# 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 from GPflow.minibatch import SequenceIndices import numpy as np import unittest import tensorflow as tf class TestMethods(unittest.TestCase): def setUp(self): tf.reset_default_graph() self.rng = np.random.RandomState(0) self.X = self.rng.randn(100, 2) self.Y = self.rng.randn(100, 1) self.Z = self.rng.randn(10, 2) self.lik = GPflow.likelihoods.Gaussian() self.kern = GPflow.kernels.Matern32(2) self.Xs = self.rng.randn(10, 2) # make one of each model self.ms = [] #for M in (GPflow.gpmc.GPMC, GPflow.vgp.VGP): for M in (GPflow.vgp.VGP, GPflow.gpmc.GPMC): self.ms.append(M(self.X, self.Y, self.kern, self.lik)) for M in (GPflow.sgpmc.SGPMC, GPflow.svgp.SVGP): self.ms.append(M(self.X, self.Y, self.kern, self.lik, self.Z)) self.ms.append(GPflow.gpr.GPR(self.X, self.Y, self.kern)) self.ms.append(GPflow.sgpr.SGPR(self.X, self.Y, self.kern, Z=self.Z)) self.ms.append(GPflow.sgpr.GPRFITC(self.X, self.Y, self.kern, Z=self.Z)) def test_all(self): # test sizes. for m in self.ms: m._compile() f, g = m._objective(m.get_free_state()) self.assertTrue(f.size == 1) self.assertTrue(g.size == m.get_free_state().size) def test_tf_optimize(self): for m in self.ms: trainer = tf.train.AdamOptimizer(learning_rate=0.001) if isinstance(m, (GPflow.gpr.GPR,GPflow.vgp.VGP,GPflow.svgp.SVGP)): optimizeOp = m._compile(trainer) self.assertTrue(optimizeOp is not None) def test_predict_f(self): for m in self.ms: mf, vf = m.predict_f(self.Xs) self.assertTrue(mf.shape == vf.shape) self.assertTrue(mf.shape == (10, 1)) self.assertTrue(np.all(vf >= 0.0)) def test_predict_y(self): for m in self.ms: mf, vf = m.predict_y(self.Xs) self.assertTrue(mf.shape == vf.shape) self.assertTrue(mf.shape == (10, 1)) self.assertTrue(np.all(vf >= 0.0)) def test_predict_density(self): self.Ys = self.rng.randn(10, 1) for m in self.ms: d = m.predict_density(self.Xs, self.Ys) self.assertTrue(d.shape == (10, 1)) class TestSVGP(unittest.TestCase): """ The SVGP has four modes of operation. with and without whitening, with and without diagonals. Here we make sure thet the bound on the likelihood is the same when using both representations (as far as possible) """ def setUp(self): tf.reset_default_graph() self.rng = np.random.RandomState(0) self.X = self.rng.randn(20, 1) self.Y = self.rng.randn(20, 2) self.Z = self.rng.randn(3, 1) def test_white(self): m1 = GPflow.svgp.SVGP(self.X, self.Y, kern=GPflow.kernels.RBF(1), likelihood=GPflow.likelihoods.Exponential(), Z=self.Z, q_diag=True, whiten=True) m2 = GPflow.svgp.SVGP(self.X, self.Y, kern=GPflow.kernels.RBF(1), likelihood=GPflow.likelihoods.Exponential(), Z=self.Z, q_diag=False, whiten=True) m1._compile() m2._compile() qsqrt, qmean = self.rng.randn(2, 3, 2) qsqrt = (qsqrt**2)*0.01 m1.q_sqrt = qsqrt m1.q_mu = qmean m2.q_sqrt = np.array([np.diag(qsqrt[:, 0]), np.diag(qsqrt[:, 1])]).swapaxes(0, 2) m2.q_mu = qmean self.assertTrue(np.allclose(m1._objective(m1.get_free_state())[0], m2._objective(m2.get_free_state())[0])) def test_notwhite(self): m1 = GPflow.svgp.SVGP(self.X, self.Y, kern=GPflow.kernels.RBF(1) + GPflow.kernels.White(1), likelihood=GPflow.likelihoods.Exponential(), Z=self.Z, q_diag=True, whiten=False) m2 = GPflow.svgp.SVGP(self.X, self.Y, kern=GPflow.kernels.RBF(1) + GPflow.kernels.White(1), likelihood=GPflow.likelihoods.Exponential(), Z=self.Z, q_diag=False, whiten=False) m1._compile() m2._compile() qsqrt, qmean = self.rng.randn(2, 3, 2) qsqrt = (qsqrt**2)*0.01 m1.q_sqrt = qsqrt m1.q_mu = qmean m2.q_sqrt = np.array([np.diag(qsqrt[:, 0]), np.diag(qsqrt[:, 1])]).swapaxes(0, 2) m2.q_mu = qmean self.assertTrue(np.allclose(m1._objective(m1.get_free_state())[0], m2._objective(m2.get_free_state())[0])) def test_q_sqrt_fixing(self): """ In response to bug #46, we need to make sure that the q_sqrt matrix can be fixed """ m1 = GPflow.svgp.SVGP(self.X, self.Y, kern=GPflow.kernels.RBF(1) + GPflow.kernels.White(1), likelihood=GPflow.likelihoods.Exponential(), Z=self.Z) m1.q_sqrt.fixed = True m1._compile() class TestStochasticGradients(unittest.TestCase): """ In response to bug #281, we need to make sure stochastic update happens correctly in tf optimizer mode. To do this compare stochastic updates with deterministic updates that should be equivalent. Data term in svgp likelihood is \sum_{i=1^N}E_{q(i)}[\log p(y_i | f_i ) This sum is then approximated with an unbiased minibatch estimate. In this test we substitute a deterministic analogue of the batchs sampler for which we can predict the effects of different updates. """ def setUp(self): self.XAB = np.atleast_2d(np.array([0.,1.])).T self.YAB = np.atleast_2d(np.array([-1.,3.])).T self.sharedZ = np.atleast_2d(np.array([0.5]) ) self.indexA = 0 self.indexB = 1 def getIndexedData(self,baseX,baseY,indeces): newX = baseX[indeces] newY = baseY[indeces] return newX, newY def getModel(self,X,Y,Z,minibatch_size): model = GPflow.svgp.SVGP(X, Y, kern = GPflow.kernels.RBF(1), likelihood = GPflow.likelihoods.Gaussian(), Z = Z, minibatch_size=minibatch_size) #This step changes the batch indeces to cycle. model.X.index_manager = SequenceIndices(minibatch_size,X.shape[0]) model.Y.index_manager = SequenceIndices(minibatch_size,X.shape[0]) return model def getTfOptimizer(self): learning_rate = .1 opt = tf.train.GradientDescentOptimizer(learning_rate, use_locking=True) return opt def getIndexedModel(self,X,Y,Z,minibatch_size,indeces): Xindeces,Yindeces = self.getIndexedData(X,Y,indeces) indexedModel = self.getModel(Xindeces,Yindeces,Z,minibatch_size) return indexedModel def checkModelsClose(self,modelA,modelB,tolerance=1e-2): modelA_dict = modelA.get_parameter_dict() modelB_dict = modelB.get_parameter_dict() if sorted(modelA_dict.keys())!=sorted(modelB_dict.keys()): return False for key in modelA_dict: if ((modelA_dict[key] - modelB_dict[key])>tolerance).any(): return False return True def compareTwoModels(self,indecesOne,indecesTwo, batchOne,batchTwo, maxiter, checkSame=True): modelOne = self.getIndexedModel(self.XAB, self.YAB, self.sharedZ, batchOne, indecesOne) modelTwo = self.getIndexedModel(self.XAB, self.YAB, self.sharedZ, batchTwo, indecesTwo) modelOne.optimize(method=self.getTfOptimizer(),maxiter=maxiter) modelTwo.optimize(method=self.getTfOptimizer(),maxiter=maxiter) if checkSame: self.assertTrue(self.checkModelsClose(modelOne,modelTwo)) else: self.assertFalse(self.checkModelsClose(modelOne,modelTwo)) def testOne(self): self.compareTwoModels([self.indexA,self.indexB], [self.indexB,self.indexA], 2, 2, 3) def testTwo(self): self.compareTwoModels([self.indexA,self.indexB], [self.indexA,self.indexA], 1, 2, 1) def testThree(self): self.compareTwoModels([self.indexA,self.indexA], [self.indexA,self.indexB], 1, 1, 2, False) class TestSparseMCMC(unittest.TestCase): """ This test makes sure that when the inducing points are the same as the data points, the sparse mcmc is the same as full mcmc """ def setUp(self): tf.reset_default_graph() rng = np.random.RandomState(0) X = rng.randn(10, 1) Y = rng.randn(10, 1) v_vals = rng.randn(10, 1) lik = GPflow.likelihoods.StudentT self.m1 = GPflow.gpmc.GPMC(X=X, Y=Y, kern=GPflow.kernels.Exponential(1), likelihood=lik()) self.m2 = GPflow.sgpmc.SGPMC(X=X, Y=Y, kern=GPflow.kernels.Exponential(1), likelihood=lik(), Z=X.copy()) self.m1.V = v_vals self.m2.V = v_vals.copy() self.m1.kern.lengthscale = .8 self.m2.kern.lengthscale = .8 self.m1.kern.variance = 4.2 self.m2.kern.variance = 4.2 self.m1._compile() self.m2._compile() def test_likelihoods_and_gradients(self): f1, _ = self.m1._objective(self.m1.get_free_state()) f2, _ = self.m2._objective(self.m2.get_free_state()) self.assertTrue(np.allclose(f1, f2)) # the parameters might not be in the same order, so # sort the gradients before checking they're the same _, g1 = self.m1._objective(self.m1.get_free_state()) _, g2 = self.m2._objective(self.m2.get_free_state()) g1 = np.sort(g1) g2 = np.sort(g2) self.assertTrue(np.allclose(g1, g2, 1e-4)) if __name__ == "__main__": unittest.main()