import gpflow import numpy as np import tensorflow as tf import tensorflow_probability as tfp import pytest 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(lengthscale=l_value)) m2 = gpflow.models.GPR(data, kernel=gpflow.kernels.SquaredExponential()) m2.kernel.lengthscale = gpflow.Parameter(l_variable, transform=None) assert np.allclose(m1.kernel.lengthscale.numpy(), m2.kernel.lengthscale.numpy()) # consistency check assert np.allclose(m1.neg_log_marginal_likelihood().numpy(), m2.neg_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.positive()) assert param.log_prior().numpy() == 0.0 def fix_dtype(x): # TODO replace with generic function for handling tensorflow_probability ... return tf.cast(x, gpflow.default_float()) class DummyModel(gpflow.models.BayesianModel): value = 3.3 log_scale = 0.4 def __init__(self, with_transform): super().__init__() prior = tfp.distributions.Normal(fix_dtype(1.0), fix_dtype(1.0)) scale = np.exp(self.log_scale) if with_transform: transform = tfp.bijectors.AffineScalar(scale=fix_dtype(scale)) else: transform = None self.theta = gpflow.Parameter(self.value, prior=prior, transform=transform) def log_likelihood(self): return (self.theta + 5) ** 2 def test_map_contains_log_det_jacobian(): m1 = DummyModel(with_transform=True) m2 = DummyModel(with_transform=False) assert np.allclose(- m1.neg_log_marginal_likelihood().numpy(), - m2.neg_log_marginal_likelihood().numpy() + m1.log_scale), \ "MAP objective should differ by log|Jacobian| of the transform"