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Commit f99af0fa authored by Bentriou Mahmoud's avatar Bentriou Mahmoud
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new feature abc smc: save intermediate iterations

parent a72f8e95
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algorithms/abc_smc.jl
View file @ f99af0fa
......@@ -28,7 +28,7 @@ end
function automaton_abc(pm::ParametricModel;
nbr_particles::Int = 100, tolerance::Float64 = 0.0, alpha::Float64 = 0.75, kernel_type = "mvnormal",
NT::Float64 = nbr_particles/2, duration_time::Float64 = Inf, dir_results::Union{Nothing,String} = nothing,
bound_sim::Int = typemax(Int), sym_var_aut::VariableAutomaton = :d, verbose::Int = 0)
bound_sim::Int = typemax(Int), sym_var_aut::VariableAutomaton = :d, save_iterations::Bool = false, verbose::Int = 0)
@assert typeof(pm.m) <: SynchronizedModel "Automaton-ABC is defined for synchronized models only"
@assert 0 < nbr_particles
@assert 0.0 < alpha < 1.0
......@@ -39,14 +39,15 @@ function automaton_abc(pm::ParametricModel;
file_cfg = open(dir_results * "config_abc.out", "w")
write(file_cfg, "ParametricModel : $(pm) \n")
write(file_cfg, "Number of particles : $(nbr_particles) \n")
write(file_cfg, "Final tolerance : $(tolerance) \n")
write(file_cfg, "alpha : $(alpha) \n")
write(file_cfg, "kernel type : $(kernel_type) \n")
close(file_cfg)
end
if nprocs() == 1
return _abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut)
return _abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut, save_iterations)
end
return _distributed_abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut)
return _distributed_abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut, save_iterations)
end
"""
......@@ -69,7 +70,7 @@ If pm is defined on a ContinuousTimeModel, then `T1` should verify `T1 <: Trajec
function abc_smc(pm::ParametricModel, l_obs::AbstractVector, func_dist::Function;
nbr_particles::Int = 100, tolerance::Float64 = 0.0, alpha::Float64 = 0.75, kernel_type = "mvnormal",
NT::Float64 = nbr_particles/2, duration_time::Float64 = Inf, dir_results::Union{Nothing,String} = nothing,
bound_sim::Int = typemax(Int), sym_var_aut::VariableAutomaton = :d, verbose::Int = 0)
bound_sim::Int = typemax(Int), sym_var_aut::VariableAutomaton = :d, save_iterations::Bool = false, verbose::Int = 0)
@assert 0 < nbr_particles
@assert 0.0 < alpha < 1.0
@assert kernel_type in ["mvnormal", "knn_mvnormal"]
......@@ -80,14 +81,15 @@ function abc_smc(pm::ParametricModel, l_obs::AbstractVector, func_dist::Function
write(file_cfg, "Configuration of ABC algorithm\n")
write(file_cfg, "ParametricModel : $(pm) \n")
write(file_cfg, "Number of particles : $(nbr_particles) \n")
write(file_cfg, "Final tolerance : $(tolerance) \n")
write(file_cfg, "alpha : $(alpha) \n")
write(file_cfg, "kernel type : $(kernel_type) \n")
close(file_cfg)
end
if nprocs() == 1
return _abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut; l_obs = l_obs, func_dist = func_dist)
return _abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut, save_iterations; l_obs = l_obs, func_dist = func_dist)
end
return _distributed_abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut; l_obs = l_obs, func_dist = func_dist)
return _distributed_abc_smc(pm, nbr_particles, tolerance, alpha, kernel_type, NT, duration_time, bound_sim, dir_results, sym_var_aut, save_iterations; l_obs = l_obs, func_dist = func_dist)
end
......@@ -96,7 +98,7 @@ end
function _abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance::Float64, alpha::Float64,
kernel_type::String, NT::Float64, duration_time::Float64,
bound_sim::Int, dir_results::Union{Nothing,String}, sym_var_aut::VariableAutomaton;
bound_sim::Int, dir_results::Union{Nothing,String}, sym_var_aut::VariableAutomaton, save_iterations::Bool;
l_obs::Union{Nothing,AbstractVector} = nothing, func_dist::Union{Nothing,Function} = nothing)
@info "ABC PMC with $(nworkers()) processus and $(Threads.nthreads()) threads"
begin_time = time()
......@@ -123,6 +125,13 @@ function _abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance::Float64, a
wl_current = zeros(nbr_particles)
l_nbr_sim = zeros(Int, nbr_particles)
while (epsilon > last_epsilon) && (current_time - begin_time <= duration_time) && (nbr_tot_sim <= bound_sim)
if dir_results != "" && save_iterations
step_dir = dir_results * "/step_$t/"
mkdir(step_dir)
writedlm(step_dir * "weights_end.csv", wl_old, ',')
writedlm(step_dir * "mat_p_end.csv", mat_p_old, ',')
writedlm(step_dir * "vec_dist.csv", vec_dist, ',')
end
t += 1
begin_time_ite = time()
@info "Step $t"
......@@ -184,6 +193,7 @@ function _abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance::Float64, a
write(file_cfg, "\n")
write(file_cfg, "About the results: \n")
write(file_cfg, "Total number of simulations: $nbr_tot_sim\n")
write(file_cfg, "Final tolerance : $(old_epsilon) \n")
write(file_cfg, "Execution time: $(time() - begin_time)\n")
write(file_cfg, "Number of jobs: $(nprocs())\n")
write(file_cfg, "Number of threads: $(Threads.nthreads())\n")
......@@ -195,7 +205,7 @@ end
function _distributed_abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance::Float64, alpha::Float64,
kernel_type::String, NT::Float64, duration_time::Float64, bound_sim::Int,
dir_results::Union{Nothing,String}, sym_var_aut::VariableAutomaton;
dir_results::Union{Nothing,String}, sym_var_aut::VariableAutomaton, save_iterations::Bool;
l_obs::Union{Nothing,AbstractVector} = nothing, func_dist::Union{Nothing,Function} = nothing)
@info "Distributed ABC PMC with $(nworkers()) processus and $(Threads.nthreads()) threads"
begin_time = time()
......@@ -224,6 +234,13 @@ function _distributed_abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance
mat_p = zeros(0,0)
wl_current = zeros(0)
while (epsilon > last_epsilon) && (current_time - begin_time <= duration_time) && (nbr_tot_sim <= bound_sim)
if dir_results != "" && save_iterations
step_dir = dir_results * "/step_$t/"
mkdir(step_dir)
writedlm(step_dir * "weights_end.csv", wl_old, ',')
writedlm(step_dir * "mat_p_end.csv", mat_p_old, ',')
writedlm(step_dir * "vec_dist.csv", vec_dist, ',')
end
t += 1
begin_time_ite = time()
@info "Step $t"
......@@ -289,10 +306,12 @@ function _distributed_abc_smc(pm::ParametricModel, nbr_particles::Int, tolerance
if dir_results != nothing
writedlm(dir_results * "weights_end.csv", wl_old, ',')
writedlm(dir_results * "mat_p_end.csv", mat_p_old, ',')
writedlm(dir_results * "vec_dist.csv", vec_dist, ',')
file_cfg = open(dir_results * "results_abc.out", "w")
write(file_cfg, "\n")
write(file_cfg, "About the results: \n")
write(file_cfg, "Total number of simulations: $nbr_tot_sim\n")
write(file_cfg, "Final tolerance : $(old_epsilon) \n")
write(file_cfg, "Execution time: $(time() - begin_time)\n")
write(file_cfg, "Number of jobs: $(nprocs())\n")
write(file_cfg, "Number of threads: $(Threads.nthreads())\n")
......
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