from sympy import S, Basic, exp, multigamma, pi, prod from sympy.core.sympify import sympify, _sympify from sympy.matrices import (ImmutableMatrix, Inverse, Trace, Determinant, MatrixSymbol, MatrixBase, Transpose, MatrixSet, matrix2numpy) from sympy.stats.rv import (_value_check, RandomMatrixSymbol, NamedArgsMixin, PSpace, _symbol_converter, MatrixDomain, Distribution) from sympy.external import import_module ################################################################################ #------------------------Matrix Probability Space------------------------------# ################################################################################ class MatrixPSpace(PSpace): """ Represents probability space for Matrix Distributions. """ def __new__(cls, sym, distribution, dim_n, dim_m): sym = _symbol_converter(sym) dim_n, dim_m = _sympify(dim_n), _sympify(dim_m) if not (dim_n.is_integer and dim_m.is_integer): raise ValueError("Dimensions should be integers") return Basic.__new__(cls, sym, distribution, dim_n, dim_m) distribution = property(lambda self: self.args[1]) symbol = property(lambda self: self.args[0]) @property def domain(self): return MatrixDomain(self.symbol, self.distribution.set) @property def value(self): return RandomMatrixSymbol(self.symbol, self.args[2], self.args[3], self) @property def values(self): return {self.value} def compute_density(self, expr, *args): rms = expr.atoms(RandomMatrixSymbol) if len(rms) > 1 or (not isinstance(expr, RandomMatrixSymbol)): raise NotImplementedError("Currently, no algorithm has been " "implemented to handle general expressions containing " "multiple matrix distributions.") return self.distribution.pdf(expr) def sample(self, size=(), library='scipy', seed=None): """ Internal sample method Returns dictionary mapping RandomMatrixSymbol to realization value. """ return {self.value: self.distribution.sample(size, library=library, seed=seed)} def rv(symbol, cls, args): args = list(map(sympify, args)) dist = cls(*args) dist.check(*args) dim = dist.dimension pspace = MatrixPSpace(symbol, dist, dim[0], dim[1]) return pspace.value class SampleMatrixScipy: """Returns the sample from scipy of the given distribution""" def __new__(cls, dist, size, seed=None): return cls._sample_scipy(dist, size, seed) @classmethod def _sample_scipy(cls, dist, size, seed): """Sample from SciPy.""" from scipy import stats as scipy_stats import numpy scipy_rv_map = { 'WishartDistribution': lambda dist, size, rand_state: scipy_stats.wishart.rvs( df=int(dist.n), scale=matrix2numpy(dist.scale_matrix, float), size=size), 'MatrixNormalDistribution': lambda dist, size, rand_state: scipy_stats.matrix_normal.rvs( mean=matrix2numpy(dist.location_matrix, float), rowcov=matrix2numpy(dist.scale_matrix_1, float), colcov=matrix2numpy(dist.scale_matrix_2, float), size=size, random_state=rand_state) } sample_shape = { 'WishartDistribution': lambda dist: dist.scale_matrix.shape, 'MatrixNormalDistribution' : lambda dist: dist.location_matrix.shape } dist_list = scipy_rv_map.keys() if dist.__class__.__name__ not in dist_list: return None if seed is None or isinstance(seed, int): rand_state = numpy.random.default_rng(seed=seed) else: rand_state = seed samp = scipy_rv_map[dist.__class__.__name__](dist, prod(size), rand_state) return samp.reshape(size + sample_shape[dist.__class__.__name__](dist)) class SampleMatrixNumpy: """Returns the sample from numpy of the given distribution""" ### TODO: Add tests after adding matrix distributions in numpy_rv_map def __new__(cls, dist, size, seed=None): return cls._sample_numpy(dist, size, seed) @classmethod def _sample_numpy(cls, dist, size, seed): """Sample from NumPy.""" numpy_rv_map = { } sample_shape = { } dist_list = numpy_rv_map.keys() if dist.__class__.__name__ not in dist_list: return None import numpy if seed is None or isinstance(seed, int): rand_state = numpy.random.default_rng(seed=seed) else: rand_state = seed samp = numpy_rv_map[dist.__class__.__name__](dist, prod(size), rand_state) return samp.reshape(size + sample_shape[dist.__class__.__name__](dist)) class SampleMatrixPymc: """Returns the sample from pymc3 of the given distribution""" def __new__(cls, dist, size, seed=None): return cls._sample_pymc3(dist, size, seed) @classmethod def _sample_pymc3(cls, dist, size, seed): """Sample from PyMC3.""" import pymc3 pymc3_rv_map = { 'MatrixNormalDistribution': lambda dist: pymc3.MatrixNormal('X', mu=matrix2numpy(dist.location_matrix, float), rowcov=matrix2numpy(dist.scale_matrix_1, float), colcov=matrix2numpy(dist.scale_matrix_2, float), shape=dist.location_matrix.shape), 'WishartDistribution': lambda dist: pymc3.WishartBartlett('X', nu=int(dist.n), S=matrix2numpy(dist.scale_matrix, float)) } sample_shape = { 'WishartDistribution': lambda dist: dist.scale_matrix.shape, 'MatrixNormalDistribution' : lambda dist: dist.location_matrix.shape } dist_list = pymc3_rv_map.keys() if dist.__class__.__name__ not in dist_list: return None import logging logging.getLogger("pymc3").setLevel(logging.ERROR) with pymc3.Model(): pymc3_rv_map[dist.__class__.__name__](dist) samps = pymc3.sample(draws=prod(size), chains=1, progressbar=False, random_seed=seed, return_inferencedata=False, compute_convergence_checks=False)['X'] return samps.reshape(size + sample_shape[dist.__class__.__name__](dist)) _get_sample_class_matrixrv = { 'scipy': SampleMatrixScipy, 'pymc3': SampleMatrixPymc, 'numpy': SampleMatrixNumpy } ################################################################################ #-------------------------Matrix Distribution----------------------------------# ################################################################################ class MatrixDistribution(Distribution, NamedArgsMixin): """ Abstract class for Matrix Distribution. """ def __new__(cls, *args): args = list(map(sympify, args)) return Basic.__new__(cls, *args) @staticmethod def check(*args): pass def __call__(self, expr): if isinstance(expr, list): expr = ImmutableMatrix(expr) return self.pdf(expr) def sample(self, size=(), library='scipy', seed=None): """ Internal sample method Returns dictionary mapping RandomSymbol to realization value. """ libraries = ['scipy', 'numpy', 'pymc3'] if library not in libraries: raise NotImplementedError("Sampling from %s is not supported yet." % str(library)) if not import_module(library): raise ValueError("Failed to import %s" % library) samps = _get_sample_class_matrixrv[library](self, size, seed) if samps is not None: return samps raise NotImplementedError( "Sampling for %s is not currently implemented from %s" % (self.__class__.__name__, library) ) ################################################################################ #------------------------Matrix Distribution Types-----------------------------# ################################################################################ #------------------------------------------------------------------------------- # Matrix Gamma distribution ---------------------------------------------------- class MatrixGammaDistribution(MatrixDistribution): _argnames = ('alpha', 'beta', 'scale_matrix') @staticmethod def check(alpha, beta, scale_matrix): if not isinstance(scale_matrix , MatrixSymbol): _value_check(scale_matrix.is_positive_definite, "The shape " "matrix must be positive definite.") _value_check(scale_matrix.is_square, "Should " "be square matrix") _value_check(alpha.is_positive, "Shape parameter should be positive.") _value_check(beta.is_positive, "Scale parameter should be positive.") @property def set(self): k = self.scale_matrix.shape[0] return MatrixSet(k, k, S.Reals) @property def dimension(self): return self.scale_matrix.shape def pdf(self, x): alpha , beta , scale_matrix = self.alpha, self.beta, self.scale_matrix p = scale_matrix.shape[0] if isinstance(x, list): x = ImmutableMatrix(x) if not isinstance(x, (MatrixBase, MatrixSymbol)): raise ValueError("%s should be an isinstance of Matrix " "or MatrixSymbol" % str(x)) sigma_inv_x = - Inverse(scale_matrix)*x / beta term1 = exp(Trace(sigma_inv_x))/((beta**(p*alpha)) * multigamma(alpha, p)) term2 = (Determinant(scale_matrix))**(-alpha) term3 = (Determinant(x))**(alpha - S(p + 1)/2) return term1 * term2 * term3 def MatrixGamma(symbol, alpha, beta, scale_matrix): """ Creates a random variable with Matrix Gamma Distribution. The density of the said distribution can be found at [1]. Parameters ========== alpha: Positive Real number Shape Parameter beta: Positive Real number Scale Parameter scale_matrix: Positive definite real square matrix Scale Matrix Returns ======= RandomSymbol Examples ======== >>> from sympy.stats import density, MatrixGamma >>> from sympy import MatrixSymbol, symbols >>> a, b = symbols('a b', positive=True) >>> M = MatrixGamma('M', a, b, [[2, 1], [1, 2]]) >>> X = MatrixSymbol('X', 2, 2) >>> density(M)(X).doit() exp(Trace(Matrix([ [-2/3, 1/3], [ 1/3, -2/3]])*X)/b)*Determinant(X)**(a - 3/2)/(3**a*sqrt(pi)*b**(2*a)*gamma(a)*gamma(a - 1/2)) >>> density(M)([[1, 0], [0, 1]]).doit() exp(-4/(3*b))/(3**a*sqrt(pi)*b**(2*a)*gamma(a)*gamma(a - 1/2)) References ========== .. [1] https://en.wikipedia.org/wiki/Matrix_gamma_distribution """ if isinstance(scale_matrix, list): scale_matrix = ImmutableMatrix(scale_matrix) return rv(symbol, MatrixGammaDistribution, (alpha, beta, scale_matrix)) #------------------------------------------------------------------------------- # Wishart Distribution --------------------------------------------------------- class WishartDistribution(MatrixDistribution): _argnames = ('n', 'scale_matrix') @staticmethod def check(n, scale_matrix): if not isinstance(scale_matrix , MatrixSymbol): _value_check(scale_matrix.is_positive_definite, "The shape " "matrix must be positive definite.") _value_check(scale_matrix.is_square, "Should " "be square matrix") _value_check(n.is_positive, "Shape parameter should be positive.") @property def set(self): k = self.scale_matrix.shape[0] return MatrixSet(k, k, S.Reals) @property def dimension(self): return self.scale_matrix.shape def pdf(self, x): n, scale_matrix = self.n, self.scale_matrix p = scale_matrix.shape[0] if isinstance(x, list): x = ImmutableMatrix(x) if not isinstance(x, (MatrixBase, MatrixSymbol)): raise ValueError("%s should be an isinstance of Matrix " "or MatrixSymbol" % str(x)) sigma_inv_x = - Inverse(scale_matrix)*x / S(2) term1 = exp(Trace(sigma_inv_x))/((2**(p*n/S(2))) * multigamma(n/S(2), p)) term2 = (Determinant(scale_matrix))**(-n/S(2)) term3 = (Determinant(x))**(S(n - p - 1)/2) return term1 * term2 * term3 def Wishart(symbol, n, scale_matrix): """ Creates a random variable with Wishart Distribution. The density of the said distribution can be found at [1]. Parameters ========== n: Positive Real number Represents degrees of freedom scale_matrix: Positive definite real square matrix Scale Matrix Returns ======= RandomSymbol Examples ======== >>> from sympy.stats import density, Wishart >>> from sympy import MatrixSymbol, symbols >>> n = symbols('n', positive=True) >>> W = Wishart('W', n, [[2, 1], [1, 2]]) >>> X = MatrixSymbol('X', 2, 2) >>> density(W)(X).doit() exp(Trace(Matrix([ [-1/3, 1/6], [ 1/6, -1/3]])*X))*Determinant(X)**(n/2 - 3/2)/(2**n*3**(n/2)*sqrt(pi)*gamma(n/2)*gamma(n/2 - 1/2)) >>> density(W)([[1, 0], [0, 1]]).doit() exp(-2/3)/(2**n*3**(n/2)*sqrt(pi)*gamma(n/2)*gamma(n/2 - 1/2)) References ========== .. [1] https://en.wikipedia.org/wiki/Wishart_distribution """ if isinstance(scale_matrix, list): scale_matrix = ImmutableMatrix(scale_matrix) return rv(symbol, WishartDistribution, (n, scale_matrix)) #------------------------------------------------------------------------------- # Matrix Normal distribution --------------------------------------------------- class MatrixNormalDistribution(MatrixDistribution): _argnames = ('location_matrix', 'scale_matrix_1', 'scale_matrix_2') @staticmethod def check(location_matrix, scale_matrix_1, scale_matrix_2): if not isinstance(scale_matrix_1 , MatrixSymbol): _value_check(scale_matrix_1.is_positive_definite, "The shape " "matrix must be positive definite.") if not isinstance(scale_matrix_2 , MatrixSymbol): _value_check(scale_matrix_2.is_positive_definite, "The shape " "matrix must be positive definite.") _value_check(scale_matrix_1.is_square, "Scale matrix 1 should be " "be square matrix") _value_check(scale_matrix_2.is_square, "Scale matrix 2 should be " "be square matrix") n = location_matrix.shape[0] p = location_matrix.shape[1] _value_check(scale_matrix_1.shape[0] == n, "Scale matrix 1 should be" " of shape %s x %s"% (str(n), str(n))) _value_check(scale_matrix_2.shape[0] == p, "Scale matrix 2 should be" " of shape %s x %s"% (str(p), str(p))) @property def set(self): n, p = self.location_matrix.shape return MatrixSet(n, p, S.Reals) @property def dimension(self): return self.location_matrix.shape def pdf(self, x): M , U , V = self.location_matrix, self.scale_matrix_1, self.scale_matrix_2 n, p = M.shape if isinstance(x, list): x = ImmutableMatrix(x) if not isinstance(x, (MatrixBase, MatrixSymbol)): raise ValueError("%s should be an isinstance of Matrix " "or MatrixSymbol" % str(x)) term1 = Inverse(V)*Transpose(x - M)*Inverse(U)*(x - M) num = exp(-Trace(term1)/S(2)) den = (2*pi)**(S(n*p)/2) * Determinant(U)**S(p)/2 * Determinant(V)**S(n)/2 return num/den def MatrixNormal(symbol, location_matrix, scale_matrix_1, scale_matrix_2): """ Creates a random variable with Matrix Normal Distribution. The density of the said distribution can be found at [1]. Parameters ========== location_matrix: Real ``n x p`` matrix Represents degrees of freedom scale_matrix_1: Positive definite matrix Scale Matrix of shape ``n x n`` scale_matrix_2: Positive definite matrix Scale Matrix of shape ``p x p`` Returns ======= RandomSymbol Examples ======== >>> from sympy import MatrixSymbol >>> from sympy.stats import density, MatrixNormal >>> M = MatrixNormal('M', [[1, 2]], [1], [[1, 0], [0, 1]]) >>> X = MatrixSymbol('X', 1, 2) >>> density(M)(X).doit() 2*exp(-Trace((Matrix([ [-1], [-2]]) + X.T)*(Matrix([[-1, -2]]) + X))/2)/pi >>> density(M)([[3, 4]]).doit() 2*exp(-4)/pi References ========== .. [1] https://en.wikipedia.org/wiki/Matrix_normal_distribution """ if isinstance(location_matrix, list): location_matrix = ImmutableMatrix(location_matrix) if isinstance(scale_matrix_1, list): scale_matrix_1 = ImmutableMatrix(scale_matrix_1) if isinstance(scale_matrix_2, list): scale_matrix_2 = ImmutableMatrix(scale_matrix_2) args = (location_matrix, scale_matrix_1, scale_matrix_2) return rv(symbol, MatrixNormalDistribution, args) #------------------------------------------------------------------------------- # Matrix Student's T distribution --------------------------------------------------- class MatrixStudentTDistribution(MatrixDistribution): _argnames = ('nu', 'location_matrix', 'scale_matrix_1', 'scale_matrix_2') @staticmethod def check(nu, location_matrix, scale_matrix_1, scale_matrix_2): if not isinstance(scale_matrix_1, MatrixSymbol): _value_check(scale_matrix_1.is_positive_definite != False, "The shape " "matrix must be positive definite.") if not isinstance(scale_matrix_2, MatrixSymbol): _value_check(scale_matrix_2.is_positive_definite != False, "The shape " "matrix must be positive definite.") _value_check(scale_matrix_1.is_square != False, "Scale matrix 1 should be " "be square matrix") _value_check(scale_matrix_2.is_square != False, "Scale matrix 2 should be " "be square matrix") n = location_matrix.shape[0] p = location_matrix.shape[1] _value_check(scale_matrix_1.shape[0] == p, "Scale matrix 1 should be" " of shape %s x %s" % (str(p), str(p))) _value_check(scale_matrix_2.shape[0] == n, "Scale matrix 2 should be" " of shape %s x %s" % (str(n), str(n))) _value_check(nu.is_positive != False, "Degrees of freedom must be positive") @property def set(self): n, p = self.location_matrix.shape return MatrixSet(n, p, S.Reals) @property def dimension(self): return self.location_matrix.shape def pdf(self, x): from sympy import eye if isinstance(x, list): x = ImmutableMatrix(x) if not isinstance(x, (MatrixBase, MatrixSymbol)): raise ValueError("%s should be an isinstance of Matrix " "or MatrixSymbol" % str(x)) nu, M, Omega, Sigma = self.nu, self.location_matrix, self.scale_matrix_1, self.scale_matrix_2 n, p = M.shape K = multigamma((nu + n + p - 1)/2, p) * Determinant(Omega)**(-n/2) * Determinant(Sigma)**(-p/2) \ / ((pi)**(n*p/2) * multigamma((nu + p - 1)/2, p)) return K * (Determinant(eye(n) + Inverse(Sigma)*(x - M)*Inverse(Omega)*Transpose(x - M))) \ **(-(nu + n + p -1)/2) def MatrixStudentT(symbol, nu, location_matrix, scale_matrix_1, scale_matrix_2): """ Creates a random variable with Matrix Gamma Distribution. The density of the said distribution can be found at [1]. Parameters ========== nu: Positive Real number degrees of freedom location_matrix: Positive definite real square matrix Location Matrix of shape ``n x p`` scale_matrix_1: Positive definite real square matrix Scale Matrix of shape ``p x p`` scale_matrix_2: Positive definite real square matrix Scale Matrix of shape ``n x n`` Returns ======= RandomSymbol Examples ======== >>> from sympy import MatrixSymbol,symbols >>> from sympy.stats import density, MatrixStudentT >>> v = symbols('v',positive=True) >>> M = MatrixStudentT('M', v, [[1, 2]], [[1, 0], [0, 1]], [1]) >>> X = MatrixSymbol('X', 1, 2) >>> density(M)(X) gamma(v/2 + 1)*Determinant((Matrix([[-1, -2]]) + X)*(Matrix([ [-1], [-2]]) + X.T) + Matrix([[1]]))**(-v/2 - 1)/(pi**1.0*gamma(v/2)*Determinant(Matrix([[1]]))**1.0*Determinant(Matrix([ [1, 0], [0, 1]]))**0.5) References ========== .. [1] https://en.wikipedia.org/wiki/Matrix_t-distribution """ if isinstance(location_matrix, list): location_matrix = ImmutableMatrix(location_matrix) if isinstance(scale_matrix_1, list): scale_matrix_1 = ImmutableMatrix(scale_matrix_1) if isinstance(scale_matrix_2, list): scale_matrix_2 = ImmutableMatrix(scale_matrix_2) args = (nu, location_matrix, scale_matrix_1, scale_matrix_2) return rv(symbol, MatrixStudentTDistribution, args)