Source code for netrd.reconstruction.ou_inference


Graph reconstruction algorithm based on [1, 2].

[1] P. Barucca, "Localization in covariance matrices of coupled heterogeneous
Ornstein-Uhlenbeck processes", Phys. Rev. E 90, 062129 (2014).

author: Charles Murphy
Submitted as part of the 2019 NetSI Collabathon.

from .base import BaseReconstructor
import numpy as np
from scipy.linalg import eig
from ..utilities import create_graph, threshold

[docs]class OUInference(BaseReconstructor): """Assumes a Orstein-Uhlenbeck generative model."""
[docs] def fit(self, TS, threshold_type='range', **kwargs): """Infers the coupling coefficients assuming a Orstein-Uhlenbeck process generative model. The results dictionary also stores the weight matrix as `'weights_matrix'`, the covariance matrix in `covariance_matrix` and the thresholded version of the weight matrix as `'thresholded_matrix'`. Parameters ---------- TS (np.ndarray) Array consisting of :math:`L` observations from :math:`N` sensors. threshold_type (str) Which thresholding function to use on the matrix of weights. See `` for documentation. Pass additional arguments to the thresholder using ``**kwargs``. Returns ------- G (nx.Graph) A reconstructed graph with :math:`N` nodes. """ N, T = np.shape(TS) temperatures = np.mean((TS[:, 1:] - TS[:, :-1]) ** 2, 1) / 2 index = np.where(temperatures > 0) Y = TS[index, :][0] yCovariance = np.cov(Y) index_pair = np.array([(i, j) for i in index for j in index]) weights = inverse_method(-yCovariance, temperatures) self.results['covariance_matrix'] = np.zeros([N, N]) self.results['covariance_matrix'][index_pair] = yCovariance self.results['weights_matrix'] = np.zeros([N, N]) self.results['weights_matrix'][index_pair] = weights # threshold the network W_thresh = threshold(self.results['weights_matrix'], threshold_type, **kwargs) self.results['thresholded_matrix'] = W_thresh # construct the network self.results['graph'] = create_graph(W_thresh) G = self.results['graph'] return G
def inverse_method(covariance, temperatures): """This function finds the weights of an heterogenous Ornstein-Uhlenbeck process covariance = covariance matrix of the zero-mean signal Parameters ---------- covariance (np.ndarray): Covariance matrix of the zero-mean signal. temperatures (np.ndarray): Diffusion coefficient of each of the signals. Returns ------- weights (np.ndarray): Coupling between nodes under the OU process asumption. """ if len(np.shape(temperatures)) == 1: T = np.diag(temperatures) elif len(np.shape(temperatures)) == 2: T = temperatures else: raise ValueError("temperature must either be a vector or a matrix.") n, m = np.shape(covariance) eig_val, eig_vec = eig(-covariance) eig_val = np.diag(eig_val) e_mat = np.matmul(eig_vec.T, np.matmul(T, eig_vec)) eig_val = np.matmul(np.ones([n, n]), eig_val) eig_val = (eig_val + eig_val.T) ** (-1) eig_val = eig_val.real weights = -np.matmul(eig_vec, np.matmul(2 * eig_val * e_mat, eig_vec.T)) return weights