run_exp_gp_los.py

#
# DKAFT
#
# Copyright (c) Siemens AG, 2021
# Authors:
# Zhiliang Wu <zhiliang.wu@siemens.com>
# License-Identifier: MIT

import copy
import gc
from functools import partial
from pathlib import Path
import shutil
import uuid

import numpy as np
import pandas as pd
import mlflow

import torch
from torch import nn
from torch.optim import Adam
from torch.optim.lr_scheduler import StepLR

import gpytorch
from sklearn.metrics import mean_squared_error, r2_score
import ignite
from ignite.contrib.handlers.mlflow_logger import MLflowLogger, \
    global_step_from_engine
from ignite.contrib.handlers import ProgressBar
from ignite.contrib.handlers.param_scheduler import LRScheduler
from ignite.contrib.metrics.regression import R2Score
from ignite.engine import Events
from ignite.handlers import DiskSaver, EarlyStopping
from ignite.metrics import MeanSquaredError, Average

from data_utils import get_tensor_loaders_in_file, prepare_batch_tensor
from gp_layer import SVGPLayer
from plot_utils import residual_plot
from logging_conf import logger
from model_utils import SequenceFeature, DKLModel, \
    get_initial_inducing_points_seq, create_dkl_trainer,  \
    create_dkl_evaluator, EpochOutputStore, CheckPointAfter


def run(batch_size=64, lr=3e-4, alpha=1e-3, n_hidden_sta=4, n_hidden_temp=32,
        num_gp=1, num_inducing=10, model_name='lstm', n_embedding_temp=32,
        len_int=1, len_ts=48, epoch=50, fold_idx=0,
        device=torch.device('cpu'), exp_name='dataset_xxx',
        run_name='model_xxx', seed=42):
    """Run the experiment with a given setting.

    Args:
        batch_size (int): Batch size.
        lr (float): The value of the learning rate, possibly from lrfinder.
        alpha (float): The value of weight decay (a.k.a. regularization).
        n_hidden_sta (int): The dimension of the hidden static
                representations.
        n_hidden_temp (int): The dimension of the hidden sequential
            representations.
        num_gp (int): The number of involved GPs.
        num_inducing (int): The multiple of inducing points. The total number
            of inducing points is num_inducing x batch_size.
        model_name (str): The name of the backbone.
        n_embedding_temp (int): The dimension of the temporal embeddings.
        len_int (int): The length of the time interval (hours).
        len_ts (int):  The length of the number of time steps (hours).
        epoch (int): The number of training epochs.
        fold_idx (int): The index of the training/validation set.
        device (torch.device or str): The device to load the models.
        exp_name (str): The name of the experiments with a format of
            dataset_xxx, which defines the experiment name inside MLflow.
        run_name (str): The name of the run with a format of
            [model_name]_linear_regressor, which defines the run name inside
            MLflow.
        seed (int): The number of the random seed to ensure the reproducibility.

    Returns:
        None: The evolution of training loss and evaluation loss are saved to
            MLflow.

    """

    np.random.seed(seed)
    torch.manual_seed(seed)

    dp = Path(f'../mimic_setc')
    fn = f'imputed-normed-ep_{len_int}_{len_ts}_los.data'

    data_fp = dp / fn
    split_df = pd.read_csv(dp / f'{fn[:-5]}_split.csv', index_col=0)

    train_loader, valid_loader, test_loader, n_feature_sta, n_feature_temp = \
        get_tensor_loaders_in_file(data_fp, split_df,
                                   train_batch_size=batch_size,
                                   valid_batch_size=batch_size,
                                   n_fold=fold_idx)

    backbone = SequenceFeature(n_feature_sta, n_feature_temp,
                               n_hidden_sta=n_hidden_sta,
                               n_hidden_temp=n_hidden_temp,
                               model=model_name,
                               n_embedding_temp=n_embedding_temp
                               )

    feature_extractor = backbone.to(device)

    inducing_points = get_initial_inducing_points_seq(feature_extractor,
                                                      train_loader,
                                                      device,
                                                      num_inducing=num_inducing)

    # inducing_points = torch.randn(int(num_gp * num_inducing * batch_size),
    #                               n_hidden_sta + n_hidden_temp)

    gp_layer = SVGPLayer(inducing_points=inducing_points)

    model = DKLModel(feature_extractor=feature_extractor, gp_layer=gp_layer)
    likelihood = gpytorch.likelihoods.GaussianLikelihood()

    model = model.to(device)
    likelihood = likelihood.to(device)

    model_bk = copy.deepcopy(model)
    likelihood_bk = copy.deepcopy(likelihood)

    optimizer = Adam([{'params': model.feature_extractor.parameters(),
                       'weight_decay': alpha,
                       'lr': lr
                       },
                      {'params': model.gp_layer.parameters()},
                      {'params': likelihood.parameters()}
                      ], lr=0.01)

    mll = gpytorch.mlls.VariationalELBO(likelihood, model.gp_layer,
                                        num_data=len(train_loader.dataset))
    # mll = gpytorch.mlls.PredictiveLogLikelihood(likelihood, model.gp_layer,
    #                                             num_data=len(train_loader.dataset))

    def train_output_transform(x, y, y_pred, loss):
        return {'y': y, 'y_pred': y_pred, 'loss': loss.item()}

    prepare_batch_tensor_reshape = partial(prepare_batch_tensor,
                                           new_shape=(-1,))
    trainer = create_dkl_trainer(model, likelihood, optimizer, mll,
                                 device=device,
                                 prepare_batch=prepare_batch_tensor_reshape,
                                 output_transform=train_output_transform)

    train_metrics = {'mll': Average(output_transform=lambda x: -x['loss']),
                     'mse': MeanSquaredError(),
                     'r2score': R2Score()
                     }

    for name, metric in train_metrics.items():
        metric.attach(trainer, name)

    pbar = ProgressBar(persist=True)
    pbar.attach(trainer,
                output_transform=lambda out: {'batch loss': out['loss']})

    # evaluators
    val_metrics = {'mse': MeanSquaredError(),
                   'r2score': R2Score()
                   }

    # for name, metric in val_metrics.items():
    #     metric.attach(trainer, name)

    evaluator = create_dkl_evaluator(model, likelihood, metrics=val_metrics,
                                     device=device,
                                     prepare_batch=prepare_batch_tensor_reshape
                                     )
    pbar.attach(evaluator)

    eos_train = EpochOutputStore(output_transform=lambda out: (out['y_pred'],
                                                               out['y']))
    eos_valid = EpochOutputStore()
    eos_train.attach(trainer)
    eos_valid.attach(evaluator)

    mlflow.set_experiment(exp_name)
    with mlflow.start_run(run_name=run_name):

        mlflow_logger = MLflowLogger()

        mlflow_logger.log_params({
            'seed': seed,
            'batch_size': batch_size,
            'num_epoch': epoch,
            'model': model_name,
            'number inducing points': int(num_gp * num_inducing * batch_size),
            'gp_input_dim': n_hidden_sta+n_hidden_temp,
            'weight_decay': alpha,
            'hidden_dim_sta': n_hidden_sta,
            'hidden_dim_temp': n_hidden_temp,
            'embedding_temp': n_embedding_temp,
            'fold_index': fold_idx,
            'file_data': fn,
            'pytorch version': torch.__version__,
            'ignite version': ignite.__version__,
            'cuda version': torch.version.cuda,
            'device name': torch.cuda.get_device_name(0)
        })

        # handlers for evaluator
        # note, this actually calls the evaluator
        @trainer.on(Events.EPOCH_COMPLETED)
        def log_validation_results(engine):
            evaluator.run(valid_loader)
            metrics = evaluator.state.metrics
            pbar.log_message(f"Validation Results "
                             f"- Epoch: {engine.state.epoch} "
                             f"- Mean Square Error: {metrics['mse']:.4f} "
                             f"- R squared: {metrics['r2score']:.2f}"
                             )
            log_metrics = {f'validation {k}': v for k, v in metrics.items()}
            mlflow_logger.log_metrics(log_metrics, step=engine.state.epoch)

        temp_name = f'temp_{uuid.uuid4()}'

        def score_function(engine):
            return -engine.state.metrics['mse']

        to_save = {'model': model,
                   'likelihood': likelihood,
                   # 'optimizer': optimizer
                   }
        handler = CheckPointAfter(start_epoch=30,
                                  to_save=to_save,
                                  save_handler=DiskSaver(f'./{temp_name}',
                                                         create_dir=True),
                                  n_saved=1,
                                  filename_prefix='best',
                                  score_function=score_function,
                                  score_name="val_mse",
                                  global_step_transform=global_step_from_engine(
                                      trainer))

        evaluator.add_event_handler(Events.COMPLETED, handler)
        es_handler = EarlyStopping(patience=30, score_function=score_function,
                                   trainer=trainer)
        evaluator.add_event_handler(Events.COMPLETED, es_handler)

        # handlers for trainer
        @trainer.on(Events.EPOCH_COMPLETED)
        def log_training_results(engine):
            metrics = engine.state.metrics
            pbar.log_message(f"Training Set "
                             f"- Epoch: {engine.state.epoch} "
                             f"- MLL: {metrics['mll']:.4f}  "
                             f"- Mean Square Error: {metrics['mse']:.4f} "
                             f"- R squared: {metrics['r2score']:.2f}"
                             )

        def log_plots(engine, label='valid'):
            train_hist_y_p, train_hist_y = eos_train.get_output(to_numpy=True)
            val_hist_y_p, val_hist_y = eos_valid.get_output(to_numpy=True)

            residual_plot(train_hist_y, train_hist_y_p,
                          val_hist_y, val_hist_y_p, dp=temp_name,
                          n_epoch=engine.state.epoch, label=f'y_{label}')

        trainer.add_event_handler(Events.EPOCH_COMPLETED(every=10),
                                  log_plots, label='valid')

        def final_evaluation(engine):
            to_load = {'model': model_bk,
                       'likelihood': likelihood_bk,
                       }
            last_checkpoint_fp = f'./{temp_name}/{handler.last_checkpoint}'
            print(last_checkpoint_fp)
            checkpoint = torch.load(last_checkpoint_fp, map_location=device)
            CheckPointAfter.load_objects(to_load=to_load, checkpoint=checkpoint)
            logger.info('The best model on validation is reloaded for '
                        'evaluation on the test set')

            model_bk.eval()
            likelihood_bk.eval()

            y_true_list = []
            y_pred_list = []
            for batch in test_loader:
                with torch.no_grad():
                    x, y = prepare_batch_tensor(batch, device=device,
                                                non_blocking=False,
                                                new_shape=(-1, )
                                                )
                    output = model_bk(x)
                    y_pred = output.mean
                    y_true_list.append(y)
                    y_pred_list.append(y_pred)

            y_true = torch.cat(y_true_list, dim=0).cpu().numpy()
            y_pred = torch.cat(y_pred_list, dim=0).cpu().numpy()

            test_mse = mean_squared_error(y_true, y_pred)
            test_r2score = r2_score(y_true, y_pred)

            pbar.log_message(f"Testing Results "
                             f"- Epoch: {engine.state.epoch} "
                             f"- Mean Square Error: {test_mse:.4f} "
                             f"- R squared of x: {test_r2score:.2f}"
                             )
            log_metrics = {'test mse': test_mse,
                           'test r2score': test_r2score,
                           }
            mlflow_logger.log_metrics(log_metrics, step=engine.state.epoch)

        trainer.add_event_handler(Events.COMPLETED, final_evaluation)

        @trainer.on(Events.COMPLETED)
        def save_model_to_mlflow(engine):
            mlflow_logger.log_artifacts(f'./{temp_name}/')
            try:
                shutil.rmtree(temp_name)
            except FileNotFoundError:
                logger.warning('Temp drectory not found!')
                raise

        # log training loss at each iteration
        mlflow_logger.attach_output_handler(trainer,
                                            event_name=Events.ITERATION_COMPLETED,
                                            tag='training',
                                            output_transform=lambda out: {
                                                'batch_mll': -out['loss']}
                                            )

        # setup `global_step_transform=global_step_from_engine(trainer)` to
        # take the epoch of the `trainer` instead of `train_evaluator`.
        mlflow_logger.attach_output_handler(trainer,
                                            event_name=Events.EPOCH_COMPLETED,
                                            tag='training',
                                            metric_names=['mll',
                                                          'mse',
                                                          'r2score']
                                            )

        # Attach the logger to the trainer to log optimizer's parameters,
        # e.g. learning rate at each iteration
        mlflow_logger.attach_opt_params_handler(trainer,
                                                event_name=Events.ITERATION_STARTED,
                                                optimizer=optimizer,
                                                param_name='lr'
                                                )

        _ = trainer.run(train_loader, max_epochs=epoch)


if __name__ == '__main__':
    sd = 42
    dc = torch.device('cuda:3' if torch.cuda.is_available() else 'cpu')

    # dataset parameter
    exp = 'mimic_los_SetC'
    interval = 1
    length_time = 48

    # model building/training parameters
    n_hidden_s = 4
    n_hidden_t = 64
    n_embedding_temp = 64

    bs = 256
    n_epoch = 400
    m_name = 'gru'  # or 'gru'
    a = 0.01    # this could be from linear regressor
    lrt = 3e-4  # this is from lr finder

    # gp parameters
    n_gp = 1
    n_idc = 4

    r_name = f'{m_name}_svgp'

    for f in range(5):
        run(batch_size=bs, lr=lrt, alpha=a, n_hidden_sta=n_hidden_s,
            n_hidden_temp=n_hidden_t, num_gp=n_gp, num_inducing=n_idc,
            model_name=m_name, n_embedding_temp=n_embedding_temp,
            len_int=interval, len_ts=length_time, epoch=n_epoch, fold_idx=f,
            device=dc, exp_name=exp, run_name=r_name, seed=sd)
        gc.collect()