# 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. import numpy as np import pytest import gpflow from gpflow.features import InducingPoints from gpflow.kernels import Matern32 rng = np.random.RandomState(0) class ModelSetup: def __init__(self, model_class, kernel=Matern32(), likelihood=gpflow.likelihoods.Gaussian(), whiten=None, q_diag=None, requires_Z_as_input=True): self.model_class = model_class self.kernel = kernel self.likelihood = likelihood self.whiten = whiten self.q_diag = q_diag self.requires_Z_as_input = requires_Z_as_input def get_model(self, Z, num_latent): if self.whiten is not None and self.q_diag is not None: return self.model_class(feature=Z, kernel=self.kernel, likelihood=self.likelihood, num_latent=num_latent, whiten=self.whiten, q_diag=self.q_diag) else: return self.model_class(feature=Z, kernel=self.kernel, likelihood=self.likelihood, num_latent=num_latent) def __repr__(self): return f"ModelSetup({self.model_class.__name__}, {self.whiten}, {self.q_diag})" model_setups = [ ModelSetup(model_class=gpflow.models.SVGP, whiten=False, q_diag=True), ModelSetup(model_class=gpflow.models.SVGP, whiten=True, q_diag=False), ModelSetup(model_class=gpflow.models.SVGP, whiten=True, q_diag=True), ModelSetup(model_class=gpflow.models.SVGP, whiten=False, q_diag=False), # ModelSetup(model_class=gpflow.models.SGPR), # ModelSetup(model_class=gpflow.models.GPRF), # ModelSetup(model_class=gpflow.models.VGP, requires_Z_as_input = False), # ModelSetup(model_class=gpflow.models.GPMC, requires_Z_as_input = False ), # ModelSetup(model_class=gpflow.models.SGPMC) ] @pytest.mark.parametrize('Ntrain, Ntest, D', [[100, 10, 2]]) def test_gaussian_mean_and_variance(Ntrain, Ntest, D): X, Y = rng.randn(Ntrain, D), rng.randn(Ntrain, 1) Xtest, _ = rng.randn(Ntest, D), rng.randn(Ntest, 1) kernel = Matern32() + gpflow.kernels.White() model_gp = gpflow.models.GPR(X, Y, kernel=kernel) mu_f, var_f = model_gp.predict_f(Xtest) mu_y, var_y = model_gp.predict_y(Xtest) assert np.allclose(mu_f, mu_y) assert np.allclose(var_f, var_y - 1.) @pytest.mark.parametrize('Ntrain, Ntest, D', [[100, 10, 2]]) def test_gaussian_log_density(Ntrain, Ntest, D): X, Y = rng.randn(Ntrain, D), rng.randn(Ntrain, 1) Xtest, Ytest = rng.randn(Ntest, D), rng.randn(Ntest, 1) kernel = Matern32() + gpflow.kernels.White() model_gp = gpflow.models.GPR(X, Y, kernel=kernel) mu_y, var_y = model_gp.predict_y(Xtest) log_density = model_gp.predict_log_density(Xtest, Ytest) log_density_hand = (-0.5 * np.log(2 * np.pi) - 0.5 * np.log(var_y) - 0.5 * np.square(mu_y - Ytest) / var_y) assert np.allclose(log_density_hand, log_density) @pytest.mark.parametrize('input_dim, output_dim, N, Ntest, M', [[3, 2, 20, 30, 5]]) def test_gaussian_full_cov(input_dim, output_dim, N, Ntest, M): covar_shape = (output_dim, Ntest, Ntest) X, Y, Z = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn( M, input_dim) Xtest = rng.randn(Ntest, input_dim) kernel = Matern32() model_gp = gpflow.models.GPR(X, Y, kernel=kernel) mu1, var = model_gp.predict_f(Xtest, full_cov=False) mu2, covar = model_gp.predict_f(Xtest, full_cov=True) assert np.allclose(mu1, mu2, atol=1.e-10) assert covar.shape == covar_shape assert var.shape == (Ntest, output_dim) for i in range(output_dim): assert np.allclose(var[:, i], np.diag(covar[i, :, :])) # TODO(@sergio.pasc) As model classes are updated to TF2.0, prepare all tests bellow accordingly @pytest.mark.skip(reason='GPR model is not ready') @pytest.mark.parametrize('input_dim, output_dim, N, Ntest, M, num_samples', [[3, 2, 20, 30, 5, 5]]) def test_gaussian_full_cov_samples(input_dim, output_dim, N, Ntest, M, num_samples): samples_shape = (num_samples, Ntest, output_dim) X, Y, _ = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn( M, input_dim) Xtest = rng.randn(Ntest, input_dim) kernel = Matern32() model_gp = gpflow.models.GPR(X, Y, kernel=kernel) samples = model_gp.predict_f_samples(Xtest, num_samples) assert samples.shape == samples_shape @pytest.mark.parametrize('model_setup', model_setups) @pytest.mark.parametrize('input_dim', [3]) @pytest.mark.parametrize('output_dim', [2]) @pytest.mark.parametrize('N', [20]) @pytest.mark.parametrize('Ntest', [30]) @pytest.mark.parametrize('M', [5]) def test_other_models_full_cov(model_setup, input_dim, output_dim, N, Ntest, M): covar_shape = (output_dim, Ntest, Ntest) # TODO(@awav): may need them for other models # X, Y = rng.randn(N, input_dim), rng.randn(N, output_dim) Z = InducingPoints(rng.randn(M, input_dim)) Xtest = rng.randn(Ntest, input_dim) model_gp = model_setup.get_model(Z, num_latent=output_dim) mu1, var = model_gp.predict_f(Xtest, full_cov=False) mu2, covar = model_gp.predict_f(Xtest, full_cov=True) assert np.allclose(mu1, mu2, atol=1.e-10) assert covar.shape == covar_shape assert var.shape == (Ntest, output_dim) for i in range(output_dim): assert np.allclose(var[:, i], np.diag(covar[i, :, :])) @pytest.mark.parametrize('model_setup', model_setups) @pytest.mark.parametrize('input_dim', [3]) @pytest.mark.parametrize('output_dim', [2]) @pytest.mark.parametrize('N', [20]) @pytest.mark.parametrize('Ntest', [30]) @pytest.mark.parametrize('M', [5]) @pytest.mark.parametrize('num_samples', [5]) def test_other_models_full_cov_samples(model_setup, input_dim, output_dim, N, Ntest, M, num_samples): samples_shape = (num_samples, Ntest, output_dim) # TODO(@awav): may need them for other models # X, Y, Z = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn(M, input_dim) _, _, Z = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn( M, input_dim) Xtest = rng.randn(Ntest, input_dim) model_gp = model_setup.get_model(Z, num_latent=output_dim) samples = model_gp.predict_f_samples(Xtest, num_samples) assert samples.shape == samples_shape