https://github.com/GPflow/GPflow
Revision bb08f22e337d1487b8d9ab9944d8b9f7fff853ff authored by Vincent Dutordoir on 18 June 2018, 17:04:06 UTC, committed by Artem Artemev on 18 June 2018, 17:04:06 UTC
* Introduction of MultiOutputFeatures (Mof) and MultiOutputKernels (Mok).
These are used to specify a particular setup of multi-output correlation.

* Multiple-dispatch for conditional. This allows GPflow to select the most efficient conditional code depending on your choice of Mof and Mok.

* Multiple-dispatch for Kuu and Kuf. Previously Kuu(.) and Kuf(.) were member functions of the feature class. This became cumbersome as the calculation of Kuu and Kuf also depends on the kernel used. In line with conditional we now also use multiple-dispatch to calculate Kuu and Kuf for a particular combination of Mok and Mof.

* The actual maths to efficiently calculate the output-correlated conditional (credits to @markvdw )

* sample_conditional function that makes sure that the most efficient code is used to get a sample from the conditional distribution.

* Minor: we updated a couple of models to use the new multi-output conditional.
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Tip revision: bb08f22e337d1487b8d9ab9944d8b9f7fff853ff authored by Vincent Dutordoir on 18 June 2018, 17:04:06 UTC
Multi-output conditionals (#724)
Tip revision: bb08f22
test_features.py
# Copyright 2017 Mark van der Wilk
#
# 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.

import numpy as np
import tensorflow as tf

import gpflow
from gpflow.test_util import GPflowTestCase


class TestInducingPoints(GPflowTestCase):
    def test_feature_len(self):
        with self.test_context():
            N, D = 17, 3
            Z = np.random.randn(N, D)
            f = gpflow.features.InducingPoints(Z)

            self.assertTrue(len(f), N)
            with gpflow.params_as_tensors_for(f):
                self.assertTrue(len(f), N)
                # GPflow does not support re-assignment with different shapes at the moment

    def test_inducing_points_equivalence(self):
        # Inducing features must be the same as the kernel evaluations
        with self.test_context() as session:
            Z = np.random.randn(101, 3)
            f = gpflow.features.InducingPoints(Z)

            kernels = [
                gpflow.kernels.RBF(3, 0.46, lengthscales=np.array([0.143, 1.84, 2.0]), ARD=True),
                gpflow.kernels.Periodic(3, 0.4, 1.8)
            ]

            for k in kernels:
                self.assertTrue(np.allclose(session.run(f.Kuu(k)), k.compute_K_symm(Z)))


class TestMultiScaleInducing(GPflowTestCase):
    def prepare(self):
        rbf = gpflow.kernels.RBF(2, 1.3441, lengthscales=np.array([0.3414, 1.234]))
        Z = np.random.randn(23, 3)
        feature_0lengthscale = gpflow.features.Multiscale(Z, np.zeros(Z.shape))
        feature_inducingpoint = gpflow.features.InducingPoints(Z)
        return rbf, feature_0lengthscale, feature_inducingpoint

    def test_equivalence_inducing_points(self):
        # Multiscale must be equivalent to inducing points when variance is zero
        with self.test_context() as session:
            rbf, feature_0lengthscale, feature_inducingpoint = self.prepare()
            Xnew = np.random.randn(13, 3)

            ms, point = session.run([feature_0lengthscale.Kuf(rbf, Xnew), feature_inducingpoint.Kuf(rbf, Xnew)])
            pd = np.max(np.abs(ms - point) / point * 100)
            self.assertTrue(pd < 0.1)

            ms, point = session.run([feature_0lengthscale.Kuu(rbf), feature_inducingpoint.Kuu(rbf)])
            pd = np.max(np.abs(ms - point) / point * 100)
            self.assertTrue(pd < 0.1)


class TestFeaturesPsdSchur(GPflowTestCase):
    def test_matrix_psd(self):
        # Conditional variance must be PSD.
        X = np.random.randn(13, 2)

        def init_feat(feature):
            if feature is gpflow.features.InducingPoints:
                return feature(np.random.randn(71, 2))
            elif feature is gpflow.features.Multiscale:
                return feature(np.random.randn(71, 2), np.random.rand(71, 2))

        featkerns = [(gpflow.features.InducingPoints, gpflow.kernels.RBF),
                     (gpflow.features.InducingPoints, gpflow.kernels.Matern12),
                     (gpflow.features.Multiscale, gpflow.kernels.RBF)]
        for feat_class, kern_class in featkerns:
            with self.test_context() as session:
                # rbf, feature, feature_0lengthscale, feature_inducingpoint = self.prepare()
                kern = kern_class(2, 1.84, lengthscales=[0.143, 1.53])
                feature = init_feat(feat_class)
                Kuf, Kuu = session.run([feature.Kuf(kern, X), feature.Kuu(kern, jitter=gpflow.settings.jitter)])
                Kff = kern.compute_K_symm(X)
            Qff = Kuf.T @ np.linalg.solve(Kuu, Kuf)
            self.assertTrue(np.all(np.linalg.eig(Kff - Qff)[0] > 0.0))


if __name__ == "__main__":
    tf.test.main()
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