Package 'NeuralEstimators'

assess a neural estimator

Description

assess a neural estimator

Usage

assess(estimator, parameters, Z, ...)

Arguments

estimator	a neural estimator (or a list of neural estimators)
parameters	true parameters, stored as a $d\times K$ matrix, where $d$ is the dimension of the parameter vector and $K$ is the number of sampled parameter vectors
Z	data simulated conditionally on the parameters. If length(Z) > K, the parameter matrix will be recycled by horizontal concatenation as parameters = parameters[, rep(1:K, J)], where J = length(Z) / K
...	additional keyword arguments passed to the Julia version of assess()

Value

a list of two data frames: runtimes contains the total time taken for each estimator, while df is a long-form data frame with columns:

• "parameter"; the name of the parameter

• "truth"; the true value of the parameter

• "estimate"; the estimated value of the parameter

• "k"; the index of the parameter vector in the test set

• "j"; the index of the data set

See Also

risk(), rmse(), bias(), plotestimates(), and plotdistribution() for computing various empirical diagnostics and visualisations from an object returned by assess()

---

computes a Monte Carlo approximation of an estimator's bias

Description

computes a Monte Carlo approximation of an estimator's bias

Usage

bias(assessment, ...)

Arguments

assessment	an object returned by assess()
...	optional arguments inherited from risk() (excluding the argument loss)

Value

a dataframe giving the estimated bias

See Also

assess(), risk(), rmse()

---

bootstrap

Description

Compute bootstrap estimates from a neural point estimator

Usage

bootstrap(estimator, Z, B = 400, blocks = NULL, use_gpu = TRUE)

Arguments

estimator	a neural point estimator
Z	either a list of data sets simulated conditionally on the fitted parameters (parametric bootstrap); or a single observed data set containing independent replicates, which will be sampled with replacement B times (non-parametric bootstrap)
B	number of non-parametric bootstrap samples
blocks	integer vector specifying the blocks in non-parameteric bootstrap. For example, with 5 replicates, the first two corresponding to block 1 and the remaining three corresponding to block 2, blocks should be c(1,1,2,2,2)
use_gpu	boolean indicating whether to use the GPU if it is available

Value

d × B matrix, where d is the dimension of the parameter vector

---

encodedata

Description

For data Z with missing (NA) entries, computes an augmented data set (U, W) where W encodes the missingness pattern as an indicator vector and U is the original data Z with missing entries replaced by a fixed constant c.

Usage

encodedata(Z, c = 0)

Arguments

Z	data containing NA entries
c	fixed constant with which to replace NA entries

Value

Augmented data set (U, W). If Z is provided as a list, the return type will be a JuliaProxy object; these objects can be indexed in the usual manner using [[, or converted to an R object using juliaGet() (note however that juliaGet() can be slow for large data sets).

See Also

the Julia version of encodedata()

Examples

## Not run: 
library("NeuralEstimators")
Z <- matrix(c(1, 2, NA, NA, 5, 6, 7, NA, 9), nrow = 3)
encodedata(Z)
encodedata(list(Z, Z))
## End(Not run)

---

estimate

Description

Apply a neural Bayes estimator to data

Usage

estimate(estimator, Z, X = NULL, batchsize = 32, ...)

Arguments

estimator	a neural estimator that can be applied to data in a call of the form estimator(Z)
Z	data in a format amenable to the neural-network architecture of estimator
X	additional inputs to the neural network; if provided, the call will be of the form ⁠estimator((Z, X))⁠
batchsize	the batch size for applying estimator to Z
...	additional keyword arguments passed to the Julia version of estimate()

Value

a matrix of outputs resulting from applying estimator to Z (and possibly X)

See Also

sampleposterior() for making inference with neural posterior or likelihood-to-evidence-ratio estimators

---

Load a saved state of a neural estimator

Description

Load a saved state of a neural estimator (e.g., optimised neural-network parameters). Useful for amortised inference, whereby a neural network is trained once and then used repeatedly to make inference with new data sets.

Usage

loadstate(estimator, filename)

Arguments

estimator	the neural estimator that we wish to load the state into
filename	file name (including path) of the neural-network state stored in a bson file

Value

estimator updated with the saved state

---

logratio

Description

Apply a neural ratio estimator to data

Usage

logratio(estimator, Z, grid, batchsize = 32, ...)

Arguments

estimator	a neural ratio estimator
Z	data in a format amenable to the neural-network architecture of estimator
grid	matrix of parameter values, where each column is a parameter configuration
batchsize	the batch size
...	additional keyword arguments passed to the Julia version of logratio()

Value

A matrix of log ratios with one row per data set and one column per grid point

See Also

sampleposterior() for making posterior inferences

---

Plot the empirical sampling distribution of an estimator.

Description

Plot the empirical sampling distribution of an estimator.

Usage

plotdistribution(
  df,
  type = c("box", "density", "scatter"),
  parameter_labels = NULL,
  estimator_labels = ggplot2::waiver(),
  truth_colour = "black",
  truth_size = 8,
  truth_line_size = NULL,
  pairs = FALSE,
  upper_triangle_plots = NULL,
  legend = TRUE,
  return_list = FALSE,
  flip = FALSE
)

Arguments

df	a long form data frame containing fields estimator, parameter, estimate, truth, and a column (e.g., replicate) to uniquely identify each observation.
type	string indicating whether to plot kernel density estimates for each individual parameter (type = "density") or scatter plots for all parameter pairs (type = "scatter").
parameter_labels	a named vector containing parameter labels.
estimator_labels	a named vector containing estimator labels.
truth_colour	the colour used to denote the true parameter value.
truth_size	the size of the point used to denote the true parameter value (applicable only for type = "scatter").
truth_line_size	the size of the cross-hairs used to denote the true parameter value. If NULL (default), the cross-hairs are not plotted. (applicable only for type = "scatter").
pairs	logical; should we combine the scatter plots into a single pairs plot (applicable only for type = "scatter")?
upper_triangle_plots	an optional list of plots to include in the uppertriangle of the pairs plot.
legend	Flag; should we include the legend (only applies when constructing a pairs plot)
return_list	Flag; should the parameters be split into a list?
flip	Flag; should the boxplots be "flipped" using coord_flip() (default FALSE)?

Value

a list of 'ggplot' objects or, if pairs = TRUE, a single 'ggplot'.

Examples

## Not run: 
# In the following, we have two estimators and, for each parameter, 50 estimates
# from each estimator.

estimators <- c("Estimator 1", "Estimator 2")
estimator_labels <- c("Estimator 1" = expression(hat(theta)[1]("·")),
                      "Estimator 2" = expression(hat(theta)[2]("·")))

# Single parameter:
df <- data.frame(
  estimator = estimators, truth = 0, parameter = "mu",
  estimate  = rnorm(2*50),
  replicate = rep(1:50, each = 2)
)
parameter_labels <- c("mu" = expression(mu))
plotdistribution(df)
plotdistribution(df, type = "density")
plotdistribution(df, parameter_labels = parameter_labels, estimator_labels = estimator_labels)

# Two parameters:
df <- rbind(df, data.frame(
  estimator = estimators, truth = 1, parameter = "sigma",
  estimate  = rgamma(2*50, shape = 1, rate = 1),
  replicate = rep(1:50, each = 2)
))
parameter_labels <- c(parameter_labels, "sigma" = expression(sigma))
plotdistribution(df, parameter_labels = parameter_labels)
plotdistribution(df, parameter_labels = parameter_labels, type = "density")
plotdistribution(df, parameter_labels = parameter_labels, type = "scatter")

# Three parameters:
df <- rbind(df, data.frame(
  estimator = estimators, truth = 0.25, parameter = "alpha",
  estimate  = 0.5 * runif(2*50),
  replicate = rep(1:50, each = 2)
))
parameter_labels <- c(parameter_labels, "alpha" = expression(alpha))
plotdistribution(df, parameter_labels = parameter_labels)
plotdistribution(df, parameter_labels = parameter_labels, type = "density")
plotdistribution(df, parameter_labels = parameter_labels, type = "scatter")
plotdistribution(df, parameter_labels = parameter_labels, type = "scatter", pairs = TRUE)

# Pairs plot with user-specified plots in the upper triangle:
upper_triangle_plots <- lapply(1:3, function(i) {
  x = rnorm(10)
  y = rnorm(10)
  shape = sample(c("Class 1", "Class 2"), 10, replace = TRUE)
  ggplot() +
    geom_point(aes(x = x, y = y, shape = shape)) + 
    labs(shape = "") +
    theme_bw()
})
plotdistribution(
    df, 
    parameter_labels = parameter_labels, estimator_labels = estimator_labels,
    type = "scatter", pairs = TRUE, upper_triangle_plots = upper_triangle_plots
    )
## End(Not run)

---

Plot estimates vs. true values.

Description

Plot estimates vs. true values.

Usage

plotestimates(
  df,
  estimator_labels = ggplot2::waiver(),
  parameter_labels = NULL
)

Arguments

df	a long form data frame containing fields estimator, parameter, estimate, and truth.
estimator_labels	a named vector containing estimator labels.
parameter_labels	a named vector containing parameter labels.

Value

a 'ggplot' of the estimates for each parameter against the true value.

Examples

## Not run: 
K <- 50
df <- data.frame(
  estimator = c("Estimator 1", "Estimator 2"), 
  parameter = rep(c("mu", "sigma"), each = K),
  truth = 1:(2*K), 
  estimate = 1:(2*K) + rnorm(4*K)
)
estimator_labels <- c("Estimator 1" = expression(hat(theta)[1]("·")),
                      "Estimator 2" = expression(hat(theta)[2]("·")))
parameter_labels <- c("mu" = expression(mu), "sigma" = expression(sigma))

plotestimates(df,  parameter_labels = parameter_labels, estimator_labels)
## End(Not run)

---

computes a Monte Carlo approximation of an estimator's Bayes risk

Description

computes a Monte Carlo approximation of an estimator's Bayes risk

Usage

risk(
  assessment,
  loss = function(x, y) abs(x - y),
  average_over_parameters = FALSE,
  average_over_sample_sizes = TRUE
)

Arguments

assessment	an object returned by assess()
loss	a binary operator defining the loss function (default absolute-error loss)
average_over_parameters	if TRUE, the loss is averaged over all parameters; otherwise (default), the loss is averaged over each parameter separately
average_over_sample_sizes	if TRUE (default), the loss is averaged over all sample sizes (the column m in df); otherwise, the loss is averaged over each sample size separately

Value

a dataframe giving an estimate of the Bayes risk

See Also

assess(), bias(), rmse()

---

computes a Monte Carlo approximation of an estimator's root-mean-square error (RMSE)

Description

computes a Monte Carlo approximation of an estimator's root-mean-square error (RMSE)

Usage

rmse(assessment, ...)

Arguments

assessment	an object returned by assess()
...	optional arguments inherited from risk() (excluding the argument loss)

Value

a dataframe giving the estimated RMSE

See Also

assess(), bias(), risk()

---

sampleposterior

Description

Samples from the approximate posterior distribution given data Z.

Usage

sampleposterior(estimator, Z, N = 1000, ...)

Arguments

estimator	a neural posterior or likelihood-to-evidence-ratio estimator
Z	data in a format amenable to the neural-network architecture of estimator
N	number of approximate posterior samples to draw
...	additional keyword arguments passed to the Julia version of sampleposterior()

Value

d × N matrix of posterior samples, where d is the dimension of the parameter vector. If Z contains multiple independent data sets, a list of matrices will be returned

See Also

estimate() for making inference with neural Bayes estimators

---

save the state of a neural estimator

Description

save the state of a neural estimator

Usage

savestate(estimator, filename)

Arguments

estimator	the neural estimator that we wish to save
filename	file in which to save the neural-network state as a bson file

Value

No return value, called for side effects

---

spatialgraph

Description

Constructs a graph object for use in a graph neural network (GNN).

Usage

spatialgraph(S, Z, isotropic = TRUE, stationary = TRUE, ...)

Arguments

S	Spatial locations, provided as: An $n\times 2$ matrix when locations are fixed across replicates, where $n$ is the number of spatial locations. A list of $n_i \times 2$ matrices when locations vary across replicates. A list of the above elements (i.e., a list of matrices or a list of lists of matrices) when constructing graphs from multiple data sets.
Z	Spatial data, provided as: An $n\times m$ matrix when locations are fixed, where $m$ is the number of replicates. A list of $n_i$-vectors when locations vary across replicates. A list of the above elements (i.e., a list of matrices or a list of lists of vectors) when constructing graphs from multiple data sets.
isotropic	Logical. If TRUE, edge features store the spatial distance (magnitude) between nodes. If FALSE, the spatial displacement or spatial location is stored, depending on the value of stationary.
stationary	Logical. If TRUE, edge features store the spatial displacement (vector difference) between nodes, capturing both magnitude and direction. If FALSE, edge features include the full spatial locations of both nodes.
...	Additional keyword arguments from the Julia function adjacencymatrix() that define the neighborhood of each node, with the default being a randomly selected set of k=30 neighbors within a radius of r=0.15 spatial distance units.

Value

A GNNGraph (JuliaProxy object) or, if multiple data sets are provided, a vector of GNNGraph objects which can be indexed in the usual manner using [[ or converted to an R list using a combination of indexing and lapply.

Examples

## Not run: 
library("NeuralEstimators")

# Number of replicates
m <- 5

# Spatial locations fixed for all replicates
n <- 100 
S <- matrix(runif(n * 2), n, 2)
Z <- matrix(runif(n * m), n, m)
g <- spatialgraph(S, Z)

# Spatial locations varying between replicates
n <- sample(50:100, m, replace = TRUE)
S <- lapply(n, function(ni) matrix(runif(ni * 2), ni, 2))
Z <- lapply(n, function(ni) runif(ni))
g <- spatialgraph(S, Z)

# Multiple data sets: Spatial locations fixed for all replicates within a given data set
K <- 15 # number of data sets
n <- sample(50:100, K, replace = TRUE) # number of spatial locations can vary between data sets
S <- lapply(1:K, function(k) matrix(runif(n[k] * 2), n[k], 2))
Z <- lapply(1:K, function(k) matrix(runif(n[k] * m), n[k], m))
g <- spatialgraph(S, Z)

# Multiple data sets: Spatial locations varying between replicates within a given data set
S <- lapply(1:K, function(k) {
  lapply(1:m, function(i) {
  ni <- sample(50:100, 1)       # randomly generate the number of locations for each replicate
  matrix(runif(ni * 2), ni, 2)  # generate the spatial locations
  })
})
Z <- lapply(1:K, function(k) {
  lapply(1:m, function(i) {
    n <- nrow(S[[k]][[i]])
    runif(n)  
  })
})
g <- spatialgraph(S, Z)

## End(Not run)

---

tanhloss

Description

For k > 0, defines Julia code that defines the loss function,

$L(\hat{\theta}, \theta) = \tanh\left(\frac{|\hat{\theta} - \theta|}{k}\right),$

which approximates the 0-1 loss as k tends to zero.

The resulting string is intended to be used in the function train, but can also be converted to a callable function using juliaEval.

Usage

tanhloss(k)

Arguments

k	Positive numeric value that controls the smoothness of the approximation.

Value

String defining the tanh loss function in Julia code.

---

Train a neural estimator

Description

The function caters for different variants of "on-the-fly" simulation. Specifically, a sampler can be provided to continuously sample new parameter vectors from the prior, and a simulator can be provided to continuously simulate new data conditional on the parameters. If provided with specific sets of parameters (theta_train and theta_val) and/or data (Z_train and Z_val), they will be held fixed during training.

Note that using R functions to perform "on-the-fly" simulation requires the user to have installed the Julia package RCall.

Usage

train(
  estimator,
  sampler = NULL,
  simulator = NULL,
  theta_train = NULL,
  theta_val = NULL,
  Z_train = NULL,
  Z_val = NULL,
  K = 10000,
  m = NULL,
  sampler_args = NULL,
  sampler_kwargs = NULL,
  simulator_args = NULL,
  simulator_kwargs = NULL,
  loss = "absolute-error",
  learning_rate = 5e-04,
  epochs = 100,
  batchsize = 32,
  savepath = NULL,
  stopping_epochs = 5,
  epochs_per_Z_refresh = 1,
  epochs_per_theta_refresh = 1,
  simulate_just_in_time = FALSE,
  use_gpu = TRUE,
  verbose = TRUE
)

Arguments

estimator	a neural estimator
sampler	a function that takes an integer K, samples K parameter vectors from the prior, and returns them as a pxK matrix
simulator	a function that takes a pxK matrix of parameters and an integer m, and returns K simulated data sets each containing m independent replicates
theta_train	a set of parameters used for updating the estimator using stochastic gradient descent
theta_val	a set of parameters used for monitoring the performance of the estimator during training
Z_train	a simulated data set used for updating the estimator using stochastic gradient descent
Z_val	a simulated data set used for monitoring the performance of the estimator during training
K	the number of parameter vectors sampled in the training set at each epoch; the size of the validation set is set to K/5.
m	deprecated; use simulator_args
sampler_args	a list of positional arguments passed to the parameter sampler; if provided, sampler is called as sampler(K, sampler_args...).
sampler_kwargs	a list of positional arguments passed to the parameter sampler; if provided, sampler is called as sampler(K; sampler_kwargs...).
simulator_args	a list of positional arguments passed to the data simulator; if provided, simulator is called as simulator(theta, simulator_args...).
simulator_kwargs	a list of positional arguments passed to the data simulator; if provided, simulator is called as simulator(theta; simulator_kwargs...).
loss	the loss function: a string ('absolute-error' for mean-absolute-error loss or 'squared-error' for mean-squared-error loss), or a string of Julia code defining the loss function. For some classes of estimators (e.g., PosteriorEstimator, QuantileEstimator, RatioEstimator), the loss function does not need to be specified.
learning_rate	the initial learning rate for the optimiser ADAM (default 5e-4)
epochs	the number of epochs to train the neural network. An epoch is one complete pass through the entire training data set when doing stochastic gradient descent.
batchsize	the batchsize to use when performing stochastic gradient descent, that is, the number of training samples processed between each update of the neural-network parameters.
savepath	path to save the trained estimator and other information; if null (default), nothing is saved. Otherwise, the neural-network parameters (i.e., the weights and biases) will be saved during training as bson files; the risk function evaluated over the training and validation sets will also be saved, in the first and second columns of loss_per_epoch.csv, respectively; the best parameters (as measured by validation risk) will be saved as best_network.bson.
stopping_epochs	cease training if the risk doesn't improve in this number of epochs (default 5).
epochs_per_Z_refresh	integer indicating how often to refresh the training data
epochs_per_theta_refresh	integer indicating how often to refresh the training parameters; must be a multiple of epochs_per_Z_refresh
simulate_just_in_time	flag indicating whether we should simulate "just-in-time", in the sense that only a batchsize number of parameter vectors and corresponding data are in memory at a given time
use_gpu	a boolean indicating whether to use the GPU if one is available
verbose	a boolean indicating whether information, including empirical risk values and timings, should be printed to the console during training.

Value

a trained neural estimator or, if m is a vector, a list of trained neural estimators

See Also

the Julia version of train(), assess() for assessing an estimator post training, and estimate()/sampleposterior() for making inference with observed data

Examples

## Not run: 
# Construct a neural Bayes estimator for replicated univariate Gaussian 
# data with unknown mean and standard deviation. 

# Load R and Julia packages
library("NeuralEstimators")
library("JuliaConnectoR")
juliaEval("using NeuralEstimators, Flux")

# Define the neural-network architecture
estimator <- juliaEval('
 n = 1    # dimension of each replicate
 d = 2    # number of parameters in the model
 w = 32   # width of each hidden layer
 psi = Chain(Dense(n, w, relu), Dense(w, w, relu))
 phi = Chain(Dense(w, w, relu), Dense(w, d))
 deepset = DeepSet(psi, phi)
 estimator = PointEstimator(deepset)
')

# Sampler from the prior
sampler <- function(K) {
  mu    <- rnorm(K)      # Gaussian prior for the mean
  sigma <- rgamma(K, 1)  # Gamma prior for the standard deviation
  theta <- matrix(c(mu, sigma), byrow = TRUE, ncol = K)
  return(theta)
}

# Data simulator
simulator <- function(theta_set, m) {
  apply(theta_set, 2, function(theta) {
    t(rnorm(m, theta[1], theta[2]))
  }, simplify = FALSE)
}

# Train using fixed parameter and data sets 
theta_train <- sampler(10000)
theta_val   <- sampler(2000)
m <- 30 # number of iid replicates
Z_train <- simulator(theta_train, m)
Z_val   <- simulator(theta_val, m)
estimator <- train(estimator, 
                   theta_train = theta_train, 
                   theta_val = theta_val, 
                   Z_train = Z_train, 
                   Z_val = Z_val)
                   
##### Simulation on-the-fly using R functions ####

juliaEval("using RCall") # requires the Julia package RCall
estimator <- train(estimator, sampler = sampler, simulator = simulator, m = m)

##### Simulation on-the-fly using Julia functions ####

# Defining the sampler and simulator in Julia can improve computational 
# efficiency by avoiding the overhead of communicating between R and Julia. 

juliaEval("using Distributions")

# Parameter sampler
sampler <- juliaEval("
      function sampler(K)
      	mu = rand(Normal(0, 1), K)
      	sigma = rand(Gamma(1), K)
      	theta = hcat(mu, sigma)'
      	return theta
      end")

# Data simulator
simulator <- juliaEval("
      function simulator(theta_matrix, m)
      	Z = [rand(Normal(theta[1], theta[2]), 1, m) for theta in eachcol(theta_matrix)]
      	return Z
      end")

# Train
estimator <- train(estimator, sampler = sampler, simulator = simulator, m = m)
## End(Not run)

---