https://github.com/GPflow/GPflow
Tip revision: 766be842991222eed3185111c5a552350c0a9d89 authored by Jesper Nielsen on 26 May 2022, 16:17:32 UTC
Add small utility for reshaping / transposing.
Add small utility for reshaping / transposing.
Tip revision: 766be84
gpr.py
# Copyright 2016-2020 The GPflow Contributors. All Rights Reserved.
#
# 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 typing import Optional
import tensorflow as tf
from check_shapes import check_shapes, inherit_check_shapes
import gpflow
from .. import posteriors
from ..base import InputData, MeanAndVariance, RegressionData, TensorData
from ..kernels import Kernel
from ..likelihoods import Gaussian
from ..logdensities import multivariate_normal
from ..mean_functions import MeanFunction
from ..utilities import add_likelihood_noise_cov, assert_params_false
from .model import GPModel
from .training_mixins import InternalDataTrainingLossMixin
from .util import data_input_to_tensor
class GPR_deprecated(GPModel, InternalDataTrainingLossMixin):
r"""
Gaussian Process Regression.
This is a vanilla implementation of GP regression with a Gaussian
likelihood. Multiple columns of Y are treated independently.
The log likelihood of this model is given by
.. math::
\log p(Y \,|\, \mathbf f) =
\mathcal N(Y \,|\, 0, \sigma_n^2 \mathbf{I})
To train the model, we maximise the log _marginal_ likelihood
w.r.t. the likelihood variance and kernel hyperparameters theta.
The marginal likelihood is found by integrating the likelihood
over the prior, and has the form
.. math::
\log p(Y \,|\, \sigma_n, \theta) =
\mathcal N(Y \,|\, 0, \mathbf{K} + \sigma_n^2 \mathbf{I})
For a use example see :doc:`../../../../notebooks/getting_started/basic_usage`.
"""
@check_shapes(
"data[0]: [N, D]",
"data[1]: [N, P]",
"noise_variance: []",
)
def __init__(
self,
data: RegressionData,
kernel: Kernel,
mean_function: Optional[MeanFunction] = None,
noise_variance: Optional[TensorData] = None,
likelihood: Optional[Gaussian] = None,
):
assert (noise_variance is None) or (
likelihood is None
), "Cannot set both `noise_variance` and `likelihood`."
if likelihood is None:
if noise_variance is None:
noise_variance = 1.0
likelihood = gpflow.likelihoods.Gaussian(noise_variance)
_, Y_data = data
super().__init__(kernel, likelihood, mean_function, num_latent_gps=Y_data.shape[-1])
self.data = data_input_to_tensor(data)
# type-ignore is because of changed method signature:
@inherit_check_shapes
def maximum_log_likelihood_objective(self) -> tf.Tensor: # type: ignore[override]
return self.log_marginal_likelihood()
@check_shapes(
"return: []",
)
def log_marginal_likelihood(self) -> tf.Tensor:
r"""
Computes the log marginal likelihood.
.. math::
\log p(Y | \theta).
"""
X, Y = self.data
K = self.kernel(X)
ks = add_likelihood_noise_cov(K, self.likelihood, X)
L = tf.linalg.cholesky(ks)
m = self.mean_function(X)
# [R,] log-likelihoods for each independent dimension of Y
log_prob = multivariate_normal(Y, m, L)
return tf.reduce_sum(log_prob)
@inherit_check_shapes
def predict_f(
self, Xnew: InputData, full_cov: bool = False, full_output_cov: bool = False
) -> MeanAndVariance:
r"""
This method computes predictions at X \in R^{N \x D} input points
.. math::
p(F* | Y)
where F* are points on the GP at new data points, Y are noisy observations at training data
points.
"""
assert_params_false(self.predict_f, full_output_cov=full_output_cov)
X, Y = self.data
err = Y - self.mean_function(X)
kmm = self.kernel(X)
knn = self.kernel(Xnew, full_cov=full_cov)
kmn = self.kernel(X, Xnew)
kmm_plus_s = add_likelihood_noise_cov(kmm, self.likelihood, X)
conditional = gpflow.conditionals.base_conditional
f_mean_zero, f_var = conditional(
kmn, kmm_plus_s, knn, err, full_cov=full_cov, white=False
) # [N, P], [N, P] or [P, N, N]
f_mean = f_mean_zero + self.mean_function(Xnew)
return f_mean, f_var
class GPR_with_posterior(GPR_deprecated):
"""
This is an implementation of GPR that provides a posterior() method that
enables caching for faster subsequent predictions.
"""
def posterior(
self,
precompute_cache: posteriors.PrecomputeCacheType = posteriors.PrecomputeCacheType.TENSOR,
) -> posteriors.GPRPosterior:
"""
Create the Posterior object which contains precomputed matrices for
faster prediction.
precompute_cache has three settings:
- `PrecomputeCacheType.TENSOR` (or `"tensor"`): Precomputes the cached
quantities and stores them as tensors (which allows differentiating
through the prediction). This is the default.
- `PrecomputeCacheType.VARIABLE` (or `"variable"`): Precomputes the cached
quantities and stores them as variables, which allows for updating
their values without changing the compute graph (relevant for AOT
compilation).
- `PrecomputeCacheType.NOCACHE` (or `"nocache"` or `None`): Avoids
immediate cache computation. This is useful for avoiding extraneous
computations when you only want to call the posterior's
`fused_predict_f` method.
"""
return posteriors.GPRPosterior(
kernel=self.kernel,
data=self.data,
likelihood=self.likelihood,
mean_function=self.mean_function,
precompute_cache=precompute_cache,
)
@inherit_check_shapes
def predict_f(
self, Xnew: InputData, full_cov: bool = False, full_output_cov: bool = False
) -> MeanAndVariance:
"""
For backwards compatibility, GPR's predict_f uses the fused (no-cache)
computation, which is more efficient during training.
For faster (cached) prediction, predict directly from the posterior object, i.e.,:
model.posterior().predict_f(Xnew, ...)
"""
return self.posterior(posteriors.PrecomputeCacheType.NOCACHE).fused_predict_f(
Xnew, full_cov=full_cov, full_output_cov=full_output_cov
)
class GPR(GPR_with_posterior):
# subclassed to ensure __class__ == "GPR"
__doc__ = GPR_deprecated.__doc__ # Use documentation from GPR_deprecated.