# Copyright 2016 James Hensman, Valentine Svensson, alexggmatthews # Copyright 2017 Artem Artemev @awav # # 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. from functools import reduce import warnings import tensorflow as tf import numpy as np from . import transforms from . import settings from .params import Parameter, Parameterized, ParamList from .decors import params_as_tensors, autoflow class Kernel(Parameterized): """ The basic kernel class. Handles input_dim and active dims, and provides a generic '_slice' function to implement them. """ def __init__(self, input_dim, active_dims=None, name=None): """ input dim is an integer active dims is either an iterable of integers or None. Input dim is the number of input dimensions to the kernel. If the kernel is computed on a matrix X which has more columns than input_dim, then by default, only the first input_dim columns are used. If different columns are required, then they may be specified by active_dims. If active dims is None, it effectively defaults to range(input_dim), but we store it as a slice for efficiency. """ super().__init__(name=name) self.input_dim = int(input_dim) if active_dims is None: self.active_dims = slice(input_dim) elif isinstance(active_dims, slice): self.active_dims = active_dims if active_dims.start is not None and active_dims.stop is not None and active_dims.step is not None: assert len(range(*active_dims)) == input_dim # pragma: no cover else: self.active_dims = np.array(active_dims, dtype=np.int32) assert len(active_dims) == input_dim def _validate_ard_shape(self, name, value, ARD=None): """ Validates the shape of a potentially ARD hyperparameter :param name: The name of the parameter (used for error messages) :param value: A scalar or an array. :param ARD: None, False, or True. If None, infers ARD from shape of value. :return: Tuple (value, ARD), where _value_ is a scalar if input_dim==1 or not ARD, array otherwise. The _ARD_ is False if input_dim==1 or not ARD, True otherwise. """ if ARD is None: ARD = np.asarray(value).squeeze().shape != () if ARD: # accept float or array: value = value * np.ones(self.input_dim, dtype=settings.float_type) if self.input_dim == 1 or not ARD: correct_shape = () else: correct_shape = (self.input_dim,) if np.asarray(value).squeeze().shape != correct_shape: raise ValueError("shape of {} does not match input_dim".format(name)) return value, ARD @autoflow((settings.float_type, [None, None]), (settings.float_type, [None, None])) def compute_K(self, X, Z): return self.K(X, Z) @autoflow((settings.float_type, [None, None])) def compute_K_symm(self, X): return self.K(X) @autoflow((settings.float_type, [None, None])) def compute_Kdiag(self, X): return self.Kdiag(X) def on_separate_dims(self, other_kernel): """ Checks if the dimensions, over which the kernels are specified, overlap. Returns True if they are defined on different/separate dimensions and False otherwise. """ if isinstance(self.active_dims, slice) or isinstance(other_kernel.active_dims, slice): # Be very conservative for kernels defined over slices of dimensions return False if np.any(self.active_dims.reshape(-1, 1) == other_kernel.active_dims.reshape(1, -1)): return False return True def _slice(self, X, X2): """ Slice the correct dimensions for use in the kernel, as indicated by `self.active_dims`. :param X: Input 1 (NxD). :param X2: Input 2 (MxD), may be None. :return: Sliced X, X2, (Nxself.input_dim). """ if isinstance(self.active_dims, slice): X = X[:, self.active_dims] if X2 is not None: X2 = X2[:, self.active_dims] else: X = tf.transpose(tf.gather(tf.transpose(X), self.active_dims)) if X2 is not None: X2 = tf.transpose(tf.gather(tf.transpose(X2), self.active_dims)) input_dim_shape = tf.shape(X)[1] input_dim = tf.convert_to_tensor(self.input_dim, dtype=settings.tf_int) with tf.control_dependencies([tf.assert_equal(input_dim_shape, input_dim)]): X = tf.identity(X) return X, X2 def _slice_cov(self, cov): """ Slice the correct dimensions for use in the kernel, as indicated by `self.active_dims` for covariance matrices. This requires slicing the rows *and* columns. This will also turn flattened diagonal matrices into a tensor of full diagonal matrices. :param cov: Tensor of covariance matrices (NxDxD or NxD). :return: N x self.input_dim x self.input_dim. """ cov = tf.cond(tf.equal(tf.rank(cov), 2), lambda: tf.matrix_diag(cov), lambda: cov) if isinstance(self.active_dims, slice): cov = cov[..., self.active_dims, self.active_dims] else: cov_shape = tf.shape(cov) covr = tf.reshape(cov, [-1, cov_shape[-1], cov_shape[-1]]) gather1 = tf.gather(tf.transpose(covr, [2, 1, 0]), self.active_dims) gather2 = tf.gather(tf.transpose(gather1, [1, 0, 2]), self.active_dims) cov = tf.reshape(tf.transpose(gather2, [2, 0, 1]), tf.concat([cov_shape[:-2], [len(self.active_dims), len(self.active_dims)]], 0)) return cov def __add__(self, other): return Sum([self, other]) def __mul__(self, other): return Product([self, other]) class Static(Kernel): """ Kernels who don't depend on the value of the inputs are 'Static'. The only parameter is a variance. """ def __init__(self, input_dim, variance=1.0, active_dims=None, name=None): super().__init__(input_dim, active_dims, name=name) self.variance = Parameter(variance, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def Kdiag(self, X): return tf.fill(tf.stack([tf.shape(X)[0]]), tf.squeeze(self.variance)) class White(Static): """ The White kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if X2 is None: d = tf.fill(tf.stack([tf.shape(X)[0]]), tf.squeeze(self.variance)) return tf.matrix_diag(d) else: shape = tf.stack([tf.shape(X)[0], tf.shape(X2)[0]]) return tf.zeros(shape, settings.float_type) class Constant(Static): """ The Constant (aka Bias) kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if X2 is None: shape = tf.stack([tf.shape(X)[0], tf.shape(X)[0]]) else: shape = tf.stack([tf.shape(X)[0], tf.shape(X2)[0]]) return tf.fill(shape, tf.squeeze(self.variance)) class Bias(Constant): """ Another name for the Constant kernel, included for convenience. """ pass class Stationary(Kernel): """ Base class for kernels that are stationary, that is, they only depend on r = || x - x' || This class handles 'ARD' behaviour, which stands for 'Automatic Relevance Determination'. This means that the kernel has one lengthscale per dimension, otherwise the kernel is isotropic (has a single lengthscale). """ def __init__(self, input_dim, variance=1.0, lengthscales=1.0, active_dims=None, ARD=None, name=None): """ - input_dim is the dimension of the input to the kernel - variance is the (initial) value for the variance parameter - lengthscales is the initial value for the lengthscales parameter defaults to 1.0 (ARD=False) or np.ones(input_dim) (ARD=True). - active_dims is a list of length input_dim which controls which columns of X are used. - if ARD is not None, it specifies whether the kernel has one lengthscale per dimension (ARD=True) or a single lengthscale (ARD=False). Otherwise, inferred from shape of lengthscales. """ super().__init__(input_dim, active_dims, name=name) self.variance = Parameter(variance, transform=transforms.positive, dtype=settings.float_type) lengthscales, self.ARD = self._validate_ard_shape("lengthscales", lengthscales, ARD) self.lengthscales = Parameter(lengthscales, transform=transforms.positive, dtype=settings.float_type) def square_dist(self, X, X2): # pragma: no cover warnings.warn('square_dist is deprecated and will be removed at ' 'GPflow version 1.2.0. Use scaled_square_dist.', DeprecationWarning) return self.scaled_square_dist(X, X2) def euclid_dist(self, X, X2): # pragma: no cover warnings.warn('euclid_dist is deprecated and will be removed at ' 'GPflow version 1.2.0. Use scaled_euclid_dist.', DeprecationWarning) return self.scaled_euclid_dist(X, X2) @params_as_tensors def scaled_square_dist(self, X, X2): """ Returns ((X - X2ᵀ)/lengthscales)². Due to the implementation and floating-point imprecision, the result may actually be very slightly negative for entries very close to each other. """ X = X / self.lengthscales Xs = tf.reduce_sum(tf.square(X), axis=1) if X2 is None: dist = -2 * tf.matmul(X, X, transpose_b=True) dist += tf.reshape(Xs, (-1, 1)) + tf.reshape(Xs, (1, -1)) return dist X2 = X2 / self.lengthscales X2s = tf.reduce_sum(tf.square(X2), axis=1) dist = -2 * tf.matmul(X, X2, transpose_b=True) dist += tf.reshape(Xs, (-1, 1)) + tf.reshape(X2s, (1, -1)) return dist def scaled_euclid_dist(self, X, X2): """ Returns |(X - X2ᵀ)/lengthscales| (L2-norm). """ r2 = self.scaled_square_dist(X, X2) # Clipping around the (single) float precision which is ~1e-45. return tf.sqrt(tf.maximum(r2, 1e-40)) @params_as_tensors def Kdiag(self, X, presliced=False): return tf.fill(tf.stack([tf.shape(X)[0]]), tf.squeeze(self.variance)) class RBF(Stationary): """ The radial basis function (RBF) or squared exponential kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) return self.variance * tf.exp(-self.scaled_square_dist(X, X2) / 2) SquaredExponential = RBF class RationalQuadratic(Stationary): """ Rational Quadratic kernel, k(r) = σ² (1 + r² / 2αℓ²)^(-α) σ² : variance ℓ : lengthscales α : alpha, determines relative weighting of small-scale and large-scale fluctuations For α → ∞, the RQ kernel becomes equivalent to the squared exponential. """ def __init__(self, input_dim, variance=1.0, lengthscales=1.0, alpha=1.0, active_dims=None, ARD=None, name=None): super().__init__(input_dim, variance, lengthscales, active_dims, ARD, name) self.alpha = Parameter(alpha, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) return self.variance * (1 + self.scaled_square_dist(X, X2) / (2 * self.alpha)) ** (- self.alpha) class Linear(Kernel): """ The linear kernel """ def __init__(self, input_dim, variance=1.0, active_dims=None, ARD=None, name=None): """ - input_dim is the dimension of the input to the kernel - variance is the (initial) value for the variance parameter(s) if ARD=True, there is one variance per input - active_dims is a list of length input_dim which controls which columns of X are used. """ super().__init__(input_dim, active_dims, name=name) variance, self.ARD = self._validate_ard_shape("variance", variance, ARD) self.variance = Parameter(variance, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) if X2 is None: return tf.matmul(X * self.variance, X, transpose_b=True) else: return tf.matmul(X * self.variance, X2, transpose_b=True) @params_as_tensors def Kdiag(self, X, presliced=False): if not presliced: X, _ = self._slice(X, None) return tf.reduce_sum(tf.square(X) * self.variance, 1) class Polynomial(Linear): """ The Polynomial kernel. Samples are polynomials of degree `d`. """ def __init__(self, input_dim, degree=3.0, variance=1.0, offset=1.0, active_dims=None, ARD=None, name=None): """ :param input_dim: the dimension of the input to the kernel :param variance: the (initial) value for the variance parameter(s) if ARD=True, there is one variance per input :param degree: the degree of the polynomial :param active_dims: a list of length input_dim which controls which columns of X are used. :param ARD: use variance as described """ super().__init__(input_dim, variance, active_dims, ARD, name=name) self.degree = degree self.offset = Parameter(offset, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def K(self, X, X2=None, presliced=False): return (Linear.K(self, X, X2, presliced=presliced) + self.offset) ** self.degree @params_as_tensors def Kdiag(self, X, presliced=False): return (Linear.Kdiag(self, X, presliced=presliced) + self.offset) ** self.degree class Exponential(Stationary): """ The Exponential kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) r = self.scaled_euclid_dist(X, X2) return self.variance * tf.exp(-0.5 * r) class Matern12(Stationary): """ The Matern 1/2 kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) r = self.scaled_euclid_dist(X, X2) return self.variance * tf.exp(-r) class Matern32(Stationary): """ The Matern 3/2 kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) r = self.scaled_euclid_dist(X, X2) return self.variance * (1. + np.sqrt(3.) * r) * \ tf.exp(-np.sqrt(3.) * r) class Matern52(Stationary): """ The Matern 5/2 kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) r = self.scaled_euclid_dist(X, X2) return self.variance * (1.0 + np.sqrt(5.) * r + 5. / 3. * tf.square(r)) \ * tf.exp(-np.sqrt(5.) * r) class Cosine(Stationary): """ The Cosine kernel """ @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) r = self.scaled_euclid_dist(X, X2) return self.variance * tf.cos(r) class ArcCosine(Kernel): """ The Arc-cosine family of kernels which mimics the computation in neural networks. The order parameter specifies the assumed activation function. The Multi Layer Perceptron (MLP) kernel is closely related to the ArcCosine kernel of order 0. The key reference is :: @incollection{NIPS2009_3628, title = {Kernel Methods for Deep Learning}, author = {Youngmin Cho and Lawrence K. Saul}, booktitle = {Advances in Neural Information Processing Systems 22}, year = {2009}, url = {http://papers.nips.cc/paper/3628-kernel-methods-for-deep-learning.pdf} } """ implemented_orders = {0, 1, 2} def __init__(self, input_dim, order=0, variance=1.0, weight_variances=1., bias_variance=1., active_dims=None, ARD=None, name=None): """ - input_dim is the dimension of the input to the kernel - order specifies the activation function of the neural network the function is a rectified monomial of the chosen order. - variance is the initial value for the variance parameter - weight_variances is the initial value for the weight_variances parameter defaults to 1.0 (ARD=False) or np.ones(input_dim) (ARD=True). - bias_variance is the initial value for the bias_variance parameter defaults to 1.0. - active_dims is a list of length input_dim which controls which columns of X are used. - ARD specifies whether the kernel has one weight_variance per dimension (ARD=True) or a single weight_variance (ARD=False). """ super().__init__(input_dim, active_dims, name=name) if order not in self.implemented_orders: raise ValueError('Requested kernel order is not implemented.') self.order = order self.variance = Parameter(variance, transform=transforms.positive, dtype=settings.float_type) self.bias_variance = Parameter(bias_variance, transform=transforms.positive, dtype=settings.float_type) weight_variances, self.ARD = self._validate_ard_shape("weight_variances", weight_variances, ARD) self.weight_variances = Parameter(weight_variances, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def _weighted_product(self, X, X2=None): if X2 is None: return tf.reduce_sum(self.weight_variances * tf.square(X), axis=1) + self.bias_variance return tf.matmul((self.weight_variances * X), X2, transpose_b=True) + self.bias_variance def _J(self, theta): """ Implements the order dependent family of functions defined in equations 4 to 7 in the reference paper. """ if self.order == 0: return np.pi - theta elif self.order == 1: return tf.sin(theta) + (np.pi - theta) * tf.cos(theta) elif self.order == 2: return 3. * tf.sin(theta) * tf.cos(theta) + \ (np.pi - theta) * (1. + 2. * tf.cos(theta) ** 2) @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) X_denominator = tf.sqrt(self._weighted_product(X)) if X2 is None: X2 = X X2_denominator = X_denominator else: X2_denominator = tf.sqrt(self._weighted_product(X2)) numerator = self._weighted_product(X, X2) cos_theta = numerator / X_denominator[:, None] / X2_denominator[None, :] jitter = 1e-15 theta = tf.acos(jitter + (1 - 2 * jitter) * cos_theta) return self.variance * (1. / np.pi) * self._J(theta) * \ X_denominator[:, None] ** self.order * \ X2_denominator[None, :] ** self.order @params_as_tensors def Kdiag(self, X, presliced=False): if not presliced: X, _ = self._slice(X, None) X_product = self._weighted_product(X) theta = tf.constant(0., settings.float_type) return self.variance * (1. / np.pi) * self._J(theta) * X_product ** self.order class Periodic(Kernel): """ The periodic kernel. Defined in Equation (47) of D.J.C.MacKay. Introduction to Gaussian processes. In C.M.Bishop, editor, Neural Networks and Machine Learning, pages 133--165. Springer, 1998. Derived using an RBF kernel once mapped the original inputs through the mapping u=(cos(x), sin(x)). The resulting kernel can be expressed as: k_per(x, x') = variance * exp( -0.5 Sum_i sin^2((x_i-x'_i) * pi /period)/ell^2) (note that usually we have a factor of 4 instead of 0.5 in front but this is absorbed into ell hyperparameter). """ def __init__(self, input_dim, period=1.0, variance=1.0, lengthscales=1.0, active_dims=None, name=None): # No ARD support for lengthscale or period yet super().__init__(input_dim, active_dims, name=name) self.variance = Parameter(variance, transform=transforms.positive, dtype=settings.float_type) self.lengthscales = Parameter(lengthscales, transform=transforms.positive, dtype=settings.float_type) self.ARD = False self.period = Parameter(period, transform=transforms.positive, dtype=settings.float_type) @params_as_tensors def Kdiag(self, X, presliced=False): return tf.fill(tf.stack([tf.shape(X)[0]]), tf.squeeze(self.variance)) @params_as_tensors def K(self, X, X2=None, presliced=False): if not presliced: X, X2 = self._slice(X, X2) if X2 is None: X2 = X # Introduce dummy dimension so we can use broadcasting f = tf.expand_dims(X, 1) # now N x 1 x D f2 = tf.expand_dims(X2, 0) # now 1 x M x D r = np.pi * (f - f2) / self.period r = tf.reduce_sum(tf.square(tf.sin(r) / self.lengthscales), 2) return self.variance * tf.exp(-0.5 * r) class Coregion(Kernel): def __init__(self, input_dim, output_dim, rank, active_dims=None, name=None): """ A Coregionalization kernel. The inputs to this kernel are _integers_ (we cast them from floats as needed) which usually specify the *outputs* of a Coregionalization model. The parameters of this kernel, W, kappa, specify a positive-definite matrix B. B = W W^T + diag(kappa) . The kernel function is then an indexing of this matrix, so K(x, y) = B[x, y] . We refer to the size of B as "num_outputs x num_outputs", since this is the number of outputs in a coregionalization model. We refer to the number of columns on W as 'rank': it is the number of degrees of correlation between the outputs. NB. There is a symmetry between the elements of W, which creates a local minimum at W=0. To avoid this, it's recommended to initialize the optimization (or MCMC chain) using a random W. """ assert input_dim == 1, "Coregion kernel in 1D only" super().__init__(input_dim, active_dims, name=name) self.output_dim = output_dim self.rank = rank self.W = Parameter(np.zeros((self.output_dim, self.rank), dtype=settings.float_type)) self.kappa = Parameter(np.ones(self.output_dim, dtype=settings.float_type), transform=transforms.positive) @params_as_tensors def K(self, X, X2=None): X, X2 = self._slice(X, X2) X = tf.cast(X[:, 0], tf.int32) if X2 is None: X2 = X else: X2 = tf.cast(X2[:, 0], tf.int32) B = tf.matmul(self.W, self.W, transpose_b=True) + tf.matrix_diag(self.kappa) return tf.gather(tf.transpose(tf.gather(B, X2)), X) @params_as_tensors def Kdiag(self, X): X, _ = self._slice(X, None) X = tf.cast(X[:, 0], tf.int32) Bdiag = tf.reduce_sum(tf.square(self.W), 1) + self.kappa return tf.gather(Bdiag, X) class Combination(Kernel): """ Combine a list of kernels, e.g. by adding or multiplying (see inheriting classes). The names of the kernels to be combined are generated from their class names. """ def __init__(self, kernels, name=None): if not all(isinstance(k, Kernel) for k in kernels): raise TypeError("can only combine Kernel instances") # pragma: no cover input_dim = np.max([k.input_dim if type(k.active_dims) is slice else np.max(k.active_dims) + 1 for k in kernels]) super().__init__(input_dim=input_dim, name=name) # add kernels to a list, flattening out instances of this class therein kernels_list = [] for k in kernels: if isinstance(k, self.__class__): kernels_list.extend(k.kernels) else: kernels_list.append(k) self.kernels = ParamList(kernels_list) @property def on_separate_dimensions(self): """ Checks whether the kernels in the combination act on disjoint subsets of dimensions. Currently, it is hard to asses whether two slice objects will overlap, so this will always return False. :return: Boolean indicator. """ if np.any([isinstance(k.active_dims, slice) for k in self.kernels]): # Be conservative in the case of a slice object return False else: dimlist = [k.active_dims for k in self.kernels] overlapping = False for i, dims_i in enumerate(dimlist): for dims_j in dimlist[i + 1:]: if np.any(dims_i.reshape(-1, 1) == dims_j.reshape(1, -1)): overlapping = True return not overlapping class Sum(Combination): def K(self, X, X2=None, presliced=False): return reduce(tf.add, [k.K(X, X2) for k in self.kernels]) def Kdiag(self, X, presliced=False): return reduce(tf.add, [k.Kdiag(X) for k in self.kernels]) class Product(Combination): def K(self, X, X2=None, presliced=False): return reduce(tf.multiply, [k.K(X, X2) for k in self.kernels]) def Kdiag(self, X, presliced=False): return reduce(tf.multiply, [k.Kdiag(X) for k in self.kernels]) def make_deprecated_class(oldname, NewClass): """ Returns a class that raises NotImplementedError on instantiation. e.g.: >>> Kern = make_deprecated_class("Kern", Kernel) """ msg = ("{module}.{} has been renamed to {module}.{}" .format(oldname, NewClass.__name__, module=NewClass.__module__)) class OldClass(NewClass): def __new__(cls, *args, **kwargs): raise NotImplementedError(msg) OldClass.__doc__ = msg OldClass.__qualname__ = OldClass.__name__ = oldname return OldClass Kern = make_deprecated_class("Kern", Kernel) Add = make_deprecated_class("Add", Sum) Prod = make_deprecated_class("Prod", Product) PeriodicKernel = make_deprecated_class("PeriodicKernel", Periodic)