mo_kernels.py
# Copyright 2018 GPflow authors
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import abc
import tensorflow as tf
from ..base import Parameter
from .base import Combination, Kernel
class Mok(Kernel):
"""
Multi Output Kernel class.
This kernel can represent correlation between outputs of different datapoints.
Therefore, subclasses of Mok should implement `K` which returns:
- [N, P, N, P] if full_output_cov = True
- [P, N, N] if full_output_cov = False
and `K_diag` returns:
- [N, P, P] if full_output_cov = True
- [N, P] if full_output_cov = False
The `full_output_cov` argument holds whether the kernel should calculate
the covariance between the outputs. In case there is no correlation but
`full_output_cov` is set to True the covariance matrix will be filled with zeros
until the appropriate size is reached.
"""
@abc.abstractmethod
def K(self, X, Y=None, full_output_cov=True, presliced=False):
"""
Returns the correlation of f(X1) and f(Y), where f(.) can be multi-dimensional.
:param X: data matrix, [1, D]
:param Y: data matrix, [2, D]
:param full_output_cov: calculate correlation between outputs.
:return: cov[f(X1), f(Y)] with shape
- [1, P, 2, P] if `full_output_cov` = True
- [P, 1, 2] if `full_output_cov` = False
"""
pass
@abc.abstractmethod
def K_diag(self, X, full_output_cov=True, presliced=False):
"""
Returns the correlation of f(X) and f(X), where f(.) can be multi-dimensional.
:param X: data matrix, [N, D]
:param full_output_cov: calculate correlation between outputs.
:return: var[f(X)] with shape
- [N, P, N, P] if `full_output_cov` = True
- [N, P] if `full_output_cov` = False
"""
pass
def __call__(self,
X,
Y=None,
full=False,
full_output_cov=True,
presliced=False):
if not full and Y is not None:
raise ValueError(
"Ambiguous inputs: `diagonal` and `y` are not compatible.")
if not full:
return self.K_diag(X, full_output_cov=full_output_cov)
return self.K(X, Y, full_output_cov=full_output_cov)
class SharedIndependentMok(Mok):
"""
- Shared: we use the same kernel for each latent GP
- Independent: Latents are uncorrelated a priori.
Note: this class is created only for testing and comparison purposes.
Use `gpflow.kernels` instead for more efficient code.
"""
def __init__(self, kernel: Kernel, output_dimensionality: int):
super().__init__()
self.kernel = kernel
self.P = output_dimensionality
def K(self, X, Y=None, full_output_cov=True, presliced=False):
K = self.kernel.K(X, Y) # [N, 2]
if full_output_cov:
Ks = tf.tile(K[..., None], [1, 1, self.P]) # [N, 2, P]
return tf.transpose(tf.linalg.diag(Ks),
[0, 2, 1, 3]) # [N, P, 2, P]
else:
return tf.tile(K[None, ...], [self.P, 1, 1]) # [P, N, 2]
def K_diag(self, X, full_output_cov=True, presliced=False):
K = self.kernel.K_diag(X) # N
Ks = tf.tile(K[:, None], [1, self.P]) # [N, P]
return tf.linalg.diag(
Ks) if full_output_cov else Ks # [N, P, P] or [N, P]
class SeparateIndependentMok(Mok, Combination):
"""
- Separate: we use different kernel for each output latent
- Independent: Latents are uncorrelated a priori.
"""
def __init__(self, kernels, name=None):
Combination.__init__(self, kernels, name)
def K(self, X, Y=None, full_output_cov=True, presliced=False):
if full_output_cov:
Kxxs = tf.stack([k.K(X, Y) for k in self.kernels],
axis=2) # [N, 2, P]
return tf.transpose(tf.linalg.diag(Kxxs),
[0, 2, 1, 3]) # [N, P, 2, P]
else:
return tf.stack([k.K(X, Y) for k in self.kernels],
axis=0) # [P, N, 2]
def K_diag(self, X, full_output_cov=False, presliced=False):
stacked = tf.stack([k.K_diag(X) for k in self.kernels],
axis=1) # [N, P]
return tf.linalg.diag(
stacked) if full_output_cov else stacked # [N, P, P] or [N, P]
class SeparateMixedMok(Mok, Combination):
"""
Linear mixing of the latent GPs to form the output.
"""
def __init__(self, kernels, W, name=None):
Combination.__init__(self, kernels, name)
self.W = Parameter(W) # [P, L]
def Kgg(self, X, Y):
return tf.stack([k.K(X, Y) for k in self.kernels], axis=0) # [L, N, 2]
def K(self, X, Y=None, full_output_cov=True, presliced=False):
Kxx = self.Kgg(X, Y) # [L, N, 2]
KxxW = Kxx[None, :, :, :] * self.W[:, :, None, None] # [P, L, N, 2]
if full_output_cov:
# return tf.einsum('lnm,kl,ql->nkmq', Kxx, self.W, self.W)
WKxxW = tf.tensordot(self.W, KxxW, [[1], [1]]) # [P, P, N, 2]
return tf.transpose(WKxxW, [2, 0, 3, 1]) # [N, P, 2, P]
else:
# return tf.einsum('lnm,kl,kl->knm', Kxx, self.W, self.W)
return tf.reduce_sum(self.W[:, :, None, None] * KxxW,
[1]) # [P, N, 2]
def K_diag(self, X, full_output_cov=True, presliced=False):
K = tf.stack([k.K_diag(X) for k in self.kernels], axis=1) # [N, L]
if full_output_cov:
# Can currently not use einsum due to unknown shape from `tf.stack()`
# return tf.einsum('nl,lk,lq->nkq', K, self.W, self.W) # [N, P, P]
Wt = tf.transpose(self.W) # [L, P]
return tf.reduce_sum(K[:, :, None, None] * Wt[None, :, :, None] *
Wt[None, :, None, :],
axis=1) # [N, P, P]
else:
# return tf.einsum('nl,lk,lk->nkq', K, self.W, self.W) # [N, P]
return tf.linalg.matmul(
K, self.W**2.0,
transpose_b=True) # [N, L] * [L, P] -> [N, P]
