Add function that caches sampling results

Author: ricardoV94

docs/api_reference.rst

@@ -49,6 +49,7 @@ Utils
 
    spline.bspline_interpolation
    prior.prior_from_idata
+   cache.cache_sampling
 
 
 Statespace Models

pymc_experimental/tests/utils/test_cache.py

@@ -0,0 +1,44 @@
+import os
+
+import pymc as pm
+
+from pymc_experimental.utils.cache import cache_sampling
+
+
+def test_cache_sampling(tmpdir):
+
+    with pm.Model() as m:
+        x = pm.Normal("x", 0, 1)
+        y = pm.Normal("y", mu=x, observed=[0, 1, 2])
+
+        cache_prior = cache_sampling(pm.sample_prior_predictive, path=tmpdir)
+        cache_post = cache_sampling(pm.sample, path=tmpdir)
+        cache_pred = cache_sampling(pm.sample_posterior_predictive, path=tmpdir)
+        assert len(os.listdir(tmpdir)) == 0
+
+        prior1, prior2 = (cache_prior(samples=5) for _ in range(2))
+        assert len(os.listdir(tmpdir)) == 1
+        assert prior1.prior["x"].mean() == prior2.prior["x"].mean()
+
+        post1, post2 = (cache_post(tune=5, draws=5, progressbar=False) for _ in range(2))
+        assert len(os.listdir(tmpdir)) == 2
+        assert post1.posterior["x"].mean() == post2.posterior["x"].mean()
+
+    # Change model
+    with pm.Model() as m:
+        x = pm.Normal("x", 0, 1)
+        y = pm.Normal("y", mu=x, observed=[0, 1, 2, 3])
+
+        post3 = cache_post(tune=5, draws=5, progressbar=False)
+        assert len(os.listdir(tmpdir)) == 3
+        assert post3.posterior["x"].mean() != post1.posterior["x"].mean()
+
+        pred1, pred2 = (cache_pred(trace=post3, progressbar=False) for _ in range(2))
+        assert len(os.listdir(tmpdir)) == 4
+        assert pred1.posterior_predictive["y"].mean() == pred2.posterior_predictive["y"].mean()
+        assert "x" not in pred1.posterior_predictive
+
+        # Change kwargs
+        pred3 = cache_pred(trace=post3, progressbar=False, var_names=["x"])
+        assert len(os.listdir(tmpdir)) == 5
+        assert "x" in pred3.posterior_predictive

pymc_experimental/utils/cache.py

@@ -0,0 +1,165 @@
+import hashlib
+import os
+import sys
+from typing import Literal
+
+import arviz as az
+import numpy as np
+from pymc import (
+    modelcontext,
+    sample,
+    sample_posterior_predictive,
+    sample_prior_predictive,
+)
+from pymc.model.fgraph import fgraph_from_model
+from pytensor.compile import SharedVariable
+from pytensor.graph import Constant, FunctionGraph
+from pytensor.scalar import ScalarType
+from pytensor.tensor import TensorType
+from pytensor.tensor.random.type import RandomType
+from pytensor.tensor.type_other import NoneTypeT
+
+
+def hash_data(c):
+    if isinstance(c.type, NoneTypeT):
+        return ""
+    if isinstance(c.type, (ScalarType, TensorType)):
+        if isinstance(c, Constant):
+            arr = c.data
+        elif isinstance(c, SharedVariable):
+            arr = c.get_value(borrow=True)
+        arr_data = arr.view(np.uint8) if arr.size > 1 else arr.tobytes()
+        return hashlib.sha1(arr_data).hexdigest()
+    else:
+        raise NotImplementedError(f"Hashing not implemented for type {c.type}")
+
+
+def get_name_and_props(obj):
+    name = str(obj)
+    props = str(getattr(obj, "_props", lambda: {})())
+    return name, props
+
+
+def hash_from_fg(fg: FunctionGraph) -> int:
+    objects_to_hash = []
+    for node in fg.toposort():
+        objects_to_hash.append(
+            (
+                get_name_and_props(node.op),
+                tuple(get_name_and_props(inp.type) for inp in node.inputs),
+                tuple(get_name_and_props(out.type) for out in node.outputs),
+                # Name is not a symbolic input in the fgraph representation, maybe it should?
+                tuple(inp.name for inp in node.inputs if inp.name),
+                tuple(out.name for out in node.outputs if out.name),
+            )
+        )
+        objects_to_hash.append(
+            tuple(
+                hash_data(c)
+                for c in node.inputs
+                if (
+                    isinstance(c, (Constant, SharedVariable))
+                    # Ignore RNG values
+                    and not isinstance(c.type, RandomType)
+                )
+            )
+        )
+    str_hash = "\n".join(map(str, objects_to_hash))
+    return hashlib.sha1(str_hash.encode()).hexdigest()
+
+
+def cache_sampling(
+    sampling_fn: Literal[sample, sample_prior_predictive, sample_posterior_predictive],
+    path: str = "",
+    force_sample: bool = False,
+):
+    """Cache the result of PyMC sampling.
+
+    Parameter
+    ---------
+    sampling_fn: Callable
+        Must be one of `pymc.sample`, `pymc.sample_prior_predictive` or `pymc.sample_posterior_predictive`.
+        Positional arguments are disallowed.
+    path: string, Optional
+        The path where the results should be saved or retrieved from. Defaults to working directory.
+    force_sample: bool, Optional
+        Whether to force sampling even if cache is found. Defaults to False.
+
+    Returns
+    -------
+    cached_sampling_fn: Callable
+        Function that wraps the sampling_fn. When called, the wrapped function will look for a valid cached result.
+        A valid cache requires the same:
+           1. Model and data
+           2. Sampling function
+           3. Sampling kwargs, ignoring ``random_seed``, ``trace``, ``progressbar``, ``extend_inferencedata`` and ``compile_kwargs``.
+        If o valid cache is found, sampling is bypassed altogether, unless ``force_sample=True``.
+        Otherwise, sampling is performed and the result cached for future reuse.
+        Caching is done on the basis of SHA-1 hashing, and there could be unlikely false positives.
+
+
+    Examples
+    --------
+
+    .. code-block:: python
+
+        import pymc as pm
+        from pymc_experimental.utils import cache_sampling
+
+        with pm.Model() as m:
+            x = pm.Normal("x", 0, 1)
+            y = pm.Normal("y", mu=x, observed=[0, 1, 2])
+
+            idata = cache_sampling(pm.sample)()
+
+        with m:
+            idata = cache_sampling(pm.sample)()  # Cache hit! Returning stored result
+
+    """
+    allowed_fns = (sample, sample_prior_predictive, sample_posterior_predictive)
+    if sampling_fn not in allowed_fns:
+        raise ValueError(f"Cache sampling can only be used with {allowed_fns}")
+
+    def wrapped_sampling_fn(*args, model=None, random_seed=None, **kwargs):
+        if args:
+            raise ValueError("Non-keyword arguments not allowed in cache_sampling")
+
+        extend_inferencedata = kwargs.pop("extend_inferencedata", False)
+
+        # Model hash
+        model = modelcontext(model)
+        fg, _ = fgraph_from_model(model)
+        model_hash = hash_from_fg(fg)
+
+        # Sampling hash
+        sampling_hash_kwargs = kwargs.copy()
+        sampling_hash_kwargs["sampling_fn"] = str(sampling_fn)
+        sampling_hash_kwargs.pop("trace", None)
+        sampling_hash_kwargs.pop("random_seed", None)
+        sampling_hash_kwargs.pop("progressbar", None)
+        sampling_hash_kwargs.pop("compile_kwargs", None)
+        sampling_hash = str(sampling_hash_kwargs)
+
+        file_name = hashlib.sha1((model_hash + sampling_hash).encode()).hexdigest() + ".nc"
+        file_path = os.path.join(path, file_name)
+
+        if not force_sample and os.path.exists(file_path):
+            print("Cache hit! Returning stored result", file=sys.stdout)
+            idata_out = az.from_netcdf(file_path)
+
+        else:
+            idata_out = sampling_fn(*args, **kwargs, model=model, random_seed=random_seed)
+
+            if os.path.exists(file_path):
+                os.remove(file_path)
+            az.to_netcdf(idata_out, file_path)
+
+        # We save inferencedata separately and extend if needed
+        if extend_inferencedata:
+            trace = kwargs["trace"]
+            trace.extend(idata_out)
+            idata_out = trace
+
+        return idata_out
+
+    return wrapped_sampling_fn