app.py

import gradio as gr
import time
import numpy as np
import matplotlib.pyplot as plt

from scipy.linalg import toeplitz, cholesky
from sklearn.covariance import LedoitWolf, OAS

np.random.seed(0)



def generate_plots(min_slider_samples_range,max_slider_samples_range):
  # print("slider_samples_range:",slider_samples_range)
  slider_samples_range =np.arange(min_slider_samples_range,max_slider_samples_range,1)
  n_features = 100
  repeat = 100
  lw_mse = np.zeros((slider_samples_range.size, repeat))
  oa_mse = np.zeros((slider_samples_range.size, repeat))
  lw_shrinkage = np.zeros((slider_samples_range.size, repeat))
  oa_shrinkage = np.zeros((slider_samples_range.size, repeat))
  

  for i, n_samples in enumerate(slider_samples_range):
      for j in range(repeat):
          X = np.dot(np.random.normal(size=(n_samples, n_features)), coloring_matrix.T)

          lw = LedoitWolf(store_precision=False, assume_centered=True)
          lw.fit(X)
          lw_mse[i, j] = lw.error_norm(real_cov, scaling=False)
          lw_shrinkage[i, j] = lw.shrinkage_

          oa = OAS(store_precision=False, assume_centered=True)
          oa.fit(X)
          oa_mse[i, j] = oa.error_norm(real_cov, scaling=False)
          oa_shrinkage[i, j] = oa.shrinkage_

  # plot MSE
  plt.subplot(2, 1, 1)
  plt.errorbar(
      slider_samples_range,
      lw_mse.mean(1),
      yerr=lw_mse.std(1),
      label="Ledoit-Wolf",
      color="navy",
      lw=2,
  )
  plt.errorbar(
      slider_samples_range,
      oa_mse.mean(1),
      yerr=oa_mse.std(1),
      label="OAS",
      color="darkorange",
      lw=2,
  )
  plt.ylabel("Squared error")
  plt.legend(loc="upper right")
  plt.title("Comparison of covariance estimators")
  plt.xlim(5, 31)

  # plot shrinkage coefficient
  plt.subplot(2, 1, 2)
  plt.errorbar(
      slider_samples_range,
      lw_shrinkage.mean(1),
      yerr=lw_shrinkage.std(1),
      label="Ledoit-Wolf",
      color="navy",
      lw=2,
  )
  plt.errorbar(
      slider_samples_range,
      oa_shrinkage.mean(1),
      yerr=oa_shrinkage.std(1),
      label="OAS",
      color="darkorange",
      lw=2,
  )
  plt.xlabel("n_samples")
  plt.ylabel("Shrinkage")
  plt.legend(loc="lower right")
  plt.ylim(plt.ylim()[0], 1.0 + (plt.ylim()[1] - plt.ylim()[0]) / 10.0)
  plt.xlim(5, 31)

  # plt.show()
  return plt






title = "Ledoit-Wolf vs OAS estimation"

# def greet(name):
#     return "Hello " + name + "!"
with gr.Blocks(title=title, theme=gr.themes.Default(font=[gr.themes.GoogleFont("Inconsolata"), "Arial", "sans-serif"])) as demo:
    gr.Markdown(f"# {title}")

    gr.Markdown(
    """
    The usual covariance maximum likelihood estimate can be regularized using shrinkage. Ledoit and Wolf proposed a close formula to compute the asymptotically optimal shrinkage parameter (minimizing a MSE criterion), yielding the Ledoit-Wolf covariance estimate.

    Chen et al. proposed an improvement of the Ledoit-Wolf shrinkage parameter, the OAS coefficient, whose convergence is significantly better under the assumption that the data are Gaussian.

    This example, inspired from Chen’s publication [1], shows a comparison of the estimated MSE of the LW and OAS methods, using Gaussian distributed data.

    [1] “Shrinkage Algorithms for MMSE Covariance Estimation” Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 2010.
    """)

    n_features = 100
    
    min_slider_samples_range = gr.Slider(6, 31, value=6, step=1, label="min_samples_range", info="Choose between 6 and 31")
    max_slider_samples_range = gr.Slider(6, 31, value=31, step=1, label="max_samples_range", info="Choose between 6 and 31")

    

    r = 0.1
    real_cov = toeplitz(r ** np.arange(n_features))
    coloring_matrix = cholesky(real_cov)
    gr.Markdown(" **[Demo is based on sklearn docs](https://scikit-learn.org/stable/auto_examples/covariance/plot_lw_vs_oas.html)**")
    # name = "hardy"
    # greet_btn = gr.Button("Greet")
    # output = gr.Textbox(label="Output Box")
    # greet_btn.click(fn=greet, inputs=name, outputs=output)
    gr.Label(value="Comparison of Covariance Estimators")
    if min_slider_samples_range is not None:
      min_slider_samples_range.change(generate_plots, inputs=[min_slider_samples_range,max_slider_samples_range], outputs= gr.Plot() )
    elif max_slider_samples_range is not None:
      max_slider_samples_range.change(generate_plots, inputs=[min_slider_samples_range,max_slider_samples_range], outputs= gr.Plot() )
    else:
      pass
    

demo.launch()