import gpflow import numpy as np import pytest import gpflow.multioutput.features as mf import gpflow.multioutput.kernels as mk from gpflow.models import SVGP from gpflow.kernels import RBF from gpflow.features import InducingPoints from gpflow.likelihoods import Gaussian from gpflow.test_util import session_context np.random.seed(1) def predict(sess, model, Xnew, full_cov, full_cov_output): m, v = model._build_predict(Xnew, full_cov=full_cov, full_cov_output=full_cov_output) return sess.run([m, v]) def predict_all(sess, models, Xnew, full_cov, full_cov_output): ms, vs = [], [] for model in models: m, v = predict(sess, model, Xnew, full_cov, full_cov_output) ms.append(m) vs.append(v) return ms, vs def assert_all_array_elements_almost_equal(arr, decimal): for i in range(len(arr) - 1): np.testing.assert_almost_equal(arr[i], arr[i+1], decimal=decimal) def check_equality_predictions(sess, models): log_likelihoods = [m.compute_log_likelihood() for m in models] # Check equality of log likelihood assert_all_array_elements_almost_equal(log_likelihoods, decimal=5) # Predict: full_cov = True and full_cov_output = True means_tt, vars_tt = predict_all(sess, models, Data.Xs, full_cov=True, full_cov_output=True) # Predict: full_cov = True and full_cov_output = False means_tf, vars_tf = predict_all(sess, models, Data.Xs, full_cov=True, full_cov_output=False) # Predict: full_cov = False and full_cov_output = True means_ft, vars_ft = predict_all(sess, models, Data.Xs, full_cov=False, full_cov_output=True) # Predict: full_cov = False and full_cov_output = False means_ff, vars_ff = predict_all(sess, models, Data.Xs, full_cov=False, full_cov_output=False) # check equality of all the means all_means = means_tt + means_tf + means_ft + means_ff assert_all_array_elements_almost_equal(all_means, decimal=5) # check equality of all the variances within a category # (e.g. full_cov=True and full_cov_output=False) all_vars = [vars_tt, vars_tf, vars_ft, vars_ff] _ = [assert_all_array_elements_almost_equal(var, decimal=4) for var in all_vars] # Here we check that the variance in different categories are equal # after transforming to the right shape. var_tt = vars_tt[0] # N x P x N x P var_tf = vars_tf[0] # P x N x N var_ft = vars_ft[0] # N x P x P var_ff = vars_ff[0] # N x P np.testing.assert_almost_equal(np.diagonal(var_tt, axis1=1, axis2=3), np.transpose(var_tf, [1, 2, 0]), decimal=4) np.testing.assert_almost_equal(np.diagonal(var_tt, axis1=0, axis2=2), np.transpose(var_ft, [1, 2, 0]), decimal=4) np.testing.assert_almost_equal(np.diagonal(np.diagonal(var_tt, axis1=0, axis2=2)), var_ff, decimal=4) class Data: X = np.random.rand(100)[:, None] * 10 - 5 G = np.hstack((0.5 * np.sin(3 * X) + X, 3.0 * np.cos(X) - X)) Ptrue = np.array([[0.5, -0.3, 1.5], [-0.4, 0.43, 0.0]]) Y = np.matmul(G, Ptrue) Y += np.random.randn(*Y.shape) * [0.2, 0.2, 0.2] Xs = np.linspace(-6, 6, 5)[:, None] D = 1 # input dimension M = 3 # inducing points L = 2 # latent gps P = 3 # output dimension MAXITER = int(15e2) def make_sqrt_data(rng, N, M): return np.array([np.tril(rng.randn(M, M)) for _ in range(N)]) # N x M x M def expand_cov(G, W): ''' G is L x M x M W is L x L Output is LM x LM ''' L, M, _ = G.shape O = np.zeros((L * M, L * M)) for l1 in range(L): for l2 in range(L): O[l1 * M:(l1 + 1) * M, l2 * M:(l2 + 1) * M] = W[l1, l2] * G[l1, :, :] return O[None, :, :] def q_sqrts_to_Q_sqrt(q_sqrt, W): ''' G is L x M x M W is L x L Output is LM x LM ''' cov = np.matmul(q_sqrt, q_sqrt.transpose(0, 2, 1)) Cov = expand_cov(cov, W) return np.linalg.cholesky(Cov) def mus_to_Mu(mu, W): M, L = mu.shape Mu = np.zeros((M * L, 1)) for l1 in range(L): for l2 in range(L): Mu[l1 * M:(l1 + 1) * M, 0] += mu[:, l2] * W[l1, l2] return Mu class Datum: N = 20 D = 1 M = 7 L = 3 P = 3 rng = np.random.RandomState(0) mu_data = rng.randn(M, L) # M x N sqrt_data = make_sqrt_data(rng, L, M) # L x M x M W = np.eye(L) mu_data_full = mus_to_Mu(mu_data, W) sqrt_data_full = q_sqrts_to_Q_sqrt(sqrt_data, W) X = np.random.rand(N, D) # N x D G = np.hstack((0.5 * np.sin(3 * X) + X, X, 3.0 * np.cos(X) - X)) # N x D Y = np.matmul(G, W) Y += np.random.randn(*Y.shape) * np.ones((L,)) * 0.2 Xs = np.linspace(-6, 6, 5)[:, None] MAXITER = int(15e2) def test_shared_independent_mok(): """ In this test we use the same kernel and the same inducing features for each of the outputs. The outputs are considered to be uncorrelated. This is how GPflow handled multiple outputs before the multioutput framework was added. We compare three models here: 1) an inefffient one, where we use a SharedIndepedentMok with InducingPoints. This combination will uses a Kff of size N x P x N x P, Kfu if size N x P x M x P which is extremely inefficient as most of the elements are zero. 2) efficient: SharedIndependentMok and SharedIndependentMof This combinations uses the most efficient form of matrices 3) the old way, efficient way: using Kernel and InducingPoints Model 2) and 3) follow more or less the same code path. """ with session_context() as sess: # Model 1 q_mu_1 = np.random.randn(Data.M * Data.P, 1) # MP x 1 q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP kernel_1 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P) feature_1 = InducingPoints(Data.X[:Data.M,...].copy()) m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1) m1.set_trainable(False) m1.q_sqrt.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER) # Model 2 q_mu_2 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M kernel_2 = RBF(Data.D, variance=0.5, lengthscales=1.2) feature_2 = InducingPoints(Data.X[:Data.M, ...].copy()) m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2) m2.set_trainable(False) m2.q_sqrt.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER) # Model 3 q_mu_3 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P q_sqrt_3 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M kernel_3 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P) feature_3 = mf.SharedIndependentMof(InducingPoints(Data.X[:Data.M, ...].copy())) m3 = SVGP(Data.X, Data.Y, kernel_3, Gaussian(), feature_3, q_mu=q_mu_3, q_sqrt=q_sqrt_3) m3.set_trainable(False) m3.q_sqrt.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m3, maxiter=Data.MAXITER) check_equality_predictions(sess, [m1, m2, m3]) def test_seperate_independent_mok(): """ We use different independent kernels for each of the output dimensions. We can achieve this in two ways: 1) efficient: SeparateIndependentMok with Shared/SeparateIndependentMof 2) inefficient: SeparateIndependentMok with InducingPoints However, both methods should return the same conditional, and after optimization return the same log likelihood. """ with session_context() as sess: # Model 1 (INefficient) q_mu_1 = np.random.randn(Data.M * Data.P, 1) q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP kern_list_1 = [RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)] kernel_1 = mk.SeparateIndependentMok(kern_list_1) feature_1 = InducingPoints(Data.X[:Data.M,...].copy()) m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1) m1.set_trainable(False) m1.q_sqrt.set_trainable(True) m1.q_mu.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER) # Model 2 (efficient) q_mu_2 = np.random.randn(Data.M, Data.P) q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M kern_list_2 = [RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)] kernel_2 = mk.SeparateIndependentMok(kern_list_2) feature_2 = mf.SharedIndependentMof(InducingPoints(Data.X[:Data.M, ...].copy())) m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2) m2.set_trainable(False) m2.q_sqrt.set_trainable(True) m2.q_mu.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER) check_equality_predictions(sess, [m1, m2]) def test_seperate_independent_mof(): """ Same test as above but we use different (i.e. separate) inducing features for each of the output dimensions. """ with session_context() as sess: # Model 1 (INefficient) q_mu_1 = np.random.randn(Data.M * Data.P, 1) q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP kernel_1 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P) feature_1 = InducingPoints(Data.X[:Data.M,...].copy()) m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1) m1.set_trainable(False) m1.q_sqrt.set_trainable(True) m1.q_mu.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER) # Model 2 (efficient) q_mu_2 = np.random.randn(Data.M, Data.P) q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M kernel_2 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P) feat_list_2 = [InducingPoints(Data.X[:Data.M, ...].copy()) for _ in range(Data.P)] feature_2 = mf.SeparateIndependentMof(feat_list_2) m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2) m2.set_trainable(False) m2.q_sqrt.set_trainable(True) m2.q_mu.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER) check_equality_predictions(sess, [m1, m2]) # @pytest.mark.parametrize('shared_feat', [True, False]) # @pytest.mark.parametrize('shared_kern', [True, False]) def test_mixed_mok_with_Id_vs_independent_mok(): with session_context() as sess: np.random.seed(0) # Independent model k1 = mk.SharedIndependentMok(RBF(Datum.D, variance=0.5, lengthscales=1.2), Datum.L) f1 = InducingPoints(Datum.X[:Datum.M, ...].copy()) m1 = SVGP(Datum.X, Datum.Y, k1, Gaussian(), f1, q_mu=Datum.mu_data_full, q_sqrt=Datum.sqrt_data_full) m1.set_trainable(False) m1.q_sqrt.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Datum.MAXITER) # Mixed Model kern_list = [RBF(Datum.D, variance=0.5, lengthscales=1.2) for _ in range(Datum.L)] k2 = mk.SeparateMixedMok(kern_list, Datum.W) f2 = InducingPoints(Datum.X[:Datum.M, ...].copy()) m2 = SVGP(Datum.X, Datum.Y, k2, Gaussian(), f2, q_mu=Datum.mu_data_full, q_sqrt=Datum.sqrt_data_full) m2.set_trainable(False) m2.q_sqrt.set_trainable(True) gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Datum.MAXITER) # Check equality of log likelihood np.testing.assert_allclose(m1.compute_log_likelihood(), m2.compute_log_likelihood())