Montecarlo

montecarlo_least_core(u, n_iterations, *, n_jobs=1, config=ParallelConfig(), non_negative_subsidy=False, solver_options=None, options=None, progress=False)

Computes approximate Least Core values using a Monte Carlo approach.

\[ \begin{array}{lll} \text{minimize} & \displaystyle{e} & \\ \text{subject to} & \displaystyle\sum_{i\in N} x_{i} = v(N) & \\ & \displaystyle\sum_{i\in S} x_{i} + e \geq v(S) & , \forall S \in \{S_1, S_2, \dots, S_m \overset{\mathrm{iid}}{\sim} U(2^N) \} \end{array} \]

Where:

• \(U(2^N)\) is the uniform distribution over the powerset of \(N\).
• \(m\) is the number of subsets that will be sampled and whose utility will be computed and used to compute the data values.

PARAMETER	DESCRIPTION
u	Utility object with model, data, and scoring function TYPE: Utility
n_iterations	total number of iterations to use TYPE: int
n_jobs	number of jobs across which to distribute the computation TYPE: int DEFAULT: 1
config	Object configuring parallel computation, with cluster address, number of cpus, etc. TYPE: ParallelConfig DEFAULT: ParallelConfig()
non_negative_subsidy	If True, the least core subsidy \(e\) is constrained to be non-negative. TYPE: bool DEFAULT: False
solver_options	Dictionary of options that will be used to select a solver and to configure it. Refer to cvxpy's documentation for all possible options. TYPE: Optional[dict] DEFAULT: None
options	(Deprecated) Dictionary of solver options. Use solver_options instead. TYPE: Optional[dict] DEFAULT: None
progress	If True, shows a tqdm progress bar TYPE: bool DEFAULT: False

RETURNS	DESCRIPTION
ValuationResult	Object with the data values and the least core value.

Source code in src/pydvl/value/least_core/montecarlo.py

def montecarlo_least_core(
    u: Utility,
    n_iterations: int,
    *,
    n_jobs: int = 1,
    config: ParallelConfig = ParallelConfig(),
    non_negative_subsidy: bool = False,
    solver_options: Optional[dict] = None,
    options: Optional[dict] = None,
    progress: bool = False,
) -> ValuationResult:
    r"""Computes approximate Least Core values using a Monte Carlo approach.

    $$
    \begin{array}{lll}
    \text{minimize} & \displaystyle{e} & \\
    \text{subject to} & \displaystyle\sum_{i\in N} x_{i} = v(N) & \\
    & \displaystyle\sum_{i\in S} x_{i} + e \geq v(S) & ,
    \forall S \in \{S_1, S_2, \dots, S_m \overset{\mathrm{iid}}{\sim} U(2^N) \}
    \end{array}
    $$

    Where:

    * $U(2^N)$ is the uniform distribution over the powerset of $N$.
    * $m$ is the number of subsets that will be sampled and whose utility will
      be computed and used to compute the data values.

    Args:
        u: Utility object with model, data, and scoring function
        n_iterations: total number of iterations to use
        n_jobs: number of jobs across which to distribute the computation
        config: Object configuring parallel computation, with cluster
            address, number of cpus, etc.
        non_negative_subsidy: If True, the least core subsidy $e$ is constrained
            to be non-negative.
        solver_options: Dictionary of options that will be used to select a solver
            and to configure it. Refer to [cvxpy's
            documentation](https://www.cvxpy.org/tutorial/advanced/index.html#setting-solver-options)
            for all possible options.
        options: (Deprecated) Dictionary of solver options. Use solver_options
            instead.
        progress: If True, shows a tqdm progress bar

    Returns:
        Object with the data values and the least core value.
    """
    # TODO: remove this before releasing version 0.7.0
    if options:
        warnings.warn(
            DeprecationWarning(
                "Passing solver options as kwargs was deprecated in "
                "0.6.0, will be removed in 0.7.0. `Use solver_options` "
                "instead."
            )
        )
        if solver_options is None:
            solver_options = options
        else:
            solver_options.update(options)

    problem = mclc_prepare_problem(
        u, n_iterations, n_jobs=n_jobs, config=config, progress=progress
    )
    return lc_solve_problem(
        problem,
        u=u,
        algorithm="montecarlo_least_core",
        non_negative_subsidy=non_negative_subsidy,
        solver_options=solver_options,
    )

mclc_prepare_problem(u, n_iterations, *, n_jobs=1, config=ParallelConfig(), progress=False)

Prepares a linear problem by sampling subsets of the data. Use this to separate the problem preparation from the solving with lc_solve_problem(). Useful for parallel execution of multiple experiments.

See montecarlo_least_core for argument descriptions.

Source code in src/pydvl/value/least_core/montecarlo.py

def mclc_prepare_problem(
    u: Utility,
    n_iterations: int,
    *,
    n_jobs: int = 1,
    config: ParallelConfig = ParallelConfig(),
    progress: bool = False,
) -> LeastCoreProblem:
    """Prepares a linear problem by sampling subsets of the data. Use this to
    separate the problem preparation from the solving with
    [lc_solve_problem()][pydvl.value.least_core.common.lc_solve_problem]. Useful
    for parallel execution of multiple experiments.

    See
    [montecarlo_least_core][pydvl.value.least_core.montecarlo.montecarlo_least_core]
    for argument descriptions.
    """
    n = len(u.data)

    if n_iterations < n:
        warnings.warn(
            f"Number of iterations '{n_iterations}' is smaller the size of the dataset '{n}'. "
            f"This is not optimal because in the worst case we need at least '{n}' constraints "
            "to satisfy the individual rationality condition."
        )

    if n_iterations > 2**n:
        warnings.warn(
            f"Passed n_iterations is greater than the number subsets! "
            f"Setting it to 2^{n}",
            RuntimeWarning,
        )
        n_iterations = 2**n

    iterations_per_job = max(1, n_iterations // effective_n_jobs(n_jobs, config))

    map_reduce_job: MapReduceJob["Utility", "LeastCoreProblem"] = MapReduceJob(
        inputs=u,
        map_func=_montecarlo_least_core,
        reduce_func=_reduce_func,
        map_kwargs=dict(n_iterations=iterations_per_job, progress=progress),
        n_jobs=n_jobs,
        config=config,
    )

    return map_reduce_job()

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Last update: 2023-10-14
Created: 2023-10-14