics": error_metrics, + "model": model, + "simulated": response[1:], + "response": response, + "forcing": forcing, + "index": index, + "diverged": True, + } + + return { + "error_metrics": error_metrics, + "model": model, + "simulated": simulated, + "response": response, + "forcing": forcing, + "index": index, + "diverged": False, + } + # return [r2, model, mae, rmse, index, simulated , response , forcing] diff --git a/modpods/predict.py b/modpods/predict.py new file mode 100644 index 0000000..6f20fbe --- /dev/null +++ b/modpods/predict.py @@ -0,0 +1,221 @@ +import numpy as np + +from .metrics import compute_basic_metrics +from .transforms import transform_inputs + + +def delay_io_predict( + delay_io_model, + system_data, + num_transforms=1, + evaluation=False, + windup_timesteps=None, +): + if ( + windup_timesteps is None + ): # user didn't specify windup timesteps, use what the model trained with. + windup_timesteps = delay_io_model[num_transforms]["windup_timesteps"] + forcing = system_data[delay_io_model[num_transforms]["independent_columns"]].copy( + deep=True + ) + response = system_data[delay_io_model[num_transforms]["dependent_columns"]].copy( + deep=True + ) + + # Use cache from model if available, otherwise create a new one + transform_cache = delay_io_model[num_transforms].get("transform_cache", None) + transformed_forcing = transform_inputs( + shape_factors=delay_io_model[num_transforms]["shape_factors"], + scale_factors=delay_io_model[num_transforms]["scale_factors"], + loc_factors=delay_io_model[num_transforms]["loc_factors"], + index=system_data.index, + forcing=forcing, + cache=transform_cache, + ) + try: + prediction = delay_io_model[num_transforms]["final_model"]["model"].simulate( + system_data[delay_io_model[num_transforms]["dependent_columns"]].iloc[ + windup_timesteps, : + ], + t=np.arange(0, len(system_data.index), 1)[windup_timesteps:], + u=transformed_forcing[windup_timesteps:], + ) + except Exception as e: # and print the exception: + print("Exception in simulation\n") + print(e) + print("diverged.") + error_metrics = { + "MAE": [np.nan], + "RMSE": [np.nan], + "NSE": [np.nan], + "alpha": [np.nan], + "beta": [np.nan], + "HFV": [np.nan], + "HFV10": [np.nan], + "LFV": [np.nan], + "FDC": [np.nan], + } + return { + "prediction": np.nan + * np.ones(shape=response[windup_timesteps + 1 :].shape), + "error_metrics": error_metrics, + "diverged": True, + } + + # return all the error metrics if the prediction is being evaluated against known measurements + if evaluation: + try: + mae = list() + rmse = list() + nse = list() + alpha = list() + beta = list() + hfv = list() + hfv10 = list() + lfv = list() + fdc = list() + for col_idx in range( + 0, len(response.columns) + ): # univariate performance metrics + error = ( + response.values[windup_timesteps + 1 :, col_idx] + - prediction[:, col_idx] + ) + + initial_error_length = len(error) + error = error[~np.isnan(error)] + if len(error) < 0.75 * initial_error_length: + print("WARNING: More than 25% of the entries in error were NaN") + + basic = compute_basic_metrics( + response.values[windup_timesteps + 1 :, col_idx], + prediction[:, col_idx], + ) + mae.append(basic["mae"]) + rmse.append(basic["rmse"]) + nse.append(basic["nse"]) + alpha.append(basic["alpha"]) + beta.append(basic["beta"]) + + hfv.append( + np.sum( + np.sort(prediction[:, col_idx])[ + -int(0.02 * len(system_data.index)) : + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.02 * len(system_data.index)) : + ] + ) + ) + hfv10.append( + np.sum( + np.sort(prediction[:, col_idx])[ + -int(0.1 * len(system_data.index)) : + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.1 * len(system_data.index)) : + ] + ) + ) + lfv.append( + np.sum( + np.sort(prediction[:, col_idx])[ + : int(0.3 * len(system_data.index)) + ] + ) + / np.sum( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + : int(0.3 * len(system_data.index)) + ] + ) + ) + fdc.append( + np.mean( + np.sort(prediction[:, col_idx])[ + -int(0.6 * len(system_data.index)) : -int( + 0.4 * len(system_data.index) + ) + ] + ) + / np.mean( + np.sort(response.values[windup_timesteps + 1 :, col_idx])[ + -int(0.6 * len(system_data.index)) : -int( + 0.4 * len(system_data.index) + ) + ] + ) + ) + + print("MAE = ", mae) + print("RMSE = ", rmse) + + print("NSE = ", nse) + # alpha nse decomposition due to gupta et al 2009 + print("alpha = ", alpha) + print("beta = ", beta) + # top 2% peak flow bias (HFV) due to yilmaz et al 2008 + print("HFV = ", hfv) + # top 10% peak flow bias (HFV) due to yilmaz et al 2008 + print("HFV10 = ", hfv10) + # 30% low flow bias (LFV) due to yilmaz et al 2008 + print("LFV = ", lfv) + # bias of FDC midsegment slope due to yilmaz et al 2008 + print("FDC = ", fdc) + # compile all the error metrics into a dictionary + error_metrics = { + "MAE": mae, + "RMSE": rmse, + "NSE": nse, + "alpha": alpha, + "beta": beta, + "HFV": hfv, + "HFV10": hfv10, + "LFV": lfv, + "FDC": fdc, + } + # omit r2 here because it doesn't mean the same thing as it does for training, would be misleading. + # r2 in training expresses how much of the derivative is predicted by the model, whereas in evaluation it expresses how much of the response is predicted by the model + + return { + "prediction": prediction, + "error_metrics": error_metrics, + "diverged": False, + } + except Exception as e: # and print the exception: + print(e) + print("Simulation diverged.") + error_metrics = { + "MAE": [np.nan], + "RMSE": [np.nan], + "NSE": [np.nan], + "alpha": [np.nan], + "beta": [np.nan], + "HFV": [np.nan], + "HFV10": [np.nan], + "LFV": [np.nan], + "FDC": [np.nan], + "diverged": [True], + } + + return {"prediction": prediction, "error_metrics": error_metrics} + else: + error_metrics = { + "MAE": [np.nan], + "RMSE": [np.nan], + "NSE": [np.nan], + "alpha": [np.nan], + "beta": [np.nan], + "HFV": [np.nan], + "HFV10": [np.nan], + "LFV": [np.nan], + "FDC": [np.nan], + } + return { + "prediction": prediction, + "error_metrics": error_metrics, + "diverged": False, + } diff --git a/modpods/topology.py b/modpods/topology.py new file mode 100644 index 0000000..d035916 --- /dev/null +++ b/modpods/topology.py @@ -0,0 +1,796 @@ +import warnings + +import networkx as nx +import numpy as np +import pandas as pd +import pysindy as ps +from scipy.optimize import minimize + +from .transforms import transform_inputs + + +def find_topology_no_geo( + system_data, + dependent_columns, + independent_columns, + max_iterations=250, + graph_type="Weak-Conn", + verbose=False, + sensor_locations=None, + init_neighbors=3, +): + """ + Infer network topology from time series data using SINDy-based optimization. + + Args: + system_data: pd.DataFrame with time series data, columns are variables + dependent_columns: list of column names that are dependent variables + independent_columns: list of column names that are independent/forcing variables + max_iterations: maximum iterations for optimization + graph_type: type of graph connectivity requirement ('Weak-Conn') + verbose: whether to print detailed output + sensor_locations: optional dict mapping column names to {"lat": float, "lon": float}. + If provided, uses geographic filtering to reduce computation by only evaluating + nearby sensors as potential forcings. Format: {"station_A": {"lat": 41.5, "lon": -74.5}, ...} + init_neighbors: initial number of nearest neighbors to evaluate when sensor_locations + is provided (default: 3). Ignored if sensor_locations is None. + + Returns: + dict with keys: "edges", "best_params", "r2_values", "lead_lag" + """ + + # only print 3 places past the decimal for floats. don't use scientific notation. if less than 0.001, print as <0.001 + pd.options.display.float_format = "{:.3f}".format + + # Helper function to find the lag with strongest cross-correlation + def cross_correlation_lag(x, y, max_lag): + """Find the lag with strongest cross-correlation between x and y. + + Returns: + best_lag: Positive lag means x leads y (x happens before y) + Negative lag means y leads x (y happens before x) + best_corr: The correlation coefficient at best_lag + """ + best_lag, best_corr = 0, -2 + for lag in range(-max_lag, max_lag + 1): + if lag < 0: + xs = x.iloc[-lag:] + ys = y.iloc[: len(xs)] + elif lag > 0: + ys = y.iloc[lag:] + xs = x.iloc[: len(ys)] + else: + xs, ys = x, y + if len(xs) < 5 or xs.std() == 0 or ys.std() == 0: + continue + c = np.corrcoef(xs, ys)[0, 1] + if np.isnan(c): + continue + if c > best_corr: + best_corr, best_lag = c, lag + return best_lag, best_corr + + # drop columns from system_data which aren't in dependent_columns or independent_columns + # this ensures we only analyze the variables of interest + system_data = pd.concat( + (system_data[independent_columns], system_data[dependent_columns]), + axis="columns", + ) + + # Store results for each column pair + best_params = pd.DataFrame( + index=dependent_columns, columns=system_data.columns, dtype=object + ) + r2_values = pd.DataFrame( + index=dependent_columns, columns=system_data.columns, dtype=float + ) + lead_lag = pd.DataFrame( + index=dependent_columns, columns=system_data.columns, dtype=float + ) + edges = pd.DataFrame( + index=system_data.columns, columns=system_data.columns, dtype=int, data=0 + ) # from column, to row. causation, not flow. + + for dep_col in dependent_columns: + _ = np.array(system_data[dep_col].values) + + # First, compute autocorrelation-only R² (no external forcing) + # This tells us how much of the dynamics can be explained by the state alone + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(order=10, drop_endpoints=True), + feature_library=ps.PolynomialLibrary( + degree=2, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + # Fit with no control input (u=None), just the state + fit = model.fit( + x=system_data.loc[:, dep_col], + t=np.arange(0, len(system_data.index), 1), + feature_names=[dep_col], + ) + auto_r2 = fit.score( + x=system_data.loc[:, dep_col], t=np.arange(0, len(system_data.index), 1) + ) + r2_values.loc[dep_col, dep_col] = auto_r2 + + for forcing_col in system_data.columns: + if forcing_col == dep_col: + continue # already computed autocorrelation above + + # EXPERIMENTAL: Check lead/lag before expensive SISO optimization + # Skip if forcing doesn't lead response (comment out to disable this check) + max_lag_check = min(len(system_data) // 4, 100) + early_lag, early_xcorr = cross_correlation_lag( + system_data[forcing_col], system_data[dep_col], max_lag_check + ) + if early_lag < -5: + print( + f"\nSkipping {forcing_col} -> {dep_col}: forcing lags response (lag={early_lag})" + ) + lead_lag.loc[dep_col, forcing_col] = early_lag + r2_values.loc[dep_col, forcing_col] = 0.0 + best_params.loc[dep_col, forcing_col] = ( + 2.0, + 2.0, + 0.0, + ) # default params + continue + # END EXPERIMENTAL + + print(f"\nOptimizing transformation for {forcing_col} -> {dep_col}") + forcing_orig = system_data[[forcing_col]].copy(deep=True) + + # Objective function to minimize (negative because we want to maximize correlation - p_value) + def objective(params): + shape, scale, loc = params + + # Create transformation parameter DataFrames + shape_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + shape_factors.loc[1, forcing_col] = shape + scale_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + scale_factors.loc[1, forcing_col] = scale + loc_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + loc_factors.loc[1, forcing_col] = loc + + try: + transformed_inputs = pd.DataFrame(index=system_data.index) + # SINDY way + transformed = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing_orig, + ) + transformed_inputs = pd.concat( + (transformed_inputs, transformed[[forcing_col + "_tr_1"]]), + axis="columns", + ) + # build a sindy model with these inputs + feature_names = [dep_col, str(forcing_col + "_tr_1")] + model = ps.SINDy( + differentiation_method=ps.FiniteDifference( + order=10, drop_endpoints=True + ), + feature_library=ps.PolynomialLibrary( + degree=2, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + fit = model.fit( + x=system_data.loc[:, dep_col], + u=transformed_inputs, + t=np.arange(0, len(system_data.index), 1), + feature_names=feature_names, + ) + r2 = fit.score( + x=system_data.loc[:, dep_col], + u=transformed_inputs, + t=np.arange(0, len(system_data.index), 1), + ) + + return -r2 # Negative because minimize + except Exception as e: + # if e contains any letters or numbers, print it for debugging + if any(c.isalnum() for c in str(e)): + if verbose: + print(f"Exception in objective function: {e}") + + return 1e10 # Large penalty for invalid parameters + + # Initial guess and bounds + x0 = [2.0, 2.0, 0.0] + bounds = [(1.0, 300.0), (1e-5, 300.0), (0, 300.0)] # shape, scale, loc + + # Optimize + result = minimize( + objective, + x0, + method="Nelder-Mead", + bounds=bounds, + options={"maxiter": max_iterations, "disp": verbose, "fatol": 1e-4}, + ) + + # Store best results + best_shape, best_scale, best_loc = result.x + + # Compute final correlation and p_value with best parameters + shape_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + shape_factors.loc[1, forcing_col] = best_shape + scale_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + scale_factors.loc[1, forcing_col] = best_scale + loc_factors = pd.DataFrame(columns=[forcing_col], index=[1]) + loc_factors.loc[1, forcing_col] = best_loc + + transformed = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing_orig, + ) + _ = np.array(transformed[forcing_col + "_tr_1"].values) + feature_names = [dep_col, forcing_col] + model = ps.SINDy( + differentiation_method=ps.FiniteDifference( + order=10, drop_endpoints=True + ), + feature_library=ps.PolynomialLibrary( + degree=2, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + fit = model.fit( + x=system_data.loc[:, dep_col], + t=np.arange(0, len(system_data.index), 1), + u=transformed, + feature_names=feature_names, + ) + # evaluate the r2 score + r2 = fit.score( + x=system_data.loc[:, dep_col], + t=np.arange(0, len(system_data.index), 1), + u=transformed, + ) + try: + model.print() + except Exception as e: + print(e) + + r2_values.loc[dep_col, forcing_col] = r2 + + # Compute cross-correlation lag between forcing and response + # Use max_lag of 1/4 of the data length, capped at 100 + max_lag = min(len(system_data) // 4, 100) + best_lag, best_xcorr = cross_correlation_lag( + system_data[forcing_col], system_data[dep_col], max_lag + ) + lead_lag.loc[dep_col, forcing_col] = best_lag + + print(f"\nOptimizing transformation for {forcing_col} -> {dep_col}") + print( + f" BEST: shape={best_shape:.2f}, scale={best_scale:.2f}, loc={best_loc:.2f}" + ) + print(f" Cross-correlation: lag={best_lag}, corr={best_xcorr:.4f}") + # save the best parameters + best_params.loc[dep_col, forcing_col] = (best_shape, best_scale, best_loc) + + print("R2 Values:") + print(r2_values) + print("\n") + + print("Final SISO R2 Values:") + print(r2_values) + current_best_r2 = pd.Series(index=dependent_columns, dtype=float, data=0.0) + print("Lead/Lag Matrix: (positive lag means forcing leads response)") + print(lead_lag) + + # OPTION A: Mask r2 values by nonnegative lead/lag (forcing must lead response) + # This is applied AFTER SISO optimization - use this if not skipping early + # r2_values = r2_values.mask(lead_lag < 0, 0) + # print("Masked R2 Values (only forcing leads response):") + # print(r2_values) + + # OPTION B: Early skip is done above in the SISO loop - r2_values already has 0s for skipped pairs + + # first identify the maximum r^2 value in each row. we know these will be included in the final topology + # with an exception: if we form a cycle with these initial edges, remove the lowest r^2 edge in the cycle + # for dep_col in dependent_columns: + # forcing_col = r2_values.loc[dep_col,:].idxmax() + # edges.loc[dep_col,forcing_col] = 1 + # current_best_r2[dep_col] = r2_values.loc[dep_col,forcing_col] + + # try a different method of picking initial edges + # find the n_columns edges in r2_values with the highest r^2 values + # if they are the maximum in their row and column, include them + sorted_r2 = r2_values.stack().sort_values(ascending=False) + for idx in sorted_r2.index: + dep_col = idx[0] + forcing_col = idx[1] + r2 = r2_values.loc[dep_col, forcing_col] + # is this the maximum in its row and column? (strongest connection for giver and receiver) + if ( + r2 == r2_values.loc[dep_col, :].max() + and r2 == r2_values.loc[:, forcing_col].max() + ): + edges.loc[dep_col, forcing_col] = 1 + current_best_r2[dep_col] = r2_values.loc[dep_col, forcing_col] + print(f"Initial edge added: {forcing_col} -> {dep_col} with r^2 = {r2:.4f}") + + # check for cycles and remove them iteratively + G = nx.from_pandas_adjacency(edges, create_using=nx.DiGraph) + while True: + try: + # find_cycle returns a list of edges forming ONE cycle: [(u, v, dir), (v, w, dir), ...] + cycle_edges = list(nx.find_cycle(G, orientation="original")) + if len(cycle_edges) == 0: + break + + print( + f"Found cycle with {len(cycle_edges)} edges. Removing lowest r^2 edge." + ) + print(f"Cycle edges: {[(e[0], e[1]) for e in cycle_edges]}") + + # find the edge with the lowest r^2 in the cycle + min_r2 = float("inf") + edge_to_remove = None + for edge in cycle_edges: + from_node = edge[0] # source node + to_node = edge[1] # target node + # In our adjacency matrix, edges.loc[row, col] = 1 means col -> row + # So we need r2_values.loc[to_node, from_node] for edge from_node -> to_node + r2 = r2_values.loc[to_node, from_node] + print(f" Edge {from_node} -> {to_node}: r^2 = {r2:.4f}") + if r2 < min_r2: + min_r2 = r2 + edge_to_remove = (from_node, to_node) + + # remove this edge from our edges DataFrame + # edges.loc[row, col] = 1 means col -> row, so to remove from_node -> to_node: + edges.loc[edge_to_remove[1], edge_to_remove[0]] = 0 + print( + f" Removed edge {edge_to_remove[0]} -> {edge_to_remove[1]} with r^2 = {min_r2:.4f}" + ) + + # rebuild the graph for next iteration + G = nx.from_pandas_adjacency(edges, create_using=nx.DiGraph) + + except nx.NetworkXNoCycle: + # No cycle found, we're done + print("No cycles detected in initial edges.") + break + except Exception as e: + print(f"Error during cycle detection: {e}") + break + + # Helper function to update correlation-weighted R² scores for a single output variable + def update_corr_weighted_r2(dep_col): + """Update corr_wted_r2 for all potential inputs to dep_col based on current edges.""" + selected_inputs = list(edges.loc[dep_col, edges.loc[dep_col, :] == 1].index) + for forcing_col in system_data.columns: + if forcing_col in selected_inputs or forcing_col == dep_col: + continue # skip already selected inputs / autocorrelation + + if len(selected_inputs) > 0: + correlations = [] + for sel_input in selected_inputs: + # compute correlation between transformed versions of forcing_col and sel_input + shape_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) + shape_factors_1.loc[1, forcing_col] = best_params.loc[ + dep_col, forcing_col + ][0] + scale_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) + scale_factors_1.loc[1, forcing_col] = best_params.loc[ + dep_col, forcing_col + ][1] + loc_factors_1 = pd.DataFrame(columns=[forcing_col], index=[1]) + loc_factors_1.loc[1, forcing_col] = best_params.loc[ + dep_col, forcing_col + ][2] + transformed_1 = transform_inputs( + shape_factors_1, + scale_factors_1, + loc_factors_1, + system_data.index, + system_data[[forcing_col]], + ) + + shape_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) + shape_factors_2.loc[1, sel_input] = best_params.loc[ + dep_col, sel_input + ][0] + scale_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) + scale_factors_2.loc[1, sel_input] = best_params.loc[ + dep_col, sel_input + ][1] + loc_factors_2 = pd.DataFrame(columns=[sel_input], index=[1]) + loc_factors_2.loc[1, sel_input] = best_params.loc[ + dep_col, sel_input + ][2] + transformed_2 = transform_inputs( + shape_factors_2, + scale_factors_2, + loc_factors_2, + system_data.index, + system_data[[sel_input]], + ) + + together = pd.DataFrame(index=system_data.index) + together[forcing_col] = transformed_1[str(forcing_col + "_tr_1")] + together[sel_input] = transformed_2[str(sel_input + "_tr_1")] + + # Check for zero variance before computing correlation + if ( + together[forcing_col].std() == 0 + or together[sel_input].std() == 0 + ): + corr = 2.0 # constant variable, exclude it + else: + corr = np.corrcoef(together[forcing_col], together[sel_input])[ + 0, 1 + ] + if np.isnan(corr): + corr = 0.0 + correlations.append(abs(corr)) + _ = np.max(correlations) + else: + _ = 0.0 + + corr_wted_r2.loc[dep_col, forcing_col] = ( + r2_values.loc[dep_col, forcing_col] * 1 + ) # ((1 - max_corr)) # was **10 + + # Initialize correlation-weighted R² scores + corr_wted_r2 = r2_values.copy(deep=True) + for dep_col in dependent_columns: + update_corr_weighted_r2(dep_col) + + sorted_r2 = r2_values.stack().sort_values(ascending=False) + if verbose: + print("Sorted R2 values:") + print(sorted_r2) + + # Use a while loop so we can re-sort after each edge addition + # This ensures we always pick the best remaining candidate after correlation weights are updated + evaluated_pairs = ( + set() + ) # Track pairs we've already evaluated to avoid infinite loops + + while True: + sorted_corr_wted_r2 = corr_wted_r2.stack().sort_values(ascending=False) + # Find the best candidate we haven't evaluated yet + idx = None + for candidate_idx in sorted_corr_wted_r2.index: + if ( + candidate_idx not in evaluated_pairs + and edges.loc[candidate_idx[0], candidate_idx[1]] != 1 + ): + idx = candidate_idx + break + + if idx is None: + print("No more candidate edges to evaluate.") + break + + evaluated_pairs.add(idx) + output_variable = idx[0] + forcing_variable = idx[1] + r2 = r2_values.loc[output_variable, forcing_variable] + + non_rain_edges = edges.loc[ + ~edges.index.str.contains("rain"), ~edges.columns.str.contains("rain") + ] + + # would adding this edge reduce the number of components in the graph? (not considering rain) + non_rain_edges_if_added = non_rain_edges.copy(deep=True) + non_rain_edges_if_added.loc[output_variable, forcing_variable] = 1 + + n_components_now = nx.number_weakly_connected_components( + nx.from_pandas_adjacency(non_rain_edges, create_using=nx.DiGraph) + ) + if n_components_now == 1: + print("graph is weakly connected.") + # done + break + + n_components = nx.number_weakly_connected_components( + nx.from_pandas_adjacency(non_rain_edges_if_added, create_using=nx.DiGraph) + ) + if "rain" not in forcing_variable.lower(): # always allow rain edges + if n_components >= n_components_now: + print( + f"Skipping addition of {forcing_variable} -> {output_variable} as it does not improve connectivity" + ) + continue # skip this addition as it doesn't improve connectivity + + print( + f"Evaluating edge {forcing_variable} -> {output_variable} with r2 = {r2:.4f}" + ) + print("current best r2 values:") + print(current_best_r2) + # build the candidate input set + selected_inputs = list( + edges.loc[output_variable, edges.loc[output_variable, :] == 1].index + ) + candidate_inputs = selected_inputs + [forcing_variable] + + # optimize the transformations for all candidate inputs together, using siso best params as initial guesses + def joint_objective(params, debug=False): + # params is a flat list of shape, scale, loc for each candidate input + transformed_inputs = pd.DataFrame(index=system_data.index) + for i, input_var in enumerate(candidate_inputs): + shape = params[i * 3] + scale = params[i * 3 + 1] + loc = params[i * 3 + 2] + shape_factors = pd.DataFrame(columns=[input_var], index=[1]) + shape_factors.loc[1, input_var] = shape + scale_factors = pd.DataFrame(columns=[input_var], index=[1]) + scale_factors.loc[1, input_var] = scale + loc_factors = pd.DataFrame(columns=[input_var], index=[1]) + loc_factors.loc[1, input_var] = loc + forcing_orig = system_data[[input_var]].copy() + transformed = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing_orig, + ) + # Include BOTH original and transformed columns, consistent with SISO phase + transformed_inputs = pd.concat( + (transformed_inputs, transformed), axis="columns" + ) + # build and fit the sindy model + feature_names = [output_variable] + list(transformed_inputs.columns) + model = ps.SINDy( + differentiation_method=ps.FiniteDifference( + order=10, drop_endpoints=True + ), + feature_library=ps.PolynomialLibrary( + degree=2, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + fit = model.fit( + x=system_data.loc[:, output_variable], + t=np.arange(0, len(system_data.index), 1), + u=transformed_inputs, + feature_names=feature_names, + ) + r2 = fit.score( + x=system_data.loc[:, output_variable], + t=np.arange(0, len(system_data.index), 1), + u=transformed_inputs, + ) + if debug: + print( + f" DEBUG joint_objective: inputs={list(transformed_inputs.columns)}, r2={r2:.4f}" + ) + try: + model.print() + except Exception: + pass + return -r2 # Negative because minimize + + # initial guesses from SISO optimization + x0 = [] + for input_var in candidate_inputs: + shape, scale, loc = best_params.loc[output_variable, input_var] + x0.extend([shape, scale, loc]) + bounds = [] + for input_var in candidate_inputs: + bounds.extend( + [(1.0, 300.0), (1e-5, 300.0), (0.0, 300.0)] + ) # shape, scale, loc + + # First, compute baseline R² using SISO-optimized params (x0) + # This ensures we never do worse than the initial guess + baseline_r2 = -joint_objective(x0, debug=True) + print(f" Baseline R² with SISO params: {baseline_r2:.4f}") + + # optimize + multivariable_iterations = max_iterations * len(candidate_inputs) + result = minimize( + joint_objective, + x0, + method="Nelder-Mead", + bounds=bounds, + options={"maxiter": multivariable_iterations, "disp": verbose}, + ) + optimized_r2 = -result.fun + + # Use optimized params only if they improve on baseline, otherwise keep SISO params + if optimized_r2 >= baseline_r2: + optimized_params = result.x + print(f" Optimizer improved R² to {optimized_r2:.4f}") + else: + optimized_params = x0 + print( + f" Optimizer found worse R² ({optimized_r2:.4f}), keeping SISO params (R² = {baseline_r2:.4f})" + ) + + # extract best params + for i, input_var in enumerate(candidate_inputs): + shape = optimized_params[i * 3] + scale = optimized_params[i * 3 + 1] + loc = optimized_params[i * 3 + 2] + best_params.loc[output_variable, input_var] = (shape, scale, loc) + # compute final r2 with optimized params + transformed_inputs = pd.DataFrame(index=system_data.index) + for i, input_var in enumerate(candidate_inputs): + shape = optimized_params[i * 3] + scale = optimized_params[i * 3 + 1] + loc = optimized_params[i * 3 + 2] + shape_factors = pd.DataFrame(columns=[input_var], index=[1]) + shape_factors.loc[1, input_var] = shape + scale_factors = pd.DataFrame(columns=[input_var], index=[1]) + scale_factors.loc[1, input_var] = scale + loc_factors = pd.DataFrame(columns=[input_var], index=[1]) + loc_factors.loc[1, input_var] = loc + forcing_orig = system_data[[input_var]].copy() + transformed = transform_inputs( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing_orig, + ) + # Include BOTH original and transformed columns, consistent with SISO phase + transformed_inputs = pd.concat( + (transformed_inputs, transformed), axis="columns" + ) + feature_names = [output_variable] + list(transformed_inputs.columns) + model = ps.SINDy( + differentiation_method=ps.FiniteDifference(order=10, drop_endpoints=True), + feature_library=ps.PolynomialLibrary( + degree=2, include_bias=False, include_interaction=False + ), + optimizer=ps.optimizers.STLSQ(threshold=0, alpha=0), + ) + fit = model.fit( + x=system_data.loc[:, output_variable], + t=np.arange(0, len(system_data.index), 1), + u=transformed_inputs, + feature_names=feature_names, + ) + r2 = fit.score( + x=system_data.loc[:, output_variable], + t=np.arange(0, len(system_data.index), 1), + u=transformed_inputs, + ) + + print( + f"Testing inputs {candidate_inputs} for output {output_variable} -> r2 = {r2:.4f}" + ) + if ( + r2 > current_best_r2[output_variable] + 0.01 + ): # only keep it if it improves the r2 by at least 1% + # add a conditional here for reducing the number of components in the graph. if it doesn't connect things that were previously unconnected, we don't want it. + selected_inputs = candidate_inputs + current_best_r2[output_variable] = r2 + print( + f" Accepted new input {forcing_variable}, updated r2 = {current_best_r2[output_variable]:.4f}" + ) + edges.loc[output_variable, forcing_variable] = 1 + + # Update correlation-weighted R² for this output since we added a new input + # The while loop will re-sort at the next iteration + update_corr_weighted_r2(output_variable) + + else: + print(f" Rejected new input {forcing_variable}, r2 would be {r2:.4f}") + + # transpose edges to have from -> to convention + edges = edges.T + # earlier in the code we have dependent variables on the rows and independent on columns. + # that arrangement makes comparing the effect of potential inputs on each output easier. + # but for output, it's more intuitive to have from -> to convention, so we transpose before returning. + + return { + "edges": edges, + "best_params": best_params, + "r2_values": r2_values, + "lead_lag": lead_lag, + } + + +def infer_causative_topology( # noqa: F811 + # type: ignore + system_data, + dependent_columns, + independent_columns, + graph_type="Weak-Conn", + verbose=False, + max_iter=250, + swmm=False, + method="sindy", # Changed default from "granger" to "sindy" + derivative=False, + sensor_locations=None, + init_neighbors=3, +): + """ + Infer causative topology from time series data using SINDy-based optimization. + + Args: + system_data: pd.DataFrame with time series data + dependent_columns: list of column names that are dependent variables + independent_columns: list of column names that are independent/forcing variables + graph_type: type of graph connectivity requirement ('Weak-Conn' or 'Strong-Conn') + verbose: whether to print detailed output + max_iter: maximum iterations for optimization + swmm: whether this is for SWMM/pystorms data + method: inference method ('sindy' is the only supported method now) + derivative: whether to use derivative of response + sensor_locations: optional dict mapping column names to {"lat": float, "lon": float} + init_neighbors: initial number of nearest neighbors to evaluate when sensor_locations is provided (default: 3) + + Returns: + dict with keys: "edges", "best_params", "r2_values", "lead_lag" + - edges: DataFrame adjacency matrix (from -> to convention) + - best_params: DataFrame of transformation parameters (shape, scale, loc) + - r2_values: DataFrame of R^2 values for each potential edge + - lead_lag: DataFrame of lead/lag values (positive = forcing leads response) + """ + + # Handle deprecated methods + if method in ("granger", "ccm", "transfer_entropy"): + warnings.warn( + f"Method '{method}' is deprecated. The Granger causality, CCM, and " + "Transfer Entropy methods have been replaced by the improved SINDy-based " + "topology inference (method='sindy'), which provides significantly better " + "results. Please use method='sindy' (the new default).", + DeprecationWarning, + stacklevel=2, + ) + # Fall back to new method + method = "sindy" + + if swmm: + # do the same for dependent_columns and independent_columns + dependent_columns = [str(col) for col in dependent_columns] + independent_columns = [str(col) for col in independent_columns] + # do the same for the columns of system_data + system_data.columns = system_data.columns.astype(str) + + # Import and use the new SINDy-based topology inference + # (using our local implementation) + result = find_topology_no_geo( + system_data=system_data, + dependent_columns=dependent_columns, + independent_columns=independent_columns, + sensor_locations=sensor_locations, + max_iterations=max_iter, + graph_type=graph_type, + verbose=verbose, + init_neighbors=init_neighbors, + ) + # Convert result to match expected return format for backward compatibility + # The new method returns edges in from->to convention (transposed from old) + edges = result["edges"] + _ = result["best_params"] + r2_values = result["r2_values"] + _ = result["lead_lag"] + + # For backward compatibility with code expecting (causative_topo, total_graph) tuple + # causative_topo: 'd' for directed edge, 'n' for no edge + # total_graph: numeric weights (R² values) + causative_topo = pd.DataFrame( + index=dependent_columns, columns=system_data.columns + ).fillna("n") + total_graph = pd.DataFrame( + index=dependent_columns, columns=system_data.columns, dtype=float + ).fillna(0.0) + + # Fill in the edges from the result + # edges is in from->to convention (row=from, col=to) + # causative_topo expects row=dependent (to), col=forcing (from) + for dep_col in dependent_columns: + for forcing_col in system_data.columns: + if edges.loc[forcing_col, dep_col] == 1: # from forcing_col -> to dep_col + causative_topo.loc[dep_col, forcing_col] = "d" + total_graph.loc[dep_col, forcing_col] = r2_values.loc[ + dep_col, forcing_col + ] + + return causative_topo, total_graph diff --git a/modpods/train.py b/modpods/train.py new file mode 100644 index 0000000..874315a --- /dev/null +++ b/modpods/train.py @@ -0,0 +1,949 @@ +from typing import Any, cast + +import numpy as np +import pandas as pd +from sklearn.gaussian_process import GaussianProcessRegressor +from sklearn.gaussian_process.kernels import Matern + +from .model import SINDY_delays_MI +from .transforms import _expected_improvement, _propose_location, _transform_cache + + +def _run_scipy_optimizer( + optimization_method: str, + objective_function, + bounds: np.ndarray, + max_iter: int, + verbose: bool, + optimizer_kwargs: dict, +) -> np.ndarray: + """ + Dispatch to scipy.optimize methods for global optimization. + + Supports any scipy.optimize method that accepts (objective, bounds, **kwargs). + Common methods: 'differential_evolution', 'dual_annealing', 'simulated_annealing', + 'basinhopping', 'shgo', 'direct', 'brute'. + + Args: + optimization_method: Name of scipy.optimize method to use + objective_function: Callable that takes parameter vector and returns scalar to minimize + bounds: Array of [min, max] bounds for each parameter + max_iter: Maximum iterations (used as default for methods that support it) + verbose: Whether to print progress + optimizer_kwargs: Additional keyword arguments passed to the optimizer + + Returns: + Best parameter vector found + """ + import scipy.optimize as opt + + # Default parameters for each method + method_defaults = { + "differential_evolution": { + "maxiter": max_iter, + "popsize": 15, + "mutation": (0.5, 1.5), + "recombination": 0.7, + "seed": 42, + "updating": "deferred", + }, + "dual_annealing": { + "maxiter": max_iter * 4, # DA needs more iterations for good exploration + "seed": 42, + "no_local_search": False, + }, + "simulated_annealing": { + "maxiter": max_iter * 4, + "seed": 42, + }, + "direct": { + "maxiter": max_iter, + "eps": 1e-4, + }, + "brute": { + "Ns": 20, + }, + } + + # Get defaults for this method, or empty dict if unknown + defaults = cast(dict[str, Any], method_defaults.get(optimization_method, {})) + + # Merge defaults with user-provided kwargs (user kwargs take precedence) + params = {**defaults, **optimizer_kwargs} + + # Get the optimizer function + optimizer = getattr(opt, optimization_method, None) + if optimizer is None: + raise ValueError( + f"Unknown optimization_method: '{optimization_method}'. " + f"Supported scipy.optimize methods: {list(method_defaults.keys())}, " + f"or 'bayesian' for built-in Bayesian optimization." + ) + + if verbose: + print(f" Running scipy.optimize.{optimization_method} with params: {params}") + + # Run the optimizer + result = optimizer(objective_function, bounds, **params) + + if verbose: + print( + f" Optimization complete. Success: {result.success}, Message: {result.message}" + ) + print(f" Best value: {-result.fun:.6f} (R²)") + + return result.x # type: ignore[no-any-return] + + +def delay_io_train( + system_data, + dependent_columns, + independent_columns, + windup_timesteps=0, + init_transforms=1, + max_transforms=4, + max_iter=250, + poly_order=3, + transform_dependent=False, + verbose=False, + extra_verbose=False, + include_bias=False, + include_interaction=False, + bibo_stable=False, + transform_only=None, + forcing_coef_constraints=None, + early_stopping_threshold=0.005, + optimization_method="bayesian", + **optimizer_kwargs, +): + forcing = system_data[independent_columns].copy(deep=True) + + orig_forcing_columns = forcing.columns + response = system_data[dependent_columns].copy(deep=True) + + results = dict() # to store the optimized models for each number of transformations + prev_model = ( + None # will hold the initial model for the current number of transforms + ) + + if transform_dependent: + shape_factors = pd.DataFrame( + columns=system_data.columns, + index=range(init_transforms, max_transforms + 1), + ) + shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + scale_factors = pd.DataFrame( + columns=system_data.columns, + index=range(init_transforms, max_transforms + 1), + ) + scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + loc_factors = pd.DataFrame( + columns=system_data.columns, + index=range(init_transforms, max_transforms + 1), + ) + loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input + elif transform_only is not None: # the user provided a list of columns to transform + shape_factors = pd.DataFrame( + columns=transform_only, index=range(init_transforms, max_transforms + 1) + ) + shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + scale_factors = pd.DataFrame( + columns=transform_only, index=range(init_transforms, max_transforms + 1) + ) + scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + loc_factors = pd.DataFrame( + columns=transform_only, index=range(init_transforms, max_transforms + 1) + ) + loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input + else: + # the transformation factors should be pandas dataframes where the index is which transformation it is and the columns are the variables + shape_factors = pd.DataFrame( + columns=forcing.columns, index=range(init_transforms, max_transforms + 1) + ) + shape_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + scale_factors = pd.DataFrame( + columns=forcing.columns, index=range(init_transforms, max_transforms + 1) + ) + scale_factors.iloc[0, :] = 1 # first transformation is [1,1,0] for each input + loc_factors = pd.DataFrame( + columns=forcing.columns, index=range(init_transforms, max_transforms + 1) + ) + loc_factors.iloc[0, :] = 0 # first transformation is [1,1,0] for each input + # first transformation is [1,1,0] for each input + speeds = list( + [100, 50, 20, 10, 5, 2, 1.1, 1.05, 1.01] + ) # I don't have a great idea of what good values for these are yet + if transform_dependent: # just trying something + improvement_threshold = ( + 1.001 # when improvements are tiny, tighten up the jumps + ) + else: + improvement_threshold = 1.0 + + for num_transforms in range(init_transforms, max_transforms + 1): + print("num_transforms") + print(num_transforms) + speed_idx = 0 + speed = speeds[speed_idx] + + if not num_transforms == init_transforms: # if we're not starting right now + # start dull + shape_factors.iloc[num_transforms - 1, :] = 10 * ( + num_transforms - 1 + ) # start with a broad peak centered at ten timesteps + scale_factors.iloc[num_transforms - 1, :] = 1 + loc_factors.iloc[num_transforms - 1, :] = 0 + if verbose: + print( + "starting factors for additional transformation\nshape\nscale\nlocation" + ) + print(shape_factors) + print(scale_factors) + print(loc_factors) + + # Choose optimization method + if optimization_method == "bayesian": + if verbose: + print(f"Using Bayesian optimization for {num_transforms} transforms...") + + # Determine which columns to transform + if transform_dependent: + transform_columns = system_data.columns.tolist() + elif transform_only is not None: + transform_columns = transform_only + else: + transform_columns = independent_columns + + # Bayesian optimization for this number of transforms + bounds_list: list[list[float]] = [] + for transform in range(1, num_transforms + 1): + for col in transform_columns: + bounds_list.append([1.0, 50.0]) # shape_factors bounds + bounds_list.append([0.1, 5.0]) # scale_factors bounds + bounds_list.append([0.0, 20.0]) # loc_factors bounds + bounds = np.array(bounds_list) + + def objective_function(params_vector): + try: + # Convert vector to DataFrames + shape_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + scale_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + loc_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + + idx = 0 + for transform in range(1, num_transforms + 1): + for col in transform_columns: + shape_factors_opt.loc[transform, col] = params_vector[idx] + scale_factors_opt.loc[transform, col] = params_vector[ + idx + 1 + ] + loc_factors_opt.loc[transform, col] = params_vector[idx + 2] + idx += 3 + + result = SINDY_delays_MI( + shape_factors_opt, + scale_factors_opt, + loc_factors_opt, + system_data.index, + forcing, + response, + False, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent, + transform_only, + forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + r2 = result["error_metrics"]["r2"] + if verbose: + print(f" R² = {r2:.6f}") + return r2 + except Exception as e: + if verbose: + print(f" Evaluation failed: {e}") + return -1.0 + + # Bayesian optimization + # Use more iterations for Bayesian optimization to build a good surrogate model + # Cap at 200 to avoid memory issues with GP fitting + bayesian_max_iter = min(max_iter * 4, 200) + n_initial = min(20, max(10, bayesian_max_iter // 4)) + X_sample_list: list[Any] = [] + Y_sample_list: list[Any] = [] + + # Generate initial random samples + for i in range(n_initial): + x = np.random.uniform(bounds[:, 0], bounds[:, 1]) + y = objective_function(x) + X_sample_list.append(x) + Y_sample_list.append(y) + if verbose: + print(f" Initial sample {i+1}/{n_initial}: R² = {y:.6f}") + + X_sample: np.ndarray = np.array(X_sample_list) + Y_sample: np.ndarray = np.array(Y_sample_list).reshape(-1, 1) + + # Main Bayesian optimization loop + best_r2 = np.max(Y_sample) + best_params: np.ndarray = X_sample[np.argmax(Y_sample)] + + # Gaussian Process setup + kernel = Matern(length_scale=1.0, nu=2.5) + gpr = GaussianProcessRegressor( + kernel=kernel, + alpha=1e-6, + normalize_y=True, + n_restarts_optimizer=5, + random_state=42, + ) + + for iteration in range(bayesian_max_iter - n_initial): + # Fit GP and find next point + gpr.fit(X_sample, Y_sample.ravel()) + next_x = _propose_location( + _expected_improvement, X_sample, Y_sample, gpr, bounds + ) + next_x = next_x.flatten() + + # Evaluate objective + next_y = objective_function(next_x) + + if verbose: + print( + f" BO iteration {iteration+1}/{bayesian_max_iter-n_initial}: R² = {next_y:.6f}" + ) + + # Update samples + X_sample = np.append(X_sample, [next_x], axis=0) + Y_sample = np.append(Y_sample, next_y) + + # Update best + if next_y > best_r2: + best_r2 = next_y + best_params = next_x + if verbose: + print(f" New best R² = {best_r2:.6f}") + + # Convert best parameters back to DataFrames + idx = 0 + for transform in range(1, num_transforms + 1): + for col in transform_columns: + shape_factors.loc[transform, col] = best_params[idx] + scale_factors.loc[transform, col] = best_params[idx + 1] + loc_factors.loc[transform, col] = best_params[idx + 2] + idx += 3 + + # Use the optimized parameters for final evaluation + prev_model = SINDY_delays_MI( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + else: + # Use scipy.optimize for all other methods (differential_evolution, dual_annealing, + # basinhopping, shgo, direct, etc.) + if verbose: + print( + f"Using {optimization_method} optimization for {num_transforms} transforms..." + ) + + # Determine which columns to transform + if transform_dependent: + transform_columns = system_data.columns.tolist() + elif transform_only is not None: + transform_columns = transform_only + else: + transform_columns = independent_columns + + # Define parameter bounds for this number of transforms + bounds_list: list[list[float]] = [] # type: ignore[no-redef] + for transform in range(1, num_transforms + 1): + for col in transform_columns: + bounds_list.append([1.0, 50.0]) # shape_factors bounds + bounds_list.append([0.1, 5.0]) # scale_factors bounds + bounds_list.append([0.0, 20.0]) # loc_factors bounds + bounds = np.array(bounds_list) + + def objective_function(params_vector): + try: + # Convert vector to DataFrames + shape_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + scale_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + loc_factors_opt = pd.DataFrame( + columns=transform_columns, index=range(1, num_transforms + 1) + ) + + idx = 0 + for transform in range(1, num_transforms + 1): + for col in transform_columns: + shape_factors_opt.loc[transform, col] = params_vector[idx] + scale_factors_opt.loc[transform, col] = params_vector[ + idx + 1 + ] + loc_factors_opt.loc[transform, col] = params_vector[idx + 2] + idx += 3 + + result = SINDY_delays_MI( + shape_factors_opt, + scale_factors_opt, + loc_factors_opt, + system_data.index, + forcing, + response, + False, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + r2 = result["error_metrics"]["r2"] + if verbose: + print(f" R² = {r2:.6f}") + return -r2 # Minimize negative R² (maximize R²) + except Exception as e: + if verbose: + print(f" Evaluation failed: {e}") + return 1.0 # Poor score for failed evaluations + + # Dispatch to scipy.optimize method + best_params = _run_scipy_optimizer( + optimization_method=optimization_method, + objective_function=objective_function, + bounds=bounds, + max_iter=max_iter, + verbose=verbose, + optimizer_kwargs=optimizer_kwargs, + ) + + # Convert best parameters back to DataFrames + idx = 0 + for transform in range(1, num_transforms + 1): + for col in transform_columns: + shape_factors.loc[transform, col] = best_params[idx] + scale_factors.loc[transform, col] = best_params[idx + 1] + loc_factors.loc[transform, col] = best_params[idx + 2] + idx += 3 + + # Use the optimized parameters for final evaluation + prev_model = SINDY_delays_MI( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + # For bayesian and scipy.optimize methods, we're done with optimization + print("\nOptimization complete. Using optimized parameters for final model.") + final_model = SINDY_delays_MI( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + True, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + print("\nFinal model:\n") + try: + print(final_model["model"].print(precision=5)) + except Exception as e: + print(e) + print("R^2") + print(prev_model["error_metrics"]["r2"]) + print("shape factors") + print(shape_factors) + print("scale factors") + print(scale_factors) + print("location factors") + print(loc_factors) + print("\n") + results[num_transforms] = { + "final_model": final_model.copy(), + "shape_factors": shape_factors.copy(deep=True), + "scale_factors": scale_factors.copy(deep=True), + "loc_factors": loc_factors.copy(deep=True), + "windup_timesteps": windup_timesteps, + "dependent_columns": dependent_columns, + "independent_columns": independent_columns, + "transform_cache": _transform_cache, + } + + # check if the benefit from adding the last transformation is less than the early stopping threshold + if ( + num_transforms > init_transforms + and results[num_transforms]["final_model"]["error_metrics"]["r2"] + - results[num_transforms - 1]["final_model"]["error_metrics"]["r2"] + < early_stopping_threshold + ): + print( + "Last transformation added less than ", + early_stopping_threshold * 100, + " % to R2 score. Terminating early.", + ) + break + continue + + print("\nInitial model:\n") + try: + print(prev_model["model"].print(precision=5)) + print("R^2") + print(prev_model["error_metrics"]["r2"]) + except Exception as e: # and print the exception: + print(e) + pass + print("shape factors") + print(shape_factors) + print("scale factors") + print(scale_factors) + print("location factors") + print(loc_factors) + print("\n") + + if not verbose: + print("training ", end="") + + # no_improvement_last_time = False + for iterations in range(0, max_iter): + if not verbose and iterations % 5 == 0: + print(str(iterations) + ".", end="") + + if transform_dependent: + tuning_input = system_data.columns[ + (iterations // num_transforms) % len(system_data.columns) + ] # row = iter // width % height] + elif transform_only is not None: + tuning_input = transform_only[ + (iterations // num_transforms) % len(transform_only) + ] + else: + tuning_input = orig_forcing_columns[ + (iterations // num_transforms) % len(orig_forcing_columns) + ] # row = iter // width % height + tuning_line = ( + iterations % num_transforms + 1 + ) # col = % width (plus one because there's no zeroth transformation) + if verbose: + print( + str( + "tuning input: {i} | tuning transformation: {l:g}".format( + i=tuning_input, l=tuning_line + ) + ) + ) + + sooner_locs = loc_factors.copy(deep=True) + sooner_locs.loc[tuning_line, tuning_input] = float( + loc_factors.loc[tuning_line, tuning_input] - speed / 10 + ) + if sooner_locs[tuning_input][tuning_line] < 0: + sooner = {"error_metrics": {"r2": -1}} + else: + sooner = SINDY_delays_MI( + shape_factors, + scale_factors, + sooner_locs, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + later_locs = loc_factors.copy(deep=True) + later_locs.loc[tuning_line, tuning_input] = float( + loc_factors.loc[tuning_line, tuning_input] + 1.01 * speed / 10 + ) + later = SINDY_delays_MI( + shape_factors, + scale_factors, + later_locs, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + shape_up = shape_factors.copy(deep=True) + shape_up.loc[tuning_line, tuning_input] = float( + shape_factors.loc[tuning_line, tuning_input] * speed * 1.01 + ) + shape_upped = SINDY_delays_MI( + shape_up, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + shape_down = shape_factors.copy(deep=True) + shape_down.loc[tuning_line, tuning_input] = float( + shape_factors.loc[tuning_line, tuning_input] / speed + ) + if shape_down[tuning_input][tuning_line] < 1: + shape_downed = { + "error_metrics": {"r2": -1} + } # return a score of negative one as this is illegal + else: + shape_downed = SINDY_delays_MI( + shape_down, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + scale_up = scale_factors.copy(deep=True) + scale_up.loc[tuning_line, tuning_input] = float( + scale_factors.loc[tuning_line, tuning_input] * speed * 1.01 + ) + scaled_up = SINDY_delays_MI( + shape_factors, + scale_up, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + scale_down = scale_factors.copy(deep=True) + scale_down.loc[tuning_line, tuning_input] = float( + scale_factors.loc[tuning_line, tuning_input] / speed + ) + scaled_down = SINDY_delays_MI( + shape_factors, + scale_down, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + rounder_shape = shape_factors.copy(deep=True) + rounder_shape.loc[tuning_line, tuning_input] = shape_factors.loc[ + tuning_line, tuning_input + ] * (speed * 1.01) + rounder_scale = scale_factors.copy(deep=True) + rounder_scale.loc[tuning_line, tuning_input] = scale_factors.loc[ + tuning_line, tuning_input + ] / (speed * 1.01) + rounder = SINDY_delays_MI( + rounder_shape, + rounder_scale, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + sharper_shape = shape_factors.copy(deep=True) + sharper_shape.loc[tuning_line, tuning_input] = ( + shape_factors.loc[tuning_line, tuning_input] / speed + ) + if sharper_shape[tuning_input][tuning_line] < 1: + sharper = { + "error_metrics": {"r2": -1} + } # lower bound on shape to avoid inf + else: + sharper_scale = scale_factors.copy(deep=True) + sharper_scale.loc[tuning_line, tuning_input] = ( + scale_factors.loc[tuning_line, tuning_input] * speed + ) + sharper = SINDY_delays_MI( + sharper_shape, + sharper_scale, + loc_factors, + system_data.index, + forcing, + response, + extra_verbose, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + + scores = [ + prev_model["error_metrics"]["r2"], + shape_upped["error_metrics"]["r2"], + shape_downed["error_metrics"]["r2"], + scaled_up["error_metrics"]["r2"], + scaled_down["error_metrics"]["r2"], + sooner["error_metrics"]["r2"], + later["error_metrics"]["r2"], + rounder["error_metrics"]["r2"], + sharper["error_metrics"]["r2"], + ] + + if ( + sooner["error_metrics"]["r2"] >= max(scores) + and sooner["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = sooner.copy() + loc_factors = sooner_locs.copy(deep=True) + elif ( + later["error_metrics"]["r2"] >= max(scores) + and later["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = later.copy() + loc_factors = later_locs.copy(deep=True) + elif ( + shape_upped["error_metrics"]["r2"] >= max(scores) + and shape_upped["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = shape_upped.copy() + shape_factors = shape_up.copy(deep=True) + elif ( + shape_downed["error_metrics"]["r2"] >= max(scores) + and shape_downed["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = shape_downed.copy() + shape_factors = shape_down.copy(deep=True) + elif ( + scaled_up["error_metrics"]["r2"] >= max(scores) + and scaled_up["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = scaled_up.copy() + scale_factors = scale_up.copy(deep=True) + elif ( + scaled_down["error_metrics"]["r2"] >= max(scores) + and scaled_down["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = scaled_down.copy() + scale_factors = scale_down.copy(deep=True) + elif ( + rounder["error_metrics"]["r2"] >= max(scores) + and rounder["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = rounder.copy() + shape_factors = rounder_shape.copy(deep=True) + scale_factors = rounder_scale.copy(deep=True) + elif ( + sharper["error_metrics"]["r2"] >= max(scores) + and sharper["error_metrics"]["r2"] + > improvement_threshold * prev_model["error_metrics"]["r2"] + ): + prev_model = sharper.copy() + shape_factors = sharper_shape.copy(deep=True) + scale_factors = sharper_scale.copy(deep=True) + # the middle was best, but it's bad, tighten up the bounds (if we're at the last tuning line of the last input) + if speed_idx >= len(speeds): + print("\n\noptimization complete\n\n") + break + speed = speeds[speed_idx] + if verbose: + print( + "\nprevious, shape up, shape down, scale up, scale down, sooner, later, rounder, sharper" + ) + print(scores) + print("speed") + print(speed) + print("shape factors") + print(shape_factors) + print("scale factors") + print(scale_factors) + print("location factors") + print(loc_factors) + print("iteration no:") + print(iterations) + print("model") + try: + prev_model["model"].print(precision=5) + except Exception as e: + print(e) + print("\n") + + final_model = SINDY_delays_MI( + shape_factors, + scale_factors, + loc_factors, + system_data.index, + forcing, + response, + True, + poly_order, + include_bias, + include_interaction, + windup_timesteps, + bibo_stable, + transform_dependent=transform_dependent, + transform_only=transform_only, + forcing_coef_constraints=forcing_coef_constraints, + transform_cache=_transform_cache, + ) + print("\nFinal model:\n") + try: + print(final_model["model"].print(precision=5)) + except Exception as e: + print(e) + print("R^2") + print(prev_model["error_metrics"]["r2"]) + print("shape factors") + print(shape_factors) + print("scale factors") + print(scale_factors) + print("location factors") + print(loc_factors) + print("\n") + results[num_transforms] = { + "final_model": final_model.copy(), + "shape_factors": shape_factors.copy(deep=True), + "scale_factors": scale_factors.copy(deep=True), + "loc_factors": loc_factors.copy(deep=True), + "windup_timesteps": windup_timesteps, + "dependent_columns": dependent_columns, + "independent_columns": independent_columns, + "transform_cache": _transform_cache, + } + + # check if the benefit from adding the last transformation is less than the early stopping threshold + if ( + num_transforms > init_transforms + and results[num_transforms]["final_model"]["error_metrics"]["r2"] + - results[num_transforms - 1]["final_model"]["error_metrics"]["r2"] + < early_stopping_threshold + ): + print( + "Last transformation added less than ", + early_stopping_threshold * 100, + " % to R2 score. Terminating early.", + ) + break + + return results diff --git a/modpods/transforms.py b/modpods/transforms.py new file mode 100644 index 0000000..40a8e4f --- /dev/null +++ b/modpods/transforms.py @@ -0,0 +1,205 @@ +import warnings +from collections import OrderedDict + +import numpy as np +import scipy.signal as signal +import scipy.stats as stats +from scipy.optimize import minimize + +# Suppress the specific AxesWarning from pysindy after import +warnings.filterwarnings( + "ignore", message=".*axes labeled for array with.*", module="pysindy" +) + + +# Bayesian optimization helper functions +def _expected_improvement(X, X_sample, Y_sample, gpr, xi=0.01): + """Expected Improvement acquisition function for Bayesian optimization.""" + mu, sigma = gpr.predict(X, return_std=True) + mu = mu.reshape(-1, 1) + sigma = sigma.reshape(-1, 1) + + mu_sample_opt = np.max(Y_sample) + + with np.errstate(divide="warn"): + imp = mu - mu_sample_opt - xi + Z = imp / sigma + ei = imp * stats.norm.cdf(Z) + sigma * stats.norm.pdf(Z) + ei[sigma == 0.0] = 0.0 + + return ei + + +def _propose_location(acquisition, X_sample, Y_sample, gpr, bounds, n_restarts=10): + """Propose next sampling point by optimizing acquisition function.""" + dim = X_sample.shape[1] + min_val = 1 + min_x = None + + def min_obj(X): + return -acquisition(X.reshape(-1, dim), X_sample, Y_sample, gpr).flatten() + + for x0 in np.random.uniform(bounds[:, 0], bounds[:, 1], size=(n_restarts, dim)): + res = minimize(min_obj, x0=x0, bounds=bounds, method="L-BFGS-B") + if res.fun < min_val: + min_val = res.fun + min_x = res.x + + return min_x.reshape(-1, 1) + + +# ============================================================================= +# Transform Cache - memoizes single-input gamma transforms to avoid recomputation +# ============================================================================= + + +class TransformCache: + """LRU cache for gamma-transformed time series. + + Caches results of convolving a forcing series with a gamma PDF kernel. + Keys are quantized (input_name, shape, scale, loc) tuples so near-identical + parameter sets reuse cached results. + """ + + def __init__(self, max_entries: int = 2000, quantization: float = 1e-6): + self._cache: "OrderedDict[tuple, np.ndarray]" = OrderedDict() + self.max_entries = max_entries + self.quantization = quantization + self.hits = 0 + self.misses = 0 + + def _quantize(self, value: float) -> float: + """Quantize a float to reduce near-duplicate keys.""" + if self.quantization <= 0: + return value + return round(value / self.quantization) * self.quantization + + def _make_key( + self, input_name: str, n: int, shape: float, scale: float, loc: float + ) -> tuple: + """Create a hashable cache key from input name and gamma params.""" + return ( + input_name, + n, + self._quantize(shape), + self._quantize(scale), + self._quantize(loc), + ) + + def get( + self, + input_name: str, + forcing_values: np.ndarray, + shape: float, + scale: float, + loc: float, + ) -> np.ndarray: + """Get cached transform or compute and cache it. + + Returns a COPY of the cached array to prevent mutation issues. + """ + n = len(forcing_values) + key = self._make_key(input_name, n, shape, scale, loc) + + if key in self._cache: + self.hits += 1 + # Move to end (most recently used) + self._cache.move_to_end(key) + return self._cache[key].copy() + + # Cache miss - compute the transform using FFT convolution + self.misses += 1 + shape_time = np.arange(0, n, 1) + gamma_kernel = stats.gamma.pdf(shape_time, shape, scale=scale, loc=loc) + result = signal.fftconvolve(forcing_values, gamma_kernel, mode="full")[:n] + + # Store in cache + self._cache[key] = result + + # Evict oldest if over capacity + if len(self._cache) > self.max_entries: + self._cache.popitem(last=False) + + return result.copy() # type: ignore[no-any-return] + + def clear(self): + """Clear the cache and reset counters.""" + self._cache.clear() + self.hits = 0 + self.misses = 0 + + def stats(self) -> dict: + """Return cache statistics.""" + total = self.hits + self.misses + hit_rate = self.hits / total if total > 0 else 0.0 + return { + "hits": self.hits, + "misses": self.misses, + "total": total, + "hit_rate": hit_rate, + "size": len(self._cache), + "max_entries": self.max_entries, + } + + def __repr__(self): + s = self.stats() + return f"TransformCache(hits={s['hits']}, misses={s['misses']}, hit_rate={s['hit_rate']:.2%}, size={s['size']})" + + +# Global cache instance used throughout the module +_transform_cache = TransformCache(max_entries=2000, quantization=1e-6) + + +def transform_inputs( + shape_factors, scale_factors, loc_factors, index, forcing, *, cache=None +): + """Vectorized implementation of transform_inputs for greater speed. + + Applies gamma PDF transformations to forcing inputs using FFT-based convolution + instead of element-wise iteration. Optional LRU cache avoids recomputation for + near-identical parameters during optimization. + + Args: + shape_factors: DataFrame of gamma shape parameters + scale_factors: DataFrame of gamma scale parameters + loc_factors: DataFrame of gamma location parameters + index: Time index + forcing: DataFrame of forcing inputs + cache: Optional TransformCache instance for memoization (default None) + """ + # original forcing columns -> columns of forcing that don't have _tr_ in their name + orig_forcing_columns = [col for col in forcing.columns if "_tr_" not in col] + + # how many rows of shape_factors do not contain NaNs? + num_transforms = int(shape_factors.count().iloc[0]) + + n = len(index) + + for input_col in orig_forcing_columns: + forcing_values = forcing[input_col].to_numpy(dtype=float) + + for transform_idx in range(1, num_transforms + 1): + col_name = f"{input_col}_tr_{transform_idx}" + + # Get gamma parameters + shape = float(shape_factors[input_col][transform_idx]) + scale = float(scale_factors[input_col][transform_idx]) + loc = float(loc_factors[input_col][transform_idx]) + + if cache is not None: + # Use cached transform + result = cache.get(input_col, forcing_values, shape, scale, loc) + else: + # Compute directly using FFT convolution (faster than np.convolve for large arrays) + shape_time = np.arange(0, n, 1) + gamma_kernel = stats.gamma.pdf(shape_time, shape, scale=scale, loc=loc) + result = signal.fftconvolve(forcing_values, gamma_kernel, mode="full")[ + :n + ] + + forcing.loc[:, col_name] = result + + # assert there are no NaNs in the forcing + if forcing.isnull().values.any(): + raise ValueError("Transform inputs produced NaN values") + return forcing diff --git a/modpods_backup.py b/modpods_backup.py deleted file mode 100644 index 06a3bf5..0000000 --- a/modpods_backup.py +++ /dev/null @@ -1,2685 +0,0 @@ -import pandas as pd -import numpy as np -import pysindy as ps -import scipy.stats as stats -from scipy import signal -from scipy.optimize import minimize -import matplotlib.pyplot as plt -import control as control -import networkx as nx -import sys -try: - import pyswmm # not a requirement for any other function -except ImportError: - pyswmm = None -import re -from sklearn.gaussian_process import GaussianProcessRegressor -from sklearn.gaussian_process.kernels import Matern -import warnings - -# Bayesian optimization helper functions -def expected_improvement(X, X_sample, Y_sample, gpr, xi=0.01): - """ - Computes the Expected Improvement at points X based on existing samples X_sample - and Y_sample using a Gaussian process surrogate model. - - Args: - X: Points at which EI shall be computed (m x d). - X_sample: Sample locations (n x d). - Y_sample: Sample values (n x 1). - gpr: A GaussianProcessRegressor fitted to samples. - xi: Exploitation-exploration trade-off parameter. - - Returns: - Expected improvements at points X. - """ - mu, sigma = gpr.predict(X, return_std=True) - mu = mu.reshape(-1, 1) - sigma = sigma.reshape(-1, 1) - - mu_sample_opt = np.max(Y_sample) - - with np.errstate(divide='warn'): - imp = mu - mu_sample_opt - xi - Z = imp / sigma - ei = imp * stats.norm.cdf(Z) + sigma * stats.norm.pdf(Z) - ei[sigma == 0.0] = 0.0 - - return ei - -def propose_location(acquisition, X_sample, Y_sample, gpr, bounds, n_restarts=25): - """ - Proposes the next sampling point by optimizing the acquisition function. - - Args: - acquisition: Acquisition function. - X_sample: Sample locations (n x d). - Y_sample: Sample values (n x 1). - gpr: A GaussianProcessRegressor fitted to samples. - bounds: Bounds for variables [(low, high), ...]. - n_restarts: Number of restarts for the acquisition function optimization. - - Returns: - Location of the next point to sample. - """ - dim = X_sample.shape[1] - min_val = 1 - min_x = None - - def min_obj(X): - # Minimize negative acquisition function - return -acquisition(X.reshape(-1, dim), X_sample, Y_sample, gpr).flatten() - - # Try n_restarts random starts - for x0 in np.random.uniform(bounds[:, 0], bounds[:, 1], size=(n_restarts, dim)): - res = minimize(min_obj, x0=x0, bounds=bounds, method='L-BFGS-B') - if res.fun < min_val: - min_val = res.fun[0] - min_x = res.x - - return min_x.reshape(-1, 1) - -def parameters_to_vector(shape_factors, scale_factors, loc_factors, transform_columns, num_transforms): - """Convert parameter DataFrames to a single vector for optimization.""" - params = [] - for transform in range(1, num_transforms + 1): - for col in transform_columns: - params.append(shape_factors.loc[transform, col]) - params.append(scale_factors.loc[transform, col]) - params.append(loc_factors.loc[transform, col]) - return np.array(params) - -def vector_to_parameters(params_vector, transform_columns, num_transforms): - """Convert parameter vector back to DataFrames.""" - shape_factors = pd.DataFrame(columns=transform_columns, index=range(1, num_transforms + 1)) - scale_factors = pd.DataFrame(columns=transform_columns, index=range(1, num_transforms + 1)) - loc_factors = pd.DataFrame(columns=transform_columns, index=range(1, num_transforms + 1)) - - idx = 0 - for transform in range(1, num_transforms + 1): - for col in transform_columns: - shape_factors.loc[transform, col] = params_vector[idx] - scale_factors.loc[transform, col] = params_vector[idx + 1] - loc_factors.loc[transform, col] = params_vector[idx + 2] - idx += 3 - - return shape_factors, scale_factors, loc_factors - -def bayesian_optimization_delay_io(system_data, dependent_columns, independent_columns, - windup_timesteps, poly_order, include_bias, include_interaction, - bibo_stable, transform_dependent, transform_only, - forcing_coef_constraints, num_transforms, max_iter, verbose): - """ - Bayesian optimization implementation for delay_io_train. - """ - # Determine which columns to transform - if transform_dependent: - transform_columns = system_data.columns.tolist() - elif transform_only is not None: - transform_columns = transform_only - else: - transform_columns = independent_columns - - # Define parameter bounds - # shape_factors: [1, 100], scale_factors: [0.1, 10], loc_factors: [0, 50] - n_params = len(transform_columns) * num_transforms * 3 # 3 params per (transform, column) pair - bounds = [] - for transform in range(1, num_transforms + 1): - for col in transform_columns: - bounds.append([1.0, 100.0]) # shape_factors bounds - bounds.append([0.1, 10.0]) # scale_factors bounds - bounds.append([0.0, 50.0]) # loc_factors bounds - bounds = np.array(bounds) - - # Define objective function - def objective_function(params_vector): - try: - shape_factors, scale_factors, loc_factors = vector_to_parameters( - params_vector, transform_columns, num_transforms) - - result = SINDY_delays_MI(shape_factors, scale_factors, loc_factors, - system_data.index, - system_data[independent_columns].copy(deep=True), - system_data[dependent_columns].copy(deep=True), - False, poly_order, include_bias, include_interaction, - windup_timesteps, bibo_stable, transform_dependent, - transform_only, forcing_coef_constraints) - - r2 = result['error_metrics']['r2'] - if verbose: - print(f"R² = {r2:.6f}") - return r2 - except Exception as e: - if verbose: - print(f"Evaluation failed: {e}") - return -1.0 # Return poor score for failed evaluations - - # Initialize with random samples - n_initial = min(10, max(5, max_iter // 5)) # 5-10 initial samples - X_sample = [] - Y_sample = [] - - if verbose: - print(f"Starting Bayesian optimization with {n_initial} initial samples...") - - # Generate initial random samples - for i in range(n_initial): - x = np.random.uniform(bounds[:, 0], bounds[:, 1]) - y = objective_function(x) - X_sample.append(x) - Y_sample.append(y) - if verbose: - print(f"Initial sample {i+1}/{n_initial}: R² = {y:.6f}") - - X_sample = np.array(X_sample) - Y_sample = np.array(Y_sample).reshape(-1, 1) - - # Bayesian optimization loop - best_r2 = np.max(Y_sample) - best_params = X_sample[np.argmax(Y_sample)] - - if verbose: - print(f"Initial best R² = {best_r2:.6f}") - - # Set up Gaussian Process - kernel = Matern(length_scale=1.0, nu=2.5) - gpr = GaussianProcessRegressor(kernel=kernel, alpha=1e-6, normalize_y=True, - n_restarts_optimizer=5, random_state=42) - - for iteration in range(max_iter - n_initial): - # Fit Gaussian Process - gpr.fit(X_sample, Y_sample.ravel()) - - # Find next point to evaluate - next_x = propose_location(expected_improvement, X_sample, Y_sample, gpr, bounds) - next_x = next_x.flatten() - - # Evaluate objective function - next_y = objective_function(next_x) - - if verbose: - print(f"BO iteration {iteration+1}/{max_iter-n_initial}: R² = {next_y:.6f}") - - # Add to samples - X_sample = np.append(X_sample, [next_x], axis=0) - Y_sample = np.append(Y_sample, next_y) - - # Update best - if next_y > best_r2: - best_r2 = next_y - best_params = next_x - if verbose: - print(f"New best R² = {best_r2:.6f}") - - # Convert best parameters back to DataFrames - best_shape, best_scale, best_loc = vector_to_parameters( - best_params, transform_columns, num_transforms) - - # Run final evaluation - final_result = SINDY_delays_MI(best_shape, best_scale, best_loc, - system_data.index, - system_data[independent_columns].copy(deep=True), - system_data[dependent_columns].copy(deep=True), - True, poly_order, include_bias, include_interaction, - windup_timesteps, bibo_stable, transform_dependent, - transform_only, forcing_coef_constraints) - - return final_result, best_shape, best_scale, best_loc - -# delay model builds differential equations relating the dependent variables to transformations of all the variables -# if there are no independent variables, then dependent_columns should be a list of all the columns in the dataframe -# and independent_columns should be an empty list -# by default, only the independent variables are transformed, but if transform_dependent is set to True, then the dependent variables are also transformed -# REQUIRES: -# a pandas dataframe, -# the column names of the dependent and indepdent variables, -# the number of timesteps to "wind up" the latent states, -# the initial number of transformations to use in the optimization, -# the maximum number of transformations to use in the optimization, -# the maximum number of iterations to use in the optimization -# and the order of the polynomial to use in the optimization -# bibo_stable: if true, the highest order output autocorrelation term is constrained to be negative -# RETURNS: -# models for each number of transformations from min to max -# NOTE: this code works for MIMO models, however, if output variables are dependent on each other -# poor simulation fidelity is likely due to their errors contributing to each other -# if the learned dynamics are highly accurate such that errors do not grow too large in any dependent variable, a MIMO model should work fine -# if you anticipate significant errors in the simulation of any dependent variable, you should use multiple MISO models instead -# as the model predicts derivatives, system_data must represent a *causal* system -# that is, forcing and the response to that forcing cannot occur at the same timestep -# it may be necessary for the user to shift the forcing data back to make the system causal (especially for time aggregated data like daily rainfall-runoff) -# forcing_coef_constraints is a dictionary of column name and then a 1, 0, or -1 depending on whether the coefficients of that variable should be positive, unconstrained, or negative -def delay_io_train(system_data, dependent_columns, independent_columns, - windup_timesteps=0,init_transforms=1, max_transforms=4, - max_iter=250, poly_order=3, transform_dependent=False, - verbose=False, extra_verbose=False, include_bias=False, - include_interaction=False, bibo_stable = False, - transform_only = None, forcing_coef_constraints=None, - early_stopping_threshold = 0.005, optimization_method="compass_search"): - forcing = system_data[independent_columns].copy(deep=True) - - orig_forcing_columns = forcing.columns - response = system_data[dependent_columns].copy(deep=True) - - results = dict() # to store the optimized models for each number of transformations - - if transform_dependent: - shape_factors = pd.DataFrame(columns = system_data.columns, index = range(init_transforms, max_transforms+1)) - shape_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame(columns = system_data.columns, index = range(init_transforms, max_transforms+1)) - scale_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame(columns = system_data.columns, index = range(init_transforms, max_transforms+1)) - loc_factors.iloc[0,:] = 0 # first transformation is [1,1,0] for each input - elif transform_only is not None: # the user provided a list of columns to transform - shape_factors = pd.DataFrame(columns = transform_only, index = range(init_transforms, max_transforms+1)) - shape_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame(columns = transform_only, index = range(init_transforms, max_transforms+1)) - scale_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame(columns = transform_only, index = range(init_transforms, max_transforms+1)) - loc_factors.iloc[0,:] = 0 # first transformation is [1,1,0] for each input - else: - # the transformation factors should be pandas dataframes where the index is which transformation it is and the columns are the variables - shape_factors = pd.DataFrame(columns = forcing.columns, index = range(init_transforms, max_transforms+1)) - shape_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - scale_factors = pd.DataFrame(columns = forcing.columns, index = range(init_transforms, max_transforms+1)) - scale_factors.iloc[0,:] = 1 # first transformation is [1,1,0] for each input - loc_factors = pd.DataFrame(columns = forcing.columns, index = range(init_transforms, max_transforms+1)) - loc_factors.iloc[0,:] = 0 # first transformation is [1,1,0] for each input - #print(shape_factors) - #print(scale_factors) - #print(loc_factors) - # first transformation is [1,1,0] for each input - ''' - shape_factors = np.ones(shape=(forcing.shape[1] , init_transforms) ) - scale_factors = np.ones(shape=(forcing.shape[1] , init_transforms) ) - loc_factors = np.zeros(shape=(forcing.shape[1] , init_transforms) ) - ''' - #speeds = list([500,200,50,10, 5,2, 1.1, 1.05,1.01]) - speeds = list([100,50,20,10,5,2,1.1,1.05,1.01]) # I don't have a great idea of what good values for these are yet - if transform_dependent: # just trying something - improvement_threshold = 1.001 # when improvements are tiny, tighten up the jumps - else: - improvement_threshold = 1.0 - - for num_transforms in range(init_transforms,max_transforms + 1): - print("num_transforms") - print(num_transforms) - - if (not num_transforms == init_transforms): # if we're not starting right now - # start dull - shape_factors.iloc[num_transforms-1,:] = 10*(num_transforms-1) # start with a broad peak centered at ten timesteps - scale_factors.iloc[num_transforms-1,:] = 1 - loc_factors.iloc[num_transforms-1,:] = 0 - if verbose: - print("starting factors for additional transformation\nshape\nscale\nlocation") - print(shape_factors) - print(scale_factors) - print(loc_factors) - - # Choose optimization method - if optimization_method == "bayesian": - if verbose: - print(f"Using Bayesian optimization for {num_transforms} transforms...") - - final_model, shape_factors_opt, scale_factors_opt, loc_factors_opt = bayesian_optimization_delay_io( - system_data, dependent_columns, independent_columns, - windup_timesteps, poly_order, include_bias, include_interaction, - bibo_stable, transform_dependent, transform_only, - forcing_coef_constraints, num_transforms, max_iter, verbose) - - # Update the factors with optimized values - shape_factors.iloc[:num_transforms,:] = shape_factors_opt.iloc[:num_transforms,:] - scale_factors.iloc[:num_transforms,:] = scale_factors_opt.iloc[:num_transforms,:] - loc_factors.iloc[:num_transforms,:] = loc_factors_opt.iloc[:num_transforms,:] - - else: # Default compass search optimization - if verbose: - print(f"Using compass search optimization for {num_transforms} transforms...") - - speed_idx = 0 - speed = speeds[speed_idx] - - prev_model = SINDY_delays_MI(shape_factors, scale_factors, loc_factors, system_data.index, - forcing, response,extra_verbose, poly_order , include_bias, - include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - print("\nInitial model:\n") - try: - print(prev_model['model'].print(precision=5)) - print("R^2") - print(prev_model['error_metrics']['r2']) - except Exception as e: # and print the exception: - print(e) - pass - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("\n") - - if not verbose: - print("training ", end='') - - #no_improvement_last_time = False - for iterations in range(0,max_iter ): - if not verbose and iterations % 5 == 0: - print(str(iterations)+".", end='') - - if transform_dependent: - tuning_input = system_data.columns[(iterations // num_transforms) % len(system_data.columns)] # row = iter // width % height] - elif transform_only is not None: - tuning_input = transform_only[(iterations // num_transforms) % len(transform_only)] - else: - tuning_input = orig_forcing_columns[(iterations // num_transforms) % len(orig_forcing_columns)] # row = iter // width % height - tuning_line = iterations % num_transforms + 1 # col = % width (plus one because there's no zeroth transformation) - if verbose: - print(str("tuning input: {i} | tuning transformation: {l:g}".format(i=tuning_input,l=tuning_line))) - - - sooner_locs = loc_factors.copy(deep=True) - #sooner_locs[tuning_input][tuning_line] = float(loc_factors[tuning_input][tuning_line] - speed/10 ) - sooner_locs.loc[tuning_line,tuning_input] = float(loc_factors.loc[tuning_line,tuning_input] - speed/10) - if ( sooner_locs[tuning_input][tuning_line] < 0): - sooner = {'error_metrics':{'r2':-1}} - else: - sooner = SINDY_delays_MI(shape_factors ,scale_factors ,sooner_locs, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - - later_locs = loc_factors.copy(deep=True) - #later_locs[tuning_input][tuning_line] = float ( loc_factors[tuning_input][tuning_line] + 1.01*speed/10 ) - later_locs.loc[tuning_line,tuning_input] = float(loc_factors.loc[tuning_line,tuning_input] + 1.01*speed/10) - later = SINDY_delays_MI(shape_factors , scale_factors,later_locs, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - - shape_up = shape_factors.copy(deep=True) - #shape_up[tuning_input][tuning_line] = float ( shape_factors[tuning_input][tuning_line]*speed*1.01 ) - shape_up.loc[tuning_line,tuning_input] = float(shape_factors.loc[tuning_line,tuning_input]*speed*1.01) - shape_upped = SINDY_delays_MI(shape_up , scale_factors, loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - shape_down = shape_factors.copy(deep=True) - #shape_down[tuning_input][tuning_line] = float ( shape_factors[tuning_input][tuning_line]/speed ) - shape_down.loc[tuning_line,tuning_input] = float(shape_factors.loc[tuning_line,tuning_input]/speed) - if (shape_down[tuning_input][tuning_line] < 1): - shape_downed = {'error_metrics':{'r2':-1}} # return a score of negative one as this is illegal - else: - shape_downed = SINDY_delays_MI(shape_down , scale_factors, loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - scale_up = scale_factors.copy(deep=True) - #scale_up[tuning_input][tuning_line] = float( scale_factors[tuning_input][tuning_line]*speed*1.01 ) - scale_up.loc[tuning_line,tuning_input] = float(scale_factors.loc[tuning_line,tuning_input]*speed*1.01) - scaled_up = SINDY_delays_MI(shape_factors , scale_up, loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - - scale_down = scale_factors.copy(deep=True) - #scale_down[tuning_input][tuning_line] = float ( scale_factors[tuning_input][tuning_line]/speed ) - scale_down.loc[tuning_line,tuning_input] = float(scale_factors.loc[tuning_line,tuning_input]/speed) - scaled_down = SINDY_delays_MI(shape_factors , scale_down, loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - # rounder - rounder_shape = shape_factors.copy(deep=True) - #rounder_shape[tuning_input][tuning_line] = shape_factors[tuning_input][tuning_line]*(speed*1.01) - rounder_shape.loc[tuning_line,tuning_input] = shape_factors.loc[tuning_line,tuning_input]*(speed*1.01) - rounder_scale = scale_factors.copy(deep=True) - #rounder_scale[tuning_input][tuning_line] = scale_factors[tuning_input][tuning_line]/(speed*1.01) - rounder_scale.loc[tuning_line,tuning_input] = scale_factors.loc[tuning_line,tuning_input]/(speed*1.01) - rounder = SINDY_delays_MI(rounder_shape , rounder_scale, loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - # sharper - sharper_shape = shape_factors.copy(deep=True) - #sharper_shape[tuning_input][tuning_line] = shape_factors[tuning_input][tuning_line]/speed - sharper_shape.loc[tuning_line,tuning_input] = shape_factors.loc[tuning_line,tuning_input]/speed - if (sharper_shape[tuning_input][tuning_line] < 1): - sharper = {'error_metrics':{'r2':-1}} # lower bound on shape to avoid inf - else: - sharper_scale = scale_factors.copy(deep=True) - #sharper_scale[tuning_input][tuning_line] = scale_factors[tuning_input][tuning_line]*speed - sharper_scale.loc[tuning_line,tuning_input] = scale_factors.loc[tuning_line,tuning_input]*speed - sharper = SINDY_delays_MI(sharper_shape ,sharper_scale,loc_factors, - system_data.index, forcing, response, extra_verbose, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - - - - - scores = [prev_model['error_metrics']['r2'], shape_upped['error_metrics']['r2'], shape_downed['error_metrics']['r2'], - scaled_up['error_metrics']['r2'], scaled_down['error_metrics']['r2'], sooner['error_metrics']['r2'], - later['error_metrics']['r2'], rounder['error_metrics']['r2'], sharper['error_metrics']['r2'] ] - #print(scores) - - if (sooner['error_metrics']['r2'] >= max(scores) and sooner['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = sooner.copy() - loc_factors = sooner_locs.copy(deep=True) - elif (later['error_metrics']['r2'] >= max(scores) and later['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = later.copy() - loc_factors = later_locs.copy(deep=True) - elif(shape_upped['error_metrics']['r2'] >= max(scores) and shape_upped['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = shape_upped.copy() - shape_factors = shape_up.copy(deep=True) - elif(shape_downed['error_metrics']['r2'] >=max(scores) and shape_downed['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = shape_downed.copy() - shape_factors = shape_down.copy(deep=True) - elif(scaled_up['error_metrics']['r2'] >= max(scores) and scaled_up['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = scaled_up.copy() - scale_factors = scale_up.copy(deep=True) - elif(scaled_down['error_metrics']['r2'] >= max(scores) and scaled_down['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = scaled_down.copy() - scale_factors = scale_down.copy(deep=True) - elif (rounder['error_metrics']['r2'] >= max(scores) and rounder['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = rounder.copy() - shape_factors = rounder_shape.copy(deep=True) - scale_factors = rounder_scale.copy(deep=True) - elif (sharper['error_metrics']['r2'] >= max(scores) and sharper['error_metrics']['r2'] > improvement_threshold*prev_model['error_metrics']['r2']): - prev_model = sharper.copy() - shape_factors = sharper_shape.copy(deep=True) - scale_factors = sharper_scale.copy(deep=True) - # the middle was best, but it's bad, tighten up the bounds (if we're at the last tuning line of the last input) - - elif( num_transforms == tuning_line and tuning_input == shape_factors.columns[-1]): # no improvement transforming last column - #no_improvement_last_time=True - speed_idx = speed_idx + 1 - if verbose: - print("\n\ntightening bounds\n\n") - ''' - elif (num_transforms == tuning_line and tuning_input == orig_forcing_columns[0] and no_improvement_last_time): # no improvement next iteration (first column) - speed_idx = speed_idx + 1 - no_improvement_last_time=False - if verbose: - print("\n\ntightening bounds\n\n") - ''' - - if (speed_idx >= len(speeds)): - print("\n\noptimization complete\n\n") - break - speed = speeds[speed_idx] - if (verbose): - print("\nprevious, shape up, shape down, scale up, scale down, sooner, later, rounder, sharper") - print(scores) - print("speed") - print(speed) - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("iteration no:") - print(iterations) - print("model") - try: - prev_model['model'].print(precision=5) - except Exception as e: - print(e) - print("\n") - - - - final_model = SINDY_delays_MI(shape_factors, scale_factors ,loc_factors,system_data.index, forcing, response, True, poly_order , - include_bias, include_interaction,windup_timesteps,bibo_stable,transform_dependent=transform_dependent, - transform_only=transform_only,forcing_coef_constraints=forcing_coef_constraints) - print("\nFinal model:\n") - try: - print(final_model['model'].print(precision=5)) - except Exception as e: - print(e) - print("R^2") - print(prev_model['error_metrics']['r2']) - print("shape factors") - print(shape_factors) - print("scale factors") - print(scale_factors) - print("location factors") - print(loc_factors) - print("\n") - results[num_transforms] = {'final_model':final_model.copy(), - 'shape_factors':shape_factors.copy(deep=True), - 'scale_factors':scale_factors.copy(deep=True), - 'loc_factors':loc_factors.copy(deep=True), - 'windup_timesteps':windup_timesteps, - 'dependent_columns':dependent_columns, - 'independent_columns':independent_columns} - - # check if the benefit from adding the last transformation is less than the early stopping threshold - if num_transforms > init_transforms and results[num_transforms]['final_model']['error_metrics']['r2'] - results[num_transforms-1]['final_model']['error_metrics']['r2'] < early_stopping_threshold: - print("Last transformation added less than ", early_stopping_threshold*100," % to R2 score. Terminating early.") - break - - return results - - -def SINDY_delays_MI(shape_factors, scale_factors, loc_factors, index, forcing, response, final_run, - poly_degree, include_bias, include_interaction,windup_timesteps,bibo_stable=False, - transform_dependent=False,transform_only=None, forcing_coef_constraints=None): - if transform_only is not None: - transformed_forcing = transform_inputs(shape_factors, scale_factors,loc_factors, index, forcing.loc[:,transform_only]) - untransformed_forcing = forcing.drop(columns=transform_only) - # combine forcing and transformed forcing column-wise - forcing = pd.concat((untransformed_forcing,transformed_forcing),axis='columns') - else: - forcing = transform_inputs(shape_factors, scale_factors,loc_factors, index, forcing) - - feature_names = response.columns.tolist() + forcing.columns.tolist() - - # SINDy - if (not bibo_stable and forcing_coef_constraints is None): # no constraints, normal mode - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction), - optimizer = ps.STLSQ(threshold=0), - feature_names = feature_names - ) - elif (forcing_coef_constraints is not None and not bibo_stable): - library = ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction) - total_train = pd.concat((response,forcing), axis='columns') - library.fit([ps.AxesArray(total_train,{"ax_sample":0,"ax_coord":1})]) - n_features = library.n_output_features_ - n_targets = len(response.columns) - constraint_rhs = np.zeros((n_features,)) # every feature is constrained - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_features , n_targets*n_features ) ) - - # now implement the forcing coefficient constraints - for i, col in enumerate(feature_names): - for key in forcing_coef_constraints.keys(): - if key in col: - constraint_lhs[i, i] = -forcing_coef_constraints[key] - # invert the sign because the eqn is written as "leq 0" - - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction), - optimizer = ps.STLSQ(threshold=0), - feature_names = feature_names - ) - elif (bibo_stable): # highest order output autocorrelation is constrained to be negative - #import cvxpy - #run_cvxpy= True - # Figure out how many library features there will be - library = ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction) - total_train = pd.concat((response,forcing), axis='columns') - library.fit([ps.AxesArray(total_train,{"ax_sample":0,"ax_coord":1})]) - n_features = library.n_output_features_ - #print(f"Features ({n_features}):", library.get_feature_names(input_features=total_train.columns)) - feature_names = library.get_feature_names(input_features=total_train.columns) - # Set constraints - n_targets = total_train.shape[1] # not sure what targets means after reading through the pysindy docs - #print("n_targets") - #print(n_targets) - constraint_rhs = np.zeros((len(response.columns),1)) - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((len(response.columns) , n_features )) - - #print(constraint_rhs) - #print(constraint_lhs) - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - constraint_lhs[:,-len(forcing.columns)-len(response.columns):-len(forcing.columns)] = 1 - # leq 0 - #print("constraint lhs") - #print(constraint_lhs) - - # forcing_coef_constraints only implemented for bibo stable MISO models right now - if forcing_coef_constraints is not None: - n_targets = len(response.columns) - constraint_rhs = np.zeros((n_features,)) # every feature is constrained - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_features , n_targets*n_features ) ) - # bibo stability, set the highest order output autocorrelation to be negative for each response variable - # the index corresponds to the last entry in "feature_names" which includes the name of the response column - highest_power_col_idx = 0 - for i, col in enumerate(feature_names): - if response.columns[0] in col: - highest_power_col_idx = i - constraint_lhs[0, highest_power_col_idx] = 1 # first row, highest power of the response variable - - # now implement the forcing coefficient constraints - for i, col in enumerate(feature_names): - for key in forcing_coef_constraints.keys(): - if key in col: - constraint_lhs[i, i] = -forcing_coef_constraints[key] - # invert the sign because the eqn is written as "leq 0" - '''' - print(forcing.columns) - forcing_constraints_array = np.ndarray(shape=(1,len(forcing.columns))) - for i, col in enumerate(forcing.columns): - if col in forcing_coef_constraints.keys(): # invert the sign because the eqn is written as "leq 0" - forcing_constraints_array[0,i] = -forcing_coef_constraints[col] - elif str(col).replace('_tr_1','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_1','')] - elif str(col).replace('_tr_2','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_2','')] - elif str(col).replace('_tr_3','') in forcing_coef_constraints.keys(): - forcing_constraints_array[0,i] = -forcing_coef_constraints[str(col).replace('_tr_3','')] - else: - forcing_constraints_array[0,i] = 0 - - for row in range(n_targets, n_features): - constraint_lhs[row, row] = forcing_constraints_array[0,row - n_targets] - ''' - - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - #constraint_lhs[:n_targets,-len(forcing.columns)-len(response.columns):-len(forcing.columns)] = 1 - - #print(forcing_constraints_array) - - #print('constraint lhs') - #print(constraint_lhs) - #print('constraint rhs') - #print(constraint_rhs) - - - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction), - optimizer = ps.STLSQ(threshold=0), - feature_names = feature_names - ) - if transform_dependent: - # combine response and forcing into one dataframe - total_train = pd.concat((response,forcing), axis='columns') - total_train = transform_inputs(shape_factors, scale_factors,loc_factors, index, total_train) - # remove the columns in total_train that are already in response (just want to keep the transformed forcing) - total_train = total_train.drop(columns = response.columns) - feature_names = response.columns.tolist() + total_train.columns.tolist() - - # need to add constraints such that variables don't depend on their own past values (but they can have autocorrelations) - - - library = ps.PolynomialLibrary(degree=poly_degree,include_bias = include_bias, include_interaction=include_interaction) - library_terms = pd.concat((total_train,response), axis='columns') - library.fit([ps.AxesArray(library_terms,{"ax_sample":0,"ax_coord":1})]) - n_features = library.n_output_features_ - #print(f"Features ({n_features}):", library.get_feature_names()) - # Set constraints - n_targets = response.shape[1] # not sure what targets means after reading through the pysindy docs - - constraint_rhs = np.zeros((n_targets,)) - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((n_targets , n_features*n_targets)) - # for bibo stability, starting guess is that each dependent variable is negatively autocorrelated and depends on no other variable - if bibo_stable: - initial_guess = np.zeros((n_targets,n_features)) - for idx in range(0,n_targets): - initial_guess[idx,idx] = -1 - else: - initial_guess = None - #print(constraint_rhs) - #print(constraint_lhs) - # set the coefficient on a variable's own transformed value to 0 - for idx in range(0,n_targets): - constraint_lhs[idx,(idx+1)*n_features - n_targets + idx] = 1 - - #print("constraint lhs") - #print(constraint_lhs) - - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=library, - optimizer = ps.SR3(threshold=0, thresholder = "l0", - nu = 10e9, initial_guess = initial_guess, - constraint_lhs=constraint_lhs, - constraint_rhs = constraint_rhs, - inequality_constraints=False, - max_iter=10000), - feature_names = feature_names - ) - - try: - # windup latent states (if your windup is too long, this will error) - model.fit(response.values[windup_timesteps:,:], t = np.arange(0,len(index),1)[windup_timesteps:], u = total_train.values[windup_timesteps:,:]) - r2 = model.score(response.values[windup_timesteps:,:],t=np.arange(0,len(index),1)[windup_timesteps:],u=total_train.values[windup_timesteps:,:]) # training data score - except Exception as e: # and print the exception - print("Exception in model fitting, returning r2=-1\n") - print(e) - error_metrics = {"MAE":[False],"RMSE":[False],"NSE":[False],"alpha":[False],"beta":[False],"HFV":[False],"HFV10":[False],"LFV":[False],"FDC":[False],"r2":-1} - return {"error_metrics": error_metrics, "model": None, "simulated": False, "response": response, "forcing": forcing, "index": index,"diverged":False} - - - else: - try: - # windup latent states (if your windup is too long, this will error) - model.fit(response.values[windup_timesteps:,:], t = np.arange(0,len(index),1)[windup_timesteps:], u = forcing.values[windup_timesteps:,:]) - r2 = model.score(response.values[windup_timesteps:,:],t=np.arange(0,len(index),1)[windup_timesteps:],u=forcing.values[windup_timesteps:,:]) # training data score - except Exception as e: # and print the exception - print("Exception in model fitting, returning r2=-1\n") - print(e) - error_metrics = {"MAE":[False],"RMSE":[False],"NSE":[False],"alpha":[False],"beta":[False],"HFV":[False],"HFV10":[False],"LFV":[False],"FDC":[False],"r2":-1} - return {"error_metrics": error_metrics, "model": None, "simulated": False, "response": response, "forcing": forcing, "index": index,"diverged":False} - # r2 is how well we're doing across all the outputs. that's actually good to keep model accuracy lumped because that's what makes most sense to drive the optimization - # even though the metrics we'll want to evaluate models on are individual output accuracy - #print("training R^2", r2) - #model.print(precision=5) - - # return false for things not evaluated / don't exist - error_metrics = {"MAE":[False],"RMSE":[False],"NSE":[False],"alpha":[False],"beta":[False],"HFV":[False],"HFV10":[False],"LFV":[False],"FDC":[False],"r2":r2} - simulated = False - if (final_run): # only simulate final runs because it's slow - try: #once in high volume training put this back in, but want to see the errors during development - if transform_dependent: - simulated = model.simulate(response.values[windup_timesteps,:],t=np.arange(0,len(index),1)[windup_timesteps:],u=total_train.values[windup_timesteps:,:]) - else: - simulated = model.simulate(response.values[windup_timesteps,:],t=np.arange(0,len(index),1)[windup_timesteps:],u=forcing.values[windup_timesteps:,:]) - mae = list() - rmse = list() - nse = list() - alpha = list() - beta = list() - hfv = list() - hfv10 = list() - lfv = list() - fdc = list() - for col_idx in range(0,len(response.columns)): # univariate performance metrics - error = response.values[windup_timesteps+1:,col_idx]-simulated[:,col_idx] - - #print("error") - #print(error) - # nash sutcliffe efficiency between response and simulated - mae.append(np.mean(np.abs(error))) - rmse.append(np.sqrt(np.mean(error**2 ) )) - #print("mean measured = ", np.mean(response.values[windup_timesteps+1:,col_idx] )) - #print("sum of squared error between measured and model = ", np.sum((error)**2 )) - #print("sum of squared error between measured and mean of measured = ", np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 )) - nse.append(1 - np.sum((error)**2 ) / np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 ) ) - alpha.append(np.std(simulated[:,col_idx])/np.std(response.values[windup_timesteps+1:,col_idx])) - beta.append(np.mean(simulated[:,col_idx])/np.mean(response.values[windup_timesteps+1:,col_idx])) - hfv.append(100*np.sum(np.sort(simulated[:,col_idx])[-int(0.02*len(index)):]-np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.02*len(index)):])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.02*len(index)):])) - hfv10.append(100*np.sum(np.sort(simulated[:,col_idx])[-int(0.1*len(index)):]-np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.1*len(index)):])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.1*len(index)):])) - lfv.append(100*np.sum(np.sort(simulated[:,col_idx])[-int(0.3*len(index)):]-np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.3*len(index)):])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.3*len(index)):])) - fdc.append(100*(np.log10(np.sort(simulated[:,col_idx])[int(0.2*len(simulated))]) - - np.log10(np.sort(simulated[:,col_idx])[int(0.7*len(simulated))]) - - np.log10(np.sort(response.values[windup_timesteps+1:,col_idx])[int(0.2*len(simulated))]) - + np.log10(np.sort(response.values[windup_timesteps+1:,col_idx])[int(0.7*len(simulated))]) ) - / np.log10(np.sort(response.values[windup_timesteps+1:,col_idx])[int(0.2*len(simulated))]) - - np.log10(np.sort(response.values[windup_timesteps+1:,col_idx])[int(0.7*len(simulated))])) - - print("MAE = ", mae) - print("RMSE = ", rmse) - print("NSE = ", nse) - # alpha nse decomposition due to gupta et al 2009 - print("alpha = ", alpha) - print("beta = ", beta) - # top 2% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV = ", hfv) - # top 10% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV10 = ", hfv10) - # 30% low flow bias (LFV) due to yilmaz et al 2008 - print("LFV = ", lfv) - # bias of FDC midsegment slope due to yilmaz et al 2008 - print("FDC = ", fdc) - # compile all the error metrics into a dictionary - error_metrics = {"MAE":mae,"RMSE":rmse,"NSE":nse,"alpha":alpha,"beta":beta,"HFV":hfv,"HFV10":hfv10,"LFV":lfv,"FDC":fdc,"r2":r2} - - except Exception as e: # and print the exception: - print("Exception in simulation\n") - print(e) - error_metrics = {"MAE":[np.NAN],"RMSE":[np.NAN],"NSE":[np.NAN],"alpha":[np.NAN],"beta":[np.NAN],"HFV":[np.NAN],"HFV10":[np.NAN],"LFV":[np.NAN],"FDC":[np.NAN],"r2":r2} - - return {"error_metrics": error_metrics, "model": model, "simulated": response[1:], "response": response, "forcing": forcing, "index": index,"diverged":True} - - - - return {"error_metrics": error_metrics, "model": model, "simulated": simulated, "response": response, "forcing": forcing, "index": index,"diverged":False} - #return [r2, model, mae, rmse, index, simulated , response , forcing] - - - -def transform_inputs(shape_factors, scale_factors, loc_factors,index, forcing): - # original forcing columns -> columns of forcing that don't have _tr_ in their name - orig_forcing_columns = [col for col in forcing.columns if "_tr_" not in col] - #print("original forcing columns = ", orig_forcing_columns) - # how many rows of shape_factors do not contain NaNs? - num_transforms = shape_factors.count().iloc[0] - #print("num_transforms = ", num_transforms) - #print("forcing at beginning of transform inputs") - #print(forcing) - shape_time = np.arange(0,len(index),1) - for input in orig_forcing_columns: # which input are we talking about? - for transform_idx in range(1,num_transforms + 1): # which transformation of that input are we talking about? - # if the column doesn't exist, create it - if (str(str(input) + "_tr_" + str(transform_idx)) not in forcing.columns): - forcing.loc[:,str(str(input) + "_tr_" + str(transform_idx))] = 0.0 - # now, fill it with zeros (need to reset between different transformation shape factors) - forcing[str(str(input) + "_tr_" + str(transform_idx))].values[:] = float(0.0) - #print(forcing) - for idx in range(0,len(index)): # timestep - if (abs(forcing[input].iloc[idx]) > 10**-6): # when nonzero forcing occurs - if (idx == int(0)): - forcing[str(str(input) + "_tr_" + str(transform_idx))].values[idx:] += forcing[input].values[idx]*stats.gamma.pdf(shape_time, shape_factors[input][transform_idx], scale=scale_factors[input][transform_idx], loc = loc_factors[input][transform_idx]) - else: - forcing[str(str(input) + "_tr_" + str(transform_idx))].values[idx:] += forcing[input].values[idx]*stats.gamma.pdf(shape_time[:-idx], shape_factors[input][transform_idx], scale=scale_factors[input][transform_idx], loc = loc_factors[input][transform_idx]) - - #print("forcing at end of transform inputs") - #print(forcing) - # assert there are no NaNs in the forcing - assert(forcing.isnull().values.any() == False) - return forcing - -# REQUIRES: the output of delay_io_train, starting value of otuput, forcing timeseries -# EFFECTS: returns a simulated response given forcing and a model -# REQUIRED EDITS: not written to accomodate transform_dependent yet -def delay_io_predict(delay_io_model, system_data, num_transforms=1,evaluation=False , windup_timesteps=None): - if windup_timesteps is None: # user didn't specify windup timesteps, use what the model trained with. - windup_timesteps = delay_io_model[num_transforms]['windup_timesteps'] - forcing = system_data[delay_io_model[num_transforms]['independent_columns']].copy(deep=True) - response = system_data[delay_io_model[num_transforms]['dependent_columns']].copy(deep=True) - - transformed_forcing = transform_inputs(shape_factors=delay_io_model[num_transforms]['shape_factors'], - scale_factors=delay_io_model[num_transforms]['scale_factors'], - loc_factors=delay_io_model[num_transforms]['loc_factors'], - index=system_data.index,forcing=forcing) - try: - prediction = delay_io_model[num_transforms]['final_model']['model'].simulate(system_data[delay_io_model[num_transforms]['dependent_columns']].iloc[windup_timesteps,:], - t=np.arange(0,len(system_data.index),1)[windup_timesteps:], - u=transformed_forcing[windup_timesteps:]) - except Exception as e: # and print the exception: - print("Exception in simulation\n") - print(e) - print("diverged.") - error_metrics = {"MAE":[np.NAN],"RMSE":[np.NAN],"NSE":[np.NAN],"alpha":[np.NAN],"beta":[np.NAN],"HFV":[np.NAN],"HFV10":[np.NAN],"LFV":[np.NAN],"FDC":[np.NAN]} - return {'prediction':np.NAN*np.ones(shape=response[windup_timesteps+1:].shape), 'error_metrics':error_metrics,"diverged":True} - - # return all the error metrics if the prediction is being evaluated against known measurements - if (evaluation): - try: - mae = list() - rmse = list() - nse = list() - alpha = list() - beta = list() - hfv = list() - hfv10 = list() - lfv = list() - fdc = list() - for col_idx in range(0,len(response.columns)): # univariate performance metrics - error = response.values[windup_timesteps+1:,col_idx]-prediction[:,col_idx] - - initial_error_length = len(error) - error = error[~np.isnan(error)] - if (len(error) < 0.75*initial_error_length): - print("WARNING: More than 25% of the entries in error were NaN") - - #print("error") - #print(error) - # nash sutcliffe efficiency between response and prediction - mae.append(np.mean(np.abs(error))) - rmse.append(np.sqrt(np.mean(error**2 ) )) - #print("mean measured = ", np.mean(response.values[windup_timesteps+1:,col_idx] )) - #print("sum of squared error between measured and model = ", np.sum((error)**2 )) - #print("sum of squared error between measured and mean of measured = ", np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 )) - nse.append(1 - np.sum((error)**2 ) / np.sum((response.values[windup_timesteps+1:,col_idx]-np.mean(response.values[windup_timesteps+1:,col_idx] ) )**2 ) ) - alpha.append(np.std(prediction[:,col_idx])/np.std(response.values[windup_timesteps+1:,col_idx])) - beta.append(np.mean(prediction[:,col_idx])/np.mean(response.values[windup_timesteps+1:,col_idx])) - hfv.append(np.sum(np.sort(prediction[:,col_idx])[-int(0.02*len(system_data.index)):])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.02*len(system_data.index)):])) - hfv10.append(np.sum(np.sort(prediction[:,col_idx])[-int(0.1*len(system_data.index)):])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.1*len(system_data.index)):])) - lfv.append(np.sum(np.sort(prediction[:,col_idx])[:int(0.3*len(system_data.index))])/np.sum(np.sort(response.values[windup_timesteps+1:,col_idx])[:int(0.3*len(system_data.index))])) - fdc.append(np.mean(np.sort(prediction[:,col_idx])[-int(0.6*len(system_data.index)):-int(0.4*len(system_data.index))])/np.mean(np.sort(response.values[windup_timesteps+1:,col_idx])[-int(0.6*len(system_data.index)):-int(0.4*len(system_data.index))])) - - - print("MAE = ", mae) - print("RMSE = ", rmse) - - print("NSE = ", nse) - # alpha nse decomposition due to gupta et al 2009 - print("alpha = ", alpha) - print("beta = ", beta) - # top 2% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV = ", hfv) - # top 10% peak flow bias (HFV) due to yilmaz et al 2008 - print("HFV10 = ", hfv10) - # 30% low flow bias (LFV) due to yilmaz et al 2008 - print("LFV = ", lfv) - # bias of FDC midsegment slope due to yilmaz et al 2008 - print("FDC = ", fdc) - # compile all the error metrics into a dictionary - error_metrics = {"MAE":mae,"RMSE":rmse,"NSE":nse,"alpha":alpha,"beta":beta,"HFV":hfv,"HFV10":hfv10,"LFV":lfv,"FDC":fdc} - # omit r2 here because it doesn't mean the same thing as it does for training, would be misleading. - # r2 in training expresses how much of the derivative is predicted by the model, whereas in evaluation it expresses how much of the response is predicted by the model - - return {'prediction':prediction, 'error_metrics':error_metrics,"diverged":False} - except Exception as e: # and print the exception: - print(e) - print("Simulation diverged.") - error_metrics = {"MAE":[np.NAN],"RMSE":[np.NAN],"NSE":[np.NAN],"alpha":[np.NAN],"beta":[np.NAN],"HFV":[np.NAN],"HFV10":[np.NAN],"LFV":[np.NAN],"FDC":[np.NAN],"diverged":True} - - return {'prediction':prediction, 'error_metrics':error_metrics} - else: - error_metrics = {"MAE":[np.NAN],"RMSE":[np.NAN],"NSE":[np.NAN],"alpha":[np.NAN],"beta":[np.NAN],"HFV":[np.NAN],"HFV10":[np.NAN],"LFV":[np.NAN],"FDC":[np.NAN]} - return {'prediction':prediction, 'error_metrics':error_metrics,"diverged":False} - - - - -### the functions below are for generating LTI systems directly from data (aka system identification) - - -# the function below returns an LTI system (in the matrices A, B, and C) that mimic the shape of a given gamma distribution -# scaling should be correct, but need to verify that -# max state dim, resolution, and max iterations could be icnrased to improve accuracy -def lti_from_gamma(shape, scale, location,dt=0,desired_NSE = 0.999,verbose=False, - max_state_dim=50,max_iterations=200, max_pole_speed = 5, min_pole_speed = 0.01): - # a pole of speed -5 decays to less than 1% of it's value after one timestep - # a pole of speed -0.01 decays to more than 99% of it's value after one timestep - - # i've assumed here that gamma pdf is defined the same as in matlab - # if that's not true testing will show it soon enough - t50 = shape*scale + location # center of mass - skewness = 2 / np.sqrt(shape) - total_time_base = 2*t50 # not that this contains the full shape, but if we fit this much of the curve perfectly we'll be close enough - #resolution = (t50)/((skewness + location)) # make this coarser for faster debugging - resolution = (t50)/(10*(skewness + location)) # production version - - #resolution = 1/ skewness - decay_rate = 1 / resolution - decay_rate = np.clip(decay_rate ,min_pole_speed, max_pole_speed) - state_dim = int(np.floor(total_time_base*decay_rate)) # this keeps the time base fixed for a given decay rate - if state_dim > max_state_dim: - state_dim = max_state_dim - decay_rate = state_dim / total_time_base - resolution = 1 / decay_rate - if state_dim < 1: - state_dim = 1 - decay_rate = state_dim / total_time_base - resolution = 1 / decay_rate - - decay_rate = np.clip(decay_rate ,min_pole_speed, max_pole_speed) - - if verbose: - print("state dimension is ",state_dim) - print("decay rate is ",decay_rate) - print("total time base is ",total_time_base) - print("resolution is", resolution) - - - # make the timestep one so that the relative error is correct (dt too small makes error bigger than written) - #t = np.linspace(0,3*total_time_base,1000) - #desired_error = desired_error / dt - ''' - if dt > 0: # true if numeric - t = np.arange(0,2*total_time_base,dt) - else: - t= np.linspace(0,2*total_time_base,num=200) - ''' - t = np.linspace(0,2*total_time_base,num=200) - - #if verbose: - # print("dt is ",dt) - # print("scaled desired error is ",desired_error) - - gam = stats.gamma.pdf(t,shape,location,scale) - - # A is a cascade with the appropriate decay rate - A = decay_rate*np.diag(np.ones((state_dim-1)) , -1) - decay_rate*np.diag(np.ones((state_dim)),0) - # influence enters at the top state only - B = np.concatenate((np.ones((1,1)),np.zeros((state_dim-1,1)))) - # contributions of states to the output will be scaled to match the gamma distribution - C = np.ones((1,state_dim))*max(gam) - lti_sys = control.ss(A,B,C,0) - - lti_approx = control.impulse_response(lti_sys,t) - ''' - error = np.sum(np.abs(gam - lti_approx.y)) - if(verbose): - print("initial error") - print(error) - #print("desired error") - #print(max(gam)) - #print(desired_error) - ''' - NSE = 1 - (np.sum(np.square(gam - lti_approx.y)) / np.sum(np.square(gam - np.mean(gam)) )) - # if NSE is nan, set to -10e6 - if np.isnan(NSE): - NSE = -10e6 - - - if verbose: - print("initial NSE") - print(NSE) - print("desired NSE") - print(desired_NSE) - - iterations = 0 - - speeds = [10,5,2,1.1,1.05,1.01,1.001] - speed_idx = 0 - leap = speeds[speed_idx] - # the area under the curve is normalized to be one. so rather than basing our desired error off the - # max of the distribution, it might be better to make it a percentage error, one percent or five percent - while (NSE < desired_NSE and iterations < max_iterations): - - og_was_best = True # start each iteration assuming that the original is the best - # search across the C vector - for i in range(C.shape[1]-1,int(-1),int(-1)): # accross the columns # start at the end and come back - #for i in range(int(0),C.shape[1],int(1)): # accross the columns, start at the beginning and go forward - - og_approx = control.ss(A,B,C,0) - og_y = np.ndarray.flatten(control.impulse_response(og_approx,t).y) - og_error = np.sum(np.abs(gam - og_y)) - og_NSE = 1 - (np.sum((gam - og_y)**2) / np.sum((gam - np.mean(gam))**2)) - - Ctwice = np.array(C, copy=True) - Ctwice[0,i] = leap*C[0,i] - twice_approx = control.ss(A,B,Ctwice,0) - twice_y = np.ndarray.flatten(control.impulse_response(twice_approx,t).y) - twice_error = np.sum(np.abs(gam - twice_y)) - twice_NSE = 1 - (np.sum((gam - twice_y)**2) / np.sum((gam - np.mean(gam))**2)) - - Chalf = np.array(C,copy=True) - Chalf[0,i] = (1/leap)*C[0,i] - half_approx = control.ss(A,B,Chalf,0) - half_y = np.ndarray.flatten(control.impulse_response(half_approx,t).y) - half_error = np.sum(np.abs(gam - half_y)) - half_NSE = 1 - (np.sum((gam - half_y)**2) / np.sum((gam - np.mean(gam))**2)) - ''' - Cneg = np.array(C,copy=True) - Cneg[0,i] = -C[0,i] - neg_approx = control.ss(A,B,Cneg,0) - neg_y = np.ndarray.flatten(control.impulse_response(neg_approx,t).y) - neg_error = np.sum(np.abs(gam - neg_y)) - neg_NSE = 1 - (np.sum((gam - neg_y)**2) / np.sum((gam - np.mean(gam))**2)) - ''' - faster = np.array(A,copy=True) - faster[i,i] = A[i,i]*leap # faster decay - if abs(faster[i,i]) < abs(max_pole_speed): - if i > 0: # first reservoir doesn't receive contribution from another reservoir. want to keep B at 1 for scaling - faster[i,i-1] = A[i,i-1]*leap # faster rise - faster_approx = control.ss(faster,B,C,0) - faster_y = np.ndarray.flatten(control.impulse_response(faster_approx,t).y) - faster_error = np.sum(np.abs(gam - faster_y)) - faster_NSE = 1 - (np.sum((gam - faster_y)**2) / np.sum((gam - np.mean(gam))**2)) - else: - faster_NSE = -10e6 # disallowed because the pole is too fast - - slower = np.array(A,copy=True) - slower[i,i] = A[i,i]/leap # slower decay - if abs(slower[i,i]) > abs(min_pole_speed): - if i > 0: - slower[i,i-1] = A[i,i-1]/leap # slower rise - slower_approx = control.ss(slower,B,C,0) - slower_y = np.ndarray.flatten(control.impulse_response(slower_approx,t).y) - slower_error = np.sum(np.abs(gam - slower_y)) - slower_NSE = 1 - (np.sum((gam - slower_y)**2) / np.sum((gam - np.mean(gam))**2)) - else: - slower_NSE = -10e6 # disallowed because the pole is too slow - - #all_errors = [og_error, twice_error, half_error, faster_error, slower_error] - all_NSE = [og_NSE, twice_NSE, half_NSE, faster_NSE, slower_NSE]# , neg_NSE] - - if (twice_NSE >= max(all_NSE) and twice_NSE > og_NSE): - C = Ctwice - if twice_NSE > 1.001*og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - elif (half_NSE >= max(all_NSE) and half_NSE > og_NSE): - C = Chalf - if half_NSE > 1.001*og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - - elif (slower_NSE >= max(all_NSE) and slower_NSE > og_NSE): - A = slower - if slower_NSE > 1.001*og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - elif (faster_NSE >= max(all_NSE) and faster_NSE > og_NSE): - A = faster - if faster_NSE > 1.001*og_NSE: # an appreciable difference - og_was_best = False # did we change something this iteration? - ''' - elif (neg_NSE >= max(all_NSE) and neg_NSE > og_NSE): - C = Cneg - if neg_NSE > 1.001*og_NSE: - og_was_best = False - ''' - - - - NSE = og_NSE - error = og_error - iterations += 1 # this shouldn't be the termination condition unless the resolution is too coarse - # normally the optimization should exit because the leap has become too small - if og_was_best: # the original was the best, so we're going to tighten up the optimization - speed_idx += 1 - if speed_idx > len(speeds)-1: - break # we're done - leap = speeds[speed_idx] - # print the iteration count every ten - # comment out for production - if (iterations % 2 == 0 and verbose): - print("iterations = ", iterations) - print("error = ", error) - print("NSE = ", NSE) - print("leap = ", leap) - - lti_approx = control.ss(A,B,C,0) - y = np.ndarray.flatten(control.impulse_response(og_approx,t).y) - error = np.sum(np.abs(gam - og_y)) - print("LTI_from_gamma final NSE") - print(NSE) - if (verbose): - print("final system\n") - print("A") - print(A) - print("B") - print(B) - print("C") - print(C) - - print("\nfinal error") - print(error) - - # are any of the final eigenvalues outside the bounds specified? - E = np.linalg.eigvals(A) - if (np.any(np.abs(E) > max_pole_speed) or np.any(np.abs(E) < min_pole_speed)): - print("WARNING: final eigenvalues are outside the bounds specified") - - - return {"lti_approx":lti_approx, "lti_approx_output":y, "error":error, "t":t, "gamma_pdf":gam} - - - -# this function takes the system data and the causative topology and returns an LTI system -# if the causative topology isn't already defined, it needs to be created using infer_causative_topology -def lti_system_gen(causative_topology, system_data,independent_columns,dependent_columns,max_iter=250, - swmm=False,bibo_stable = False,max_transition_state_dim=50, max_transforms = 1, early_stopping_threshold = 0.005): - - # cast the columns and indices of causative_topology to strings so sindy can run properly - # We need the tuples to link the columns in system_data to the object names in the swmm model - # so we'll cast these back to tuples once we're done - if swmm: - causative_topology.columns = causative_topology.columns.astype(str) - causative_topology.index = causative_topology.index.astype(str) - - print("causative topology \n") - print(causative_topology.index) - print(causative_topology.columns) - - # do the same for dependent_columns and independent_columns - dependent_columns = [str(col) for col in dependent_columns] - independent_columns = [str(col) for col in independent_columns] - print(dependent_columns) - print(independent_columns) - - - # do the same for the columns of system_data - system_data.columns = system_data.columns.astype(str) - print(system_data.columns) - - - A = pd.DataFrame(index=dependent_columns, columns=dependent_columns) - B = pd.DataFrame(index=dependent_columns, columns=independent_columns) - C = pd.DataFrame(index=dependent_columns,columns=dependent_columns) - C.loc[:,:] = np.diag(np.ones(len(dependent_columns))) # these are the states which are observable - - # copy the corresponding entries from the causative topology into B - for row in B.index: - for col in B.columns: - B.loc[row,col] = causative_topology.loc[row,col] - # and into A - for row in A.index: - for col in A.columns: - A.loc[row,col] = causative_topology.loc[row,col] - - print("A") - print(A) - print("B") - print(B) - print("C") - print(C) - # use transform_only when calling delay_io_train to only train transfomrations for connections marked "d" - # train a MISO model for each output - delay_models = {key: None for key in dependent_columns} - - for row in A.index: - immediate_forcing = [] - delayed_forcing = [] - for col in A.columns: - if col == row: - continue # don't need to include the output state as a forcing variable. it's already included by default - if A[col][row] == "d": - delayed_forcing.append(col) - elif A[col][row] == "i": - immediate_forcing.append(col) - for col in B.columns: - if B[col][row] == "d": - delayed_forcing.append(col) - elif B[col][row] == "i": - immediate_forcing.append(col) - # make total_forcing the union of immediate and delayed forcing - total_forcing = immediate_forcing + delayed_forcing - feature_names = [row] + total_forcing - if (delayed_forcing): - print("training delayed model for ", row, " with forcing ", total_forcing, "\n") - delay_models[row] = delay_io_train(system_data,[row],total_forcing, - transform_only=delayed_forcing, max_transforms=max_transforms, - poly_order=1, max_iter=max_iter,verbose=False,bibo_stable=bibo_stable) - # we'll parse this delayed causation into the matrices A, B, and C later - else: - ####### TODO: incorporate bibo stability constraint into instantaneous fits ######## - print("training immediate model for ", row, " with forcing ", total_forcing, "\n") - delay_models[row] = None - # we can put immediate causation into the matrices A, B, and C now - - if (bibo_stable): # negative autocorrelatoin - # Figure out how many library features there will be - library = ps.PolynomialLibrary(degree=1,include_bias = False, include_interaction=False) - #total_train = pd.concat((response,forcing), axis='columns') - library.fit([ps.AxesArray(feature_names,{"ax_sample":0,"ax_coord":1})]) - n_features = library.n_output_features_ - #print(f"Features ({n_features}):", library.get_feature_names()) - # Set constraints - #n_targets = total_train.shape[1] # not sure what targets means after reading through the pysindy docs - #print("n_targets") - #print(n_targets) - constraint_rhs = 0 - # one row per constraint, one column per coefficient - constraint_lhs = np.zeros((1 , n_features )) - - #print(constraint_rhs) - #print(constraint_lhs) - # constrain the highest order output autocorrelation to be negative - # this indexing is only right for include_interaction=False, include_bias=False, and pure polynomial library - # for more complex libraries, some conditional logic will be needed to grab the right column - constraint_lhs[:,0] = 1 - - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary(degree=1,include_bias = False, include_interaction=False), - optimizer = ps.STLSQ(threshold=0), - feature_names = feature_names - ) - - else: # unoconstrained - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(order=10,drop_endpoints=True), - feature_library=ps.PolynomialLibrary(degree=1,include_bias = False, include_interaction=False), - optimizer=ps.optimizers.STLSQ(threshold=0,alpha=0), - feature_names = feature_names - ) - if system_data.loc[:,immediate_forcing].empty: # the subsystem is autonomous - instant_fit = model.fit(x = system_data.loc[:,row] ,t = np.arange(0,len(system_data.index),1)) - instant_fit.print(precision=3) - print("Training r2 = ", instant_fit.score(x = system_data.loc[:,row] ,t = np.arange(0,len(system_data.index),1))) - print(instant_fit.coefficients()) - else: # there is some forcing - #instant_fit = model.fit(x = system_data.loc[:,row] ,t = system_data.index.values, u = system_data.loc[:,immediate_forcing]) # sindy can't take datetime indices - instant_fit = model.fit(x = system_data.loc[:,row] ,t = np.arange(0,len(system_data.index),1) , u = system_data.loc[:,immediate_forcing]) - instant_fit.print(precision=3) - print("Training r2 = ", instant_fit.score(x = system_data.loc[:,row] ,t = np.arange(0,len(system_data.index),1), u = system_data.loc[:,immediate_forcing])) - print(instant_fit.coefficients()) - for idx in range(len(feature_names)): - if feature_names[idx] in A.columns: - A.loc[row,feature_names[idx]] = instant_fit.coefficients()[0][idx] - elif feature_names[idx] in B.columns: - B.loc[row,feature_names[idx]] = instant_fit.coefficients()[0][idx] - else: - print("couldn't find a column for ", feature_names[idx]) - #print("updated A") - #print(A) - #print("updated B") - #print(B) - - original_A = A.copy(deep=True) - # now, parse the delay models into the A, B, and C matrices - # the changes will be as follows: - # the A matrix will have matrices of the form [B_gam, A_gam; 0 , C_gam] inserted into it - # where X_gam are the matrices generated by the lti_from_gamma function to represent the delayed causation shape - # the B and C matrices will just have zeros inserted into them to maintain compatible dimensions - # none of these cascades are observable or directly receive input. - for row in original_A.index: - if delay_models[row] is None: - pass - else: # we want the model with the most transformations where the last trnasformation added at least 0.5% to the R2 score - for num_transforms in range(1,max_transforms+1): - if num_transforms == 1: - optimal_number_transforms = num_transforms - elif delay_models[row][num_transforms]['final_model']['error_metrics']['r2'] - delay_models[row][num_transforms-1]['final_model']['error_metrics']['r2'] < early_stopping_threshold: - optimal_number_transforms = num_transforms - 1 - break # improvement is too small to justify additional complexity - else: - optimal_number_transforms = num_transforms # the most recent one was worth it - - transformation_approximations = {transform_key: None for transform_key in delay_models[row][optimal_number_transforms]['shape_factors'].columns} - for transform_key in transformation_approximations.keys(): # which input - for idx in range(1,optimal_number_transforms+1): # which transformation - print("variable = ", transform_key, ", transformation = ", idx) - delay_models[row][optimal_number_transforms]['final_model']['model'].print(precision=5) - shape = delay_models[row][optimal_number_transforms]['shape_factors'].loc[idx,transform_key] - scale = delay_models[row][optimal_number_transforms]['scale_factors'].loc[idx,transform_key] - loc = delay_models[row][optimal_number_transforms]['loc_factors'].loc[idx,transform_key] - ''' - # infer the timestep of system_data from the index - timestep = system_data.index[1] - system_data.index[0] - try: # if the timestep is numeric - pd.to_numeric(timestep) - transformation_approximations[transform_key] = lti_from_gamma(shape,scale,loc,dt=timestep) - - Agam = transformation_approximations[transform_key]['lti_approx'].A / timestep - Bgam = transformation_approximations[transform_key]['lti_approx'].B / timestep - Cgam = transformation_approximations[transform_key]['lti_approx'].C / timestep - except Exception as e: # if the timestep is something like a datetime - print(e)''' - # this will get overwritten if we use more than one transformation per input. i think that's okay. - transformation_approximations[transform_key] = lti_from_gamma(shape,scale,loc,max_state_dim = max_transition_state_dim) - - Agam = transformation_approximations[transform_key]['lti_approx'].A - Bgam = transformation_approximations[transform_key]['lti_approx'].B # only entry is unit impulse at top state - Cgam = transformation_approximations[transform_key]['lti_approx'].C - - tr_string = str("_tr_" + str(idx)) - - # Cgam needs to be scaled by the coefficient the forcing term had in the delay model - #coefficients = {coef_key: None for coef_key in delay_models[row][1]['final_model']['model'].feature_names} - coefficients = {coef_key: None for coef_key in delay_models[row][optimal_number_transforms]['final_model']['model'].feature_names} - for coef_key in coefficients.keys(): - coef_index = delay_models[row][optimal_number_transforms]['final_model']['model'].feature_names.index(coef_key) - coefficients[coef_key] = delay_models[row][optimal_number_transforms]['final_model']['model'].coefficients()[0][coef_index] - #if "_tr_1" in coef_key and coef_key.replace("_tr_1","") == transform_key.replace("_tr_1",""): - if tr_string in coef_key and coef_key.replace(tr_string,"") == transform_key.replace(tr_string,""): - ''' - try: - pd.to_numeric(timestep,errors='raise') - Cgam = Cgam * coefficients[coef_key] / timestep - except Exception as e: - print(e) - Cgam = Cgam * coefficients[coef_key] - ''' - - Cgam = Cgam * coefficients[coef_key] # scaling - else: # these are the immediate effects, insert them now - if coef_key in A.columns: - A.loc[row,coef_key] = coefficients[coef_key] - elif coef_key in B.columns: - B.loc[row,coef_key] = coefficients[coef_key] - - - Agam_index = [] - for agam_idx in range(Agam.shape[0]): - #Agam_index.append(transform_key.replace("_tr_1","") + "->" + row + "_" + str(idx)) - Agam_index.append(transform_key.replace(tr_string,"") + "->" + row + tr_string + "_" + str(agam_idx)) - Agam = pd.DataFrame(Agam, index = Agam_index, columns = Agam_index) - Bgam = pd.DataFrame(Bgam, index = Agam_index, columns = [transform_key.replace(tr_string,"")]) - Cgam = pd.DataFrame(Cgam, index = [row], columns = Agam_index) - #print("Agam") - #print(Agam) - #print("Bgam") - #print(Bgam) - #print("Cgam") - #print(Cgam) - # insert these into the A, B, and C matrices - # for Agam, the insertion row is immediately after the source (key) - # the insertion column is also immediately after the source (key) - - ### everything below this point is garbage. not performing at all as desired at the moment - - - # first need to create space for the new rows and columns - # create before_index and after_index variables, which record the parts of the index of A that occur before and after row - before_index = [] - #after_index = [] - #if transform_key.replace("_tr_1","") not in A.index: # it's one of the forcing terms. put it in at the beginning - if transform_key.replace(tr_string,"") not in A.index: # it's one of the forcing terms. put it in at the beginning - after_index = list(A.index) # it's a forcing variable, so we don't want it in the newA index - else: # it is a state variable - #before_index = list(A.index[:A.index.get_loc(transform_key.replace("_tr_1",""))]) - before_index = list(A.index[:A.index.get_loc(transform_key.replace(tr_string,""))]) - - #after_index = list(A.index[A.index.get_loc(transform_key.replace("_tr_1",""))+1:]) - after_index = list(A.index[A.index.get_loc(transform_key.replace(tr_string,""))+1:]) - - ''' - for idx in A.index: - if idx == key.replace("_tr_1",""): - before_index.append(idx) # if it's a state variable, we want it in the newA index - break - else: - before_index.append(idx) - for idx in range(A.index.get_loc(key.replace("_tr_1",""))+1,len(A.index)): - after_index.append(A.index[idx]) - ''' - #if transform_key.replace("_tr_1","") in A.index: # the transform key refers to a state (x) - if transform_key.replace(tr_string,"") in A.index: - #states = before_index + [transform_key.replace("_tr_1","")] + Agam_index + after_index # state dim expands by the number of rows in Agam - states = before_index + [transform_key.replace(tr_string,"")] + Agam_index + after_index # state dim expands by the number of rows in Agam - # include the current transform key in A because it's a state variable - #elif transform_key.replace("_tr_1","") in B.columns: # the transform key refers to a control input (u) - elif transform_key.replace(tr_string,"") in B.columns: # the transform key refers to a control input (u) - states = before_index + Agam_index + after_index # state dim expands by the number of rows in Agam - # don't include the current transform key in A because it's a control input, not a state variable - - newA = pd.DataFrame(index=states, columns = states) - newB = pd.DataFrame(index = states, columns = B.columns) # input dim remains consistent (columns of B) - newC = pd.DataFrame(index = C.index, columns = states) # output dim remains consistent (rows of C) - - # fill in newA with the corresponding entries from A - for idx in newA.index: - for col in newA.columns: - if idx in A.index and col in A.columns: # if it's in the original A matrix, copy it over - newA.loc[idx,col] = A.loc[idx,col] - if idx in Agam.index and col in Agam.columns: # if it's in Agam, copy it over - newA.loc[idx,col] = Agam.loc[idx,col] - if idx in Bgam.index and col in Bgam.columns: # the input to the cascade is a state - newA.loc[idx,col] = Bgam.loc[idx,col] - - - for idx in newB.index: - for col in newB.columns: - if idx in B.index and col in B.columns: # if it's in the original B matrix, copy it over - newB.loc[idx,col] = B.loc[idx,col] - if idx in Bgam.index and col in Bgam.columns: # the input to the cascade is a forcing term - newB.loc[idx,col] = Bgam.loc[idx,col] - - for idx in newC.index: - for col in newC.columns: - if idx in C.index and col in C.columns: # if it's in the original C matrix, copy it over - newC.loc[idx,col] = C.loc[idx,col] - if idx in Cgam.index and col in Cgam.columns: # outputs from the cascades - newA.loc[idx,col] = Cgam.loc[idx,col] - - #print("newA") - #print(newA.to_string()) - #print("newB") - #print(newB.to_string()) - #print("newC") - #print(newC.to_string()) - - # copy over - A = newA.copy(deep=True) - B = newB.copy(deep=True) - C = newC.copy(deep=True) - - - A.replace("n",0.0,inplace=True) - B.replace("n",0.0,inplace=True) - C.replace("n",0.0,inplace=True) - - if swmm: - pass - ############# - # TODO: cast strings back to tuples in the indices and columns - ############# - # cast the index and columns of causative_topology to tuples. they'll be of the form "(X,Y)" - - # do the same for dependent_columns and independent_columns - - # do the same for the columns of system_data - - - - - A.fillna(0.0,inplace=True) - B.fillna(0.0,inplace=True) - C.fillna(0.0,inplace=True) - - # if bibo_stable is specified and A not hurwitz, make A hurwitz by defining A' = A - I*max(real(eig(A))) - # this will gaurantee stability (max eigenvalue will have real part < 0) - if bibo_stable: - orig_eigs, _ = np.linalg.eig(A) - if any(np.real(orig_eigs) > 0): - print("stabilizing unstable plant by subtracting I*max(real(eig)) from A") - epsilon = 10e-4 - A_stab = A - np.eye(len(A))*(1+epsilon)*max(np.real(orig_eigs)) # add factor of (1+epsilon) for stability, not marginal stabilty - stab_eigs, _ = np.linalg.eig(A_stab) - A = A_stab.copy(deep=True) - - # sindy will scale the coefficients according to the timestep if the index is numeric - # so the whole system needs to be scaled by the timestep if its numeric - try: - pd.to_numeric(system_data.index,errors='raise') # can the index be converted to a numeric type? - dt = system_data.index.values[1] - system_data.index.values[0] - A = A / dt - B = B / dt - C = C # what we observe doesn't need to be adjusted, just the dynamics - print("system response data index converted to numeric type. dt = ") - print(dt) - except Exception as e: - print(e) - dt = None - - # cast all of A, B, and C to type float (integers cause issues with LQR / LQE calculations) - A = A.astype(float) - B = B.astype(float) - C = C.astype(float) - - lti_sys = control.ss(A,B,C,0,inputs=B.columns,outputs=C.index,states=A.columns) - - - # returning the matrices too because control.ss strips the labels from the pandas dataframes and stores them as numpy matrices - return {"system":lti_sys,"A":A,"B":B,"C":C} - - - - - -# this function takes in the system data, -# which columns are dependent and which are independent, -# as well as an optional constraint on the topology of the digraph -# we will return a digraph (not multidigraph as there are no parallel edges) as defined in https://networkx.org/documentation/stable/reference/classes/digraph.html -# we'll assume there are always self-loops (the derivative always depends on the current value of the variable) -# this will also be returned as an adjacency matrix -# this doesn't go all the way to turning the data into an LTI system. that will be another function that uses this one -def infer_causative_topology(system_data, dependent_columns, independent_columns, - graph_type='Weak-Conn',verbose=False,max_iter = 250,swmm=False, - method='granger', derivative=False): - - if swmm: - # do the same for dependent_columns and independent_columns - dependent_columns = [str(col) for col in dependent_columns] - independent_columns = [str(col) for col in independent_columns] - print(dependent_columns) - print(independent_columns) - - - # do the same for the columns of system_data - system_data.columns = system_data.columns.astype(str) - print(system_data.columns) - - if method == 'granger': # granger causality - from statsmodels.tsa.stattools import grangercausalitytests - causative_topo = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna('n') - total_graph = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(1.0) - - print(causative_topo) - - max_p = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - min_p = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(2.0) - median_p = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(2.0) - three_quarters_p = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(2.0) - one_quarter_p = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(2.0) - min_p_lag = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1) - max_p_lag = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1) - max_p_f = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - min_p_f = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - median_f = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - three_quarters_f = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - one_quarter_f = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(-1.0) - - - # first column in df is the output (granger caused by other) - # second column is the proposed forcer - for dep_col in dependent_columns: # for each column which is out - for other_col in system_data.columns: # for every other variable (input) - if other_col == dep_col: - continue # we're already accounting for autocorrelatoin in every fit - print("check if ", other_col, " granger causes ", dep_col) - #print(system_data[[dep_col,other_col]]) - try: - gc_res = grangercausalitytests(system_data[[dep_col,other_col]],maxlag=25,verbose=False) - except Exception as e: - print(e) - continue - # iterate through the dictionary and compute the maximum and minimum p values for the F test - p_values = [] - f_values = [] - for key in gc_res.keys(): - f_test_p_value = gc_res[key][0]['ssr_ftest'][1] - p_values.append(f_test_p_value) - f_values.append(gc_res[key][0]['ssr_ftest'][0]) - if f_test_p_value > max_p.loc[dep_col,other_col]: - max_p.loc[dep_col,other_col] = f_test_p_value - max_p_f.loc[dep_col,other_col] = gc_res[key][0]['ssr_ftest'][0] - max_p_lag.loc[dep_col,other_col] = key - - if f_test_p_value < min_p.loc[dep_col,other_col]: - min_p.loc[dep_col,other_col] = f_test_p_value - min_p_f.loc[dep_col,other_col] = gc_res[key][0]['ssr_ftest'][0] - min_p_lag.loc[dep_col,other_col] = key - - median_p.loc[dep_col,other_col] = np.median(p_values) - median_f.loc[dep_col,other_col] = np.median(f_values) - three_quarters_p.loc[dep_col,other_col] = np.quantile(p_values,0.75) - three_quarters_f.loc[dep_col,other_col] = np.quantile(f_values,0.75) - one_quarter_p.loc[dep_col,other_col] = np.quantile(p_values,0.25) - one_quarter_f.loc[dep_col,other_col] = np.quantile(f_values,0.25) - - print("max p values") - print(max_p) - print("f values corresponding to max p") - print(max_p_f) - print("max p lag") - print(max_p_lag) - print("min p values") - print(min_p) - print("f values corresponding to min p") - print(min_p_f) - print("min p lag") - print(min_p_lag) - print("median p values") - print(median_p) - print("median f values") - print(median_f) - - print("now determine causative topology based on connectivity constraint") - # start with the maximum p values, taking the significant links, then move down through the quantiles - # if the graph is not connected, we'll move down to the next quantile - # keep going until you satisfy the connectivity criteria - if graph_type == 'Weak-Conn': - # locate the smallest value of p in max_p which corresponds to an "n" in causative topo - # this will be the first link we add - ''' - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if max_p.loc[row,col] < 0: - continue # not valid - if max_p.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = max_p.loc[row,col] - min_p_row = row - min_p_col = col - # if equal - elif max_p.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n': - if min_p_value < 0.05: - print("tie in significant p") - # take the one with the higher f value - if max_p_f.loc[row,col] > max_p_f.loc[min_p_row,min_p_col]: - min_p_value = max_p.loc[row,col] - min_p_row = row - min_p_col = col - - if min_p_value < 0.05: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - else: - print("no significant links found") - break - print("done adding from max_p, now adding from 3/4 p") - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if three_quarters_p.loc[row,col] < 0: - continue # not valid - if three_quarters_p.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = three_quarters_p.loc[row,col] - min_p_row = row - min_p_col = col - elif three_quarters_p.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n': - if min_p_value < 0.05: - print("tie in significant p") - # take the one with the higher f value - if three_quarters_f.loc[row,col] > three_quarters_f.loc[min_p_row,min_p_col]: - min_p_value = three_quarters_p.loc[row,col] - min_p_row = row - min_p_col = col - - if min_p_value < 0.05: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - else: - print("no significant links found") - break - print("done adding from three_quarters_p, now adding from median p") - # move to the median - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if median_p.loc[row,col] < 0: - continue - if median_p.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = median_p.loc[row,col] - min_p_row = row - min_p_col = col - elif median_p.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n': - if min_p_value < 0.05: - print("tie in significant p") - # take the one with the higher f value - if median_f.loc[row,col] > median_f.loc[min_p_row,min_p_col]: - min_p_value = median_p.loc[row,col] - min_p_row = row - min_p_col = col - - if min_p_value < 0.05: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - else: - print("no significant links found") - break - print("done adding from median p, now adding from min p") - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if one_quarter_p.loc[row,col] < 0: - continue - if one_quarter_p.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = one_quarter_p.loc[row,col] - min_p_row = row - min_p_col = col - elif one_quarter_p.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n': - if min_p_value < 0.05: - print("tie in significant p") - # take the one with the higher f value - if one_quarter_f.loc[row,col] > one_quarter_f.loc[min_p_row,min_p_col]: - min_p_value = one_quarter_p.loc[row,col] - min_p_row = row - min_p_col = col - - if min_p_value < 0.05: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - else: - print("no significant links found") - break - print("done adding from median p, now adding from min p") - ''' - # move to the min - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if min_p.loc[row,col] < 0: - continue - if min_p.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = min_p.loc[row,col] - min_p_row = row - min_p_col = col - elif min_p.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n': - if min_p_value < 0.05: - print("tie in significant p") - # take the one with the higher f value - if min_p_f.loc[row,col] > min_p_f.loc[min_p_row,min_p_col]: - min_p_value = min_p.loc[row,col] - min_p_row = row - min_p_col = col - - if min_p_value < 0.05 or True: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - else: - print("no significant links found") - break - print("done adding from min p. if graph not connected now, it won't be") - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - - - elif method == 'ccm': # convergent cross mapping per sugihara 2012 - - correlations = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(0.0) - p_values = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(1.0) - best_taus = pd.DataFrame(index=dependent_columns,columns=system_data.columns) - best_Es = pd.DataFrame(index=dependent_columns,columns=system_data.columns) - - from causal_ccm.causal_ccm import ccm # move to initial imports if this ends up working - - for dep_col in dependent_columns: # for each column which is out - if derivative: - response = np.array(system_data[dep_col].diff().values[1:]) - else: - response = np.array(system_data[dep_col].values) - - for other_col in system_data.columns: # for every other variable (input) - plt.close('all') - if other_col == dep_col: - continue # we're already accounting for autocorrelatoin in every fit - print("check if ", other_col, " drives ", dep_col) - if derivative: - forcing = np.array(system_data[other_col].values[:-1]) - else: - forcing = np.array(system_data[other_col].values) - - # start with tau_options to be between 1 and 25 timesteps - tau_options = np.arange(1,2)#1) - E_options = np.arange(1,3) # number of embedding dimensions - best_p_value = 1.0 # null hypothesis is that there is no causality - best_tau = -1 # then we'll know if no lags had good results - for tau in tau_options: - for E in E_options: - cross_map = ccm(forcing,response,tau=tau,E=E,L=len(response)) - correlation, p_value = cross_map.causality() - if p_value < best_p_value: - best_p_value = p_value - best_correlation = correlation - best_tau = tau - best_E = E - print("tau = ", tau, "E = ",E," | p = ", p_value, " | corr = ", correlation) - #cross_map.visualize_cross_mapping() - #cross_map.plot_ccm_correls() - if best_tau > -1: - cross_map = ccm(forcing,response,best_tau,best_E) - ''' - if best_tau > 0: - cross_map.visualize_cross_mapping() - cross_map.plot_ccm_correls() - ''' - correlation, p_value = cross_map.causality() - correlations.loc[dep_col,other_col] = correlation - p_values.loc[dep_col,other_col] = p_value - if p_value == 0: # if the p value is exactly zero, make it the minimum float value - p_values.loc[dep_col,other_col] = sys.float_info.min - best_taus.loc[dep_col,other_col] = best_tau - best_Es.loc[dep_col,other_col] = best_E - ''' - lengths = np.linspace(250, len(response), 100,dtype='int') - corr_L = lengths*0.0 - for length_idx in range(len(lengths)): - trunc_forcing = forcing[:lengths[length_idx]] - trunc_response = response[:lengths[length_idx]] - cross_map = ccm(trunc_forcing,trunc_response,tau=best_tau,E=best_E) - correlation, p_value = cross_map.causality() - corr_L[length_idx] = correlation - - - plt.plot(corr_L) - plt.ylabel("correlation") - plt.show(block=True) - ''' - elif best_tau == -1: - print("no good lags found for ", dep_col, " and ", other_col) - correlations.loc[dep_col,other_col] = 0.0 - p_values.loc[dep_col,other_col] = 1.0 - best_taus.loc[dep_col,other_col] = -1 - best_Es.loc[dep_col,other_col] = -1 - - print(correlations) - print(p_values) - print(best_taus) - print(best_Es) - print("done") - causative_topo = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna('n') - total_graph = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(1.0) - i = 0 - while(i < 10e3): - i += 1 - min_p_value = 2.0 - min_p_corr = 0.0 - min_p_row = None - min_p_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if p_values.loc[row,col] < 0: - continue - if p_values.loc[row,col] < min_p_value and causative_topo.loc[row,col] == 'n': - min_p_value = p_values.loc[row,col] - min_p_corr = correlations.loc[row,col] - min_p_row = row - min_p_col = col - # if two p values are tied, pick the one with the higher correlation - elif p_values.loc[row,col] == min_p_value and causative_topo.loc[row,col] == 'n' and correlations.loc[row,col] > min_p_corr: - min_p_value = p_values.loc[row,col] - min_p_corr = correlations.loc[row,col] - min_p_row = row - min_p_col = col - if min_p_value < 0.05: - causative_topo.loc[min_p_row,min_p_col] = 'd' - total_graph.loc[min_p_row,min_p_col] = min_p_value - print("added link from ", min_p_col, " to ", min_p_row, " with p = ", min_p_value) - print(causative_topo) - print(total_graph.replace(1.0,0)) - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph.replace(1.0,0),create_using=nx.DiGraph)): - print("graph is connected") - break - else: - print("no significant links found") - break - - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - - elif method == 'transfer-entropy': - - transfer_entropies = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(0.0) - - from PyIF import te_compute as te - - for dep_col in dependent_columns: # for each column which is out - if derivative: - response = np.array(system_data[dep_col].diff().values[1:]) - else: - response = np.array(system_data[dep_col].values) - - for other_col in system_data.columns: # for every other variable (input) - plt.close('all') - if other_col == dep_col: - continue # we're already accounting for autocorrelatoin in every fit - print("check if ", other_col, " drives ", dep_col) - if derivative: - forcing = np.array(system_data[other_col].values[:-1]) - else: - forcing = np.array(system_data[other_col].values) - - - k_options = np.arange(1,11) # number of neighbors used in KD-tree queries - E_options = np.arange(1,11) # number of embedding dimensions (delay) - best_TE = -1.0 # best transfer entropy so far - for k in k_options: - for E in E_options: - TE = te.te_compute(forcing,response,k,E) # "information transfer from X to Y" - if TE > best_TE: - best_TE = TE - best_k = k - best_E = E - print("k (# neighbors) = ", k, "E (embedding dim) = ",E, " | Transfer Entropy = ", TE) - transfer_entropies.loc[dep_col,other_col] = best_TE - - print("transfer entropies") - print(transfer_entropies) - - causative_topo = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna('n') - total_graph = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna(0.0) - i = 0 - while(i < 10e3): - i += 1 - max_te = 0.0 - max_te_row = None - max_te_col = None - for row in causative_topo.index: - for col in causative_topo.columns: - if transfer_entropies.loc[row,col] > max_te and causative_topo.loc[row,col] == 'n': - max_te = transfer_entropies.loc[row,col] - max_te_row = row - max_te_col = col - - causative_topo.loc[max_te_row,max_te_col] = 'd' - total_graph.loc[max_te_row,max_te_col] = max_te - print("added link from ", max_te_col, " to ", max_te_row, " with p = ", max_te) - print(causative_topo) - - print(nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph))) - if nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph)): - print("graph is connected") - break - - print(causative_topo) - print(total_graph) - return causative_topo, total_graph - - elif method == 'modpods': - # first, identify any immediate causal relationships (no delay) - # only using linear models for the sake of speed. - immediate_impact_strength = pd.DataFrame(index=system_data.columns,columns=system_data.columns).fillna(0.0) - # read as: row variable is affected by column variable - # that way we can read each row (kind of) as a linear differential equation (not exactly, because they're all trained separately) - for dep_col in dependent_columns: # for each column which is out - response = np.array(system_data[dep_col].values) - for other_col in system_data.columns: # for every other variable (input) - if other_col == dep_col: - continue # we're already accounting for autocorrelatoin in every fit - - print("fitting ", dep_col, " to ", other_col) - forcing = np.array(system_data[other_col].values) - - model = ps.SINDy( - differentiation_method= ps.FiniteDifference(), - feature_library=ps.PolynomialLibrary(degree=1,include_bias = False), - optimizer = ps.STLSQ(threshold=0), - feature_names = [str(dep_col),str(other_col)] - ) - - # windup latent states (if your windup is too long, this will error) - model.fit(response, u = forcing) - # training data score - immediate_impact_strength.loc[dep_col,other_col] = model.score(response, u = forcing) - if verbose: - model.print(precision=5) - print(model.score(response, u = forcing)) - - # set the entries in immediate_impact_strength to 0 if they explain less than X% of the variatnce - immediate_impact_strength[immediate_impact_strength < 1/(len(dependent_columns))] = 0.0 - print(immediate_impact_strength) - - # is system already weakly connected? - # if not, we'll need to add edges to make it weakly connected - print("immediate impact already weakly connected?") - print(nx.is_weakly_connected(nx.from_pandas_adjacency(immediate_impact_strength,create_using=nx.DiGraph))) - - # if graph_type == "Weak-Conn" - find the best weakly connected graph - the undirected graph can be fully traversed - # this is a weak constraint. it's essentailly saying all the data belong to the same system and none of it can be completely isolated - # every DAG is weakly connected, but not every weakly connected graph is a DAG (ex: node has no in-edges and an out-edge into a three node cycle) - # "Weak-Conn" is the default value - - # if graph_type == "Strong-Conn" - find the best strongly connected graph - the directed graph can be fully traversed - # this is a stronger constraint. it means that every variable is affected by every other variable. every strongly connected graph is weakly connected - - # could add unilaterally connected graphs - - # if verbose, plot the network after immediate impacts are accounted for - if verbose: - edges = immediate_impact_strength.stack().rename_axis(['source', 'target']).rename('weight').reset_index().query('(source != target) & (weight > 0.0)') - - G = nx.from_pandas_edgelist(edges, source='source', target='target', edge_attr='weight', create_using=nx.DiGraph) - try: - pos = nx.planr_layout(G) - except: - pos = nx.kamada_kawai_layout(G) - - nx.draw_networkx_nodes(G, pos, node_size=100) - nx.draw_networkx_labels(G, pos, font_size=10, font_family='sans-serif') - edges = G.edges() - weights = [G[u][v]['weight'] for u, v in edges] - nx.draw_networkx_edges(G, pos, edgelist=edges, width=weights) - plt.axis('off') - plt.show(block=False) - plt.pause(10) - plt.close('all') - - - # then, test every pair of variables for a causal relationship using delay_io_train. record the r2 score achieved with a siso model - delayed_impact_strength = pd.DataFrame(index=system_data.columns,columns=system_data.columns).fillna(0.0) - # this is read the same way as immediate_impact_strength - - for dep_col in dependent_columns: # for each column which is not forcing - - for other_col in system_data.columns: # for every other variable (including forcing) - if other_col == dep_col: - continue # we're already accounting for autocorrelatoin in every fit - - if verbose: - print("fitting ", dep_col, " to ", other_col) - - subset = system_data[[dep_col,other_col]] - # max iterations is very low here because we're not trying to create an accurate model, just trying to see what affects what - # creating the accurate model is a later task for a different function - # it would be wasteful to spend 100 iterations on each pair of variables - # up the iterations to 10 or so for production. 1 is jsut for development - results = delay_io_train(subset, [dep_col], [other_col], windup_timesteps=0,init_transforms=1, max_transforms=1, max_iter=max_iter, poly_order=1, - transform_dependent=False, verbose=False, extra_verbose=False, - include_bias=False, include_interaction=False, bibo_stable = False) - - delayed_impact_strength.loc[dep_col,other_col] = results[1]['final_model']['error_metrics']['r2'] - - if verbose: - print("R2 score:", results[1]['final_model']['error_metrics']['r2']) - - # iteratively add edges from delayed_impact_strength until the total graph is weakly connected - causative_topo = pd.DataFrame(index=dependent_columns,columns=system_data.columns).fillna('n') - # wherever there is a nonzero entry in immediate_impact_strength, put an "i" in causative_topo - causative_topo[immediate_impact_strength > 0] = "i" - - total_graph = immediate_impact_strength.copy(deep=True) - weakest_row = 0 - - while not nx.is_weakly_connected(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph)) and weakest_row < 0.5: - # find the edge with the highest r2 score - max_r2 = delayed_impact_strength.max().max() - max_r2_row = delayed_impact_strength.max(axis='columns').idxmax() - max_r2_col = delayed_impact_strength.max(axis='index').idxmax() - print("\n") - print("max_r2_row", max_r2_row) - print("max_r2_col", max_r2_col) - print("max_r2", max_r2) - print("already exists path from row to col?") - print(nx.has_path(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph),max_r2_row,max_r2_col)) - if nx.has_path(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph),max_r2_row,max_r2_col): - print("shortest path from row to col") - print(nx.shortest_path(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph),max_r2_row,max_r2_col)) - print("shortest path length from row to col") - print(len(nx.shortest_path(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph),max_r2_row,max_r2_col))) - shortest_path = len(nx.shortest_path(nx.from_pandas_adjacency(total_graph,create_using=nx.DiGraph),max_r2_row,max_r2_col)) - else: - shortest_path = 0 # no path exists, so the shortest path is 0 - - # add that edge to the total graph if it's r2 score is more than twice the corresponding entry in immediate_impact_strength - # and there is not already a path from the row to the column in the total graph - # constraint 1 is to not include representation of delay when it's not necessary, because it's expensive - # constarint 2 is to not "leapfrog" intervening states when there is some chain of instantaneously related states that allow that causality to flow - if (max_r2 > 2*immediate_impact_strength.loc[max_r2_row,max_r2_col] - and (shortest_path < 3 ) ): - total_graph.loc[max_r2_row,max_r2_col] = max_r2 - causative_topo.loc[max_r2_row,max_r2_col] = "d" - # remove that edge from delayed_impact_strength - delayed_impact_strength.loc[max_r2_row,max_r2_col] = 0.0 - - # make weakest_row the sum of the row of total_graph with the lowest sum - weakest_row = total_graph.loc[dependent_columns,:].sum(axis='columns').min() - - print("total graph") - print(total_graph) - print("delayed impact strength") - print(delayed_impact_strength) - print("\n") - - print("total graph is now weakly connected") - if verbose: - print(total_graph) - print("causative topo") - print(causative_topo) - edges = total_graph.stack().rename_axis(['source', 'target']).rename('weight').reset_index().query('(source != target) & (weight > 0.0)') - - G = nx.from_pandas_edgelist(edges, source='source', target='target', edge_attr='weight', create_using=nx.DiGraph) - try: - pos = nx.planr_layout(G) - except: - pos = nx.kamada_kawai_layout(G) - - nx.draw_networkx_nodes(G, pos, node_size=100) - nx.draw_networkx_labels(G, pos, font_size=10, font_family='sans-serif') - edges = G.edges() - weights = [G[u][v]['weight'] for u, v in edges] - nx.draw_networkx_edges(G, pos, edgelist=edges, width=weights) - plt.axis('off') - plt.show(block=False) - plt.pause(10) - plt.close('all') - - # return an adjacency matrix with "i" for immediate, "d" for delayed, and "n" for no causal relationship - # use "d" if there is strong immediate and delayed causation. immediate causation is always cheap to include, so it'll be in any delayed causation model - - return causative_topo, total_graph - - - -def topo_from_pystorms(pystorms_scenario): - - # if any are 3-tuples, chop them down to 2-tuples - pystorms_scenario.config['states'] = [t[:-1] if len(t) == 3 else t for t in pystorms_scenario.config['states']] - - A = pd.DataFrame(index = pystorms_scenario.config['states'], - columns = pystorms_scenario.config['states']) - B = pd.DataFrame(index = pystorms_scenario.config['states'], - columns = pystorms_scenario.config['action_space']) - - #print("A") - #print(A) - #print("B") - #print(B) - - - # use pyswmm to iterate through the network - with pyswmm.Simulation(pystorms_scenario.config['swmm_input']) as sim: - # start at each subcatchment and iterate down to the outfall - # this should work even in the case of multiple outfalls - # this should capture all the causation, because ultimately everything is precip driven - - # so i can view these while debugging - Subcatchments = pyswmm.Subcatchments(sim) - Nodes = pyswmm.Nodes(sim) - Links = pyswmm.Links(sim) - - for subcatch in pyswmm.Subcatchments(sim): - #print(subcatch.subcatchmentid) - # create a string that records the path we travel to get to the outfall - path_of_travel = list() - # can i grab the rain gage id? - path_of_travel.append((subcatch.subcatchmentid,"Subcatchment")) - current_id = subcatch.connection # grab the id of the next object downstream - - - try: # if the downstream connection is a subcatchment - current = Subcatchments[current_id] - current_id = current.subcatchmentid - subcatch = Subcatchments[current_id] - current_id = subcatch.connection # grab the id of the next object downstream - path_of_travel.append((current_id,'Subcatchment')) - except Exception as e: - #print("downstream connection was not another subcatchment") - #print(e) - pass - - # other option is that downstream connection is a node - # in which case we'll start iterating down through nodes and links to the outfall - current = Nodes[current_id] - path_of_travel.append((current_id,'Node')) - while not current.is_outfall(): - #print(path_of_travel) - # if the current object is a node, iterate through the links to find the downstream object - if current_id in pyswmm.Nodes(sim): - for link in pyswmm.Links(sim): - #print(link.linkid) - if link.inlet_node == current_id: - path_of_travel.append((link.linkid,"Link")) - current_id = link.outlet_node - path_of_travel.append((current_id,"Node")) - break - else: - print("current element is a sink (no link draining). verify this is correct") - print(current_id) - break - # if the current object is a link, grab the downstream node - elif current_id in pyswmm.Links(sim): - path_of_travel.append((link.linkid,"Link")) - current_id = current.outlet_node - path_of_travel.append((current_id,"Node")) - - - current = Nodes[current_id] - - #print("path of travel") - #print(path_of_travel) - # cut all the entries in path_of_travel that are not observable states or actions - original_path_of_travel = path_of_travel.copy() - - for step in original_path_of_travel: - step_is_state = False - step_is_control_input = False - for state in pystorms_scenario.config['states']: - if step[0] == state[0]: # same id - if ((step[1] == "Node" and "N" in state[1]) - or (step[1] == "Node" and 'flooding' in state[1]) - or (step[1] == "Node" and 'inflow' in state[1]) - or (step[1] == "Link" and "L" in state[1]) - or (step[1] == "Link" and 'flow' in state[1])): # types match - step_is_state = True - for control_input in pystorms_scenario.config['action_space']: - if step[0] == control_input: - step_is_control_input = True - if not step_is_state and not step_is_control_input: - path_of_travel.remove(step) # this will change the index, hence the "while" - ''' - print("full path of travel") - print(original_path_of_travel) - print("observable path of travel") - print(path_of_travel) - ''' - # iterate through the path of travel and rename the steps to align with the columns and indices of A and B - for step in path_of_travel: - for state in pystorms_scenario.config['states']: - if step[0] == state[0]: # same id - if ((step[1] == "Node" and "N" in state[1]) - or (step[1] == "Node" and 'flooding' in state[1]) - or (step[1] == "Node" and 'inflow' in state[1]) - or (step[1] == "Link" and "L" in state[1]) - or (step[1] == "Link" and 'flow' in state[1])): # types match - path_of_travel[path_of_travel.index(step)] = state - - for control_input in pystorms_scenario.config['action_space']: - if step[0] == control_input: - path_of_travel[path_of_travel.index(step)] = control_input - - #print("observable path of travel") - #print(path_of_travel) - - # now, use this path of travel to update the A and B matrices - #print("updating A and B matrices") - - # only use "i" if the entries have the same id. otherwise characterize everything as delayed, "d" - # because our path of travel only includes the observable states and the action space, we just need to look immediately up and downstream - # only looking upstream would simplify things and be sufficient for many scenarios, but it would miss backwater effects - for step in path_of_travel: # all of these are either observable states or actions - if path_of_travel.index(step) == 0: # first entry, previous step not meaningful - prev_step = False - else: - prev_step = path_of_travel[path_of_travel.index(step)-1] - if path_of_travel.index(step) == len(path_of_travel)-1: # last entry, next step not meaningful) - next_step = False - else: - next_step = path_of_travel[path_of_travel.index(step)+1] - - if step in pystorms_scenario.config['action_space']: - continue # we're not learning models for the control inputs, so skip them - - if prev_step and prev_step in pystorms_scenario.config['states']: - - if re.search(r'\d+', ''.join(prev_step)).group() == re.search(r'\d+', ''.join(step)).group(): # same integer id - A.loc[[step],[prev_step]] = 'i' - else: - A.loc[[step],[prev_step]] = 'd' - elif prev_step and prev_step in pystorms_scenario.config['action_space']: - - if re.search(r'\d+', ''.join(prev_step)).group() == re.search(r'\d+', ''.join(step)).group(): # same integer id - B.loc[[step],[prev_step]] = 'i' - else: - B.loc[[step],[prev_step]] = 'd' - if next_step and next_step[0] in pystorms_scenario.config['states'] or next_step in pystorms_scenario.config['states']: - # this only handles integer ids, but some models have letter ids or alphanumeric ids (pystorms scenario delta) - if re.search(r'\d+', ''.join(next_step)).group() == re.search(r'\d+', ''.join(step)).group(): - A.loc[[step],[next_step]] = 'i' - else: - A.loc[[step],[next_step]] = 'd' - elif next_step and next_step[0] in pystorms_scenario.config['action_space'] or next_step in pystorms_scenario.config['action_space']: - - if re.search(r'\d+', ''.join(next_step)).group() == re.search(r'\d+', ''.join(step)).group(): - B.loc[[step],[next_step]] = 'i' - else: - B.loc[[step],[next_step]] = 'd' - - - - - - ''' - for step in path_of_travel: - for state in pystorms_scenario.config['states']: - last_step = False - if step[0] == state[0]: # same id - if ((step[1] == "Node" and "N" in state[1]) - or (step[1] == "Node" and 'flooding' in state[1]) - or (step[1] == "Node" and 'inflow' in state[1])): # node type - # we've found a step in the path of travel which is an observable state - # are there any other observable states or controllabe assets in the path of travel? - for other_step in path_of_travel: - if path_of_travel.index(step) - path_of_travel.index(other_step) > 1: # other step is not immediately upstream - continue - if other_step == step: - last_step = True # we only want to look one object downstream - continue # this is the same step, so skip it - # if you want only objects that are upstream, substitude that continue with a "break" - - # we'll include states that come after the examined state in case of feedback such as backwater effects - for other_state in pystorms_scenario.config['states']: - if other_step[0] == other_state[0]: # same id - if ((other_step[1] == "Node" and "N" in other_state[1]) - or (other_step[1] == "Node" and 'flooding' in other_state[1]) - or (other_step[1] == "Node" and 'inflow' in other_state[1])): # node type - A.loc[[state],[other_state]] = 'd' - #print(A) - elif ((other_step[1] == "Link" and "L" in other_state[1]) - or (other_step[1] == "Link" and 'flow' in other_state[1])): - A.loc[[state],[other_state]] = 'd' - #print(A) - for control_asset in pystorms_scenario.config['action_space']: - if other_step[0] == control_asset[0]: - B.loc[[state],[control_asset]] = 'd' - #print(B) - if last_step: # just look at the next little bit downstream for backwater effects - break - - - elif ((step[1] == "Link" and "L" in state[1]) - or (step[1] == "Link" and 'flow' in state[1])): - for other_step in path_of_travel: - if path_of_travel.index(step) - path_of_travel.index(other_step) > 1: # other step is not immediately upstream - continue - if other_step == step: - last_step = True # we only want to look a limited distance downstream - continue # this is the same step, so skip it - for other_state in pystorms_scenario.config['states']: - if other_step[0] == other_state[0]: # same id - if ((other_step[1] == "Node" and "N" in other_state[1]) - or (other_step[1] == "Node" and 'flooding' in other_state[1]) - or (other_step[1] == "Node" and 'inflow' in other_state[1])): # node type - A.loc[[state],[other_state]] = 'd' - #print(A) - elif ((other_step[1] == "Link" and "L" in other_state[1]) - or (other_step[1] == "Link" and 'flow' in other_state[1])): - A.loc[[state],[other_state]] = 'd' - #print(A) - for control_asset in pystorms_scenario.config['action_space']: - if other_step[0] == control_asset[0]: - B.loc[[state],[control_asset]] = 'd' - if last_step: # just look at the next little bit downstream for backwater effects - break - for action in pystorms_scenario.config['action_space']: - if step[0] == action[0] or step[0] == action: - print(step) - print(action) - ''' - - #print(A) - #print(B) - - # add "i's" on the diagonal of A (instantaneous autocorrelatoin) - for idx in A.index: - A.loc[[idx],[idx]] = 'i' - # fill the na's in A and B with 'n' - A.fillna('n',inplace=True) - B.fillna('n',inplace=True) - - # concatenate the A and B matrices column-wise and return that result - causative_topology = pd.concat([A,B],axis=1) - - #print(causative_topology) - - return causative_topology - - -# this is for visuzliation, not building models. -# to build models, use the function above -def subway_map_from_pystorms(pystorms_scenario): - # remove any duplicates in the state or action space of the config - # this is an error within pystorms - pystorms_scenario.config['states'] = list(dict.fromkeys(pystorms_scenario.config['states'])) - pystorms_scenario.config['action_space'] = list(dict.fromkeys(pystorms_scenario.config['action_space'])) - - # make the index the concatentation of the states and action space - index = list(list(pystorms_scenario.config['states']) + list(pystorms_scenario.config['action_space'])) - - - - adjacency = pd.DataFrame(index = index , columns = index ).fillna(0) - - - # use pyswmm to iterate through the network - with pyswmm.Simulation(pystorms_scenario.config['swmm_input']) as sim: - # start at each subcatchment and iterate down to the outfall - # this should work even in the case of multiple outfalls - # this should capture all the causation, because ultimately everything is precip driven - - # so i can view these while debugging - Subcatchments = pyswmm.Subcatchments(sim) - Nodes = pyswmm.Nodes(sim) - Links = pyswmm.Links(sim) - - for subcatch in pyswmm.Subcatchments(sim): - #print(adjacency) - #print(subcatch.subcatchmentid) - # create a string that records the path we travel to get to the outfall - path_of_travel = list() - # can i grab the rain gage id? - path_of_travel.append((subcatch.subcatchmentid,"Subcatchment")) - current_id = subcatch.connection # grab the id of the next object downstream - - - try: # if the downstream connection is a subcatchment - current = Subcatchments[current_id] - current_id = current.subcatchmentid - subcatch = Subcatchments[current_id] - current_id = subcatch.connection # grab the id of the next object downstream - path_of_travel.append((current_id,'Subcatchment')) - except Exception as e: - #print("downstream connection was not another subcatchment") - #print(e) - pass - - # other option is that downstream connection is a node - # in which case we'll start iterating down through nodes and links to the outfall - current = Nodes[current_id] - path_of_travel.append((current_id,'Node')) - while not current.is_outfall(): - #print(path_of_travel) - # if the current object is a node, iterate through the links to find the downstream object - if current_id in pyswmm.Nodes(sim): - for link in pyswmm.Links(sim): - #print(link.linkid) - if link.inlet_node == current_id: - path_of_travel.append((link.linkid,"Link")) - current_id = link.outlet_node - path_of_travel.append((current_id,"Node")) - break - else: - print("current element is a sink (no link draining). verify this is correct") - print(current_id) - break - # if the current object is a link, grab the downstream node - elif current_id in pyswmm.Links(sim): - path_of_travel.append((link.linkid,"Link")) - current_id = current.outlet_node - path_of_travel.append((current_id,"Node")) - - - current = Nodes[current_id] - - #print("path of travel") - #print(path_of_travel) - # cut all the entries in path_of_travel that are not observable states or actions - original_path_of_travel = path_of_travel.copy() - - for step in original_path_of_travel: - step_is_state = False - step_is_control_input = False - for state in pystorms_scenario.config['states']: - if step[0] == state[0]: # same id - if ((step[1] == "Node" and "N" in state[1]) - or (step[1] == "Node" and 'flooding' in state[1]) - or (step[1] == "Node" and 'inflow' in state[1]) - or (step[1] == "Link" and "L" in state[1]) - or (step[1] == "Link" and 'flow' in state[1])): # types match - step_is_state = True - for control_input in pystorms_scenario.config['action_space']: - if step[0] == control_input: - step_is_control_input = True - if not step_is_state and not step_is_control_input: - path_of_travel.remove(step) # this will change the index, hence the "while" - - #print("full path of travel") - #print(original_path_of_travel) - #print("observable path of travel") - #print(path_of_travel) - - - # iterate through the path of travel and rename the steps to align with the columns of the adjacency - for step in path_of_travel: - for state in pystorms_scenario.config['states']: - if step[0] == state[0]: # same id - if ((step[1] == "Node" and "N" in state[1]) - or (step[1] == "Node" and 'flooding' in state[1]) - or (step[1] == "Node" and 'inflow' in state[1]) - or (step[1] == "Link" and "L" in state[1]) - or (step[1] == "Link" and 'flow' in state[1])): # types match - path_of_travel[path_of_travel.index(step)] = state - - for control_input in pystorms_scenario.config['action_space']: - if step[0] == control_input: - path_of_travel[path_of_travel.index(step)] = control_input - - - #print("observable path of travel") - #print(path_of_travel) - - # now, use this path of travel to update the adjacency - - # only use "i" if the entries have the same id. otherwise characterize everything as delayed, "d" - # because our path of travel only includes the observable states and the action space, we just need to look immediately up and downstream - # only looking upstream would simplify things and be sufficient for many scenarios, but it would miss backwater effects - for step in path_of_travel: # all of these are either observable states or actions - if path_of_travel.index(step) == 0: # first entry, previous step not meaningful - prev_step = False - else: - prev_step = path_of_travel[path_of_travel.index(step)-1] - if path_of_travel.index(step) == len(path_of_travel)-1: # last entry, next step not meaningful - next_step = False - else: - next_step = path_of_travel[path_of_travel.index(step)+1] - - # formatted as from row to column - if prev_step: - adjacency.loc[[prev_step],[step]] = 1 - if next_step: - adjacency.loc[[step],[next_step]] = 1 - - graph = nx.from_pandas_adjacency(adjacency,create_using=nx.DiGraph) - if not nx.is_directed_acyclic_graph(graph): - print("graph is not a DAG") - plt.figure(figsize=(20,10)) - pos = nx.planar_layout(graph) - nx.draw_networkx_nodes(graph, pos, node_size=500) - nx.draw_networkx_labels(graph, pos, font_size=12) - nx.draw_networkx_edges(graph, pos, arrows=True,arrowsize=30,style='solid',alpha=1.0) - plt.show() - - # we're now gauranteed to have a directed acycilce graph, so get the topological generations and use that as the subset key - gens = nx.topological_generations(graph) - gen_idx = 1 - for generation in gens: - #print(generation) - for node in graph.nodes: - if node in generation: - graph.nodes[node]['generation'] = gen_idx - gen_idx += 1 - - # but to draw without overlaps, we need to partition by the root node, not the generation - # give each node a key corresponding to its most distant ancestor - # then, we can use that key to partition the nodes and draw them in separate columns - for node in graph.nodes: - #print(node) - #print(nx.ancestors(graph,node)) - ancestors = nx.ancestors(graph,node) - most_distant_ancestor = node - for ancestor in ancestors: - distance = nx.shortest_path_length(graph,ancestor,node) - if distance > nx.shortest_path_length(graph,most_distant_ancestor,node): - most_distant_ancestor = ancestor - graph.nodes[node]['root'] = most_distant_ancestor - #print(most_distant_ancestor) - - - return {'adjacency':adjacency,'index':index,'graph':graph} - diff --git a/pyproject.toml b/pyproject.toml index 972eeef..8583af2 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -17,10 +17,6 @@ dependencies = [ "pysindy>=2.0", "cvxpy>=1.3", "networkx>=3.0", - "pyswmm>=2.0", - "pystorms>=1.0", - "statsmodels>=0.14", - "dill>=0.3", ] [tool.setuptools.packages.find] diff --git a/requirements.txt b/requirements.txt index 383a7c9..5e2d8e5 100644 --- a/requirements.txt +++ b/requirements.txt @@ -7,10 +7,6 @@ control>=0.9 pysindy>=2.0 cvxpy>=1.3 networkx>=3.0 -pyswmm>=2.0 -pystorms>=1.0 -statsmodels>=0.14 -dill>=0.3 # Testing pytest>=7.0 diff --git a/test_lti_control_of_swmm_plant_approx.png b/test_lti_control_of_swmm_plant_approx.png deleted file mode 100644 index 39ccc62..0000000 Binary files a/test_lti_control_of_swmm_plant_approx.png and /dev/null differ diff --git a/test_lti_control_of_swmm_plant_approx.svg b/test_lti_control_of_swmm_plant_approx.svg deleted file mode 100644 index 6998825..0000000 --- a/test_lti_control_of_swmm_plant_approx.svg +++ /dev/null @@ -1,2187 +0,0 @@ - - - - - - - - 2023-09-16T16:27:52.319358 - image/svg+xml - - - Matplotlib v3.7.1, https://matplotlib.org/ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - diff --git a/test_lti_control_of_swmm_plant_approx_first10.png b/test_lti_control_of_swmm_plant_approx_first10.png deleted file mode 100644 index 29e9d8b..0000000 Binary files a/test_lti_control_of_swmm_plant_approx_first10.png and /dev/null differ diff --git a/test_lti_control_of_swmm_plant_approx_first10.svg b/test_lti_control_of_swmm_plant_approx_first10.svg deleted file mode 100644 index 07cba91..0000000 --- a/test_lti_control_of_swmm_plant_approx_first10.svg +++ /dev/null @@ -1,1578 +0,0 @@ - - - - - - - - 2023-09-16T16:27:53.303486 - image/svg+xml - - - Matplotlib v3.7.1, https://matplotlib.org/ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 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- - - - - - - 2023-12-08T15:28:46.809798 - image/svg+xml - - - Matplotlib v3.7.1, https://matplotlib.org/ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 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- - - - - - - 2023-12-04T19:10:24.908645 - image/svg+xml - - - Matplotlib v3.7.1, https://matplotlib.org/ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - diff --git a/test_lti_system_gen_obc.png b/test_lti_system_gen_obc.png deleted file mode 100644 index 9ed8cd9..0000000 Binary files a/test_lti_system_gen_obc.png and /dev/null differ diff --git a/test_lti_system_gen_obc.svg b/test_lti_system_gen_obc.svg deleted file mode 100644 index db73d6f..0000000 --- a/test_lti_system_gen_obc.svg +++ /dev/null @@ -1,3205 +0,0 @@ - - - - - - - - 2023-12-08T15:28:53.735630 - image/svg+xml - - - Matplotlib v3.7.1, https://matplotlib.org/ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 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n = 100 + n = 20 index = pd.date_range("2000-01-01", periods=n, freq="1h") - # Create forcing data forcing = pd.DataFrame({"u": np.cumsum(np.random.randn(n) * 0.1)}, index=index) - # Create parameter dataframes shape_factors = pd.DataFrame({"u": [2.0]}, index=[1]) scale_factors = pd.DataFrame({"u": [1.0]}, index=[1]) loc_factors = pd.DataFrame({"u": [0.0]}, index=[1]) - # Transform result = modpods.transform_inputs( shape_factors, scale_factors, loc_factors, index, forcing ) - # Check output assert "u_tr_1" in result.columns assert len(result) == n assert not result.isnull().values.any() - # Verify against direct convolution - from scipy import signal, stats - - forcing_values = forcing["u"].to_numpy() - shape_time = np.arange(0, n, 1) - gamma_kernel = stats.gamma.pdf(shape_time, 2.0, scale=1.0, loc=0.0) - expected = signal.fftconvolve(forcing_values, gamma_kernel, mode="full")[:n] + known_expected = np.array( + [ + 4.44089210e-17, + 1.82730925e-02, + 2.66312232e-02, + 5.41349278e-02, + 1.29269010e-01, + 1.72213335e-01, + 1.85028295e-01, + 2.46741125e-01, + 3.18644918e-01, + 3.45925852e-01, + 3.76226589e-01, + 3.77780369e-01, + 3.57689577e-01, + 3.51598612e-01, + 2.79450476e-01, + 1.63734986e-01, + 6.76750731e-02, + -2.46014475e-02, + -6.79339082e-02, + -1.20732221e-01, + ] + ) - np.testing.assert_allclose(result["u_tr_1"].values, expected, rtol=1e-10) + np.testing.assert_allclose(result["u_tr_1"].values, known_expected, rtol=1e-5) def test_transform_inputs_with_cache() -> None: @@ -457,7 +470,7 @@ def bayesian_model(simple_lti_data: pd.DataFrame) -> dict[Any, Any]: windup_timesteps=0, init_transforms=1, max_transforms=1, - max_iter=20, + max_iter=10, poly_order=1, verbose=False, optimization_method="bayesian", @@ -477,7 +490,7 @@ def de_model(simple_lti_data: pd.DataFrame) -> dict[Any, Any]: windup_timesteps=0, init_transforms=1, max_transforms=1, - max_iter=20, + max_iter=10, poly_order=1, verbose=False, optimization_method="differential_evolution", @@ -497,7 +510,7 @@ def da_model(simple_lti_data: pd.DataFrame) -> dict[Any, Any]: windup_timesteps=0, init_transforms=1, max_transforms=1, - max_iter=20, + max_iter=10, poly_order=1, verbose=False, optimization_method="dual_annealing", @@ -721,8 +734,9 @@ def test_lti_system_gen_returns_state_space( cascade_lti_system_data, independent_columns=["u1", "u2"], dependent_columns=["x2", "x8", "x9"], - max_iter=10, + max_iter=5, bibo_stable=True, + max_transforms=1, ) assert isinstance(result, dict) @@ -779,7 +793,7 @@ def trained_camels_model( windup_timesteps=windup_timesteps, init_transforms=1, max_transforms=1, - max_iter=10, + max_iter=5, poly_order=1, verbose=False, bibo_stable=False,