# Copyright 2016 James Hensman, alexggmatthews # # 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. # -*- coding: utf-8 -*- import tensorflow as tf from .config import default_float from .utilities import Dispatcher from .inducing_variables import InducingVariables from .kernels import Kernel from .covariances.kuus import Kuu from .config import default_jitter prior_kl = Dispatcher('prior_kl') @prior_kl.register(InducingVariables, Kernel, object, object) def _(inducing_variable, kernel, q_mu, q_sqrt, whiten=False): if whiten: return gauss_kl(q_mu, q_sqrt, None) else: K = Kuu(inducing_variable, kernel, jitter=default_jitter()) # [P, M, M] or [M, M] return gauss_kl(q_mu, q_sqrt, K) def gauss_kl(q_mu, q_sqrt, K=None): """ Compute the KL divergence KL[q || p] between q(x) = N(q_mu, q_sqrt^2) and p(x) = N(0, K) if K is not None p(x) = N(0, I) if K is None We assume N multiple independent distributions, given by the columns of q_mu and the last dimension of q_sqrt. Returns the sum of the divergences. q_mu is a matrix ([M, L]), each column contains a mean. q_sqrt can be a 3D tensor ([L, M, M]), each matrix within is a lower triangular square-root matrix of the covariance of q. q_sqrt can be a matrix ([M, L]), each column represents the diagonal of a square-root matrix of the covariance of q. K is the covariance of p. It is a positive definite matrix ([M, M]) or a tensor of stacked such matrices ([L, M, M]) If K is None, compute the KL divergence to p(x) = N(0, I) instead. """ white = K is None diag = len(q_sqrt.shape) == 2 M, B = tf.shape(q_mu)[0], tf.shape(q_mu)[1] if white: alpha = q_mu # [M, B] else: batch = len(K.shape) == 3 Lp = tf.linalg.cholesky(K) # [B, M, M] or [M, M] q_mu = tf.transpose( q_mu)[:, :, None] if batch else q_mu # [B, M, 1] or [M, B] alpha = tf.linalg.triangular_solve(Lp, q_mu, lower=True) # [B, M, 1] or [M, B] if diag: Lq = Lq_diag = q_sqrt Lq_full = tf.linalg.diag(tf.transpose(q_sqrt)) # [B, M, M] else: Lq = Lq_full = tf.linalg.band_part( q_sqrt, -1, 0) # force lower triangle # [B, M, M] Lq_diag = tf.linalg.diag_part(Lq) # [M, B] # Mahalanobis term: μqᵀ Σp⁻¹ μq mahalanobis = tf.reduce_sum(tf.square(alpha)) # Constant term: - B * M constant = -tf.cast(tf.size(q_mu, out_type=tf.int64), dtype=default_float()) # Log-determinant of the covariance of q(x): logdet_qcov = tf.reduce_sum(tf.math.log(tf.square(Lq_diag))) # Trace term: tr(Σp⁻¹ Σq) if white: trace = tf.reduce_sum(tf.square(Lq)) else: if diag and not batch: # K is [M, M] and q_sqrt is [M, B]: fast specialisation LpT = tf.transpose(Lp) # [M, M] Lp_inv = tf.linalg.triangular_solve(Lp, tf.eye(M, dtype=default_float()), lower=True) # [M, M] K_inv = tf.linalg.diag_part( tf.linalg.triangular_solve( LpT, Lp_inv, lower=False))[:, None] # [M, M] -> [M, 1] trace = tf.reduce_sum(K_inv * tf.square(q_sqrt)) else: # TODO: broadcast instead of tile when tf allows (not implemented in tf <= 1.6.0) Lp_full = Lp if batch else tf.tile(tf.expand_dims(Lp, 0), [B, 1, 1]) LpiLq = tf.linalg.triangular_solve(Lp_full, Lq_full, lower=True) trace = tf.reduce_sum(tf.square(LpiLq)) twoKL = mahalanobis + constant - logdet_qcov + trace # Log-determinant of the covariance of p(x): if not white: log_sqdiag_Lp = tf.math.log(tf.square(tf.linalg.diag_part(Lp))) sum_log_sqdiag_Lp = tf.reduce_sum(log_sqdiag_Lp) # If K is [B, M, M], num_latent is no longer implicit, no need to multiply the single kernel logdet scale = 1.0 if batch else tf.cast(B, default_float()) twoKL += scale * sum_log_sqdiag_Lp return 0.5 * twoKL