Tailoring the Deep Markov Model Code for Regression

kapilagrawal · May 8, 2018, 5:40am

Hi, commendable job on the code and the corresponding blog.
I am trying to tailor this code wherein instead of an array of length 88, my time series consists of one continuous variable i.e. cost.

There are a few parts that I do not understand entirely:

Since mine is a regression problem; I know Bernoulli wouldn’t work. Which function should I rather try? And will the negative log-likelihood calculation still work? Could you point out what all modifications would be necessary?
All the sequences vary in length; this part is resolved by imputing zeros until T_max. Does this mean that we are giving the information to the algorithm that from time t to T_max observed cost was zero (for my setup)? Or is this being taken care by the mask?

fehiepsi · May 9, 2018, 8:04am

For regression problem, how about use continuous distribution such as Normal? I guess there is no modification for this change except the last sigmoid layer of Emitter (you can replace it by a layer which is suitable for your problem).
For varying length, I think it is took care by mini_batch_mask.

kapilagrawal · May 9, 2018, 9:08pm

Thanks for the reply.

I am trying Normal distribution and for the Emitter I used a simple torch.nn.Linear(). On running the script everything seems to run except

I get an error: (Encountered NAN log_prob_sum)

neerajprad · May 9, 2018, 10:40pm

Could you paste the complete error trace? Also, could you try lowering the optimizer step size and see if that makes it more stable?

kapilagrawal · May 10, 2018, 6:43am

Output for modified dmm script for regression purpose:

N_train_data: 159 avg. training seq. length: 13.55 N_mini_batches: 8
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/torch/nn/modules/rnn.py:38: UserWarning: dropout option adds dropout after all but last recurrent layer, so non-zero dropout expects num_layers greater than 1, but got dropout=1 and num_layers=1
“num_layers={}”.format(dropout, num_layers))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_1’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_2’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_3’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_4’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_5’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_6’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_7’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_8’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_9’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_10’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_11’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_12’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_13’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_14’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_15’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_16’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_18’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_19’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_21’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_25’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_26’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/infer/trace_elbo.py:143: UserWarning: Encountered NAN loss
warnings.warn(‘Encountered NAN loss’)
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_17’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_20’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_22’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_23’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_24’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_27’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_28’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_29’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_30’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_31’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_32’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_33’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_34’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_35’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_36’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_37’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_38’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_39’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_40’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_41’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_42’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_43’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_44’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_45’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_46’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_47’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_48’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_49’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_50’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_51’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_52’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
/home/themountaindog/anaconda3/envs/pymcenv/lib/python3.6/site-packages/pyro/poutine/trace_struct.py:17: UserWarning: Encountered NAN log_prob_sum at site ‘z_53’
warnings.warn(“Encountered NAN log_prob_sum at site ‘{}’”.format(name))
[training epoch 0000] nan (dt = 2.851 sec)
[training epoch 0001] nan (dt = 2.850 sec)
[training epoch 0002] nan (dt = 2.534 sec)
[training epoch 0003] nan (dt = 3.024 sec)
[training epoch 0004] nan (dt = 3.212 sec)
[training epoch 0005] nan (dt = 2.975 sec)
[training epoch 0006] nan (dt = 3.074 sec)
…
and this goes on…
I tried reducing the learning rate in the optimizer but that also throws the same output.

A few things to notice:
This warnings are not continuous from z_1 to z_53. If you see closely warnings for 25th and 26th position are not generated. Next if you scroll from top to down after z_26 warning; elbo_trace gives a warning and then things start from z_17.

kapilagrawal · May 14, 2018, 1:59pm

Hi, any leads on this?

martinjankowiak · May 16, 2018, 5:05am

you need to make sure you’re passing valid parameters to distributions. for example sigma of a normal distribution is positive. also, adjusting the learning rate may not be enough. stochastic optimization of complex objectives is not automatic. the hyperparameters really do matter. knobs must be turned.