# Copyright 2016 Valentine Svensson, 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. from .tf_wraps import eye import tensorflow as tf from .scoping import NameScoped from ._settings import settings @NameScoped("conditional") def conditional(Xnew, X, kern, f, full_cov=False, q_sqrt=None, whiten=False): """ Given F, representing the GP at the points X, produce the mean and (co-)variance of the GP at the points Xnew. Additionally, there my be Gaussian uncertainty about F as represented by q_sqrt. In this case `f` represents the mean of the distribution and q_sqrt the square-root of the covariance. Additionally, the GP may have been centered (whitened) so that p(v) = N( 0, I) f = L v thus p(f) = N(0, LL^T) = N(0, K). In this case 'f' represents the values taken by v. The method can either return the diagonals of the covariance matrix for each output of the full covariance matrix (full_cov). We assume K independent GPs, represented by the columns of f (and the last dimension of q_sqrt). - Xnew is a data matrix, size N x D - X are data points, size M x D - kern is a GPflow kernel - f is a data matrix, M x K, representing the function values at X, for K functions. - q_sqrt (optional) is a matrix of standard-deviations or Cholesky matrices, size M x K or M x M x K - whiten (optional) is a boolean: whether to whiten the representation as described above. These functions are now considered deprecated, subsumed into this one: gp_predict gaussian_gp_predict gp_predict_whitened gaussian_gp_predict_whitened """ # compute kernel stuff num_data = tf.shape(X)[0] Kmn = kern.K(X, Xnew) Kmm = kern.K(X) + eye(num_data) * settings.numerics.jitter_level Lm = tf.cholesky(Kmm) # Compute the projection matrix A A = tf.matrix_triangular_solve(Lm, Kmn, lower=True) # compute the covariance due to the conditioning if full_cov: fvar = kern.K(Xnew) - tf.matmul(A, A, transpose_a=True) shape = tf.pack([tf.shape(f)[1], 1, 1]) else: fvar = kern.Kdiag(Xnew) - tf.reduce_sum(tf.square(A), 0) shape = tf.pack([tf.shape(f)[1], 1]) fvar = tf.tile(tf.expand_dims(fvar, 0), shape) # D x N x N or D x N # another backsubstitution in the unwhitened case if not whiten: A = tf.matrix_triangular_solve(tf.transpose(Lm), A, lower=False) # construct the conditional mean fmean = tf.matmul(tf.transpose(A), f) if q_sqrt is not None: if q_sqrt.get_shape().ndims == 2: LTA = A * tf.expand_dims(tf.transpose(q_sqrt), 2) # D x M x N elif q_sqrt.get_shape().ndims == 3: L = tf.batch_matrix_band_part(tf.transpose(q_sqrt, (2, 0, 1)), -1, 0) # D x M x M A_tiled = tf.tile(tf.expand_dims(A, 0), tf.pack([tf.shape(f)[1], 1, 1])) LTA = tf.batch_matmul(L, A_tiled, adj_x=True) # D x M x N else: # pragma: no cover raise ValueError("Bad dimension for q_sqrt: %s" % str(q_sqrt.get_shape().ndims)) if full_cov: fvar = fvar + tf.batch_matmul(LTA, LTA, adj_x=True) # D x N x N else: fvar = fvar + tf.reduce_sum(tf.square(LTA), 1) # D x N fvar = tf.transpose(fvar) # N x D or N x N x D return fmean, fvar import warnings def gp_predict(Xnew, X, kern, F, full_cov=False): warnings.warn('gp_predict is deprecated: use conditonal(...) instead', DeprecationWarning) return conditional(Xnew, X, kern, F, full_cov=full_cov, q_sqrt=None, whiten=False) def gaussian_gp_predict(Xnew, X, kern, q_mu, q_sqrt, num_columns, full_cov=False): warnings.warn('gp_predict is deprecated: use conditonal(...) instead', DeprecationWarning) return conditional(Xnew, X, kern, q_mu, full_cov=full_cov, q_sqrt=q_sqrt, whiten=False) def gaussian_gp_predict_whitened(Xnew, X, kern, q_mu, q_sqrt, num_columns, full_cov=False): warnings.warn('gp_predict is deprecated: use conditonal(...) instead', DeprecationWarning) return conditional(Xnew, X, kern, q_mu, full_cov=full_cov, q_sqrt=q_sqrt, whiten=True) def gp_predict_whitened(Xnew, X, kern, V, full_cov=False): warnings.warn('gp_predict is deprecated: use conditonal(...) instead', DeprecationWarning) return conditional(Xnew, X, kern, V, full_cov=full_cov, q_sqrt=None, whiten=True)