Source code for gammapy.utils.fitting.fit

# Licensed under a 3-clause BSD style license - see LICENSE.rst
import logging
import numpy as np
from .iminuit import optimize_iminuit, covariance_iminuit, confidence_iminuit, mncontour
from .sherpa import optimize_sherpa, covariance_sherpa
from .scipy import optimize_scipy, covariance_scipy, confidence_scipy
from .datasets import Datasets

__all__ = ["Fit"]

log = logging.getLogger(__name__)


class Registry:
    """Registry of available backends for given tasks.

    Gives users the power to extend from their scripts.
    Used by `Fit` below.

    Not sure if we should call it "backend" or "method" or something else.
    Probably we will code up some methods, e.g. for profile analysis ourselves,
    using scipy or even just Python / Numpy?
    """

    register = {
        "optimize": {
            "minuit": optimize_iminuit,
            "sherpa": optimize_sherpa,
            "scipy": optimize_scipy,
        },
        "covariance": {
            "minuit": covariance_iminuit,
            "sherpa": covariance_sherpa,
            "scipy": covariance_scipy,
        },
        "confidence": {
            "minuit": confidence_iminuit,
            # "sherpa": confidence_sherpa,
            "scipy": confidence_scipy,
        },
    }

    @classmethod
    def get(cls, task, backend):
        if task not in cls.register:
            raise ValueError("Unknown task {!r}".format(task))

        task = cls.register[task]

        if backend not in task:
            raise ValueError("Unknown method {!r} for task {!r}".format(task, backend))

        return task[backend]


registry = Registry()


[docs]class Fit: """Fit class. The fit class provides a uniform interface to multiple fitting backends. Currently available: "minuit", "sherpa" and "scipy" Parameters ---------- datasets : `Dataset`, list of `Dataset` or `Datasets` Dataset or joint datasets to be fitted. """ def __init__(self, datasets): if not isinstance(datasets, Datasets): datasets = Datasets(datasets) self.datasets = datasets @property def _parameters(self): return self.datasets.parameters
[docs] def run(self, optimize_opts=None, covariance_opts=None): """ Run all fitting steps. Parameters ---------- optimize_opts : dict Options passed to `Fit.optimize`. covariance_opts : dict Options passed to `Fit.covariance`. Returns ------- fit_result : `FitResult` Results """ if optimize_opts is None: optimize_opts = {} optimize_result = self.optimize(**optimize_opts) if covariance_opts is None: covariance_opts = {} covariance_opts.setdefault("backend", "minuit") if covariance_opts["backend"] not in registry.register["covariance"]: log.warning("No covariance estimate - not supported by this backend.") return optimize_result covariance_result = self.covariance(**covariance_opts) # TODO: not sure how best to report the results # back or how to form the FitResult object. optimize_result._success = optimize_result.success and covariance_result.success return optimize_result
[docs] def optimize(self, backend="minuit", **kwargs): """Run the optimization. Parameters ---------- backend : str Which backend to use (see ``gammapy.utils.fitting.registry``) **kwargs : dict Keyword arguments passed to the optimizer. For the `"minuit"` backend see https://iminuit.readthedocs.io/en/latest/api.html#iminuit.Minuit for a detailed description of the available options. If there is an entry 'migrad_opts', those options will be passed to `iminuit.Minuit.migrad()`. For the `"sherpa"` backend you can from the options `method = {"simplex", "levmar", "moncar", "gridsearch"}` Those methods are described and compared in detail on http://cxc.cfa.harvard.edu/sherpa/methods/index.html. The available options of the optimization methods are described on the following pages in detail: * http://cxc.cfa.harvard.edu/sherpa/ahelp/neldermead.html * http://cxc.cfa.harvard.edu/sherpa/ahelp/montecarlo.html * http://cxc.cfa.harvard.edu/sherpa/ahelp/gridsearch.html * http://cxc.cfa.harvard.edu/sherpa/ahelp/levmar.html For the `"scipy"` backend the available options are desribed in detail here: https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html Returns ------- fit_result : `FitResult` Results """ parameters = self._parameters if parameters.apply_autoscale: parameters.autoscale() compute = registry.get("optimize", backend) # TODO: change this calling interface! # probably should pass a likelihood, which has a model, which has parameters # and return something simpler, not a tuple of three things factors, info, optimizer = compute( parameters=parameters, function=self.datasets.likelihood, **kwargs ) # TODO: Change to a stateless interface for minuit also, or if we must support # stateful backends, put a proper, backend-agnostic solution for this. # As preliminary solution would like to provide a possibility that the user # can access the Minuit object, because it features a lot useful functionality if backend == "minuit": self.minuit = optimizer # Copy final results into the parameters object parameters.set_parameter_factors(factors) return OptimizeResult( parameters=parameters, total_stat=self.datasets.likelihood(), backend=backend, method=kwargs.get("method", backend), **info )
[docs] def covariance(self, backend="minuit"): """Estimate the covariance matrix. Assumes that the model parameters are already optimised. Parameters ---------- backend : str Which backend to use (see ``gammapy.utils.fitting.registry``) Returns ------- result : `CovarianceResult` Results """ compute = registry.get("covariance", backend) parameters = self._parameters # TODO: wrap MINUIT in a stateless backend with parameters.restore_values: if backend == "minuit": method = "hesse" if hasattr(self, "minuit"): covariance_factors, info = compute(self.minuit) else: raise RuntimeError("To use minuit, you must first optimize.") else: method = "" covariance_factors, info = compute(parameters, self.datasets.likelihood) parameters.set_covariance_factors(covariance_factors) # TODO: decide what to return, and fill the info correctly! return CovarianceResult( backend=backend, method=method, parameters=parameters, success=info["success"], message=info["message"], )
[docs] def confidence( self, parameter, backend="minuit", sigma=1, reoptimize=True, **kwargs ): """Estimate confidence interval. Extra ``kwargs`` are passed to the backend. E.g. `iminuit.Minuit.minos` supports a ``maxcall`` option. For the scipy backend ``kwargs`` are forwarded to `~scipy.optimize.brentq`. If the confidence estimation fails, the bracketing interval can be adapted by modifying the the upper bound of the interval (`b`) value. Parameters ---------- backend : str Which backend to use (see ``gammapy.utils.fitting.registry``) parameter : `~gammapy.utils.fitting.Parameter` Parameter of interest sigma : float Number of standard deviations for the confidence level reoptimize : bool Re-optimize other parameters, when computing the confidence region. **kwargs : dict Keyword argument passed ot the confidence estimation method. Returns ------- result : dict Dictionary with keys "errp", 'errn", "success" and "nfev". """ compute = registry.get("confidence", backend) parameters = self._parameters parameter = parameters[parameter] # TODO: wrap MINUIT in a stateless backend with parameters.restore_values: if backend == "minuit": if hasattr(self, "minuit"): # This is ugly. We will access parameters and make a copy # from the backend, to avoid modifying the state result = compute( self.minuit, parameters, parameter, sigma, **kwargs ) else: raise RuntimeError("To use minuit, you must first optimize.") else: result = compute( parameters, parameter, self.datasets.likelihood, sigma, reoptimize, **kwargs ) result["errp"] *= parameter.scale result["errn"] *= parameter.scale return result
[docs] def likelihood_profile( self, parameter, values=None, bounds=2, nvalues=11, reoptimize=False, optimize_opts=None, ): """Compute likelihood profile. The method used is to vary one parameter, keeping all others fixed. So this is taking a "slice" or "scan" of the likelihood. See also: `Fit.minos_profile`. Parameters ---------- parameter : `~gammapy.utils.fitting.Parameter` Parameter of interest values : `~astropy.units.Quantity` (optional) Parameter values to evaluate the likelihood for. bounds : int or tuple of float When an `int` is passed the bounds are computed from `bounds * sigma` from the best fit value of the parameter, where `sigma` corresponds to the one sigma error on the parameter. If a tuple of floats is given those are taken as the min and max values and `nvalues` are linearly spaced between those. nvalues : int Number of parameter grid points to use. reoptimize : bool Re-optimize other parameters, when computing the likelihood profile. Returns ------- results : dict Dictionary with keys "values" and "likelihood". """ parameters = self._parameters parameter = parameters[parameter] optimize_opts = optimize_opts or {} if values is None: if isinstance(bounds, tuple): parmin, parmax = bounds else: parerr = parameters.error(parameter) parval = parameter.value parmin, parmax = parval - bounds * parerr, parval + bounds * parerr values = np.linspace(parmin, parmax, nvalues) likelihood = [] with parameters.restore_values: for value in values: parameter.value = value if reoptimize: parameter.frozen = True result = self.optimize(**optimize_opts) stat = result.total_stat else: stat = self.datasets.likelihood() likelihood.append(stat) return {"values": values, "likelihood": np.array(likelihood)}
[docs] def likelihood_contour(self): """Compute likelihood contour. The method used is to vary two parameters, keeping all others fixed. So this is taking a "slice" or "scan" of the likelihood. See also: `Fit.minos_contour` Parameters ---------- TODO Returns ------- TODO """ raise NotImplementedError
[docs] def minos_contour(self, x, y, numpoints=10, sigma=1.0): """Compute MINOS contour. Calls ``iminuit.Minuit.mncontour``. This is a contouring algorithm for a 2D function which is not simply the likelihood function. That 2D function is given at each point ``(par_1, par_2)`` by re-optimising all other free parameters, and taking the likelihood at that point. Very compute-intensive and slow. Parameters ---------- x, y : `~gammapy.utils.fitting.Parameter` Parameters of interest numpoints : int Number of contour points sigma : float Number of standard deviations for the confidence level Returns ------- result : dict Dictionary with keys "x", "y" (Numpy arrays with contour points) and a boolean flag "success". The result objects from ``mncontour`` are in the additional keys "x_info" and "y_info". """ parameters = self._parameters x = parameters[x] y = parameters[y] with parameters.restore_values: result = mncontour(self.minuit, parameters, x, y, numpoints, sigma) x = result["x"] * x.scale y = result["y"] * y.scale return { "x": x, "y": y, "success": result["success"], "x_info": result["x_info"], "y_info": result["y_info"], }
class FitResult: """Fit result base class""" def __init__(self, parameters, backend, method, success, message): self._parameters = parameters self._success = success self._message = message self._backend = backend self._method = method @property def parameters(self): """Optimizer backend used for the fit.""" return self._parameters @property def backend(self): """Optimizer backend used for the fit.""" return self._backend @property def method(self): """Optimizer method used for the fit.""" return self._method @property def success(self): """Fit success status flag.""" return self._success @property def message(self): """Optimizer status message.""" return self._message def __repr__(self): str_ = self.__class__.__name__ str_ += "\n\n" str_ += "\tbackend : {}\n".format(self.backend) str_ += "\tmethod : {}\n".format(self.method) str_ += "\tsuccess : {}\n".format(self.success) str_ += "\tmessage : {}\n".format(self.message) return str_ class CovarianceResult(FitResult): """Covariance result object.""" pass class OptimizeResult(FitResult): """Optimize result object.""" def __init__(self, nfev, total_stat, **kwargs): self._nfev = nfev self._total_stat = total_stat super().__init__(**kwargs) @property def nfev(self): """Number of function evaluations.""" return self._nfev @property def total_stat(self): """Value of the fit statistic at minimum.""" return self._total_stat def __repr__(self): str_ = super().__repr__() str_ += "\tnfev : {}\n".format(self.nfev) str_ += "\ttotal stat : {:.2f}\n".format(self.total_stat) return str_