Add GeneralizedPoisson distribution

Co-authored-by: Luciano Paz <[email protected]>

docs/api_reference.rst

@@ -29,6 +29,7 @@ Distributions
    :toctree: generated/
 
    GenExtreme
+   GeneralizedPoisson
    histogram_utils.histogram_approximation
    DiscreteMarkovChain
 

pymc_experimental/distributions/__init__.py

@@ -18,6 +18,11 @@
 """
 
 from pymc_experimental.distributions.continuous import GenExtreme
+from pymc_experimental.distributions.discrete import GeneralizedPoisson
 from pymc_experimental.distributions.timeseries import DiscreteMarkovChain
 
-__all__ = ["GenExtreme", "DiscreteMarkovChain"]
+__all__ = [
+    "DiscreteMarkovChain",
+    "GeneralizedPoisson",
+    "GenExtreme",
+]

pymc_experimental/distributions/discrete.py

@@ -0,0 +1,173 @@
+#   Copyright 2023 The PyMC Developers
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+
+import numpy as np
+import pymc as pm
+from pymc.distributions.dist_math import check_parameters, factln, logpow
+from pymc.distributions.shape_utils import rv_size_is_none
+from pytensor import tensor as pt
+from pytensor.tensor.random.op import RandomVariable
+
+
+class GeneralizedPoissonRV(RandomVariable):
+    name = "generalized_poisson"
+    ndim_supp = 0
+    ndims_params = [0, 0]
+    dtype = "int64"
+    _print_name = ("GeneralizedPoisson", "\\operatorname{GeneralizedPoisson}")
+
+    @classmethod
+    def rng_fn(cls, rng, theta, lam, size):
+        theta = np.asarray(theta)
+        lam = np.asarray(lam)
+
+        if size is not None:
+            dist_size = size
+        else:
+            dist_size = np.broadcast_shapes(theta.shape, lam.shape)
+
+        # A mix of 2 algorithms described by Famoye (1997) is used depending on parameter values
+        # 0: Inverse method, computed on the log scale. Used when lam <= 0.
+        # 1: Branching method. Used when lambda > 0.
+        x = np.empty(dist_size)
+        idxs_mask = np.broadcast_to(lam < 0, dist_size)
+        if np.any(idxs_mask):
+            x[idxs_mask] = cls._inverse_rng_fn(rng, theta, lam, dist_size, idxs_mask=idxs_mask)[
+                idxs_mask
+            ]
+        idxs_mask = ~idxs_mask
+        if np.any(idxs_mask):
+            x[idxs_mask] = cls._branching_rng_fn(rng, theta, lam, dist_size, idxs_mask=idxs_mask)[
+                idxs_mask
+            ]
+        return x
+
+    @classmethod
+    def _inverse_rng_fn(cls, rng, theta, lam, dist_size, idxs_mask):
+        # We handle x/0 and log(0) issues with branching
+        with np.errstate(divide="ignore", invalid="ignore"):
+            log_u = np.log(rng.uniform(size=dist_size))
+            pos_lam = lam > 0
+            abs_log_lam = np.log(np.abs(lam))
+            theta_m_lam = theta - lam
+            log_s = -theta
+            log_p = log_s.copy()
+            x_ = 0
+            x = np.zeros(dist_size)
+            below_cutpoint = log_s < log_u
+            while np.any(below_cutpoint[idxs_mask]):
+                x_ += 1
+                x[below_cutpoint] += 1
+                log_c = np.log(theta_m_lam + lam * x_)
+                # Compute log(1 + lam / C)
+                log1p_lam_m_C = np.where(
+                    pos_lam,
+                    np.log1p(np.exp(abs_log_lam - log_c)),
+                    pm.math.log1mexp_numpy(abs_log_lam - log_c, negative_input=True),
+                )
+                log_p = log_c + log1p_lam_m_C * (x_ - 1) + log_p - np.log(x_) - lam
+                log_s = np.logaddexp(log_s, log_p)
+                below_cutpoint = log_s < log_u
+            return x
+
+    @classmethod
+    def _branching_rng_fn(cls, rng, theta, lam, dist_size, idxs_mask):
+        lam_ = np.abs(lam)  # This algorithm is only valid for positive lam
+        y = rng.poisson(theta, size=dist_size)
+        x = y.copy()
+        higher_than_zero = y > 0
+        while np.any(higher_than_zero[idxs_mask]):
+            y = rng.poisson(lam_ * y)
+            x[higher_than_zero] = x[higher_than_zero] + y[higher_than_zero]
+            higher_than_zero = y > 0
+        return x
+
+
+generalized_poisson = GeneralizedPoissonRV()
+
+
+class GeneralizedPoisson(pm.distributions.Discrete):
+    R"""
+    Generalized Poisson.
+    Used to model count data that can be either overdispersed or underdispersed.
+    Offers greater flexibility than the standard Poisson which assumes equidispersion,
+    where the mean is equal to the variance.
+    The pmf of this distribution is
+
+    .. math:: f(x \mid \mu, \lambda) =
+                  \frac{\mu (\mu + \lambda x)^{x-1} e^{-\mu - \lambda x}}{x!}
+    ========  ======================================
+    Support   :math:`x \in \mathbb{N}_0`
+    Mean      :math:`\frac{\mu}{1 - \lambda}`
+    Variance  :math:`\frac{\mu}{(1 - \lambda)^3}`
+    ========  ======================================
+
+    Parameters
+    ----------
+    mu : tensor_like of float
+        Mean parameter (mu > 0).
+    lam : tensor_like of float
+        Dispersion parameter (max(-1, -mu/4) <= lam <= 1).
+
+    Notes
+    -----
+    When lam = 0, the Generalized Poisson reduces to the standard Poisson with the same mu.
+    When lam < 0, the mean is greater than the variance (underdispersion).
+    When lam > 0, the mean is less than the variance (overdispersion).
+
+    References
+    ----------
+    The PMF is taken from [1] and the random generator function is adapted from [2].
+    .. [1] Consul, PoC, and Felix Famoye. "Generalized Poisson regression model."
+       Communications in Statistics-Theory and Methods 21.1 (1992): 89-109.
+    .. [2] Famoye, Felix. "Generalized Poisson random variate generation." American
+       Journal of Mathematical and Management Sciences 17.3-4 (1997): 219-237.
+    """
+
+    rv_op = generalized_poisson
+
+    @classmethod
+    def dist(cls, mu, lam, **kwargs):
+        mu = pt.as_tensor_variable(mu)
+        lam = pt.as_tensor_variable(lam)
+        return super().dist([mu, lam], **kwargs)
+
+    def moment(rv, size, mu, lam):
+        mean = pt.floor(mu / (1 - lam))
+        if not rv_size_is_none(size):
+            mean = pt.full(size, mean)
+        return mean
+
+    def logp(value, mu, lam):
+        mu_lam_value = mu + lam * value
+        logprob = np.log(mu) + logpow(mu_lam_value, value - 1) - mu_lam_value - factln(value)
+
+        # Probability is 0 when value > m, where m is the largest positive integer for
+        # which mu + m * lam > 0 (when lam < 0).
+        logprob = pt.switch(
+            pt.or_(
+                mu_lam_value < 0,
+                value < 0,
+            ),
+            -np.inf,
+            logprob,
+        )
+
+        return check_parameters(
+            logprob,
+            0 < mu,
+            pt.abs(lam) <= 1,
+            (-mu / 4) <= lam,
+            msg="0 < mu, max(-1, -mu/4)) <= lam <= 1",
+        )

pymc_experimental/tests/distributions/test_discrete.py

@@ -0,0 +1,118 @@
+#   Copyright 2023 The PyMC Developers
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+import numpy as np
+import pymc as pm
+import pytensor
+import pytensor.tensor as pt
+import pytest
+import scipy.stats
+from pymc.logprob.utils import ParameterValueError
+from pymc.testing import (
+    BaseTestDistributionRandom,
+    Domain,
+    Rplus,
+    assert_moment_is_expected,
+    discrete_random_tester,
+)
+
+from pymc_experimental.distributions import GeneralizedPoisson
+
+
+class TestGeneralizedPoisson:
+    class TestRandomVariable(BaseTestDistributionRandom):
+        pymc_dist = GeneralizedPoisson
+        pymc_dist_params = {"mu": 4.0, "lam": 1.0}
+        expected_rv_op_params = {"mu": 4.0, "lam": 1.0}
+        tests_to_run = [
+            "check_pymc_params_match_rv_op",
+            "check_rv_size",
+        ]
+
+        def test_random_matches_poisson(self):
+            discrete_random_tester(
+                dist=self.pymc_dist,
+                paramdomains={"mu": Rplus, "lam": Domain([0], edges=(None, None))},
+                ref_rand=lambda mu, lam, size: scipy.stats.poisson.rvs(mu, size=size),
+            )
+
+        @pytest.mark.parametrize("mu", (2.5, 20, 50))
+        def test_random_lam_expected_moments(self, mu):
+            lam = np.array([-0.9, -0.7, -0.2, 0, 0.2, 0.7, 0.9])
+            dist = self.pymc_dist.dist(mu=mu, lam=lam, size=(10_000, len(lam)))
+            draws = dist.eval()
+
+            expected_mean = mu / (1 - lam)
+            np.testing.assert_allclose(draws.mean(0), expected_mean, rtol=1e-1)
+
+            expected_std = np.sqrt(mu / (1 - lam) ** 3)
+            np.testing.assert_allclose(draws.std(0), expected_std, rtol=1e-1)
+
+    def test_logp_matches_poisson(self):
+        # We are only checking this distribution for lambda=0 where it's equivalent to Poisson.
+        mu = pt.scalar("mu")
+        lam = pt.scalar("lam")
+        value = pt.vector("value")
+
+        logp = pm.logp(GeneralizedPoisson.dist(mu, lam), value)
+        logp_fn = pytensor.function([value, mu, lam], logp)
+
+        test_value = np.array([0, 1, 2, 30])
+        for test_mu in (0.01, 0.1, 0.9, 1, 1.5, 20, 100):
+            np.testing.assert_allclose(
+                logp_fn(test_value, test_mu, lam=0),
+                scipy.stats.poisson.logpmf(test_value, test_mu),
+            )
+
+        # Check out-of-bounds values
+        value = pt.scalar("value")
+        logp = pm.logp(GeneralizedPoisson.dist(mu, lam), value)
+        logp_fn = pytensor.function([value, mu, lam], logp)
+
+        logp_fn(-1, mu=5, lam=0) == -np.inf
+        logp_fn(9, mu=5, lam=-1) == -np.inf
+
+        # Check mu/lam restrictions
+        with pytest.raises(ParameterValueError):
+            logp_fn(1, mu=1, lam=2)
+
+        with pytest.raises(ParameterValueError):
+            logp_fn(1, mu=0, lam=0)
+
+        with pytest.raises(ParameterValueError):
+            logp_fn(1, mu=1, lam=-1)
+
+    def test_logp_lam_expected_moments(self):
+        mu = 30
+        lam = np.array([-0.9, -0.7, -0.2, 0, 0.2, 0.7, 0.9])
+        with pm.Model():
+            x = GeneralizedPoisson("x", mu=mu, lam=lam)
+            trace = pm.sample(chains=1, draws=10_000, random_seed=96).posterior
+
+        expected_mean = mu / (1 - lam)
+        np.testing.assert_allclose(trace["x"].mean(("chain", "draw")), expected_mean, rtol=1e-1)
+
+        expected_std = np.sqrt(mu / (1 - lam) ** 3)
+        np.testing.assert_allclose(trace["x"].std(("chain", "draw")), expected_std, rtol=1e-1)
+
+    @pytest.mark.parametrize(
+        "mu, lam, size, expected",
+        [
+            (50, [-0.6, 0, 0.6], None, np.floor(50 / (1 - np.array([-0.6, 0, 0.6])))),
+            ([5, 50], -0.1, (4, 2), np.full((4, 2), np.floor(np.array([5, 50]) / 1.1))),
+        ],
+    )
+    def test_moment(self, mu, lam, size, expected):
+        with pm.Model() as model:
+            GeneralizedPoisson("x", mu=mu, lam=lam, size=size)
+        assert_moment_is_expected(model, expected)