https://github.com/GPflow/GPflow
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Tip revision: ea67c67014dd1548564ab03e7a0fe99591e11e67 authored by John Bradshaw on 04 October 2017, 08:40:37 UTC
Random features -- improved demo to also show Thompson sampling.
Tip revision: ea67c67
test_ekerns.py
import unittest
import numpy as np
import tensorflow as tf
import gpflow

from testing.gpflow_testcase import GPflowTestCase
from gpflow import kernels
from gpflow import ekernels
from nose.plugins.attrib import attr

def _assert_pdeq(self, a, b, k=None, i=-1, l=-1):
    self.assertTrue(np.all(a.shape == b.shape))
    pdmax = np.max(np.abs(a / b - 1) * 100)
    # print("%s, %f" % (str(type(k)), pdmax))
    msg = "Percentage difference above threshold: {0}\nOn kernel: {1} ({2} / {3})"
    self.assertTrue(pdmax < self._threshold, msg=msg.format(pdmax, str(type(k)), i + 1, l))

def index_block(y, x, D):
    return np.s_[y * D:(y + 1) * D, x * D:(x + 1) * D]


class TriDiagonalBlockRep(object):
    """
    Transforms an unconstrained representation of a PSD block tri diagonal matrix to its PSD block representation.
    """

    def __init__(self):
        gpflow.transforms.Transform.__init__(self)

    def forward(self, x):
        """
        Transforms from the free state to the matrix of blocks.
        :param x: Unconstrained state (Nx2DxD), where D is the block size.
        :return: Return PSD blocks (2xNxDxD)
        """
        N, D = x.shape[0], x.shape[2]
        diagblocks = np.einsum('nij,nik->njk', x, x)
        ob = np.einsum('nij,nik->njk', x[:-1, :, :], x[1:, :, :])
        # ob = np.einsum('nij,njk->nik', x[:-1, :, :].transpose([0, 2, 1]), x[1:, :, :])
        offblocks = np.vstack((ob, np.zeros((1, D, D))))
        return np.array([diagblocks, offblocks])

    def tf_forward(self, x):
        N, D = tf.shape(x)[0], tf.shape(x)[2]
        xm = tf.slice(x, [0, 0, 0], tf.stack([N - 1, -1, -1]))
        xp = x[1:, :, :]
        diagblocks = tf.matmul(x, x, transpose_a=True)
        offblocks = tf.concat_v2([tf.matmul(xm, xp, transpose_a=True), tf.zeros((1, D, D), 0, dtype=tf.float64)])
        return tf.stack([diagblocks, offblocks])

    def __str__(self):
        return "BlockTriDiagonal"


class TestKernExpDelta(GPflowTestCase):
    """
    Check whether the normal kernel matrix is recovered if a delta distribution is used. First initial test which should
    indicate whether things work or not.
    """

    def setUp(self):
        with self.test_session():
            self.D = 2
            self.rng = np.random.RandomState(0)
            self.Xmu = self.rng.rand(10, self.D)
            self.Z = self.rng.rand(4, self.D)
            self.Xcov = np.zeros((self.Xmu.shape[0], self.D, self.D))
            self.Xcovc = np.zeros((self.Xmu.shape[0], self.D, self.D))
            k1 = ekernels.RBF(self.D, ARD=True)
            k1.lengthscales = self.rng.rand(2) + [0.5, 1.5]
            k1.variance = 0.3 + self.rng.rand()
            k2 = ekernels.RBF(self.D)
            k2.lengthscales = self.rng.rand(1) + [0.5]
            k2.variance = 0.3 + self.rng.rand()
            klin = ekernels.Linear(self.D, variance=0.3 + self.rng.rand())
            self.kernels = [k1, klin, k2]

    def test_eKzxKxz(self):
        with self.test_session():
            for k in self.kernels:
                psi2 = k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov)
                kernmat = k.compute_K(self.Z, self.Xmu)  # MxN
                kernouter = np.einsum('in,jn->nij', kernmat, kernmat)
                self.assertTrue(np.allclose(kernouter, psi2))

    def test_eKdiag(self):
        with self.test_session():
            for k in self.kernels:
                kdiag = k.compute_eKdiag(self.Xmu, self.Xcov)
                orig = k.compute_Kdiag(self.Xmu)
                self.assertTrue(np.allclose(orig, kdiag))

    def test_exKxz(self):
        with self.test_session():
            covall = np.array([self.Xcov, self.Xcovc])
            for k in self.kernels:
                if type(k) is ekernels.Linear:
                    continue
                exKxz = k.compute_exKxz(self.Z, self.Xmu, covall)
                Kxz = k.compute_K(self.Xmu[:-1, :], self.Z)  # NxM
                xKxz = np.einsum('nm,nd->nmd', Kxz, self.Xmu[1:, :])
                self.assertTrue(np.allclose(xKxz, exKxz))

    def test_Kxz(self):
        with self.test_session():
            for k in self.kernels:
                psi1 = k.compute_eKxz(self.Z, self.Xmu, self.Xcov)
                kernmat = k.compute_K(self.Z, self.Xmu)  # MxN
                self.assertTrue(np.allclose(kernmat, psi1.T))


class TestKernExpActiveDims(GPflowTestCase):
    _threshold = 0.5

    def setUp(self):
        with self.test_session():
            self.N = 4
            self.D = 2
            self.rng = np.random.RandomState(0)
            self.Xmu = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(3, self.D)
            unconstrained = self.rng.randn(self.N, 2 * self.D, self.D)
            t = TriDiagonalBlockRep()
            self.Xcov = t.forward(unconstrained)

            variance = 0.3 + self.rng.rand()

            k1 = ekernels.RBF(1, variance, active_dims=[0])
            k2 = ekernels.RBF(1, variance, active_dims=[1])
            klin = ekernels.Linear(1, variance, active_dims=[1])
            self.ekernels = [k1, k2, klin]  # Kernels doing the expectation in closed form, doing the slicing

            k1 = ekernels.RBF(1, variance)
            k2 = ekernels.RBF(1, variance)
            klin = ekernels.Linear(1, variance)
            self.pekernels = [k1, k2, klin]  # kernels doing the expectations in closed form, without slicing

            k1 = kernels.RBF(1, variance, active_dims=[0])
            klin = kernels.Linear(1, variance, active_dims=[1])
            self.kernels = [k1, klin]

            k1 = kernels.RBF(1, variance)
            klin = kernels.Linear(1, variance)
            self.pkernels = [k1, klin]

    def test_quad_active_dims(self):
        with self.test_session():
            for k, pk in zip(self.kernels + self.ekernels, self.pkernels + self.pekernels):
                a = k.compute_eKdiag(self.Xmu, self.Xcov[0, :, :, :])
                sliced = np.take(
                    np.take(self.Xcov, k.active_dims, axis=-1),
                    k.active_dims,
                    axis=-2)
                b = pk.compute_eKdiag(self.Xmu[:, k.active_dims], sliced[0, :, :, :])
                _assert_pdeq(self, a, b, k)

                a = k.compute_eKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                sliced = np.take(
                    np.take(self.Xcov, k.active_dims, axis=-1),
                    k.active_dims,
                    axis=-2)
                b = pk.compute_eKxz(
                    self.Z[:, k.active_dims],
                    self.Xmu[:, k.active_dims],
                    sliced[0, :, :, :])
                _assert_pdeq(self, a, b, k)

                a = k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                sliced = np.take(
                    np.take(self.Xcov, k.active_dims, axis=-1),
                    k.active_dims,
                    axis=-2)
                b = pk.compute_eKzxKxz(self.Z[:, k.active_dims], self.Xmu[:, k.active_dims], sliced[0, :, :, :])
                _assert_pdeq(self, a, b, k)


class TestExpxKxzActiveDims(GPflowTestCase):
    _threshold = 0.5

    def setUp(self):
        with self.test_session():
            self.rng = np.random.RandomState(0)

            self.N = 4
            self.D = 2
            self.Xmu = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(3, self.D)
            unconstrained = self.rng.randn(self.N, 2 * self.D, self.D)
            t = TriDiagonalBlockRep()
            self.Xcov = t.forward(unconstrained)

            variance = 0.3 + self.rng.rand()

            k1 = ekernels.RBF(1, variance, active_dims=[0])
            k2 = ekernels.RBF(1, variance, active_dims=[1])
            klin = ekernels.Linear(1, variance, active_dims=[1])
            self.ekernels = [k1, k2, klin]

            k1 = ekernels.RBF(2, variance)
            k2 = ekernels.RBF(2, variance)
            klin = ekernels.Linear(2, variance)
            self.pekernels = [k1, k2, klin]

            k1 = kernels.RBF(1, variance, active_dims=[0])
            klin = kernels.Linear(1, variance, active_dims=[1])
            self.kernels = [k1, klin]

            k1 = kernels.RBF(2, variance)
            klin = kernels.Linear(2, variance)
            self.pkernels = [k1, klin]

    def test_quad_active_dims(self):
        with self.test_session():
            for k, pk in zip(self.kernels, self.pkernels):

                # TODO(@markvdw):
                # exKxz is interacts slightly oddly with `active_dims`.
                # It can't be implemented by simply dropping the dependence on certain inputs.
                # As we still need to output the outer product between x_{t-1} and K_{x_t, Z}.
                # So we can't do a comparison to a kernel that just takes a smaller X as an input.
                # It may be possible to do this though for a carefully crafted `Xcov`.
                # However, I'll leave that as a todo for now.

                k.input_size = self.Xmu.shape[1]
                pk.input_size = self.Xmu.shape[1]
                a = k.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                b = pk.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                self.assertFalse(np.all(a == b))
                exp_shape = np.array([self.N - 1, self.Z.shape[0], self.D])
                self.assertTrue(np.all(a.shape == exp_shape),
                                msg="Shapes incorrect:\n%s vs %s" % (str(a.shape), str(exp_shape)))

            for k, pk in zip(self.ekernels, self.pekernels):
                try:
                    k.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                    pk.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                except Exception as e:
                    self.assertTrue(type(e) is tf.errors.InvalidArgumentError)


@attr(speed='slow')
class TestKernExpQuadrature(GPflowTestCase):
    _threshold = 0.5
    num_gauss_hermite_points = 50  # more may be needed to reach tighter tolerances, try 100.

    def setUp(self):
        with self.test_session():
            self.rng = np.random.RandomState(1)  # this seed works with 60 GH points
            self.N = 4
            self.D = 2
            self.Xmu = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(2, self.D)

            unconstrained = self.rng.randn(self.N, 2 * self.D, self.D)
            t = TriDiagonalBlockRep()
            self.Xcov = t.forward(unconstrained)

            # Set up "normal" kernels
            ekernel_classes = [ekernels.RBF, ekernels.Linear]
            kernel_classes = [kernels.RBF, kernels.Linear]
            params = [(self.D, 0.3 + self.rng.rand(), self.rng.rand(2) + [0.5, 1.5], None, True),
                      (self.D, 0.3 + self.rng.rand(), None)]
            self.ekernels = [c(*p) for c, p in zip(ekernel_classes, params)]
            self.kernels = [c(*p) for c, p in zip(kernel_classes, params)]

            # Test summed kernels, non-overlapping
            rbfvariance = 0.3 + self.rng.rand()
            rbfard = [self.rng.rand() + 0.5]
            linvariance = 0.3 + self.rng.rand()
            self.kernels.append(
                kernels.Add([
                    kernels.RBF(1, rbfvariance, rbfard, [1], False),
                    kernels.Linear(1, linvariance, [0])
                ])
            )
            self.kernels[-1].input_size = self.kernels[-1].input_dim
            for k in self.kernels[-1].kern_list:
                k.input_size = self.kernels[-1].input_size
            self.ekernels.append(
                ekernels.Add([
                    ekernels.RBF(1, rbfvariance, rbfard, [1], False),
                    ekernels.Linear(1, linvariance, [0])
                ])
            )
            self.ekernels[-1].input_size = self.ekernels[-1].input_dim
            for k in self.ekernels[-1].kern_list:
                k.input_size = self.ekernels[-1].input_size

            # Test summed kernels, overlapping
            rbfvariance = 0.3 + self.rng.rand()
            rbfard = [self.rng.rand() + 0.5]
            linvariance = 0.3 + self.rng.rand()
            self.kernels.append(
                kernels.Add([
                    kernels.RBF(self.D, rbfvariance, rbfard, active_dims=[0, 1]),
                    kernels.Linear(self.D, linvariance, active_dims=[0, 1])
                ])
            )
            self.ekernels.append(
                ekernels.Add([
                    ekernels.RBF(self.D, rbfvariance, rbfard, active_dims=[0, 1]),
                    ekernels.Linear(self.D, linvariance, active_dims=[0, 1])
                ])
            )

            self.assertTrue(self.ekernels[-2].on_separate_dimensions)
            self.assertTrue(not self.ekernels[-1].on_separate_dimensions)

    def test_eKdiag(self):
        with self.test_session():
            for i, (k, ek) in enumerate(zip(self.kernels, self.ekernels)):
                a = k.compute_eKdiag(self.Xmu, self.Xcov[0, :, :, :])
                b = ek.compute_eKdiag(self.Xmu, self.Xcov[0, :, :, :])
                _assert_pdeq(self, a, b, k, i, len(self.kernels))

    def test_eKxz(self):
        with self.test_session():
            aa, bb = [], []
            for k, ek in zip(self.kernels, self.ekernels):
                k.num_gauss_hermite_points = self.num_gauss_hermite_points
                a = k.compute_eKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                b = ek.compute_eKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                aa.append(a); bb.append(b)
            [_assert_pdeq(self, a, b, k) for a, b, k in zip(aa, bb, self.kernels)]

    def test_eKzxKxz(self):
        with self.test_session():
            for k, ek in zip(self.kernels, self.ekernels):
                k._kill_autoflow()
                k.num_gauss_hermite_points = self.num_gauss_hermite_points
                a = k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                b = ek.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])
                _assert_pdeq(self, a, b, k)

    def test_exKxz(self):
        with self.test_session():
            for i, (k, ek) in enumerate(zip(self.kernels, self.ekernels)):
                if type(k) is kernels.Add and hasattr(k, 'input_size'):
                    # xKxz does not work with slicing yet
                    continue

                k._kill_autoflow()
                k.num_gauss_hermite_points = self.num_gauss_hermite_points
                a = k.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                b = ek.compute_exKxz(self.Z, self.Xmu, self.Xcov)
                _assert_pdeq(self, a, b, k, i, len(self.kernels))

    def test_switch_quadrature(self):
        with self.test_session():
            k = self.kernels[0]
            k._kill_autoflow()
            k.num_gauss_hermite_points = 0
            with self.assertRaises(RuntimeError):
                k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov[0, :, :, :])


class TestKernProd(GPflowTestCase):
    """
    TestKernProd
    Need a separate test for this as Prod currently only supports diagonal Xcov matrices with non-overlapping kernels.
    """

    def setUp(self):
        with self.test_session():
            self._threshold = 0.5
            self.rng = np.random.RandomState(0)
            self.N = 4
            self.D = 2

            # Test summed kernels, non-overlapping
            rbfvariance = 0.3 + self.rng.rand()
            rbfard = [self.rng.rand() + 0.5]
            linvariance = 0.3 + self.rng.rand()

            self.kernel = kernels.Prod([
                kernels.RBF(1, rbfvariance, rbfard, [1], False),
                kernels.Linear(1, linvariance, [0])
            ])

            self.ekernel = ekernels.Prod([
                ekernels.RBF(1, rbfvariance, rbfard, [1], False),
                ekernels.Linear(1, linvariance, [0])
            ])

            self.Xmu = self.rng.rand(self.N, self.D)
            self.Xcov = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(2, self.D)

    def test_eKdiag(self):
        with self.test_session():
            a = self.kernel.compute_eKdiag(self.Xmu, self.Xcov)
            b = self.ekernel.compute_eKdiag(self.Xmu, self.Xcov)
            _assert_pdeq(self, a, b)

    def test_eKxz(self):
        with self.test_session():
            a = self.kernel.compute_eKxz(self.Z, self.Xmu, self.Xcov)
            b = self.ekernel.compute_eKxz(self.Z, self.Xmu, self.Xcov)
            _assert_pdeq(self, a, b)

    def test_eKzxKxz(self):
        with self.test_session():
            a = self.kernel.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov)
            b = self.ekernel.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov)
            _assert_pdeq(self, a, b)


class TestKernExpDiagXcov(GPflowTestCase):
    _threshold = 1e-6

    def setUp(self):
        with self.test_session():
            self.rng = np.random.RandomState(0)
            self.N = 4
            self.D = 2
            self.Xmu = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(2, self.D)

            self.Xcov_diag = 0.05 + self.rng.rand(self.N, self.D)
            self.Xcov = np.zeros((self.Xcov_diag.shape[0], self.Xcov_diag.shape[1], self.Xcov_diag.shape[1]))
            self.Xcov[(np.s_[:],) + np.diag_indices(self.Xcov_diag.shape[1])] = self.Xcov_diag

            # Set up "normal" kernels
            ekernel_classes = [ekernels.RBF, ekernels.Linear]
            kernel_classes = [kernels.RBF, kernels.Linear]
            params = [(self.D, 0.3 + self.rng.rand(), self.rng.rand(2) + [0.5, 1.5], None, True),
                      (self.D, 0.3 + self.rng.rand(), None)]
            self.ekernels = [c(*p) for c, p in zip(ekernel_classes, params)]
            self.kernels = [c(*p) for c, p in zip(kernel_classes, params)]

            # Test summed kernels, non-overlapping
            rbfvariance = 0.3 + self.rng.rand()
            rbfard = [self.rng.rand() + 0.5]
            linvariance = 0.3 + self.rng.rand()
            self.kernels.append(
                kernels.Add([
                    kernels.RBF(1, rbfvariance, rbfard, [1], False),
                    kernels.Linear(1, linvariance, [0])
                ])
            )
            self.kernels[-1].input_size = self.kernels[-1].input_dim
            for k in self.kernels[-1].kern_list:
                k.input_size = self.kernels[-1].input_size
            self.ekernels.append(
                ekernels.Add([
                    ekernels.RBF(1, rbfvariance, rbfard, [1], False),
                    ekernels.Linear(1, linvariance, [0])
                ])
            )
            self.ekernels[-1].input_size = self.ekernels[-1].input_dim
            for k in self.ekernels[-1].kern_list:
                k.input_size = self.ekernels[-1].input_size

            # Test summed kernels, overlapping
            rbfvariance = 0.3 + self.rng.rand()
            rbfard = [self.rng.rand() + 0.5]
            linvariance = 0.3 + self.rng.rand()
            self.kernels.append(
                kernels.Add([
                    kernels.RBF(self.D, rbfvariance, rbfard),
                    kernels.Linear(self.D, linvariance)
                ])
            )
            self.ekernels.append(
                ekernels.Add([
                    ekernels.RBF(self.D, rbfvariance, rbfard),
                    ekernels.Linear(self.D, linvariance)
                ])
            )

            self.assertTrue(self.ekernels[-2].on_separate_dimensions)
            self.assertTrue(not self.ekernels[-1].on_separate_dimensions)

    def test_eKdiag(self):
        with self.test_session():
            for i, k in enumerate(self.kernels + self.ekernels):
                d = k.compute_eKdiag(self.Xmu, self.Xcov)
                e = k.compute_eKdiag(self.Xmu, self.Xcov_diag)
                _assert_pdeq(self, d, e, k, i, len(self.kernels))

    def test_eKxz(self):
        with self.test_session():
            for i, k in enumerate(self.kernels + self.ekernels):
                a = k.compute_eKxz(self.Z, self.Xmu, self.Xcov)
                b = k.compute_eKxz(self.Z, self.Xmu, self.Xcov_diag)
                _assert_pdeq(self, a, b, k)

    def test_eKzxKxz(self):
        with self.test_session():
            for i, k in enumerate(self.kernels + self.ekernels):
                a = k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov)
                b = k.compute_eKzxKxz(self.Z, self.Xmu, self.Xcov_diag)
                _assert_pdeq(self, a, b, k)


class TestAddCrossCalcs(GPflowTestCase):
    _threshold = 0.5

    def setUp(self):
        with self.test_session():
            self.rng = np.random.RandomState(0)
            self.N = 4
            self.D = 2

            self.rbf = ekernels.RBF(self.D, ARD=True)
            self.rbf.lengthscales = self.rng.rand(2) + [0.5, 1.5]
            self.rbf.variance = 0.3 + self.rng.rand()
            self.lin = ekernels.Linear(self.D)
            self.lin.variance = 0.3 + self.rng.rand()
            self.add = ekernels.Add([self.rbf, self.lin])

            self.Xmu = self.rng.rand(self.N, self.D)
            self.Z = self.rng.rand(2, self.D)
            unconstrained = self.rng.randn(self.N, 2 * self.D, self.D)
            t = TriDiagonalBlockRep()
            self.Xcov = t.forward(unconstrained)[0, :, :, :]

    def test_cross_quad(self):
        with self.test_session():
            self.add.num_gauss_hermite_points = 50
            free_vars, tfZ, tfXmu, tfXcov = tf.placeholder(tf.float64), tf.placeholder(tf.float64), tf.placeholder(tf.float64), tf.placeholder(tf.float64)
            self.add.make_tf_array(free_vars)
            with self.add.tf_mode():
                tfa = self.add.Linear_RBF_eKxzKzx(self.add.kern_list[0], self.add.kern_list[1], tfZ, tfXmu, tfXcov)
                tfb = self.add.quad_eKzx1Kxz2(self.add.kern_list[0], self.add.kern_list[1], tfZ, tfXmu, tfXcov)

            sess = tf.Session()
            feed_dict = {tfZ: self.Z, tfXmu: self.Xmu, tfXcov: self.Xcov, free_vars: self.add.get_free_state()}
            feed_dict = self.add.update_feed_dict(self.add.get_feed_dict_keys(), feed_dict)
            a, b = sess.run((tfa, tfb), feed_dict=feed_dict)
            _assert_pdeq(self, a, b)


if __name__ == '__main__':
    unittest.main()
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