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Density EstimatioN using Masked AutoRegressive Flow

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# denmarf

Density EstimatioN using Masked AutoRegressive Flow

![license](https://img.shields.io/github/license/ricokaloklo/denmarf)
[![GitHub release](https://img.shields.io/github/v/release/ricokaloklo/denmarf.svg)](https://github.com/ricokaloklo/denmarf/releases)
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This package provides a `scikit-learn`-like interface to perform density estimation using [masked autoregressive flow](https://arxiv.org/abs/1705.07057). The current `torch`-based implementation uses [pytorch-flow](https://github.com/ikostrikov/pytorch-flows) as the backbone. A more performant re-implementation in `jax` is in progress.

## Requirements
- scipy-stack (numpy, scipy, matplotlib, pandas)
- pytorch
- CUDA (for GPU capability)

## Installation
```
pip install denmarf
```

## Usage
The interface is very similar to the [KernelDensity](https://scikit-learn.org/stable/modules/generated/sklearn.neighbors.KernelDensity.html#sklearn.neighbors.KernelDensity) module in scikit-learn. To perform a density estimation, one first initialize a `DensityEstimate` object from `denmarf.density`. Then one fit the data, which is a numpy ndarray of size (n_samples, n_features)), `X` with the method `DensityEstimate.fit(X)`. Once a model is trained, it can be used to generate new samples using `DensityEstimate.sample()`, or to evaluate the density at arbitrary point with `DensityEstimate.score_samples()`

### Initializing a `DensityEstimate` object
To initialize a `DensityEstimate` model, one can simply use
```python
from denmarf import DensityEstimate

de = DensityEstimate()
```
Note that by default the model will try to use GPU whenever CUDA is available, and revert back to CPU if not available. To by-pass this behavior and use CPU even when GPU is available, use
```python
from denmarf import DensityEstimate

de = DensityEstimate(device="cpu", use_cuda=False)
```
If multiple GPUs are available, one can specify which device to use by
```python
from denmarf import DensityEstimate

de = DensityEstimate(device="cuda:2")
```

### Fitting a bounded distribution
To faciliate the fitting performance for bounded distributions, [logit transformations](https://en.wikipedia.org/wiki/Logit) can be used to convert bounded distributions to unbound ones. `denmarf` will automatically perform both the linear shifting and rescaling, as well as the actual logit transformation if the argument `bounded` is set when initializing the model, and if the lower and upper bounds are given when calling `.fit()`. When computing the probability density, the appropriate Jacobian is also computed.

For example,
```python
from denmarf import DensityEstimate

# X is some np ndarray
de = DensityEstimate().fit(X, bounded=True, lower_bounds=..., upper_bounds=...)
```
### Saving a trained model
After training a model, it can be saved (pickled) to disk for later usage. This can be done by using
```python
de.save("filename_for_the_model.pkl")
```

### Loading a saved model from disk
`denmarf` has built-in support for loading a trained model saved to disk and reconstructing the model either to CPU or GPU (does not have to be the same architecture where the training was performed!). For example, let us say we have a model trained on a GPU and we want to evaluate the model on a CPU instead. This can be done by using
```python
from denmarf import DensityEstimate

de = DensityEstimate.from_file(filename="filename_for_the_model.pkl")
```
The default behavior is always loading the model to CPU.

## Contributing to denmarf

Contribution is always welcome!

You can use the [issue tracker on github](https://github.com/ricokaloklo/denmarf/issues) to submit a bug report, to request a new feature, or simply to ask a question about the code!

If you would like to make changes to the code, just submit a [pull request on github](https://github.com/ricokaloklo/denmarf/pulls).

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