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+BenchmarkTools = "6e4b80f9-dd63-53aa-95a3-0cdb28fa8baf" +Conda = "8f4d0f93-b110-5947-807f-2305c1781a2d" +Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f" +ExpectationMaximization = "e1fe09cc-5134-44c2-a941-50f4cd97986a" +GaussianMixtures = "cc18c42c-b769-54ff-9e2a-b28141a64aae" +LaTeXStrings = "b964fa9f-0449-5b57-a5c2-d3ea65f4040f" +LogExpFunctions = "2ab3a3ac-af41-5b50-aa03-7779005ae688" +MLDatasets = "eb30cadb-4394-5ae3-aed4-317e484a6458" +Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80" +PyCall = "438e738f-606a-5dbb-bf0a-cddfbfd45ab0" +RCall = "6f49c342-dc21-5d91-9882-a32aef131414" +RDatasets = "ce6b1742-4840-55fa-b093-852dadbb1d8b" +Revise = "295af30f-e4ad-537b-8983-00126c2a3abe" +StatsPlots = "f3b207a7-027a-5e70-b257-86293d7955fd" +Traceur = "37b6cedf-1f77-55f8-9503-c64b63398394" diff --git a/benchmarks/benchmark_v2_K2_unidim.jl b/benchmarks/benchmark_v2_K2_unidim.jl new file mode 100644 index 0000000..759e9d4 --- /dev/null +++ b/benchmarks/benchmark_v2_K2_unidim.jl @@ -0,0 +1,165 @@ +# Benchmarking + +using Distributions, Random +using BenchmarkTools, Test +using RCall +using GaussianMixtures # v0.3.8 +using StatsPlots +using ExpectationMaximization # v0.2.2 +using PyCall +using Conda +using LinearAlgebra +using LaTeXStrings +# @rimport microbenchmark # One could use that to benchmark in R to prevent a potential overhead time of using RCall. +# timeit = pyimport("timeit") # One could use that to benchmark in Python to prevent a potential overhead time of using PyCall. + +@rimport mixtools # https://www.rdocumentation.org/packages/mixtools/versions/2.0.0 + +os = pyimport("os") +os.environ["OMP_NUM_THREADS"] = "1" + +np = pyimport("numpy") +sklearn = pyimport("sklearn.mixture") # scikit-learn 1.3.2 +mixem = pyimport("mixem") + +# GaussianMixtures.jl +function jl_GMM(y, mu, sigma, alpha, iters=100) + gmm = GMM(length(mu), 1) # initialize an empty GMM object + # stick in our starting values + gmm.μ[:, 1] .= mu + gmm.Σ[:, 1] .= sigma + gmm.w[:, 1] .= alpha + + # run em! + # em!(gmm, y[:, :], nIter=iters) + res = copy(gmm) + em!(res, y[:,:], nIter=iters) + time = @belapsed $em!(g, $(y[:,:]), nIter=iters) setup=(g = copy($gmm)) + return time, res +end + +py_EM = sklearn.GaussianMixture +function py_sklearn(y, mu, sigma, alpha, iters=100; infos=0, verbose_interval=1, tol=1e-5) + precisions_init = [inv(Diagonal(sigma .^ 2))[i, i] for i in eachindex(mu)] + K = length(mu) + Y = reshape(y, (length(y), 1)) + MU = reshape(mu, (length(mu), 1)) + invsigma2 = reshape(precisions_init, (length(precisions_init), 1)) + g₀ = py_EM(n_components=K, covariance_type="diag", weights_init=alpha, means_init=MU, precisions_init=invsigma2, max_iter=iters, warm_start=false, verbose=infos, verbose_interval=verbose_interval, tol=tol).fit + g = g₀ + res = g(Y) + time = @belapsed g($Y) setup=(g = $g₀) + return time, res +end + +# py_mixemEM = mixem.em +# function py_mixem(y, mu, sigma, alpha, iters=100) +# K = length(mu) +# dists = [mixem.distribution.NormalDistribution(mu=mu[i], sigma=sigma[i]) for i in 1:K] +# return @belapsed $py_mixemEM($y, dists, initial_weights=alpha, max_iterations=iters, progress_callback = :none, tol=1e-5, tol_iters=1) +# end + +function my_em(y, mu, sigma, alpha, iters=100) + mix = MixtureModel([Normal(mu[i], sigma[i]) for i in eachindex(mu)], alpha) + res = fit_mle(mix, y, maxiter=iters, atol=1e-5) + time = @belapsed $fit_mle($mix, $y, maxiter=$iters, atol=$1e-5) + return time, res +end + +# function in question +R_EM = mixtools.normalmixEM + +function R_mixtools(y, mu, sigma, alpha, iters=100) + K = length(mu) + res = R_EM(y, k=K, lambda=alpha, mu=mu, sigma=sigma, maxit=iters, epsilon=1e-5) + time = @belapsed $R_EM($y, k=$K, lambda=$alpha, mu=$mu, sigma=$sigma, maxit=$iters, epsilon=$1e-5) + return time, res +end + +Names = ["ExpectationMaximization.jl", "GaussianMixtureModel.jl", "mixtools.R", "Sklearn.py", "mixem.py"] +# true values +μ = [-4, 10] +σ = [2, 10] +α = [0.8, 0.2] +mi = MixtureModel([Normal(μ[i], σ[i]) for i in eachindex(μ)], α) + +# guess +mu = [-1, 1] +sigma = [1, 1] +alpha = [0.5, 0.5] + +iters = 8 +NN = Int[500, 1000, 5000, 1e4, 5e4, 1e5, 5e5, 1e6] + +KK = [2] + +d = Dict{String,Matrix}() +for key in Names + d[key] = ones(length(NN), length(KK)) +end + +for j in eachindex(KK) + K = KK[j] + for i in eachindex(NN) + rtol = 1e-2 + Random.seed!(3333) + n = NN[i] + y = rand(mi, n) + @show n + + # I found that @belapsed was suspect (sometimes asking to define y while it was already defined) + d["ExpectationMaximization.jl"][i, j], res_my = my_em(y, mu, sigma, alpha, iters) + d["GaussianMixtureModel.jl"][i, j], res_gmm = jl_GMM(y, mu, sigma, alpha, iters) + + # This is suspect since it triggers a warning regarding Kmean which I do not want to use. + # I asked a question [here](https://github.com/scikit-learn/scikit-learn/discussions/25916) + # Plus there seem to have a long compilation time + d["Sklearn.py"][i, j], res_sk = py_sklearn(y, mu, sigma, alpha, iters) + + # this one seems to overflow for n larger than ~500, I believe it is due to the way log(sum(exp))... + # def logsumexp(X,axis=None,keepdims=1,log=1): + # d["mixem.py"][i, j] = py_mixem(y, mu, sigma, alpha, iters) + + # this seems to work just fine (just print an annoying warning about convergence that I could not remove) + d["mixtools.R"][i, j], res_R = R_mixtools(y, mu, sigma, alpha, iters) + + # mixtools vs EM.jl + @test mean.(res_my.components) ≈ res_R[3][1:K] rtol = rtol + @test std.(res_my.components) ≈ res_R[4][1:K] rtol = rtol + @test probs(res_my) ≈ res_R[2][1:K] rtol = rtol + + # mixtools vs py_sklearn + @test vec(res_sk.means_) ≈ res_R[3][1:K] rtol = rtol + @test sqrt.(vec(res_sk.covariances_)) ≈ res_R[4][1:K] rtol = rtol + @test res_sk.weights_ ≈ res_R[2][1:K] rtol = rtol + + # mixtools vs gmm.jl + @test vec(res_gmm.μ) ≈ res_R[3][1:K] rtol = rtol + @test sqrt.(vec(res_gmm.Σ)) ≈ res_R[4][1:K] rtol = rtol + @test res_gmm.w ≈ res_R[2][1:K] rtol = rtol + end +end + +# Random.seed!(3333) +# n = 500 +# i = 1 +# j =1 +# y = rand(mi, n) +# d["mixem.py"][i, j] = py_mixem(y, mu, sigma, alpha, iters) + +xNN = 10 .^ (2:6) +yti = 10 .^ (-4.0:1) +default(fontfamily="Computer Modern", linewidth=1, label=nothing) +begin + K = 2 + plot(legend=:topleft, size=(900, 800), legendfontsize = 16) + [plot!(NN, d[key][:, 1], label=key, c=na) for (na, key) in collect(enumerate(Names))[1:end-1]] + # scatter!([NN[1]], [d[Names[end]][1, 1]], label=Names[end], c=length(Names)) + ylabel!("Time (s)", ylabelfontsize = 16) + yaxis!(:log10) + xaxis!(:log10) + xlabel!(L"n", xlabelfontsize = 18) + xticks!(xNN, xtickfontsize = 16) + yticks!(yti, ytickfontsize = 16, minorticks=9, minorgrid=true, gridalpha=0.3, minorgridalpha=0.15) +end +savefig("timing_K_2.svg") diff --git a/docs/src/benchmarks.md b/docs/src/benchmarks.md index a6a5c00..2cc4423 100644 --- a/docs/src/benchmarks.md +++ b/docs/src/benchmarks.md @@ -21,7 +21,7 @@ You can find the benchmark code [here](https://github.com/dmetivie/ExpectationMa **Conclusion: for Gaussian mixtures, `ExpectationMaximization.jl` is about 2 to 10 times faster than Python or R implementations** and about as fast as the specialized Julia package `GaussianMixturesModel.jl`. -![timing_K_2_rudimentary_wo_memory_leak](https://user-images.githubusercontent.com/46794064/227195619-c75b9276-932b-4029-8b49-6cce919acc87.svg) +![timing_K_2](https://github.com/dmetivie/ExpectationMaximization.jl/assets/46794064/57bd5671-1082-4514-9a9e-c611f9c923df) [^1]: Note that `@btime` with `RCall` and `PyCall` might produce a small-time overhead compared to the pure R/Python time; see [here for example](https://discourse.julialang.org/t/benchmarking-julia-vs-python-vs-r-with-pycall-and-rcall/37308). I did compare with `R` `microbenchmark` and Python `timeit` and they produced very similar timing but in my experience `BenchmarkTools.jl` is smarter and simpler to use, i.e. it will figure out alone the number of repetition to do in function of the run. diff --git a/img/timing_K_2.svg b/img/timing_K_2.svg new file mode 100644 index 0000000..dfc9b2c --- /dev/null +++ b/img/timing_K_2.svg @@ -0,0 +1,178 @@ + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + +