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bootstrapping.py
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bootstrapping.py
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# Copyright The Lightning team.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from copy import deepcopy
from typing import Any, Dict, Optional, Sequence, Union
import torch
from lightning_utilities import apply_to_collection
from torch import Tensor
from torch.nn import ModuleList
from torchmetrics.metric import Metric
from torchmetrics.utilities.imports import _MATPLOTLIB_AVAILABLE
from torchmetrics.utilities.plot import _AX_TYPE, _PLOT_OUT_TYPE
from torchmetrics.wrappers.abstract import WrapperMetric
if not _MATPLOTLIB_AVAILABLE:
__doctest_skip__ = ["BootStrapper.plot"]
def _bootstrap_sampler(
size: int,
sampling_strategy: str = "poisson",
) -> Tensor:
"""Resample a tensor along its first dimension with replacement.
Args:
size: number of samples
sampling_strategy: the strategy to use for sampling, either ``'poisson'`` or ``'multinomial'``
Returns:
resampled tensor
"""
if sampling_strategy == "poisson":
p = torch.distributions.Poisson(1)
n = p.sample((size,))
return torch.arange(size).repeat_interleave(n.long(), dim=0)
if sampling_strategy == "multinomial":
return torch.multinomial(torch.ones(size), num_samples=size, replacement=True)
raise ValueError("Unknown sampling strategy")
class BootStrapper(WrapperMetric):
r"""Using `Turn a Metric into a Bootstrapped`_.
That can automate the process of getting confidence intervals for metric values. This wrapper
class basically keeps multiple copies of the same base metric in memory and whenever ``update`` or
``forward`` is called, all input tensors are resampled (with replacement) along the first dimension.
Args:
base_metric: base metric class to wrap
num_bootstraps: number of copies to make of the base metric for bootstrapping
mean: if ``True`` return the mean of the bootstraps
std: if ``True`` return the standard deviation of the bootstraps
quantile: if given, returns the quantile of the bootstraps. Can only be used with pytorch version 1.6 or higher
raw: if ``True``, return all bootstrapped values
sampling_strategy:
Determines how to produce bootstrapped samplings. Either ``'poisson'`` or ``multinomial``.
If ``'possion'`` is chosen, the number of times each sample will be included in the bootstrap
will be given by :math:`n\sim Poisson(\lambda=1)`, which approximates the true bootstrap distribution
when the number of samples is large. If ``'multinomial'`` is chosen, we will apply true bootstrapping
at the batch level to approximate bootstrapping over the hole dataset.
kwargs: Additional keyword arguments, see :ref:`Metric kwargs` for more info.
Example::
>>> from pprint import pprint
>>> from torchmetrics.wrappers import BootStrapper
>>> from torchmetrics.classification import MulticlassAccuracy
>>> _ = torch.manual_seed(123)
>>> base_metric = MulticlassAccuracy(num_classes=5, average='micro')
>>> bootstrap = BootStrapper(base_metric, num_bootstraps=20)
>>> bootstrap.update(torch.randint(5, (20,)), torch.randint(5, (20,)))
>>> output = bootstrap.compute()
>>> pprint(output)
{'mean': tensor(0.2205), 'std': tensor(0.0859)}
"""
full_state_update: Optional[bool] = True
def __init__(
self,
base_metric: Metric,
num_bootstraps: int = 10,
mean: bool = True,
std: bool = True,
quantile: Optional[Union[float, Tensor]] = None,
raw: bool = False,
sampling_strategy: str = "poisson",
**kwargs: Any,
) -> None:
super().__init__(**kwargs)
if not isinstance(base_metric, Metric):
raise ValueError(
f"Expected base metric to be an instance of torchmetrics.Metric but received {base_metric}"
)
self.metrics = ModuleList([deepcopy(base_metric) for _ in range(num_bootstraps)])
self.num_bootstraps = num_bootstraps
self.mean = mean
self.std = std
self.quantile = quantile
self.raw = raw
allowed_sampling = ("poisson", "multinomial")
if sampling_strategy not in allowed_sampling:
raise ValueError(
f"Expected argument ``sampling_strategy`` to be one of {allowed_sampling}"
f" but received {sampling_strategy}"
)
self.sampling_strategy = sampling_strategy
def update(self, *args: Any, **kwargs: Any) -> None:
"""Update the state of the base metric.
Any tensor passed in will be bootstrapped along dimension 0.
"""
args_sizes = apply_to_collection(args, Tensor, len)
kwargs_sizes = list(apply_to_collection(kwargs, Tensor, len))
if len(args_sizes) > 0:
size = args_sizes[0]
elif len(kwargs_sizes) > 0:
size = kwargs_sizes[0]
else:
raise ValueError("None of the input contained tensors, so could not determine the sampling size")
for idx in range(self.num_bootstraps):
sample_idx = _bootstrap_sampler(size, sampling_strategy=self.sampling_strategy).to(self.device)
if sample_idx.numel() == 0:
continue
new_args = apply_to_collection(args, Tensor, torch.index_select, dim=0, index=sample_idx)
new_kwargs = apply_to_collection(kwargs, Tensor, torch.index_select, dim=0, index=sample_idx)
self.metrics[idx].update(*new_args, **new_kwargs)
def compute(self) -> Dict[str, Tensor]:
"""Compute the bootstrapped metric values.
Always returns a dict of tensors, which can contain the following keys: ``mean``, ``std``, ``quantile`` and
``raw`` depending on how the class was initialized.
"""
computed_vals = torch.stack([m.compute() for m in self.metrics], dim=0)
output_dict = {}
if self.mean:
output_dict["mean"] = computed_vals.mean(dim=0)
if self.std:
output_dict["std"] = computed_vals.std(dim=0)
if self.quantile is not None:
output_dict["quantile"] = torch.quantile(computed_vals, self.quantile)
if self.raw:
output_dict["raw"] = computed_vals
return output_dict
def forward(self, *args: Any, **kwargs: Any) -> Any:
"""Use the original forward method of the base metric class."""
return super(WrapperMetric, self).forward(*args, **kwargs)
def plot(
self, val: Optional[Union[Tensor, Sequence[Tensor]]] = None, ax: Optional[_AX_TYPE] = None
) -> _PLOT_OUT_TYPE:
"""Plot a single or multiple values from the metric.
Args:
val: Either a single result from calling `metric.forward` or `metric.compute` or a list of these results.
If no value is provided, will automatically call `metric.compute` and plot that result.
ax: An matplotlib axis object. If provided will add plot to that axis
Returns:
Figure and Axes object
Raises:
ModuleNotFoundError:
If `matplotlib` is not installed
.. plot::
:scale: 75
>>> # Example plotting a single value
>>> import torch
>>> from torchmetrics.wrappers import BootStrapper
>>> from torchmetrics.regression import MeanSquaredError
>>> metric = BootStrapper(MeanSquaredError(), num_bootstraps=20)
>>> metric.update(torch.randn(100,), torch.randn(100,))
>>> fig_, ax_ = metric.plot()
.. plot::
:scale: 75
>>> # Example plotting multiple values
>>> import torch
>>> from torchmetrics.wrappers import BootStrapper
>>> from torchmetrics.regression import MeanSquaredError
>>> metric = BootStrapper(MeanSquaredError(), num_bootstraps=20)
>>> values = [ ]
>>> for _ in range(3):
... values.append(metric(torch.randn(100,), torch.randn(100,)))
>>> fig_, ax_ = metric.plot(values)
"""
return self._plot(val, ax)