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Tip revision: 646ca7a
posterior.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 abc import ABC, abstractmethod
from typing import Tuple

import numpy as np
import tensorflow as tf

from . import covariances, kernels
from .base import Module, Parameter
from .conditionals.util import expand_independent_outputs, mix_latent_gp
from .config import default_float, default_jitter
from .inducing_variables import (
    FallbackSeparateIndependentInducingVariables,
    FallbackSharedIndependentInducingVariables,
    InducingPoints,
    InducingVariables,
    SeparateIndependentInducingVariables,
    SharedIndependentInducingVariables,
)
from .models.model import MeanAndVariance
from .utilities import Dispatcher


class DiagNormal(Module):
    def __init__(self, q_mu, q_sqrt):
        self.q_mu = q_mu  # [M, L]
        self.q_sqrt = q_sqrt  # [M, L]


class MvnNormal(Module):
    def __init__(self, q_mu, q_sqrt):
        self.q_mu = q_mu  # [M, L]
        self.q_sqrt = q_sqrt  # [L, M, M], lower-triangular


class BasePosterior(Module, ABC):
    def __init__(self, kernel, inducing_variable, q_mu, q_sqrt, whiten=True, mean_function=None):
        self.inducing_variable = inducing_variable
        self.kernel = kernel
        self.mean_function = mean_function
        self.whiten = whiten
        if len(q_sqrt.shape) == 2:  # q_diag
            self.q_dist = DiagNormal(q_mu, q_sqrt)
        else:
            self.q_dist = MvnNormal(q_mu, q_sqrt)

        self.update_cache()  # populates or updates self.alpha and self.Qinv

    def _precompute(self):
        Kuu = covariances.Kuu(
            self.inducing_variable, self.kernel, jitter=default_jitter()
        )  # [(R), M, M]
        q_mu = self.q_dist.q_mu

        if Kuu.shape.ndims == 4:
            ML = tf.reduce_prod(tf.shape(Kuu)[:2])
            Kuu = tf.reshape(Kuu, [ML, ML])
        if Kuu.shape.ndims == 3:
            q_mu = tf.linalg.adjoint(self.q_dist.q_mu)[..., None]  # [..., R, M, 1]
        L = tf.linalg.cholesky(Kuu)

        if not self.whiten:
            # alpha = Kuu⁻¹ q_mu
            alpha = tf.linalg.cholesky_solve(L, q_mu)
        else:
            # alpha = L⁻ᵀ q_mu
            alpha = tf.linalg.triangular_solve(L, q_mu, adjoint=True)
        # predictive mean = Kfu alpha
        # predictive variance = Kff - Kfu Qinv Kuf
        # S = q_sqrt q_sqrtᵀ
        if not self.whiten:
            # Qinv = Kuu⁻¹ - Kuu⁻¹ S Kuu⁻¹
            #      = Kuu⁻¹ - L⁻ᵀ L⁻¹ S L⁻ᵀ L⁻¹
            #      = L⁻ᵀ (I - L⁻¹ S L⁻ᵀ) L⁻¹
            #      = L⁻ᵀ B L⁻¹
            if isinstance(self.q_dist, DiagNormal):
                q_sqrt = tf.linalg.diag(tf.linalg.adjoint(self.q_dist.q_sqrt))
            else:
                q_sqrt = self.q_dist.q_sqrt
            Linv_qsqrt = tf.linalg.triangular_solve(L, q_sqrt)
            Linv_cov_u_LinvT = tf.matmul(Linv_qsqrt, Linv_qsqrt, transpose_b=True)
        else:
            if isinstance(self.q_dist, DiagNormal):
                Linv_cov_u_LinvT = tf.linalg.diag(tf.linalg.adjoint(self.q_dist.q_sqrt ** 2))
            else:
                q_sqrt = self.q_dist.q_sqrt
                Linv_cov_u_LinvT = tf.matmul(q_sqrt, q_sqrt, transpose_b=True)
            # Qinv = Kuu⁻¹ - L⁻ᵀ S L⁻¹
            # Linv = (L⁻¹ I) = solve(L, I)
            # Kinv = Linvᵀ @ Linv
        I = tf.eye(tf.shape(Linv_cov_u_LinvT)[-1], dtype=Linv_cov_u_LinvT.dtype)
        B = I - Linv_cov_u_LinvT
        LinvT_B = tf.linalg.triangular_solve(L, B, adjoint=True)
        B_Linv = tf.linalg.adjoint(LinvT_B)
        Qinv = tf.linalg.triangular_solve(L, B_Linv, adjoint=True)

        return alpha, Qinv

    def update_cache(self):
        self.alpha, self.Qinv = self._precompute()

    def freeze(self):
        alpha, Qinv = self._precompute()
        self.alpha = Parameter(alpha, trainable=False)
        self.Qinv = Parameter(Qinv, trainable=False)

    def update_cache_with_variables(self):
        alpha, Qinv = self._precompute()
        if isinstance(self.alpha, Parameter) and isinstance(self.Qinv, Parameter):
            self.alpha.assign(alpha)
            self.Qinv.assign(Qinv)
        else:
            self.alpha = Parameter(alpha, trainable=False)
            self.Qinv = Parameter(Qinv, trainable=False)

    @abstractmethod
    def predict_f(
        self, Xnew, full_cov: bool = False, full_output_cov: bool = False
    ) -> MeanAndVariance:
        raise NotImplementedError()


class IndependentPosterior(BasePosterior):
    def _post_process_mean_and_cov(self, mean, cov, full_cov, full_output_cov):
        return mean, expand_independent_outputs(cov, full_cov, full_output_cov)

    def predict_f(
        self, Xnew, full_cov: bool = False, full_output_cov: bool = False
    ) -> MeanAndVariance:
        # Qinv: [L, M, M]
        # alpha: [M, L]

        Kuf, Knn = _get_kernels(
            Xnew, self.inducing_variable, self.kernel, full_cov, full_output_cov
        )

        N = tf.shape(Xnew)[0]
        K = tf.shape(Kuf)[-1] // N

        mean = tf.matmul(Kuf, self.alpha, transpose_a=True)
        if Kuf.shape.ndims == 3:
            mean = tf.linalg.adjoint(tf.squeeze(mean, axis=-1))

        if full_cov:
            Kfu_Qinv_Kuf = tf.matmul(Kuf, self.Qinv @ Kuf, transpose_a=True)
            cov = Knn - Kfu_Qinv_Kuf
        else:
            # [Aᵀ B]_ij = Aᵀ_ik B_kj = A_ki B_kj
            # TODO check whether einsum is faster now?
            Kfu_Qinv_Kuf = tf.reduce_sum(Kuf * tf.matmul(self.Qinv, Kuf), axis=-2)
            cov = Knn - Kfu_Qinv_Kuf
            cov = tf.linalg.adjoint(cov)

        mean, cov = self._post_process_mean_and_cov(mean, cov, full_cov, full_output_cov)
        return mean + self.mean_function(Xnew), cov


class LinearCoregionalizationPosterior(IndependentPosterior):
    def _post_process_mean_and_cov(self, mean, cov, full_cov, full_output_cov):
        cov = expand_independent_outputs(cov, full_cov, full_output_cov=False)
        mean, cov = mix_latent_gp(self.kernel.W, mean, cov, full_cov, full_output_cov)
        return mean, cov


class FullyCorrelatedPosterior(BasePosterior):
    def predict_f(
        self, Xnew, full_cov: bool = False, full_output_cov: bool = False
    ) -> MeanAndVariance:
        # TODO: this assumes that Xnew has shape [N, D] and no leading dims

        # Qinv: [L, M, M]
        # alpha: [M, L]

        Kuf = covariances.Kuf(self.inducing_variable, self.kernel, Xnew)
        assert Kuf.shape.ndims == 4
        M, L, N, K = tf.unstack(tf.shape(Kuf), num=Kuf.shape.ndims, axis=0)
        Kuf = tf.reshape(Kuf, (M * L, N * K))

        Knn = self.kernel(Xnew, full_cov=full_cov, full_output_cov=full_output_cov)
        # full_cov=True and full_output_cov=True: [N, P, N, P]
        # full_cov=True and full_output_cov=False: [P, N, N]
        # full_cov=False and full_output_cov=True: [N, P, P]
        # full_cov=False and full_output_cov=False: [N, P]
        if full_cov == full_output_cov:
            new_shape = (N * K, N * K) if full_cov else (N * K,)
            Knn = tf.reshape(Knn, new_shape)

        N = tf.shape(Xnew)[0]
        K = tf.shape(Kuf)[-1] // N

        mean = tf.matmul(Kuf, self.alpha, transpose_a=True)
        if Kuf.shape.ndims == 3:
            mean = tf.linalg.adjoint(tf.squeeze(mean, axis=-1))

        if not full_cov and not full_output_cov:
            # fully diagonal case in both inputs and outputs
            # [Aᵀ B]_ij = Aᵀ_ik B_kj = A_ki B_kj
            # TODO check whether einsum is faster now?
            Kfu_Qinv_Kuf = tf.reduce_sum(Kuf * tf.matmul(self.Qinv, Kuf), axis=-2)
        else:
            Kfu_Qinv_Kuf = tf.matmul(Kuf, self.Qinv @ Kuf, transpose_a=True)
            if not (full_cov and full_output_cov):
                # diagonal in either inputs or outputs
                new_shape = tf.concat([tf.shape(Kfu_Qinv_Kuf)[:-2], (N, K, N, K)], axis=0)
                Kfu_Qinv_Kuf = tf.reshape(Kfu_Qinv_Kuf, new_shape)
                if full_cov:
                    # diagonal in outputs: move outputs to end
                    tmp = tf.linalg.diag_part(tf.einsum("...ijkl->...ikjl", Kfu_Qinv_Kuf))
                elif full_output_cov:
                    # diagonal in inputs: move inputs to end
                    tmp = tf.linalg.diag_part(tf.einsum("...ijkl->...jlik", Kfu_Qinv_Kuf))
                Kfu_Qinv_Kuf = tf.einsum("...ijk->...kij", tmp)  # move diagonal dim to [-3]
        cov = Knn - Kfu_Qinv_Kuf

        if not full_cov and not full_output_cov:
            cov = tf.linalg.adjoint(cov)

        mean = tf.reshape(mean, (N, K))
        if full_cov == full_output_cov:
            cov_shape = (N, K, N, K) if full_cov else (N, K)
        else:
            cov_shape = (K, N, N) if full_cov else (N, K, K)
        cov = tf.reshape(cov, cov_shape)

        return mean + self.mean_function(Xnew), cov


def _get_kernels(Xnew, inducing_variable, kernel, full_cov, full_output_cov):

    # TODO: this assumes that Xnew has shape [N, D] and no leading dims

    Kuf = covariances.Kuf(inducing_variable, kernel, Xnew)  # [(R), M, N]

    if isinstance(kernel, (kernels.SeparateIndependent, kernels.IndependentLatent)):
        # NOTE calling kernel(Xnew, full_cov=full_cov, full_output_cov=False) directly would return
        # if full_cov: [P, N, N] -- this is what we want
        # else: [N, P] instead of [P, N] as we get from the explicit stack below
        Knn = tf.stack([k(Xnew, full_cov=full_cov) for k in kernel.kernels], axis=0)
    elif isinstance(kernel, kernels.MultioutputKernel):
        # effectively, SharedIndependent path
        Knn = kernel.kernel(Xnew, full_cov=full_cov)
        # NOTE calling kernel(Xnew, full_cov=full_cov, full_output_cov=False) directly would return
        # if full_cov: [P, N, N] instead of [N, N]
        # else: [N, P] instead of [N]
    else:
        # standard ("single-output") kernels
        Knn = kernel(Xnew, full_cov=full_cov)  # [N, N] if full_cov else [N]

    return Kuf, Knn


get_posterior_class = Dispatcher("get_posterior_class")


@get_posterior_class.register(kernels.Kernel, InducingVariables)
def _get_posterior_base_case(kernel, inducing_variable):
    # independent single output
    return IndependentPosterior


@get_posterior_class.register(kernels.MultioutputKernel, InducingPoints)
def _get_posterior_fully_correlated_mo(kernel, inducing_variable):
    return FullyCorrelatedPosterior


@get_posterior_class.register(
    (kernels.SharedIndependent, kernels.SeparateIndependent),
    (SeparateIndependentInducingVariables, SharedIndependentInducingVariables),
)
def _get_posterior_independent_mo(kernel, inducing_variable):
    # independent multi-output
    return IndependentPosterior


@get_posterior_class.register(
    kernels.IndependentLatent,
    (FallbackSeparateIndependentInducingVariables, FallbackSharedIndependentInducingVariables),
)
def _get_posterior_independentlatent_mo_fallback(kernel, inducing_variable):
    return FullyCorrelatedPosterior  # XXX


@get_posterior_class.register(
    kernels.LinearCoregionalization,
    (SeparateIndependentInducingVariables, SharedIndependentInducingVariables),
)
def _get_posterior_linearcoregionalization_mo_efficient(kernel, inducing_variable):
    # Linear mixing---efficient multi-output
    return LinearCoregionalizationPosterior


def create_posterior(kernel, inducing_variable, q_mu, q_sqrt, whiten=True, mean_function=None):
    posterior_class = get_posterior_class(kernel, inducing_variable)
    return posterior_class(kernel, inducing_variable, q_mu, q_sqrt, whiten, mean_function)
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