# Copyright 2016 the 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.from __future__ import print_function import GPflow import numpy as np import unittest import tensorflow as tf class TestEquivalence(unittest.TestCase): """ With a Gaussian likelihood, and inducing points (where appropriate) positioned at the data, many of the GPflow methods are equivalent (perhaps subject to some optimization). Here, we make 5 models that should be the same, and make sure some similarites hold. The models are: 1) GP Regression 2) Variational GP (with the likelihood set to Gaussian) 3) Sparse variational GP (likelihood is Gaussian, inducing points at the data) 4) Sparse variational GP (as above, but with the whitening rotation of the inducing variables) 5) Sparse variational GP Regression (as above, but there the inducing variables are 'collapsed' out, as in Titsias 2009) """ def setUp(self): tf.reset_default_graph() rng = np.random.RandomState(0) X = rng.rand(20, 1)*10 Y = np.sin(X) + 0.9 * np.cos(X*1.6) + rng.randn(*X.shape) * 0.8 Y = np.tile(Y, 2) # two identical columns self.Xtest = rng.rand(10, 1)*10 m1 = GPflow.gpr.GPR(X, Y, kern=GPflow.kernels.RBF(1), mean_function=GPflow.mean_functions.Constant()) m2 = GPflow.vgp.VGP(X, Y, GPflow.kernels.RBF(1), likelihood=GPflow.likelihoods.Gaussian(), mean_function=GPflow.mean_functions.Constant()) m3 = GPflow.svgp.SVGP(X, Y, GPflow.kernels.RBF(1), likelihood=GPflow.likelihoods.Gaussian(), Z=X.copy(), q_diag=False, mean_function=GPflow.mean_functions.Constant()) m3.Z.fixed = True m4 = GPflow.svgp.SVGP(X, Y, GPflow.kernels.RBF(1), likelihood=GPflow.likelihoods.Gaussian(), Z=X.copy(), q_diag=False, whiten=True, mean_function=GPflow.mean_functions.Constant()) m4.Z.fixed = True m5 = GPflow.sgpr.SGPR(X, Y, GPflow.kernels.RBF(1), Z=X.copy(), mean_function=GPflow.mean_functions.Constant()) m5.Z.fixed = True m6 = GPflow.sgpr.GPRFITC(X, Y, GPflow.kernels.RBF(1), Z=X.copy(), mean_function=GPflow.mean_functions.Constant()) m6.Z.fixed = True self.models = [m1, m2, m3, m4, m5, m6] for m in self.models: m.optimize(disp=False, maxiter=300) print('.') # stop travis timing out def test_all(self): likelihoods = np.array([-m._objective(m.get_free_state())[0].squeeze() for m in self.models]) self.assertTrue(np.allclose(likelihoods, likelihoods[0], 1e-2)) variances, lengthscales = [], [] for m in self.models: if hasattr(m.kern, 'rbf'): variances.append(m.kern.rbf.variance.value) lengthscales.append(m.kern.rbf.lengthscales.value) else: variances.append(m.kern.variance.value) lengthscales.append(m.kern.lengthscales.value) variances, lengthscales = np.array(variances), np.array(lengthscales) self.assertTrue(np.allclose(variances, variances[0], 1e-3)) self.assertTrue(np.allclose(lengthscales, lengthscales.mean(), 1e-2)) mu0, var0 = self.models[0].predict_y(self.Xtest) for m in self.models[1:]: mu, var = m.predict_y(self.Xtest) self.assertTrue(np.allclose(mu, mu0, 1e-2)) self.assertTrue(np.allclose(var, var0, 1e-2)) if __name__ == '__main__': unittest.main()