"""Stacked out-of-fold (OOF) ensemble with nested cross-validation. The base models are trained on exactly the same five folds (``--split_seed`` fixed), so every sample has one out-of-fold prediction per model. A per-target linear blend is then fitted *inside* the loop: for fold ``k`` the weights are estimated on the other four folds and applied to fold ``k``. No sample ever contributes to the weights that predict it, so the reported score is an honest out-of-sample estimate of the stacked model. Why stacking: the architectures fail in different places (the physics-informed Mamba is best at the absolute stress level, the attention hybrids at the curve shape). A fixed average cannot exploit that; a fitted blend can. Usage:: python -m pimamba.stack --prefix best --models hymba gdn llama pimamba \ --seeds 0 1 2 --out stack_best """ from __future__ import annotations import argparse import json import re from pathlib import Path from typing import Dict, Iterable, List, Sequence import numpy as np import pandas as pd from .data import TARGETS, TARGET_KEYS from .metrics import PRIMARY, _r2, regression_metrics from .pooled import RUNS, TABLES TAG_RE = re.compile(r"^(?P[a-z0-9]+)_(?P.+)_f(?P\d+)_s(?P\d+)$") # --------------------------------------------------------------------------- # data assembly # --------------------------------------------------------------------------- def collect(prefix: str, models: Sequence[str], seeds: Sequence[int], n_folds: int = 5, pmap: Dict[str, str] | None = None, smap: Dict[str, Sequence[int]] | None = None ) -> Dict[str, Dict[int, np.ndarray]]: """Read ``predictions.npz`` for every (model, fold, seed). Returns ``{model: {sid: (pred, true, mask)}}`` where each array is ``(T, 13)``. Seeds are averaged *after* inverse normalisation (the stored predictions are already in physical units), which is the same operation as averaging the sampled curves. """ pmap = pmap or {} smap = smap or {} acc: Dict[str, Dict[int, List[np.ndarray]]] = {m: {} for m in models} for m in models: pref = pmap.get(m, prefix) for f in range(n_folds): for s in smap.get(m, seeds): d = RUNS / f"{pref}_{m}_f{f}_s{s}" / "predictions.npz" if not d.exists(): continue z = np.load(d, allow_pickle=True) P, Y, M = z["pred"], z["true"], z["mask"] sids = np.asarray(z["sids"]).astype(int) for i, sid in enumerate(sids): slot = acc[m].setdefault(int(sid), {"p": [], "y": None, "m": None}) slot["p"].append(P[i]) slot["y"] = Y[i] slot["m"] = M[i] out: Dict[str, Dict[int, tuple]] = {} for m, per in acc.items(): out[m] = {sid: (np.mean(v["p"], 0), v["y"], v["m"]) for sid, v in per.items()} return out def fold_of(prefix: str, models: Sequence[str], seeds: Sequence[int], n_folds: int = 5, pmap: Dict[str, str] | None = None, smap: Dict[str, Sequence[int]] | None = None) -> Dict[int, int]: """Recover the fold membership of every sample from the run folders.""" pmap = pmap or {} smap = smap or {} fmap: Dict[int, int] = {} m = models[0] pref = pmap.get(m, prefix) for f in range(n_folds): d = RUNS / f"{pref}_{m}_f{f}_s{smap.get(m, seeds)[0]}" / "predictions.npz" if not d.exists(): continue z = np.load(d, allow_pickle=True) for sid in np.asarray(z["sids"]).astype(int): fmap[int(sid)] = f return fmap # --------------------------------------------------------------------------- # blending # --------------------------------------------------------------------------- def _fit_weights(X: np.ndarray, y: np.ndarray, ridge: float = 1e-3, nonneg: bool = True) -> tuple: """Ridge regression with optional non-negativity on the model weights. Returns ``(w, b)`` such that ``pred = X @ w + b``. Centring removes the intercept from the penalty; the solution is obtained with a small projected-gradient loop (``nonneg``) or a closed form. """ mu_x, mu_y = X.mean(0), float(y.mean()) Xc, yc = X - mu_x, y - mu_y A = Xc.T @ Xc + ridge * np.eye(X.shape[1]) b_vec = Xc.T @ yc if not nonneg: w = np.linalg.solve(A, b_vec) else: w = np.clip(np.linalg.solve(A, b_vec), 0, None) # projected gradient refinement (a few hundred cheap iterations) step = 1.0 / (np.linalg.eigvalsh(A).max() + 1e-9) for _ in range(400): w = np.clip(w - step * (A @ w - b_vec), 0, None) b = mu_y - float(mu_x @ w) return w, b def nested_stack(data: Dict[str, Dict[int, tuple]], fmap: Dict[int, int], models: Sequence[str], n_folds: int = 5, ridge: float = 1e-3, nonneg: bool = True): """Fit per-target blends in a leave-one-fold-out loop. Returns ``(P, Y, M, S, weights)`` with stacked predictions in the same (sample, time, target) layout as a single model, plus the per-fold weight matrix for inspection. """ sids = sorted(fmap, key=lambda s: (fmap[s], s)) keep = [s for s in sids if all(s in data[m] for m in models)] S = np.asarray(keep, dtype=int) shp = data[models[0]][keep[0]][0].shape P = np.zeros((len(keep),) + shp, np.float32) Y = np.zeros_like(P) M = np.zeros_like(P) weights = [] fold_arr = np.array([fmap[s] for s in keep]) for f in range(n_folds): te = fold_arr == f tr = ~te for i, s in enumerate(keep): Y[i] = data[models[0]][s][1] M[i] = data[models[0]][s][2] for j in range(shp[-1]): Xtr, ytr = [], [] for i in np.where(tr)[0]: msk = M[i, :, j] > 0 if not msk.any(): continue Xtr.append(np.stack([data[m][keep[i]][0][msk, j] for m in models], -1)) ytr.append(Y[i, msk, j]) if not Xtr: continue Xc = np.concatenate(Xtr, 0) yc = np.concatenate(ytr, 0) w, b = _fit_weights(Xc, yc, ridge=ridge, nonneg=nonneg) for i in np.where(te)[0]: msk = M[i, :, j] > 0 if not msk.any(): continue Xte = np.stack([data[m][keep[i]][0][msk, j] for m in models], -1) P[i, msk, j] = Xte @ w + b weights.append({"fold": f, "target": TARGET_KEYS[j], **{f"w_{m}": float(wi) for m, wi in zip(models, w)}, "b": float(b)}) return P, Y, M, S, pd.DataFrame(weights) def mean_ensemble(data: Dict[str, Dict[int, tuple]], fmap: Dict[int, int], models: Sequence[str]): sids = sorted(fmap, key=lambda s: (fmap[s], s)) keep = [s for s in sids if all(s in data[m] for m in models)] S = np.asarray(keep, dtype=int) P = np.mean([np.stack([data[m][s][0] for s in keep]) for m in models], 0) Y = np.stack([data[models[0]][s][1] for s in keep]) M = np.stack([data[models[0]][s][2] for s in keep]) return P, Y, M, S def greedy_blend(data: Dict[str, Dict[int, tuple]], fmap: Dict[int, int], models: Sequence[str], n_folds: int = 5, iters: int = 15): """Caruana-style forward selection with replacement, fitted per fold. For every target we start from an empty blend and repeatedly add the model that most reduces the squared error on the *training* folds; the final prediction on the held-out fold is the average of the selected models (a model can be picked several times, which gives it a larger weight). Selection uses only training folds, so the score stays out-of-sample. Why this instead of ridge: with 26 training trajectories the models are strongly correlated, and unconstrained least squares produces unstable, sometimes negative weights. Greedy selection is a coarse but much more stable procedure on this sample size. """ sids = sorted(fmap, key=lambda s: (fmap[s], s)) keep = [s for s in sids if all(s in data[m] for m in models)] S = np.asarray(keep, dtype=int) shp = data[models[0]][keep[0]][0].shape P = np.zeros((len(keep),) + shp, np.float32) Y = np.zeros_like(P) M = np.zeros_like(P) fold_arr = np.array([fmap[s] for s in keep]) for i, s in enumerate(keep): Y[i] = data[models[0]][s][1] M[i] = data[models[0]][s][2] picks = [] for f in range(n_folds): te = np.where(fold_arr == f)[0] tr = np.where(fold_arr != f)[0] for j in range(shp[-1]): trn = [i for i in tr if (M[i, :, j] > 0).sum() >= 4] if not trn: continue ytr = np.concatenate([Y[i, M[i, :, j] > 0, j] for i in trn]) Xtr = {m: np.concatenate([data[m][keep[i]][0][M[i, :, j] > 0, j] for i in trn]) for m in models} sel: List[str] = [] cur = np.zeros_like(ytr) for _ in range(iters): best = None for m in models: trial = (cur * len(sel) + Xtr[m]) / (len(sel) + 1) err = float(np.mean((trial - ytr) ** 2)) if best is None or err < best[0]: best = (err, m, trial) sel.append(best[1]) cur = best[2] cnt = {m: sel.count(m) / float(len(sel)) for m in models} picks.append({"fold": f, "target": TARGET_KEYS[j], **cnt}) for i in te: msk = M[i, :, j] > 0 if not msk.any(): continue P[i, msk, j] = sum(cnt[m] * data[m][keep[i]][0][msk, j] for m in models if cnt[m] > 0) return P, Y, M, S, pd.DataFrame(picks) # --------------------------------------------------------------------------- # scoring # --------------------------------------------------------------------------- def score(P: np.ndarray, Y: np.ndarray, M: np.ndarray, S: np.ndarray) -> Dict: pt = regression_metrics(Y.reshape(-1, len(TARGETS)), P.reshape(-1, len(TARGETS)), M.reshape(-1, len(TARGETS))) row = {k: (round(pt[k]["r2"], 3) if np.isfinite(pt[k]["r2"]) else np.nan) for k in TARGET_KEYS} prim = [pt[k]["r2"] for k in PRIMARY if np.isfinite(pt[k]["r2"])] row["primary_mean"] = round(float(np.mean(prim)), 3) if prim else np.nan j = TARGET_KEYS.index("sigma") mm = M[:, :, j] > 0 yv, pv = Y[:, :, j][mm], P[:, :, j][mm] row["sigma_r2"] = round(_r2(yv, pv), 3) ys, ps = [], [] for i in range(len(S)): msk = M[i, :, j] > 0 if msk.sum() < 4: continue ys.append(Y[i, msk, j] - Y[i, msk, j].mean()) ps.append(P[i, msk, j] - P[i, msk, j].mean()) row["shape_r2"] = round(_r2(np.concatenate(ys), np.concatenate(ps)), 3) row["n_samples"] = int(len(S)) return row def main(): ap = argparse.ArgumentParser("pimamba.stack") ap.add_argument("--prefix", default="best") ap.add_argument("--models", nargs="+", default=["hymba", "gdn", "llama", "pimamba"]) ap.add_argument("--seeds", nargs="+", type=int, default=[0]) ap.add_argument("--n_folds", type=int, default=5) ap.add_argument("--ridge", type=float, default=1e-3) ap.add_argument("--allow-negative", action="store_true") ap.add_argument("--method", default="greedy", choices=["greedy", "ridge", "mean"], help="greedy = forward selection with replacement " "(stable on small samples); ridge = per-target " "non-negative least squares; mean = equal weights") ap.add_argument("--iters", type=int, default=15) ap.add_argument("--out", default="stack") ap.add_argument("--prefixes", nargs="*", default=[], help="per-model run prefix, e.g. mlp=main pimamba=main") ap.add_argument("--seeds_map", nargs="*", default=[], help="per-model seeds, e.g. mlp=0 pimamba=0,1,2") a = ap.parse_args() pmap = {} for kv in a.prefixes: k, v = kv.split("=") pmap[k] = v smap = {} for kv in a.seeds_map: k, v = kv.split("=") smap[k] = [int(x) for x in v.split(",")] data = collect(a.prefix, a.models, a.seeds, a.n_folds, pmap, smap) fmap = fold_of(a.prefix, a.models, a.seeds, a.n_folds, pmap, smap) rows = [] for m in a.models: if not data.get(m): continue sids = sorted(data[m]) P = np.stack([data[m][s][0] for s in sids]) Y = np.stack([data[m][s][1] for s in sids]) M = np.stack([data[m][s][2] for s in sids]) rows.append({"model": m, **score(P, Y, M, np.asarray(sids))}) P, Y, M, S = mean_ensemble(data, fmap, a.models) rows.append({"model": "mean-ensemble", **score(P, Y, M, S)}) if a.method == "mean": Ps, Ys, Ms, Ss, W = P, Y, M, S, None elif a.method == "greedy": Ps, Ys, Ms, Ss, W = greedy_blend(data, fmap, a.models, a.n_folds, iters=a.iters) else: Ps, Ys, Ms, Ss, W = nested_stack(data, fmap, a.models, a.n_folds, ridge=a.ridge, nonneg=not a.allow_negative) rows.append({"model": f"stacked-{a.method}", **score(Ps, Ys, Ms, Ss)}) df = pd.DataFrame(rows) df.to_csv(TABLES / f"tab_{a.out}.csv", index=False) if W is not None: W.to_csv(TABLES / f"tab_{a.out}_weights.csv", index=False) print(df.to_string(index=False)) print("\nmean weight per model (greedy: selection frequency):") wcols = [c for c in W.columns if c not in ("fold", "target")] print(W[wcols].mean().round(3).to_string()) else: print(df.to_string(index=False)) np.savez_compressed(TABLES / f"{a.out}_pred.npz", pred=Ps, true=Ys, mask=Ms, sids=Ss) (TABLES / f"{a.out}_meta.json").write_text(json.dumps( {"models": a.models, "seeds": a.seeds, "prefixes": pmap, "seeds_map": smap, "method": a.method, "ridge": a.ridge, "nonneg": not a.allow_negative}, ensure_ascii=False, indent=2)) if __name__ == "__main__": main()