https://github.com/GPflow/GPflow
Tip revision: d3ab77d7b16fc7abd4b0f79bf9c8ccc70d585dd6 authored by Joel Berkeley on 08 April 2020, 17:59:04 UTC
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Tip revision: d3ab77d
test_base_prior.py
import numpy as np
import pytest
import tensorflow as tf
import tensorflow_probability as tfp
from gpflow.base import PriorOn
from tensorflow_probability.python.distributions import Uniform
from tensorflow_probability.python.bijectors import Exp
import gpflow
from gpflow.config import set_default_float
from gpflow.utilities import to_default_float
np.random.seed(1)
class Datum:
X = 10 * np.random.randn(5, 1)
Y = 10 * np.random.randn(5, 1)
lengthscale = 3.3
def test_gpr_objective_equivalence():
"""
In Maximum Likelihood Estimation (MLE), i.e. when there are no priors on
the parameters, the objective should not depend on any transforms on the
parameters.
We use GPR as a simple model that has an objective.
"""
data = (Datum.X, Datum.Y)
l_value = Datum.lengthscale
l_variable = tf.Variable(l_value, dtype=gpflow.default_float(), trainable=True)
m1 = gpflow.models.GPR(data, kernel=gpflow.kernels.SquaredExponential(lengthscales=l_value))
m2 = gpflow.models.GPR(data, kernel=gpflow.kernels.SquaredExponential())
m2.kernel.lengthscales = gpflow.Parameter(l_variable, transform=None)
assert np.allclose(
m1.kernel.lengthscales.numpy(), m2.kernel.lengthscales.numpy()
) # consistency check
assert np.allclose(
m1.log_marginal_likelihood().numpy(), m2.log_marginal_likelihood().numpy()
), "MLE objective should not depend on Parameter transform"
def test_log_prior_with_no_prior():
"""
A parameter without any prior should have zero log-prior,
even if it has a transform to constrain it.
"""
param = gpflow.Parameter(5.3, transform=gpflow.utilities.positive())
assert param.log_prior_density().numpy() == 0.0
def test_log_prior_for_uniform_prior():
"""
If we assign a Uniform prior to a parameter, we should not expect the value of the prior density
to change with the parameter value, even if it has a transform associated with it.
"""
uniform_prior = Uniform(low=np.float64(0), high=np.float64(100))
param = gpflow.Parameter(1.0, transform=gpflow.utilities.positive(), prior=uniform_prior)
low_value = param.log_prior_density().numpy()
param.assign(10.0)
high_value = param.log_prior_density().numpy()
assert np.isclose(low_value, high_value)
def test_log_prior_on_unconstrained():
"""
A parameter with an Exp transform, and a uniform prior on its unconstrained, should have a
prior in the constrained space that scales as 1/value.
"""
initial_value = 1.0
scale_factor = 10.0
uniform_prior = Uniform(low=np.float64(0), high=np.float64(100))
param = gpflow.Parameter(
initial_value, transform=Exp(), prior=uniform_prior, prior_on=PriorOn.UNCONSTRAINED,
)
low_value = param.log_prior_density().numpy()
param.assign(scale_factor * initial_value)
high_value = param.log_prior_density().numpy()
assert np.isclose(low_value, high_value + np.log(scale_factor))
class DummyModel(gpflow.models.BayesianModel):
value = 3.3
log_scale = 0.4
def __init__(self, with_transform):
super().__init__()
prior = tfp.distributions.Normal(to_default_float(1.0), to_default_float(1.0))
scale = np.exp(self.log_scale)
if with_transform:
transform = tfp.bijectors.AffineScalar(scale=to_default_float(scale))
else:
transform = None
self.theta = gpflow.Parameter(self.value, prior=prior, transform=transform)
def maximum_log_likelihood_objective(self):
return (self.theta + 5) ** 2
def test_map_invariance_to_transform():
m1 = DummyModel(with_transform=True)
m2 = DummyModel(with_transform=False)
assert np.allclose(
m1.log_posterior_density().numpy(), m2.log_posterior_density().numpy()
), "log posterior density should not be affected by a transform"
def get_gpmc_model_params():
kernel = gpflow.kernels.Matern32()
likelihood = gpflow.likelihoods.Gaussian()
data = [np.random.randn(5, 1), np.random.randn(5, 1)]
return data, kernel, likelihood
@pytest.mark.parametrize(
"model_class, args",
[
(gpflow.models.GPMC, get_gpmc_model_params()),
# (gpflow.models.SGPMC, get_SGPMC_model_params()) # Fails due to inducing_variable=None bug
],
)
def test_v_prior_dtypes(model_class, args):
with gpflow.config.as_context():
set_default_float(np.float32)
m = model_class(*args)
assert m.V.prior.dtype == np.float32
set_default_float(np.float64)
m = model_class(*args)
assert m.V.prior.dtype == np.float64