https://github.com/GPflow/GPflow
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Tip revision: 3065dee5fed25d5dd06692be470244ecf260cb20 authored by Mark van der Wilk on 16 August 2017, 09:00:37 UTC
Remove pandas (#486)
Tip revision: 3065dee
gplvm.py
import tensorflow as tf
import numpy as np
from .model import GPModel
from .gpr import GPR
from .param import Param
from .mean_functions import Zero
from . import likelihoods
from . import transforms
from . import kernels
from ._settings import settings

float_type = settings.dtypes.float_type
np_float_type = np.float32 if float_type is tf.float32 else np.float64

def PCA_reduce(X, Q):
    """
    A helpful function for linearly reducing the dimensionality of the data X
    to Q.
    :param X: data array of size N (number of points) x D (dimensions)
    :param Q: Number of latent dimensions, Q < D
    :return: PCA projection array of size N x Q.
    """
    assert Q <= X.shape[1], 'Cannot have more latent dimensions than observed'
    evecs, evals = np.linalg.eigh(np.cov(X.T))
    i = np.argsort(evecs)[::-1]
    W = evals[:, i]
    W = W[:, :Q]
    return (X - X.mean(0)).dot(W)


class GPLVM(GPR):
    """
    Standard GPLVM where the likelihood can be optimised with respect to the latent X.
    """

    def __init__(self, Y, latent_dim, X_mean=None, kern=None, mean_function=Zero()):
        """
        Initialise GPLVM object. This method only works with a Gaussian likelihood.
        :param Y: data matrix, size N (number of points) x D (dimensions)
        :param Z: matrix of inducing points, size M (inducing points) x Q (latent dimensions)
        :param X_mean: latent positions (N x Q), for the initialisation of the latent space.
        :param kern: kernel specification, by default RBF
        :param mean_function: mean function, by default None.
        """
        if kern is None:
            kern = kernels.RBF(latent_dim, ARD=True)
        if X_mean is None:
            X_mean = PCA_reduce(Y, latent_dim)
        assert X_mean.shape[1] == latent_dim, \
            'Passed in number of latent ' + str(latent_dim) + ' does not match initial X ' + str(X_mean.shape[1])
        self.num_latent = X_mean.shape[1]
        assert Y.shape[1] >= self.num_latent, 'More latent dimensions than observed.'
        GPR.__init__(self, X_mean, Y, kern, mean_function=mean_function)
        del self.X  # in GPLVM this is a Param
        self.X = Param(X_mean)


class BayesianGPLVM(GPModel):
    def __init__(self, X_mean, X_var, Y, kern, M, Z=None, X_prior_mean=None, X_prior_var=None):
        """
        Initialise Bayesian GPLVM object. This method only works with a Gaussian likelihood.
        :param X_mean: initial latent positions, size N (number of points) x Q (latent dimensions).
        :param X_var: variance of latent positions (N x Q), for the initialisation of the latent space.
        :param Y: data matrix, size N (number of points) x D (dimensions)
        :param kern: kernel specification, by default RBF
        :param M: number of inducing points
        :param Z: matrix of inducing points, size M (inducing points) x Q (latent dimensions). By default
        random permutation of X_mean.
        :param X_prior_mean: prior mean used in KL term of bound. By default 0. Same size as X_mean.
        :param X_prior_var: pripor variance used in KL term of bound. By default 1.
        """
        GPModel.__init__(self, X_mean, Y, kern, likelihood=likelihoods.Gaussian(), mean_function=Zero())
        del self.X  # in GPLVM this is a Param
        self.X_mean = Param(X_mean)
        # diag_transform = transforms.DiagMatrix(X_var.shape[1])
        # self.X_var = Param(diag_transform.forward(transforms.positive.backward(X_var)) if X_var.ndim == 2 else X_var,
        #                    diag_transform)
        assert X_var.ndim == 2
        self.X_var = Param(X_var, transforms.positive)
        self.num_data = X_mean.shape[0]
        self.output_dim = Y.shape[1]

        assert np.all(X_mean.shape == X_var.shape)
        assert X_mean.shape[0] == Y.shape[0], 'X mean and Y must be same size.'
        assert X_var.shape[0] == Y.shape[0], 'X var and Y must be same size.'

        # inducing points
        if Z is None:
            # By default we initialize by subset of initial latent points
            Z = np.random.permutation(X_mean.copy())[:M]
        else:
            assert Z.shape[0] == M
        self.Z = Param(Z)
        self.num_latent = Z.shape[1]
        assert X_mean.shape[1] == self.num_latent

        # deal with parameters for the prior mean variance of X
        if X_prior_mean is None:
            X_prior_mean = np.zeros((self.num_data, self.num_latent))
        if X_prior_var is None:
            X_prior_var = np.ones((self.num_data, self.num_latent))

        self.X_prior_mean = np.asarray(np.atleast_1d(X_prior_mean), dtype=np_float_type)
        self.X_prior_var = np.asarray(np.atleast_1d(X_prior_var), dtype=np_float_type)

        assert self.X_prior_mean.shape[0] == self.num_data
        assert self.X_prior_mean.shape[1] == self.num_latent
        assert self.X_prior_var.shape[0] == self.num_data
        assert self.X_prior_var.shape[1] == self.num_latent

    def build_likelihood(self):
        """
        Construct a tensorflow function to compute the bound on the marginal
        likelihood.
        """
        num_inducing = tf.shape(self.Z)[0]
        psi0 = tf.reduce_sum(self.kern.eKdiag(self.X_mean, self.X_var), 0)
        psi1 = self.kern.eKxz(self.Z, self.X_mean, self.X_var)
        psi2 = tf.reduce_sum(self.kern.eKzxKxz(self.Z, self.X_mean, self.X_var), 0)
        Kuu = self.kern.K(self.Z) + tf.eye(num_inducing, dtype=float_type) * settings.numerics.jitter_level
        L = tf.cholesky(Kuu)
        sigma2 = self.likelihood.variance
        sigma = tf.sqrt(sigma2)

        # Compute intermediate matrices
        A = tf.matrix_triangular_solve(L, tf.transpose(psi1), lower=True) / sigma
        tmp = tf.matrix_triangular_solve(L, psi2, lower=True)
        AAT = tf.matrix_triangular_solve(L, tf.transpose(tmp), lower=True) / sigma2
        B = AAT + tf.eye(num_inducing, dtype=float_type)
        LB = tf.cholesky(B)
        log_det_B = 2. * tf.reduce_sum(tf.log(tf.matrix_diag_part(LB)))
        c = tf.matrix_triangular_solve(LB, tf.matmul(A, self.Y), lower=True) / sigma

        # KL[q(x) || p(x)]
        dX_var = self.X_var if len(self.X_var.get_shape()) == 2 else tf.matrix_diag_part(self.X_var)
        NQ = tf.cast(tf.size(self.X_mean), float_type)
        D = tf.cast(tf.shape(self.Y)[1], float_type)
        KL = -0.5 * tf.reduce_sum(tf.log(dX_var)) \
             + 0.5 * tf.reduce_sum(tf.log(self.X_prior_var)) \
             - 0.5 * NQ \
             + 0.5 * tf.reduce_sum((tf.square(self.X_mean - self.X_prior_mean) + dX_var) / self.X_prior_var)

        # compute log marginal bound
        ND = tf.cast(tf.size(self.Y), float_type)
        bound = -0.5 * ND * tf.log(2 * np.pi * sigma2)
        bound += -0.5 * D * log_det_B
        bound += -0.5 * tf.reduce_sum(tf.square(self.Y)) / sigma2
        bound += 0.5 * tf.reduce_sum(tf.square(c))
        bound += -0.5 * D * (tf.reduce_sum(psi0) / sigma2 -
                             tf.reduce_sum(tf.matrix_diag_part(AAT)))
        bound -= KL
        return bound

    def build_predict(self, Xnew, full_cov=False):
        """
        Compute the mean and variance of the latent function at some new points.
        Note that this is very similar to the SGPR prediction, for which
        there are notes in the SGPR notebook.
        :param Xnew: Point to predict at.
        """
        num_inducing = tf.shape(self.Z)[0]
        psi1 = self.kern.eKxz(self.Z, self.X_mean, self.X_var)
        psi2 = tf.reduce_sum(self.kern.eKzxKxz(self.Z, self.X_mean, self.X_var), 0)
        Kuu = self.kern.K(self.Z) + tf.eye(num_inducing, dtype=float_type) * settings.numerics.jitter_level
        Kus = self.kern.K(self.Z, Xnew)
        sigma2 = self.likelihood.variance
        sigma = tf.sqrt(sigma2)
        L = tf.cholesky(Kuu)

        A = tf.matrix_triangular_solve(L, tf.transpose(psi1), lower=True) / sigma
        tmp = tf.matrix_triangular_solve(L, psi2, lower=True)
        AAT = tf.matrix_triangular_solve(L, tf.transpose(tmp), lower=True) / sigma2
        B = AAT + tf.eye(num_inducing, dtype=float_type)
        LB = tf.cholesky(B)
        c = tf.matrix_triangular_solve(LB, tf.matmul(A, self.Y), lower=True) / sigma
        tmp1 = tf.matrix_triangular_solve(L, Kus, lower=True)
        tmp2 = tf.matrix_triangular_solve(LB, tmp1, lower=True)
        mean = tf.matmul(tmp2, c, transpose_a=True)
        if full_cov:
            var = self.kern.K(Xnew) + tf.matmul(tmp2, tmp2, transpose_a=True) \
                  - tf.matmul(tmp1, tmp1, transpose_a=True)
            shape = tf.stack([1, 1, tf.shape(self.Y)[1]])
            var = tf.tile(tf.expand_dims(var, 2), shape)
        else:
            var = self.kern.Kdiag(Xnew) + tf.reduce_sum(tf.square(tmp2), 0) \
                  - tf.reduce_sum(tf.square(tmp1), 0)
            shape = tf.stack([1, tf.shape(self.Y)[1]])
            var = tf.tile(tf.expand_dims(var, 1), shape)
        return mean + self.mean_function(Xnew), var
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