https://github.com/GPflow/GPflow
Revision 22edd92d06c201b1f40a656e5bbca84a5f483f2d authored by st-- on 14 February 2020, 14:49:30 UTC, committed by GitHub on 14 February 2020, 14:49:30 UTC
- clean up of the documentation - changes initialization from W=zeros() to W=0.1*ones() which makes it easier to use out of the box - no longer requires manual assigning of symmetry-breaking values to the W matrix after kernel construction - adds output_covariance() method that computes the covariance between outputs (and output_variance() for its diagonal)
1 parent fea9f0c
Tip revision: 22edd92d06c201b1f40a656e5bbca84a5f483f2d authored by st-- on 14 February 2020, 14:49:30 UTC
Improve documentation and behaviour of Coregion kernel (#1255)
Improve documentation and behaviour of Coregion kernel (#1255)
Tip revision: 22edd92
test_kldiv.py
# Copyright 2017 the GPflow authors.
#
# 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.
# -*- coding: utf-8 -*-
import numpy as np
import pytest
import tensorflow as tf
from numpy.testing import assert_allclose, assert_almost_equal
import gpflow
from gpflow import default_float, default_jitter, Parameter
from gpflow.inducing_variables import InducingPoints
from gpflow.kullback_leiblers import gauss_kl, prior_kl
from gpflow.utilities.bijectors import triangular
rng = np.random.RandomState(0)
# ------------------------------------------
# Fixtures
# ------------------------------------------
Ln = 2
Nn = 10
Mn = 50
@pytest.fixture(scope='module')
def kernel():
k = gpflow.kernels.Matern32() + gpflow.kernels.White()
k.kernels[1].variance.assign(0.01)
return k
@pytest.fixture(scope='module')
def inducing_points():
return InducingPoints(rng.randn(Nn, 1))
@pytest.fixture(scope='module')
def mu():
return Parameter(rng.randn(Nn, Ln))
# ------------------------------------------
# Helpers
# ------------------------------------------
def make_sqrt(N, M):
return np.array([np.tril(rng.randn(M, M)) for _ in range(N)]) # [N, M, M]
def make_K_batch(N, M):
K_np = rng.randn(N, M, M)
beye = np.array([np.eye(M) for _ in range(N)])
return .1 * (K_np + np.transpose(K_np, (0, 2, 1))) + beye
def compute_kl_1d(q_mu, q_sigma, p_var=1.0):
p_var = tf.ones_like(q_sigma) if p_var is None else p_var
q_var = tf.square(q_sigma)
kl = 0.5 * (q_var / p_var + tf.square(q_mu) / p_var - 1 + tf.math.log(p_var / q_var))
return tf.reduce_sum(kl)
# ------------------------------------------
# Data classes: storing constants
# ------------------------------------------
class Datum:
M, N = 5, 4
mu = rng.randn(M, N) # [M, N]
A = rng.randn(M, M)
I = np.eye(M) # [M, M]
K = A @ A.T + default_jitter() * I # [M, M]
sqrt = make_sqrt(N, M) # [N, M, M]
sqrt_diag = rng.randn(M, N) # [M, N]
K_batch = make_K_batch(N, M)
@pytest.mark.parametrize('white', [True, False])
def test_diags(white):
"""
The covariance of q(x) can be Cholesky matrices or diagonal matrices.
Here we make sure the behaviours overlap.
"""
# the chols are diagonal matrices, with the same entries as the diag representation.
chol_from_diag = tf.stack([tf.linalg.diag(Datum.sqrt_diag[:, i]) for i in range(Datum.N)] # [N, M, M]
)
kl_diag = gauss_kl(Datum.mu, Datum.sqrt_diag, Datum.K if white else None)
kl_dense = gauss_kl(Datum.mu, chol_from_diag, Datum.K if white else None)
np.testing.assert_allclose(kl_diag, kl_dense)
@pytest.mark.parametrize('diag', [True, False])
def test_whitened(diag):
"""
Check that K=Identity and K=None give same answer
"""
chol_from_diag = tf.stack([tf.linalg.diag(Datum.sqrt_diag[:, i]) for i in range(Datum.N)] # [N, M, M]
)
s = Datum.sqrt_diag if diag else chol_from_diag
kl_white = gauss_kl(Datum.mu, s)
kl_nonwhite = gauss_kl(Datum.mu, s, Datum.I)
np.testing.assert_allclose(kl_white, kl_nonwhite)
@pytest.mark.parametrize('shared_k', [True, False])
@pytest.mark.parametrize('diag', [True, False])
def test_sumkl_equals_batchkl(shared_k, diag):
"""
gauss_kl implicitely performs a sum of KL divergences
This test checks that doing the sum outside of the function is equivalent
For q(X)=prod q(x_l) and p(X)=prod p(x_l), check that sum KL(q(x_l)||p(x_l)) = KL(q(X)||p(X))
Here, q(X) has covariance [L, M, M]
p(X) has covariance [L, M, M] ( or [M, M] )
Here, q(x_i) has covariance [1, M, M]
p(x_i) has covariance [M, M]
"""
s = Datum.sqrt_diag if diag else Datum.sqrt
kl_batch = gauss_kl(Datum.mu, s, Datum.K if shared_k else Datum.K_batch)
kl_sum = []
for n in range(Datum.N):
q_mu_n = Datum.mu[:, n][:, None] # [M, 1]
q_sqrt_n = Datum.sqrt_diag[:, n][:, None] if diag else Datum.sqrt[n, :, :][None, :, :] # [1, M, M] or [M, 1]
K_n = Datum.K if shared_k else Datum.K_batch[n, :, :][None, :, :] # [1, M, M] or [M, M]
kl_n = gauss_kl(q_mu_n, q_sqrt_n, K=K_n)
kl_sum.append(kl_n)
kl_sum = tf.reduce_sum(kl_sum)
assert_almost_equal(kl_sum, kl_batch)
@pytest.mark.parametrize('dim', [0, 1])
@pytest.mark.parametrize('white', [True, False])
def test_oned(white, dim):
"""
Check that the KL divergence matches a 1D by-hand calculation.
"""
mu1d = Datum.mu[dim, :][None, :] # [1, N]
s1d = Datum.sqrt[:, dim, dim][:, None, None] # [N, 1, 1]
K1d = Datum.K_batch[:, dim, dim][:, None, None] # [N, 1, 1]
kl = gauss_kl(mu1d, s1d, K1d if not white else None)
kl_1d = compute_kl_1d(
tf.reshape(mu1d, (-1, )), # N
tf.reshape(s1d, (-1, )), # N
None if white else tf.reshape(K1d, (-1, ))) # N
np.testing.assert_allclose(kl, kl_1d)
def test_unknown_size_inputs():
"""
Test for #725 and #734. When the shape of the Gaussian's mean had at least
one unknown parameter, `gauss_kl` would blow up. This happened because
`tf.size` can only output types `tf.int32` or `tf.int64`.
"""
mu = np.ones([1, 4], dtype=default_float())
sqrt = np.ones([4, 1, 1], dtype=default_float())
known_shape = gauss_kl(*map(tf.constant, [mu, sqrt]))
unknown_shape = gauss_kl(mu, sqrt)
np.testing.assert_allclose(known_shape, unknown_shape)
@pytest.mark.parametrize('white', [True, False])
def test_q_sqrt_constraints(inducing_points, kernel, mu, white):
""" Test that sending in an unconstrained q_sqrt returns the same conditional
evaluation and gradients. This is important to match the behaviour of the KL, which
enforces q_sqrt is triangular.
"""
tril = np.tril(rng.randn(Ln, Nn, Nn))
q_sqrt_constrained = Parameter(tril, transform=triangular())
q_sqrt_unconstrained = Parameter(tril)
diff_before_gradient_step = (q_sqrt_constrained - q_sqrt_unconstrained).numpy()
assert_allclose(diff_before_gradient_step, 0)
kls = []
for q_sqrt in [q_sqrt_constrained, q_sqrt_unconstrained]:
with tf.GradientTape() as tape:
kl = prior_kl(inducing_points, kernel, mu, q_sqrt, whiten=white)
grad = tape.gradient(kl, q_sqrt.unconstrained_variable)
q_sqrt.unconstrained_variable.assign_sub(grad)
kls.append(kl)
diff_kls_before_gradient_step = kls[0] - kls[1]
assert_allclose(diff_kls_before_gradient_step, 0)
diff_after_gradient_step = (q_sqrt_constrained - q_sqrt_unconstrained).numpy()
assert_allclose(diff_after_gradient_step, 0)
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