TorchVineCopuLib

Yet another vine copula package, using PyTorch.

• C/D/R-Vine full simulation/ quantile-regression/ conditoinal-simulation, all in one package
  • Flexible simulation workflow for experienced users
• Vectorized tensor computation with GPU (device='cuda') support
• Shorter runtimes for higher dimension simulations
• Decoupled dataclasses and factory methods
• Pure Python library, inspired by and tested against pyvinecopulib on Windows, Linux, MacOS
• IO and visualization support

Dependencies

# inside the `./pyproject.toml` file
python = "^3.10"
scipy = "*"
torch = "^2"

For PyTorch with cuda support on Windows:

pip install torch --index-url https://download.pytorch.org/whl/cu121 --force-reinstall

[!TIP] macOS users should set device='cpu' at this stage, for using device='mps' won't support dtype=torch.float64.

Installation

By pip from PyPI:

pip install torchvinecopulib

with full drawing and bivariate dependency metric support:

pip install torchvinecopulib matplotlib pot scikit-learn

By pip from ./dist/*.whl or ./dist/*.tar.gz in this repo. Need to use proper file name.

# inside project root folder
pip install ./dist/torchvinecopulib-2024.5.0-py3-none-any.whl
# or
pip install ./dist/torchvinecopulib-2024.5.0.tar.gz

Examples

Visit the ./examples/ folder for .ipynb Jupyter notebooks.

Documentation

• Visit GitHub Pages website

• Or visit the ./docs/_build/html subfolder for static html made with Sphinx

• Or build by yourself (need Sphinx, theme furo and the GNU make)

# inside project root folder
sphinx-apidoc -o ./docs ./torchvinecopulib && cd ./docs && make html && cd ..

Tests

[!TIP] the ./tests/test_vinecop.py may take longer without 'cuda'

# inside project root folder
python -m pytest ./tests

Contributing

We welcome contributions, whether it's a bug report, feature suggestion, code contribution, or documentation improvement.

• If you encounter any issues with the project or have ideas for new features, please open an issue on GitHub or privately email us. Make sure to include detailed information about the problem or feature request, including steps to reproduce for bugs.

Code Contributions

1. Fork the repository and create a new branch from the main branch.
2. Make your changes and ensure they adhere to the project's coding style and conventions.
3. Write tests for any new functionality and ensure existing tests pass.
4. Commit your changes with clear and descriptive commit messages.
5. Push your changes to your fork and submit a pull request to the main branch of the original repository.

Pull Request Guidelines

• Keep pull requests focused on addressing a single issue or feature.
• Include a clear and descriptive title and description for your pull request.
• Make sure all tests pass before submitting the pull request.
• If your pull request addresses an open issue, reference the issue number in the description using the syntax #issue_number.
• in-place ops can be slower
• torch.jit.script can be slower

TODO

1. more (non-parametric) bicop class in torch
2. potentially deprecating 'mle' from mtd_fit

License

Copyright (C) 2024 Tuoyuan Cheng, Xiaosheng You, Kan Chen

This file is part of torchvinecopulib. torchvinecopulib is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

torchvinecopulib is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.

You should have received a copy of the GNU General Public License along with torchvinecopulib. If not, see http://www.gnu.org/licenses/.