Revision 458c6a6d1725c6d7b21773e762ceca01faa0bb23 authored by william cowley on 15 October 2021, 17:10:45 UTC, committed by william cowley on 15 October 2021, 17:10:45 UTC
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mean_functions.py
# Copyright 2017-2020 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.

# noqa: F811

import tensorflow as tf

from .. import mean_functions as mfn
from ..probability_distributions import Gaussian
from . import dispatch
from .expectations import expectation

NoneType = type(None)


@dispatch.expectation.register(Gaussian, (mfn.Linear, mfn.Constant), NoneType, NoneType, NoneType)
def _E(p, mean, _, __, ___, nghp=None):
    """
    Compute the expectation:
    <m(X)>_p(X)
        - m(x) :: Linear, Identity or Constant mean function

    :return: NxQ
    """
    return mean(p.mu)


@dispatch.expectation.register(Gaussian, mfn.Constant, NoneType, mfn.Constant, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.), m2(.) :: Constant mean functions

    :return: NxQ1xQ2
    """
    return mean1(p.mu)[:, :, None] * mean2(p.mu)[:, None, :]


@dispatch.expectation.register(Gaussian, mfn.Constant, NoneType, mfn.MeanFunction, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.) :: Constant mean function
        - m2(.) :: General mean function

    :return: NxQ1xQ2
    """
    e_mean2 = expectation(p, mean2)
    return mean1(p.mu)[:, :, None] * e_mean2[:, None, :]


@dispatch.expectation.register(Gaussian, mfn.MeanFunction, NoneType, mfn.Constant, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.) :: General mean function
        - m2(.) :: Constant mean function

    :return: NxQ1xQ2
    """
    e_mean1 = expectation(p, mean1)
    return e_mean1[:, :, None] * mean2(p.mu)[:, None, :]


@dispatch.expectation.register(Gaussian, mfn.Identity, NoneType, mfn.Identity, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.), m2(.) :: Identity mean functions

    :return: NxDxD
    """
    return p.cov + (p.mu[:, :, None] * p.mu[:, None, :])


@dispatch.expectation.register(Gaussian, mfn.Identity, NoneType, mfn.Linear, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.) :: Identity mean function
        - m2(.) :: Linear mean function

    :return: NxDxQ
    """
    N = tf.shape(p.mu)[0]
    e_xxt = p.cov + (p.mu[:, :, None] * p.mu[:, None, :])  # NxDxD
    e_xxt_A = tf.linalg.matmul(e_xxt, tf.tile(mean2.A[None, ...], (N, 1, 1)))  # NxDxQ
    e_x_bt = p.mu[:, :, None] * mean2.b[None, None, :]  # NxDxQ

    return e_xxt_A + e_x_bt


@dispatch.expectation.register(Gaussian, mfn.Linear, NoneType, mfn.Identity, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.) :: Linear mean function
        - m2(.) :: Identity mean function

    :return: NxQxD
    """
    N = tf.shape(p.mu)[0]
    e_xxt = p.cov + (p.mu[:, :, None] * p.mu[:, None, :])  # NxDxD
    e_A_xxt = tf.linalg.matmul(
        tf.tile(mean1.A[None, ...], (N, 1, 1)), e_xxt, transpose_a=True
    )  # NxQxD
    e_b_xt = mean1.b[None, :, None] * p.mu[:, None, :]  # NxQxD

    return e_A_xxt + e_b_xt


@dispatch.expectation.register(Gaussian, mfn.Linear, NoneType, mfn.Linear, NoneType)
def _E(p, mean1, _, mean2, __, nghp=None):
    """
    Compute the expectation:
    expectation[n] = <m1(x_n)^T m2(x_n)>_p(x_n)
        - m1(.), m2(.) :: Linear mean functions

    :return: NxQ1xQ2
    """
    e_xxt = p.cov + (p.mu[:, :, None] * p.mu[:, None, :])  # NxDxD
    e_A1t_xxt_A2 = tf.einsum("iq,nij,jz->nqz", mean1.A, e_xxt, mean2.A)  # NxQ1xQ2
    e_A1t_x_b2t = tf.einsum("iq,ni,z->nqz", mean1.A, p.mu, mean2.b)  # NxQ1xQ2
    e_b1_xt_A2 = tf.einsum("q,ni,iz->nqz", mean1.b, p.mu, mean2.A)  # NxQ1xQ2
    e_b1_b2t = mean1.b[:, None] * mean2.b[None, :]  # Q1xQ2

    return e_A1t_xxt_A2 + e_A1t_x_b2t + e_b1_xt_A2 + e_b1_b2t
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