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 poitns 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 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(display=False, max_iters=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.failUnless(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.failUnless(np.allclose(variances, variances[0], 1e-3)) self.failUnless(np.allclose(lengthscales, lengthscales[0], 1e-3)) mu0, var0 = self.models[0].predict_y(self.Xtest) for m in self.models[1:]: mu, var = m.predict_y(self.Xtest) self.failUnless(np.allclose(mu, mu0, 1e-2)) self.failUnless(np.allclose(var, var0, 1e-2)) if __name__=='__main__': unittest.main()