https://github.com/GPflow/GPflow
Tip revision: b8a05fb755d8b420d55d1b20dcc9559cf83dc152 authored by ST John on 04 January 2020, 00:18:23 UTC
Merge branch 'develop' into st/posterior
Merge branch 'develop' into st/posterior
Tip revision: b8a05fb
test_prior.py
import numpy as np
import pytest
import tensorflow as tf
import tensorflow_probability as tfp
import gpflow
from gpflow.config import set_default_float
from gpflow.utilities import to_default_float
np.random.seed(1)
class Datum:
X = 10 * np.random.randn(5, 1)
Y = 10 * np.random.randn(5, 1)
lengthscale = 3.3
def test_gpr_objective_equivalence():
"""
In Maximum Likelihood Estimation (MLE), i.e. when there are no priors on
the parameters, the objective should not depend on any transforms on the
parameters.
We use GPR as a simple model that has an objective.
"""
data = (Datum.X, Datum.Y)
l_value = Datum.lengthscale
l_variable = tf.Variable(l_value, dtype=gpflow.default_float(), trainable=True)
m1 = gpflow.models.GPR(data, kernel=gpflow.kernels.SquaredExponential(lengthscale=l_value))
m2 = gpflow.models.GPR(data, kernel=gpflow.kernels.SquaredExponential())
m2.kernel.lengthscale = gpflow.Parameter(l_variable, transform=None)
assert np.allclose(m1.kernel.lengthscale.numpy(), m2.kernel.lengthscale.numpy()) # consistency check
assert np.allclose(m1.log_marginal_likelihood().numpy(),
m2.log_marginal_likelihood().numpy()), \
"MLE objective should not depend on Parameter transform"
def test_log_prior_with_no_prior():
"""
A parameter without any prior should have zero log-prior,
even if it has a transform to constrain it.
"""
param = gpflow.Parameter(5.3, transform=gpflow.utilities.positive())
assert param.log_prior().numpy() == 0.0
class DummyModel(gpflow.models.BayesianModel):
value = 3.3
log_scale = 0.4
def __init__(self, with_transform):
super().__init__()
prior = tfp.distributions.Normal(to_default_float(1.0), to_default_float(1.0))
scale = np.exp(self.log_scale)
if with_transform:
transform = tfp.bijectors.AffineScalar(scale=to_default_float(scale))
else:
transform = None
self.theta = gpflow.Parameter(self.value, prior=prior, transform=transform)
def log_likelihood(self):
return (self.theta + 5)**2
def test_map_contains_log_det_jacobian():
m1 = DummyModel(with_transform=True)
m2 = DummyModel(with_transform=False)
assert np.allclose(m1.log_marginal_likelihood().numpy(),
m2.log_marginal_likelihood().numpy() + m1.log_scale), \
"MAP objective should differ by log|Jacobian| of the transform"
def get_gpmc_model_params():
kernel = gpflow.kernels.Matern32()
likelihood = gpflow.likelihoods.Gaussian()
data = [np.arange(5), np.arange(5)]
return data, kernel, likelihood
@pytest.mark.parametrize(
'model_class, args',
[
(gpflow.models.GPMC, get_gpmc_model_params()),
#(gpflow.models.SGPMC, get_SGPMC_model_params()) # Fails due to inducing_variable=None bug
])
def test_v_prior_dtypes(model_class, args):
with gpflow.config.as_context():
set_default_float(np.float32)
m = model_class(*args)
assert m.V.prior.dtype == np.float32
set_default_float(np.float64)
m = model_class(*args)
assert m.V.prior.dtype == np.float64