copying "cross_validation_helper" code from ax.plot (facebook#2249)

Summary:

To prepare of creating the "CrossValidationPlot" module, this change imports the dependent code from "ax.plots". 
It also cleans up the original code by breaking it apart into different helper files, and trimming out methods which are not used to create this plot. Some new unit tests are being added as well.



## In new ax.analysis CrossValidationPlot

The function of the code is broken out neatly by function:

Constants, string operations, basic formatting helpers
- ax/analysis/helpers/constants.py - 21 lines
- ax/analysis/helpers/color_helpers.py - 33 lines
- ax/analysis/helpers/plot_helpers.py - 76 lines
- ax/analysis/helpers/layout_helpers.py - 96 lines

Plot Logic
- ax/analysis/helpers/scatter_helpers.py - 180 lines
- ax/analysis/helpers/cross_validation_helpers.py - 291 lines

CrossValidationPlot object
- ax/analysis/cross_validation_plot.py - 109 lines

806 total lines


## Required files from ax.plot needed to create cross validation plot
- ax/plot/scatter.py - 1722 lines
- ax/plot/diagnostic.py - 691 lines
- ax/plot/helper - 995 lines
- ax/plot/base.py - 94 lines
- ax/plot/color.py - 120 lines

3622 total lines of code across the files which have the logic for cross validation plots

Differential Revision: D54495372

ax/analysis/helpers/color_helpers.py

@@ -0,0 +1,33 @@
+#!/usr/bin/env python3
+# Copyright (c) Meta Platforms, Inc. and affiliates.
+#
+# This source code is licensed under the MIT license found in the
+# LICENSE file in the root directory of this source tree.
+
+
+from numbers import Real
+from typing import List, Tuple
+
+# type aliases
+TRGB = Tuple[Real, ...]
+
+
+def rgba(rgb_tuple: TRGB, alpha: float = 1) -> str:
+    """Convert RGB tuple to an RGBA string."""
+    return "rgba({},{},{},{alpha})".format(*rgb_tuple, alpha=alpha)
+
+
+def plotly_color_scale(
+    list_of_rgb_tuples: List[TRGB],
+    reverse: bool = False,
+    alpha: float = 1,
+) -> List[Tuple[float, str]]:
+    """Convert list of RGB tuples to list of tuples, where each tuple is
+    break in [0, 1] and stringified RGBA color.
+    """
+    if reverse:
+        list_of_rgb_tuples = list_of_rgb_tuples[::-1]
+    return [
+        (round(i / (len(list_of_rgb_tuples) - 1), 3), rgba(rgb))
+        for i, rgb in enumerate(list_of_rgb_tuples)
+    ]

ax/analysis/helpers/constants.py

@@ -0,0 +1,21 @@
+# Copyright (c) Meta Platforms, Inc. and affiliates.
+#
+# This source code is licensed under the MIT license found in the
+# LICENSE file in the root directory of this source tree.
+
+import enum
+
+# Constants used for numerous plots
+CI_OPACITY = 0.4
+DECIMALS = 3
+Z = 1.96
+
+
+# color constants used for plotting
+class COLORS(enum.Enum):
+    STEELBLUE = (128, 177, 211)
+    CORAL = (251, 128, 114)
+    TEAL = (141, 211, 199)
+    PINK = (188, 128, 189)
+    LIGHT_PURPLE = (190, 186, 218)
+    ORANGE = (253, 180, 98)

ax/analysis/helpers/cross_validation_helpers.py

@@ -0,0 +1,291 @@
+#!/usr/bin/env python3
+# Copyright (c) Meta Platforms, Inc. and affiliates.
+#
+# This source code is licensed under the MIT license found in the
+# LICENSE file in the root directory of this source tree.
+
+from copy import deepcopy
+from typing import Any, Dict, List, Optional, Tuple
+
+import numpy as np
+import plotly.graph_objs as go
+
+from ax.analysis.helpers.constants import Z
+
+from ax.analysis.helpers.layout_helpers import layout_format, updatemenus_format
+from ax.analysis.helpers.scatter_helpers import (
+    _error_scatter_data,
+    _error_scatter_trace,
+    PlotData,
+    PlotInSampleArm,
+    PlotMetric,
+)
+
+from ax.modelbridge.cross_validation import CVResult
+
+
+# Helper functions for plotting model fits
+def get_min_max_with_errors(
+    x: List[float], y: List[float], sd_x: List[float], sd_y: List[float]
+) -> Tuple[float, float]:
+    """Get min and max of a bivariate dataset (across variables).
+
+    Args:
+        x: point estimate of x variable.
+        y: point estimate of y variable.
+        sd_x: standard deviation of x variable.
+        sd_y: standard deviation of y variable.
+
+    Returns:
+        min_: minimum of points, including uncertainty.
+        max_: maximum of points, including uncertainty.
+
+    """
+    min_ = min(
+        min(np.array(x) - np.multiply(sd_x, Z)), min(np.array(y) - np.multiply(sd_y, Z))
+    )
+    max_ = max(
+        max(np.array(x) + np.multiply(sd_x, Z)), max(np.array(y) + np.multiply(sd_y, Z))
+    )
+    return min_, max_
+
+
+def get_plotting_limit_ignore_outliers(
+    x: List[float], y: List[float], sd_x: List[float], sd_y: List[float]
+) -> Tuple[float, float]:
+    """Get a range for a bivarite dataset based on the 25th and 75th percentiles
+    Used as plotting limit to ignore outliers.
+
+    Args:
+        x: point estimate of x variable.
+        y: point estimate of y variable.
+        sd_x: standard deviation of x variable.
+        sd_y: standard deviation of y variable.
+
+    Returns:
+        min: lower bound of range
+        max: higher bound of range
+
+    """
+    min_, max_ = get_min_max_with_errors(x=x, y=y, sd_x=sd_x, sd_y=sd_y)
+
+    x_np = np.array(x)
+    # TODO: replace interpolation->method once it becomes standard.
+    q1 = np.nanpercentile(x_np, q=25, interpolation="lower").min()
+    q3 = np.nanpercentile(x_np, q=75, interpolation="higher").max()
+    quartile_difference = q3 - q1
+
+    y_lower = q1 - 1.5 * quartile_difference
+    y_upper = q3 + 1.5 * quartile_difference
+
+    # clip outliers from x
+    x_np = x_np.clip(y_lower, y_upper).tolist()
+    min_robust, max_robust = get_min_max_with_errors(x=x_np, y=y, sd_x=sd_x, sd_y=sd_y)
+    y_padding = 0.05 * (max_robust - min_robust)
+
+    return (max(min_robust, min_) - y_padding, min(max_robust, max_) + y_padding)
+
+
+def diagonal_trace(min_: float, max_: float, visible: bool = True) -> Dict[str, Any]:
+    """Diagonal line trace from (min_, min_) to (max_, max_).
+
+    Args:
+        min_: minimum to be used for starting point of line.
+        max_: maximum to be used for ending point of line.
+        visible: if True, trace is set to visible.
+    """
+    return go.Scatter(
+        x=[min_, max_],
+        y=[min_, max_],
+        line=dict(color="black", width=2, dash="dot"),  # noqa: C408
+        mode="lines",
+        hoverinfo="none",
+        visible=visible,
+        showlegend=False,
+    )
+
+
+def default_value_se_raw(se_raw: Optional[List[float]], out_length: int) -> List[float]:
+    """
+    Takes a list of standard errors and maps edge cases to default list
+    of floats.
+
+    """
+    new_se_raw = (
+        [0.0 if np.isnan(se) else se for se in se_raw]
+        if se_raw is not None
+        else [0.0] * out_length
+    )
+    return new_se_raw
+
+
+def obs_vs_pred_dropdown_plot(
+    data: PlotData,
+    xlabel: str = "Actual Outcome",
+    ylabel: str = "Predicted Outcome",
+) -> go.Figure:
+    """Plot a dropdown plot of observed vs. predicted values from a model.
+
+    Args:
+        data: a name tuple storing observed and predicted data
+            from a model.
+        xlabel: Label for x-axis.
+        ylabel: Label for y-axis.
+    """
+    traces = []
+    metric_dropdown = []
+    layout_axis_range = []
+
+    for i, metric in enumerate(data.metrics):
+        y_raw, se_raw, y_hat, se_hat = _error_scatter_data(
+            list(data.in_sample.values()),
+            y_axis_var=PlotMetric(metric_name=metric, pred=True),
+            x_axis_var=PlotMetric(metric_name=metric, pred=False),
+        )
+        se_raw = default_value_se_raw(se_raw=se_raw, out_length=len(y_raw))
+
+        # Use the min/max of the limits
+        min_, max_ = get_plotting_limit_ignore_outliers(
+            x=y_raw, y=y_hat, sd_x=se_raw, sd_y=se_hat
+        )
+        layout_axis_range.append([min_, max_])
+        traces.append(
+            diagonal_trace(
+                min_,
+                max_,
+                visible=(i == 0),
+            )
+        )
+
+        traces.append(
+            _error_scatter_trace(
+                arms=list(data.in_sample.values()),
+                show_CI=True,
+                x_axis_label=xlabel,
+                x_axis_var=PlotMetric(metric_name=metric, pred=False),
+                y_axis_label=ylabel,
+                y_axis_var=PlotMetric(metric_name=metric, pred=True),
+            )
+        )
+
+        # only the first two traces are visible (corresponding to first outcome
+        # in dropdown)
+        is_visible = [False] * (len(data.metrics) * 2)
+        is_visible[2 * i] = True
+        is_visible[2 * i + 1] = True
+
+        # on dropdown change, restyle
+        metric_dropdown.append(
+            {
+                "args": [
+                    {"visible": is_visible},
+                    {
+                        "xaxis.range": layout_axis_range[-1],
+                        "yaxis.range": layout_axis_range[-1],
+                    },
+                ],
+                "label": metric,
+                "method": "update",
+            }
+        )
+
+    updatemenus = updatemenus_format(metric_dropdown=metric_dropdown)
+    layout = layout_format(
+        layout_axis_range_value=layout_axis_range[0],
+        xlabel=xlabel,
+        ylabel=ylabel,
+        updatemenus=updatemenus,
+    )
+
+    return go.Figure(data=traces, layout=layout)
+
+
+def remap_label(
+    cv_results: List[CVResult], label_dict: Dict[str, str]
+) -> List[CVResult]:
+    """Remaps labels in cv_results according to label_dict.
+
+    Args:
+        cv_results: A CVResult for each observation in the training data.
+        label_dict: optional map from real metric names to shortened names
+
+    Returns:
+        A CVResult for each observation in the training data.
+    """
+    cv_results = deepcopy(cv_results)  # Copy and edit in-place
+    for cv_i in cv_results:
+        cv_i.observed.data.metric_names = [
+            label_dict.get(m, m) for m in cv_i.observed.data.metric_names
+        ]
+        cv_i.predicted.metric_names = [
+            label_dict.get(m, m) for m in cv_i.predicted.metric_names
+        ]
+    return cv_results
+
+
+def get_cv_plot_data(
+    cv_results: List[CVResult], label_dict: Optional[Dict[str, str]]
+) -> PlotData:
+    """Construct PlotData from cv_results, mapping observed to y and se,
+    and predicted to y_hat and se_hat.
+
+    Args:
+        cv_results: A CVResult for each observation in the training data.
+        label_dict: optional map from real metric names to shortened names
+
+    Returns:
+        PlotData with the following fields:
+            metrics: List[str]
+            in_sample: Dict[str, PlotInSampleArm]
+                PlotInSample arm have the fields
+                {
+                    "name"
+                    "y"
+                    "se"
+                    "parameters"
+                    "y_hat"
+                    "se_hat"
+                }
+
+    """
+    if len(cv_results) == 0:
+        return PlotData(metrics=[], in_sample={})
+
+    if label_dict:
+        cv_results = remap_label(cv_results=cv_results, label_dict=label_dict)
+
+    # arm_name -> Arm data
+    insample_data: Dict[str, PlotInSampleArm] = {}
+
+    # Get the union of all metric_names seen in predictions
+    metric_names = list(
+        set().union(*(cv_result.predicted.metric_names for cv_result in cv_results))
+    )
+
+    for rid, cv_result in enumerate(cv_results):
+        arm_name = cv_result.observed.arm_name
+        y, se, y_hat, se_hat = {}, {}, {}, {}
+
+        arm_data = {
+            "name": cv_result.observed.arm_name,
+            "y": y,
+            "se": se,
+            "parameters": cv_result.observed.features.parameters,
+            "y_hat": y_hat,
+            "se_hat": se_hat,
+        }
+        for i, mname in enumerate(cv_result.observed.data.metric_names):
+            y[mname] = cv_result.observed.data.means[i]
+            se[mname] = np.sqrt(cv_result.observed.data.covariance[i][i])
+        for i, mname in enumerate(cv_result.predicted.metric_names):
+            y_hat[mname] = cv_result.predicted.means[i]
+            se_hat[mname] = np.sqrt(cv_result.predicted.covariance[i][i])
+
+        # Expected `str` for 2nd anonymous parameter to call `dict.__setitem__` but got
+        # `Optional[str]`.
+        # pyre-fixme[6]:
+        insample_data[f"{arm_name}_{rid}"] = PlotInSampleArm(**arm_data)
+    return PlotData(
+        metrics=metric_names,
+        in_sample=insample_data,
+    )