Revision e9275c2749d590998082da0544957d33c28d59e5 authored by Mark van der Wilk on 03 May 2017, 17:08:06 UTC, committed by GitHub on 03 May 2017, 17:08:06 UTC
* Add regression test for NaNs in gradient * Fix NaN in gradient if cos_theta is close to one * Use jitter close to machine epsilon
1 parent 5190ada
test_coregion.py
from __future__ import print_function
import GPflow
import numpy as np
import unittest
import tensorflow as tf
class TestEquivalence(unittest.TestCase):
"""
Here we make sure the coregionalized model with diagonal coregion kernel and
with fixed lengthscale is equivalent with normal GP regression.
"""
def setUp(self):
tf.reset_default_graph()
rng = np.random.RandomState(0)
X = [rng.rand(10, 2)*10, rng.rand(20, 2)*10]
Y = [np.sin(x) + 0.9 * np.cos(x*1.6) + rng.randn(*x.shape) * 0.8 for x in X]
label = [np.zeros((10, 1)), np.ones((20, 1))]
perm = list(range(30))
rng.shuffle(perm)
self.Xtest = rng.rand(10, 2)*10
X_augumented = np.hstack([np.concatenate(X), np.concatenate(label)])
Y_augumented = np.hstack([np.concatenate(Y), np.concatenate(label)])
# two independent vgps for two sets of data
k0 = GPflow.kernels.RBF(2)
k0.lengthscales.fixed = True
self.vgp0 = GPflow.vgp.VGP(X[0], Y[0], kern=k0,
mean_function=GPflow.mean_functions.Constant(),
likelihood=GPflow.likelihoods.Gaussian())
k1 = GPflow.kernels.RBF(2)
k1.lengthscales.fixed = True
self.vgp1 = GPflow.vgp.VGP(X[1], Y[1], kern=k1,
mean_function=GPflow.mean_functions.Constant(),
likelihood=GPflow.likelihoods.Gaussian())
# coregionalized gpr
lik = GPflow.likelihoods.SwitchedLikelihood(
[GPflow.likelihoods.Gaussian(), GPflow.likelihoods.Gaussian()])
kc = GPflow.kernels.RBF(2)
kc.fixed = True # lengthscale and variance is fixed.
coreg = GPflow.kernels.Coregion(1, output_dim=2, rank=1, active_dims=[2])
coreg.W.fixed = True
mean_c = GPflow.mean_functions.SwitchedMeanFunction(
[GPflow.mean_functions.Constant(), GPflow.mean_functions.Constant()])
self.cvgp = GPflow.vgp.VGP(X_augumented, Y_augumented,
kern=kc*coreg,
mean_function=mean_c,
likelihood=lik,
num_latent=2)
self.vgp0.optimize(disp=False, maxiter=300)
self.vgp1.optimize(disp=False, maxiter=300)
self.cvgp.optimize(disp=False, maxiter=300)
def test_all(self):
# check variance
self.assertTrue(np.allclose(self.vgp0.likelihood.variance.value,
self.cvgp.likelihood.likelihood_list[0].variance.value,
atol=1e-2))
self.assertTrue(np.allclose(self.vgp1.likelihood.variance.value,
self.cvgp.likelihood.likelihood_list[1].variance.value,
atol=1e-2))
# check kernel variance
self.assertTrue(np.allclose(self.vgp0.kern.variance.value,
self.cvgp.kern.coregion.kappa.value[0],
atol=1.0e-2))
self.assertTrue(np.allclose(self.vgp1.kern.variance.value,
self.cvgp.kern.coregion.kappa.value[1],
atol=1.0e-2))
# check mean values
self.assertTrue(np.allclose(self.vgp0.mean_function.c.value,
self.cvgp.mean_function.meanfunction_list[0].c.value,
atol=1.0e-2))
self.assertTrue(np.allclose(self.vgp1.mean_function.c.value,
self.cvgp.mean_function.meanfunction_list[1].c.value,
atol=1.0e-2))
X_augumented0 = np.hstack([self.Xtest, np.zeros((self.Xtest.shape[0], 1))])
X_augumented1 = np.hstack([self.Xtest, np.ones((self.Xtest.shape[0], 1))])
Ytest = [np.sin(x) + 0.9 * np.cos(x*1.6) for x in self.Xtest]
Y_augumented0 = np.hstack([Ytest, np.zeros((self.Xtest.shape[0], 1))])
Y_augumented1 = np.hstack([Ytest, np.ones((self.Xtest.shape[0], 1))])
# check predict_f
pred_f0 = self.vgp0.predict_f(self.Xtest)
pred_fc0 = self.cvgp.predict_f(X_augumented0)
self.assertTrue(np.allclose(pred_f0, pred_fc0, atol=1.0e-2))
pred_f1 = self.vgp1.predict_f(self.Xtest)
pred_fc1 = self.cvgp.predict_f(X_augumented1)
self.assertTrue(np.allclose(pred_f1, pred_fc1, atol=1.0e-2))
# check predict y
pred_y0 = self.vgp0.predict_y(self.Xtest)
pred_yc0 = self.cvgp.predict_y(np.hstack([self.Xtest, np.zeros((self.Xtest.shape[0], 1))]))
# predict_y returns results for all the likelihodds in multi_likelihood
self.assertTrue(np.allclose(pred_y0[0], pred_yc0[0][:, :np.array(Ytest).shape[1]], atol=1.0e-2))
self.assertTrue(np.allclose(pred_y0[1], pred_yc0[1][:, :np.array(Ytest).shape[1]], atol=1.0e-2))
pred_y1 = self.vgp1.predict_y(self.Xtest)
pred_yc1 = self.cvgp.predict_y(np.hstack([self.Xtest, np.ones((self.Xtest.shape[0], 1))]))
# predict_y returns results for all the likelihodds in multi_likelihood
self.assertTrue(np.allclose(pred_y1[0], pred_yc1[0][:, np.array(Ytest).shape[1]:], atol=1.0e-2))
self.assertTrue(np.allclose(pred_y1[1], pred_yc1[1][:, np.array(Ytest).shape[1]:], atol=1.0e-2))
# check predict_density
pred_ydensity0 = self.vgp0.predict_density(self.Xtest, Ytest)
pred_ydensity_c0 = self.cvgp.predict_density(X_augumented0, Y_augumented0)
self.assertTrue(np.allclose(pred_ydensity0, pred_ydensity_c0, atol=1e-2))
pred_ydensity1 = self.vgp1.predict_density(self.Xtest, Ytest)
pred_ydensity_c1 = self.cvgp.predict_density(X_augumented1, Y_augumented1)
self.assertTrue(np.allclose(pred_ydensity1, pred_ydensity_c1, atol=1e-2))
# just check predict_f_samples(self) works
self.cvgp.predict_f_samples(X_augumented0, 1)
self.cvgp.predict_f_samples(X_augumented1, 1)
# check predict_f_full_cov
self.vgp0.predict_f_full_cov(self.Xtest)
self.cvgp.predict_f_full_cov(X_augumented0)
self.vgp1.predict_f_full_cov(self.Xtest)
self.cvgp.predict_f_full_cov(X_augumented1)
if __name__ == '__main__':
unittest.main()
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