Merge pull request #57 from anh-tong/fix-ci-and-test

Fix CI and log signature test in `word` mode

.github/workflows/ci.yml

@@ -57,10 +57,9 @@ jobs:
           python -m pip install --upgrade setuptools pip wheel
           python -m pip install .[test]
 
-      - name: Install heavy deps for testing (signatory + torch)
+      - name: Install iisignature for testing
         run: |
-          python -m pip install torch==1.9.0
-          python -m pip install signatory==1.2.6.1.9.0  --no-cache-dir --force-reinstall
+          python -m pip install iisignature
 
       - name: Test package
         run: >-

tests/test_against_iisignature.py

@@ -7,7 +7,8 @@
 import pytest
 from numpy.random import default_rng
 
-from signax import logsignature, signature
+from signax import logsignature, multi_signature_combine, signature
+from signax.utils import compress, lyndon_words, unravel_signature
 
 rng = default_rng()
 
@@ -32,14 +33,84 @@ def test_signature(depth, length, dim, stream):
     assert jnp.allclose(jax_signature, iis_signature)
 
 
+def test_multi_signature_combine():
+    # iisignature does not support multiple signature combination
+    # we only test for the case of combining two signatures
+    # note: this test is passed in signatory before migrating to iisignature
+    n_signatures = 2
+    dim = 5
+    signatures = [
+        rng.standard_normal((n_signatures, dim)),
+        rng.standard_normal((n_signatures, dim, dim)),
+        rng.standard_normal((n_signatures, dim, dim, dim)),
+    ]
+
+    jax_signatures = [jnp.array(x) for x in signatures]
+
+    jax_output = multi_signature_combine(jax_signatures)
+    jax_output = jnp.concatenate([jnp.ravel(x) for x in jax_output])
+
+    iis_signatures = []
+    for i in range(n_signatures):
+        tensors = [np.asarray(x[i]) for x in signatures]
+        current = np.concatenate([t.flatten() for t in tensors])
+        current = current[None, :]
+        iis_signatures.append(current)
+
+    iis_output = iisignature.sigcombine(
+        iis_signatures[0],
+        iis_signatures[1],
+        dim,
+        len(signatures),
+    )
+    iis_output = jnp.array(iis_output)
+    assert jnp.allclose(jax_output, iis_output)
+
+
+@pytest.mark.parametrize("stream", [True, False])
+def test_signature_batch(stream):
+    depth = 3
+
+    # no remainder case
+    length = 1001
+    dim = 5
+    n_chunks = 10
+
+    path = rng.standard_normal((length, dim))
+    jax_signature = signature(
+        path, depth=depth, num_chunks=n_chunks, stream=stream, flatten=True
+    )
+
+    iis_signature = (
+        iisignature.sig(np.asarray(path), depth)
+        if not stream
+        else iisignature.sig(np.asarray(path), depth, 2)
+    )
+    iis_signature = jnp.asarray(iis_signature)
+
+    assert jnp.allclose(jax_signature, iis_signature)
+
+
 @pytest.mark.parametrize(
     ("depth", "length", "dim", "stream"), [(1, 2, 2, False), (3, 3, 5, False)]
 )
 def test_logsignature(depth, length, dim, stream):
     batch_size = 10
     path = rng.standard_normal((batch_size, length, dim))
     jax_logsignature = logsignature(path, depth=depth, stream=stream, flatten=True)
-    s = iisignature.prepare(dim, depth, "O")
-    iis_logsignature = iisignature.logsig(np.asarray(path), s)
-    iis_logsignature = jnp.asarray(iis_logsignature)
+
+    # get expanded version of log signature
+    s = iisignature.prepare(dim, depth, "x")
+    iis_logsignature = iisignature.logsig(np.asarray(path), s, "x")
+
+    def _compress(expanded_log_signature):
+        # convert expanded array as list of arrays
+        expanded_log_signature = unravel_signature(expanded_log_signature, dim, depth)
+        indices = lyndon_words(depth, dim)
+        compressed = compress(expanded_log_signature, indices)
+        compressed = jnp.concatenate(compressed)
+        return compressed
+
+    iis_logsignature = jax.vmap(_compress)(iis_logsignature)
+
     assert jnp.allclose(jax_logsignature, iis_logsignature, atol=5e-1, rtol=5e-1)

tests/test_tensor_ops.py

@@ -6,13 +6,15 @@
 import numpy as np
 from numpy.random import default_rng
 
+from signax import signature, signature_to_logsignature
 from signax.tensor_ops import (
     addcmul,
     mult,
     mult_fused_restricted_exp,
     otimes,
     restricted_exp,
 )
+from signax.utils import compress, lyndon_words, unravel_signature
 
 rng = default_rng()
 
@@ -110,26 +112,27 @@ def test_mult():
     assert jnp.allclose(iis_signature, jax_output)
 
 
-# def test_log():
-#     """Test log via signature_to_logsignature"""
-#     depth = 4
-#     length, dim = 3, 2
-#     path = rng.standard_normal((length, dim))
-#     jax_path = jnp.array(path)
-#     jax_signature = signature(jax_path, depth, flatten=False)
-#     jax_logsignature = signature_to_logsignature(jax_signature)
-#     jax_output = jnp.concatenate([jnp.ravel(x) for x in jax_logsignature])
-
-#     torch_signature = signatory.signature(
-#         torch.tensor(path)[None, ...],
-#         depth,
-#     )
-#     torch_logsignature = signatory.signature_to_logsignature(
-#         torch_signature,
-#         dim,
-#         depth,
-#     )
-
-#     torch_output = jnp.array(torch_logsignature.numpy())
-
-#     assert jnp.allclose(torch_output, jax_output)
+def test_log():
+    """Test log via signature_to_logsignature"""
+    depth = 4
+    length, dim = 3, 2
+    path = rng.standard_normal((length, dim))
+    jax_path = jnp.array(path)
+    jax_signature = signature(jax_path, depth, flatten=False)
+    jax_logsignature = signature_to_logsignature(jax_signature)
+    jax_output = jnp.concatenate([jnp.ravel(x) for x in jax_logsignature])
+
+    s = iisignature.prepare(dim, depth, "x")
+    iis_logsignature = iisignature.logsig(np.asarray(path), s, "x")
+
+    def _compress(expanded_log_signature):
+        # convert expanded array as list of arrays
+        expanded_log_signature = unravel_signature(expanded_log_signature, dim, depth)
+        indices = lyndon_words(depth, dim)
+        compressed = compress(expanded_log_signature, indices)
+        compressed = jnp.concatenate(compressed)
+        return compressed
+
+    iis_logsignature = _compress(iis_logsignature)
+
+    assert jnp.allclose(iis_logsignature, jax_output)