def _test_qX(self, kernel, psi2n=False):
def f(p):
self.qX.param_array[:] = p
self.qX._trigger_params_changed()
psi0 = kernel.psi0(self.Z, self.qX)
psi1 = kernel.psi1(self.Z, self.qX)
if not psi2n:
psi2 = kernel.psi2(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (
self.w3 * psi2).sum()
else:
psi2 = kernel.psi2n(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (
self.w3n * psi2).sum()
def df(p):
self.qX.param_array[:] = p
self.qX._trigger_params_changed()
grad = kernel.gradients_qX_expectations(
self.w1, self.w2, self.w3 if not psi2n else self.w3n, self.Z,
self.qX)
self.qX.set_gradients(grad)
return self.qX.gradient.copy()
from GPy.models import GradientChecker
m = GradientChecker(f, df, self.qX.param_array.copy())
self.assertTrue(m.checkgrad())
def main():
np.random.seed(2)
M, Q = 15, 3
X = np.random.rand(M,Q)
Y = np.random.rand(M,1)
ker = RBF(input_dim=Q, ARD=True, variance=1.34,
lengthscale=np.random.rand(1,Q))
model = GPy.models.GPRegression(X=X, Y=Y, kernel=ker,
normalizer=True)
inputs = UniformInputs([[0,1]]*Q)
likelihood = Likelihood(model, inputs)
x_new = np.random.rand(2, Q)
qcrit = LCB_LW(model, inputs, likelihood=likelihood)
g = GradientChecker(lambda x: qcrit.evaluate(x),
lambda x: qcrit.jacobian(x),
x_new, 'x')
assert(g.checkgrad())
a = qcrit.evaluate(x_new)
b = a+0.0
for i in range(x_new.shape[0]):
print(qcrit.evaluate(x_new[i,:]))
print(a)
a = qcrit.jacobian(x_new)
b = a+0.0
for i in range(x_new.shape[0]):
print(qcrit.jacobian(x_new[i,:]))
print(a)
def _test_kernel_param(self, kernel, psi2n=False):
def f(p):
kernel.param_array[:] = p
psi0 = kernel.psi0(self.Z, self.qX)
psi1 = kernel.psi1(self.Z, self.qX)
if not psi2n:
psi2 = kernel.psi2(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (
self.w3 * psi2).sum()
else:
psi2 = kernel.psi2n(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (
self.w3n * psi2).sum()
def df(p):
kernel.param_array[:] = p
kernel.update_gradients_expectations(
self.w1, self.w2, self.w3 if not psi2n else self.w3n, self.Z,
self.qX)
return kernel.gradient.copy()
from GPy.models import GradientChecker
m = GradientChecker(f, df, kernel.param_array.copy())
m.checkgrad(verbose=1)
self.assertTrue(m.checkgrad())
def _test_qX(self, kernel, psi2n=False):
def f(p):
self.qX.param_array[:] = p
self.qX._trigger_params_changed()
psi0 = kernel.psi0(self.Z, self.qX)
psi1 = kernel.psi1(self.Z, self.qX)
if not psi2n:
psi2 = kernel.psi2(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3 * psi2).sum()
else:
psi2 = kernel.psi2n(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3n * psi2).sum()
def df(p):
self.qX.param_array[:] = p
self.qX._trigger_params_changed()
grad = kernel.gradients_qX_expectations(
self.w1, self.w2, self.w3 if not psi2n else self.w3n, self.Z, self.qX
)
self.qX.set_gradients(grad)
return self.qX.gradient.copy()
from GPy.models import GradientChecker
m = GradientChecker(f, df, self.qX.param_array.copy())
self.assertTrue(m.checkgrad())
def t_dexp_dvar(self, model, Y, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
#Make mu and var (marginal means and variances of q(f)) draws from a GP
k = GPy.kern.RBF(1).K(np.linspace(0, 1, Y.shape[0])[:, None])
L = GPy.util.linalg.jitchol(k)
mu = L.dot(np.random.randn(*Y.shape))
#Variance must be positive
var = np.abs(L.dot(np.random.randn(*Y.shape))) + 0.01
expectation = functools.partial(model.variational_expectations,
Y=Y,
m=mu,
gh_points=None,
Y_metadata=Y_metadata)
#Function to get the nth returned value
def F(var):
return expectation(v=var)[0]
def dvar(var):
return expectation(v=var)[2]
grad = GradientChecker(F, dvar, var.copy(), 'v')
self.constrain_positive('v', grad)
#grad.randomize()
print(grad)
print(model)
assert grad.checkgrad(verbose=1)
def t_dexp_dvar(self, model, Y, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
# Make mu and var (marginal means and variances of q(f)) draws from a GP
k = GPy.kern.RBF(1).K(np.linspace(0, 1, Y.shape[0])[:, None])
L = GPy.util.linalg.jitchol(k)
mu = L.dot(np.random.randn(*Y.shape))
# Variance must be positive
var = np.abs(L.dot(np.random.randn(*Y.shape))) + 0.01
expectation = functools.partial(
model.variational_expectations, Y=Y, m=mu, gh_points=None, Y_metadata=Y_metadata
)
# Function to get the nth returned value
def F(var):
return expectation(v=var)[0]
def dvar(var):
return expectation(v=var)[2]
grad = GradientChecker(F, dvar, var.copy(), "v")
self.constrain_positive("v", grad)
# grad.randomize()
print(grad)
print(model)
assert grad.checkgrad(verbose=1)
def t_d3logpdf_df3(self, model, Y, f):
print "\n{}".format(inspect.stack()[0][3])
d2logpdf_df2 = functools.partial(model.d2logpdf_df2, y=Y)
d3logpdf_df3 = functools.partial(model.d3logpdf_df3, y=Y)
grad = GradientChecker(d2logpdf_df2, d3logpdf_df3, f.copy(), 'g')
grad.randomize()
print model
assert grad.checkgrad(verbose=1)
def t_d3logpdf_df3(self, model, Y, f, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
d2logpdf_df2 = functools.partial(model.d2logpdf_df2, y=Y, Y_metadata=Y_metadata)
d3logpdf_df3 = functools.partial(model.d3logpdf_df3, y=Y, Y_metadata=Y_metadata)
grad = GradientChecker(d2logpdf_df2, d3logpdf_df3, f.copy(), "g")
grad.randomize()
print(model)
assert grad.checkgrad(verbose=1)
def t_d3logpdf_df3(self, model, Y, f):
print "\n{}".format(inspect.stack()[0][3])
d2logpdf_df2 = functools.partial(model.d2logpdf_df2, y=Y)
d3logpdf_df3 = functools.partial(model.d3logpdf_df3, y=Y)
grad = GradientChecker(d2logpdf_df2, d3logpdf_df3, f.copy(), 'g')
grad.randomize()
print model
assert grad.checkgrad(verbose=1)
def t_dlogpdf_df(self, model, Y, f):
print "\n{}".format(inspect.stack()[0][3])
self.description = "\n{}".format(inspect.stack()[0][3])
logpdf = functools.partial(model.logpdf, y=Y)
dlogpdf_df = functools.partial(model.dlogpdf_df, y=Y)
grad = GradientChecker(logpdf, dlogpdf_df, f.copy(), 'g')
grad.randomize()
print model
assert grad.checkgrad(verbose=1)
def t_dlogpdf_df(self, model, Y, f, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
self.description = "\n{}".format(inspect.stack()[0][3])
logpdf = functools.partial(np.sum(model.logpdf), y=Y, Y_metadata=Y_metadata)
dlogpdf_df = functools.partial(model.dlogpdf_df, y=Y, Y_metadata=Y_metadata)
grad = GradientChecker(logpdf, dlogpdf_df, f.copy(), "g")
grad.randomize()
print(model)
assert grad.checkgrad(verbose=1)
def t_dlogpdf_df(self, model, Y, f):
print "\n{}".format(inspect.stack()[0][3])
self.description = "\n{}".format(inspect.stack()[0][3])
logpdf = functools.partial(model.logpdf, y=Y)
dlogpdf_df = functools.partial(model.dlogpdf_df, y=Y)
grad = GradientChecker(logpdf, dlogpdf_df, f.copy(), 'g')
grad.randomize()
print model
assert grad.checkgrad(verbose=1)
def t_d2logpdf_df2(self, model, Y, f, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
dlogpdf_df = functools.partial(model.dlogpdf_df,
y=Y,
Y_metadata=Y_metadata)
d2logpdf_df2 = functools.partial(model.d2logpdf_df2,
y=Y,
Y_metadata=Y_metadata)
grad = GradientChecker(dlogpdf_df, d2logpdf_df2, f.copy(), 'g')
grad.randomize()
print(model)
assert grad.checkgrad(verbose=1)
def main():
ndim = 2
np.random.seed(3)
tf = 25
nsteps = 1000
u_init = [0, 0]
noise = Noise([0, tf])
oscil = Oscillator(noise, tf, nsteps, u_init)
myMap = BlackBox(map_def, args=(oscil,))
lam = noise.get_eigenvalues(ndim)
mean = np.zeros(ndim)
cov = np.diag(lam)
domain = [ [-a, a] for a in 6.0*np.sqrt(np.diag(cov)) ]
inputs = GaussianInputs(domain, mean, cov)
#inputs = UniformInputs(domain)
kwargs_gmm = dict(n_components=4, covariance_type="spherical")
X = inputs.draw_samples(100, "lhs")
Y = myMap.evaluate(X, parallel=True)
o = OptimalDesign(X, Y, myMap, inputs, normalize_Y=True)
likelihood = Likelihood(o.model, o.inputs, "nominal", kwargs_gmm=kwargs_gmm)
x_new = np.atleast_2d([1.0,2.0])
gmm_y = likelihood.evaluate(x_new)
print(jacobian_fdiff(likelihood, x_new))
print(likelihood.jacobian(x_new))
from GPy.models import GradientChecker
gm = GradientChecker(lambda x: likelihood.evaluate(x),
lambda x: likelihood.jacobian(x),
x_new, 'x')
assert(gm.checkgrad())
pts = inputs.draw_samples(n_samples=100, sample_method="grd")
gmm_y = likelihood.evaluate(pts).flatten()
pix = likelihood._evaluate_raw(pts).flatten()
fig = plt.figure(figsize=(12,6))
plt.subplot(1,2,1)
sc = plt.scatter(pts[:,0], pts[:,1], c=pix)
plt.colorbar(sc)
plt.title(r"$f_x/f_y$")
plt.subplot(1,2,2)
sc = plt.scatter(pts[:,0], pts[:,1], c=gmm_y)
plt.colorbar(sc)
plt.title("GMM fit")
plt.show()
def t_dlogpdf_df(self, model, Y, f, Y_metadata):
print("\n{}".format(inspect.stack()[0][3]))
self.description = "\n{}".format(inspect.stack()[0][3])
logpdf = functools.partial(np.sum(model.logpdf),
y=Y,
Y_metadata=Y_metadata)
dlogpdf_df = functools.partial(model.dlogpdf_df,
y=Y,
Y_metadata=Y_metadata)
grad = GradientChecker(logpdf, dlogpdf_df, f.copy(), 'g')
grad.randomize()
print(model)
assert grad.checkgrad(verbose=1)
def test_likelihood_gradients_importance():
X = inputs.draw_samples(100, "lhs")
Y = myMap.evaluate(X, parallel=True)
o = OptimalDesign(X, Y, myMap, inputs, normalize_Y=True)
x_new = np.atleast_2d([1.0, 2.0])
kwargs_gmm = dict(n_components=4, covariance_type="full")
likelihood = Likelihood(o.model,
o.inputs,
"importance",
kwargs_gmm=kwargs_gmm)
gm = GradientChecker(lambda x: likelihood.evaluate(x),
lambda x: likelihood.jacobian(x), x_new, 'x')
assert (gm.checkgrad())
def dparam_checkgrad(func,
dfunc,
params,
params_names,
args,
constraints=None,
randomize=False,
verbose=False):
"""
checkgrad expects a f: R^N -> R^1 and df: R^N -> R^N
However if we are holding other parameters fixed and moving something else
We need to check the gradient of each of the fixed parameters
(f and y for example) seperately, whilst moving another parameter.
Otherwise f: gives back R^N and
df: gives back R^NxM where M is
The number of parameters and N is the number of data
Need to take a slice out from f and a slice out of df
"""
print "\n{} likelihood: {} vs {}".format(func.im_self.__class__.__name__,
func.__name__, dfunc.__name__)
partial_f = dparam_partial(func, *args)
partial_df = dparam_partial(dfunc, *args)
gradchecking = True
zipped_params = zip(params, params_names)
for param_ind, (param_val, param_name) in enumerate(zipped_params):
#Check one parameter at a time, make sure it is 2d (as some gradients only return arrays) then strip out the parameter
fnum = np.atleast_2d(partial_f(param_val,
param_name))[:, param_ind].shape[0]
dfnum = np.atleast_2d(partial_df(param_val,
param_name))[:, param_ind].shape[0]
for fixed_val in range(dfnum):
#dlik and dlik_dvar gives back 1 value for each
f_ind = min(fnum, fixed_val + 1) - 1
print "fnum: {} dfnum: {} f_ind: {} fixed_val: {}".format(
fnum, dfnum, f_ind, fixed_val)
#Make grad checker with this param moving, note that set_params is NOT being called
#The parameter is being set directly with __setattr__
#Check only the parameter and function value we wish to check at a time
grad = GradientChecker(
lambda p_val: np.atleast_2d(partial_f(p_val, param_name))[
f_ind, param_ind], lambda p_val: np.atleast_2d(
partial_df(p_val, param_name))[fixed_val, param_ind],
param_val, [param_name])
if constraints is not None:
for constrain_param, constraint in constraints:
if grad.grep_param_names(constrain_param):
constraint(constrain_param, grad)
else:
print "parameter didn't exist"
print constrain_param, " ", constraint
if randomize:
grad.randomize()
if verbose:
print grad
grad.checkgrad(verbose=1)
if not grad.checkgrad(verbose=True):
gradchecking = False
return gradchecking
def t_d3logpdf_dlink3(self, model, Y, f, Y_metadata, link_f_constraints):
print("\n{}".format(inspect.stack()[0][3]))
d2logpdf_dlink2 = functools.partial(model.d2logpdf_dlink2, y=Y, Y_metadata=Y_metadata)
d3logpdf_dlink3 = functools.partial(model.d3logpdf_dlink3, y=Y, Y_metadata=Y_metadata)
grad = GradientChecker(d2logpdf_dlink2, d3logpdf_dlink3, f.copy(), "g")
# Apply constraints to link_f values
for constraint in link_f_constraints:
constraint("g", grad)
grad.randomize()
print(grad)
print(model)
assert grad.checkgrad(verbose=1)
def t_d3logpdf_dlink3(self, model, Y, f, link_f_constraints):
print "\n{}".format(inspect.stack()[0][3])
d2logpdf_dlink2 = functools.partial(model.d2logpdf_dlink2, y=Y)
d3logpdf_dlink3 = functools.partial(model.d3logpdf_dlink3, y=Y)
grad = GradientChecker(d2logpdf_dlink2, d3logpdf_dlink3, f.copy(), 'g')
#Apply constraints to link_f values
for constraint in link_f_constraints:
constraint('g', grad)
grad.randomize()
print grad
print model
assert grad.checkgrad(verbose=1)
def t_d3logpdf_dlink3(self, model, Y, f, link_f_constraints):
print "\n{}".format(inspect.stack()[0][3])
d2logpdf_dlink2 = functools.partial(model.d2logpdf_dlink2, y=Y)
d3logpdf_dlink3 = functools.partial(model.d3logpdf_dlink3, y=Y)
grad = GradientChecker(d2logpdf_dlink2, d3logpdf_dlink3, f.copy(), 'g')
#Apply constraints to link_f values
for constraint in link_f_constraints:
constraint('g', grad)
grad.randomize()
print grad
print model
assert grad.checkgrad(verbose=1)
def t_dtransf_df(self, transformation, f):
print("\n{}".format(inspect.stack()[0][3]))
grad = GradientChecker(transformation.transf,
transformation.dtransf_df, f, 'f')
grad.randomize()
grad.checkgrad(verbose=1)
assert grad.checkgrad()
def t_d3transf_df3(self, transformation, f):
print "\n{}".format(inspect.stack()[0][3])
grad = GradientChecker(transformation.d2transf_df2,
transformation.d3transf_df3, f, 'f')
grad.randomize()
grad.checkgrad(verbose=1)
assert grad.checkgrad()
def t_d2logpdf_dlink2(self, model, Y, f, Y_metadata, link_f_constraints):
print("\n{}".format(inspect.stack()[0][3]))
dlogpdf_dlink = functools.partial(model.dlogpdf_dlink,
y=Y,
Y_metadata=Y_metadata)
d2logpdf_dlink2 = functools.partial(model.d2logpdf_dlink2,
y=Y,
Y_metadata=Y_metadata)
grad = GradientChecker(dlogpdf_dlink, d2logpdf_dlink2, f.copy(), 'g')
#Apply constraints to link_f values
for constraint in link_f_constraints:
constraint('g', grad)
grad.randomize()
print(grad)
print(model)
assert grad.checkgrad(verbose=1)
def test_gaussian_d2logpdf_df2_2(self):
print("\n{}".format(inspect.stack()[0][3]))
self.Y = None
self.N = 2
self.D = 1
self.X = np.linspace(0, self.D, self.N)[:, None]
self.real_std = 0.2
noise = np.random.randn(*self.X.shape) * self.real_std
self.Y = np.sin(self.X * 2 * np.pi) + noise
self.f = np.random.rand(self.N, 1)
dlogpdf_df = functools.partial(self.gauss.dlogpdf_df, y=self.Y)
d2logpdf_df2 = functools.partial(self.gauss.d2logpdf_df2, y=self.Y)
grad = GradientChecker(dlogpdf_df, d2logpdf_df2, self.f.copy(), 'g')
grad.randomize()
self.assertTrue(grad.checkgrad(verbose=1))
def test_gaussian_d2logpdf_df2_2(self):
print("\n{}".format(inspect.stack()[0][3]))
self.Y = None
self.N = 2
self.D = 1
self.X = np.linspace(0, self.D, self.N)[:, None]
self.real_std = 0.2
noise = np.random.randn(*self.X.shape) * self.real_std
self.Y = np.sin(self.X * 2 * np.pi) + noise
self.f = np.random.rand(self.N, 1)
dlogpdf_df = functools.partial(self.gauss.dlogpdf_df, y=self.Y)
d2logpdf_df2 = functools.partial(self.gauss.d2logpdf_df2, y=self.Y)
grad = GradientChecker(dlogpdf_df, d2logpdf_df2, self.f.copy(), "g")
grad.randomize()
self.assertTrue(grad.checkgrad(verbose=1))
def _test_Z(self, kernel, psi2n=False):
def f(p):
psi0 = kernel.psi0(p, self.qX)
psi1 = kernel.psi1(p, self.qX)
psi2 = kernel.psi2(p, self.qX)
if not psi2n:
psi2 = kernel.psi2(p, self.qX)
return (self.w1*psi0).sum() + (self.w2*psi1).sum() + (self.w3*psi2).sum()
else:
psi2 = kernel.psi2n(p, self.qX)
return (self.w1*psi0).sum() + (self.w2*psi1).sum() + (self.w3n*psi2).sum()
def df(p):
return kernel.gradients_Z_expectations(self.w1, self.w2, self.w3 if not psi2n else self.w3n, p, self.qX)
from GPy.models import GradientChecker
m = GradientChecker(f, df, self.Z.copy())
self.assertTrue(m.checkgrad())
def _test_Z(self, kernel, psi2n=False):
def f(p):
psi0 = kernel.psi0(p, self.qX)
psi1 = kernel.psi1(p, self.qX)
psi2 = kernel.psi2(p, self.qX)
if not psi2n:
psi2 = kernel.psi2(p, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3 * psi2).sum()
else:
psi2 = kernel.psi2n(p, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3n * psi2).sum()
def df(p):
return kernel.gradients_Z_expectations(self.w1, self.w2, self.w3 if not psi2n else self.w3n, p, self.qX)
from GPy.models import GradientChecker
m = GradientChecker(f, df, self.Z.copy())
self.assertTrue(m.checkgrad())
def check_jacobian(self):
try:
import autograd.numpy as np, autograd as ag, GPy, matplotlib.pyplot as plt
from GPy.models import GradientChecker, GPRegression
except:
raise self.skipTest("autograd not available to check gradients")
def k(X, X2, alpha=1., lengthscale=None):
if lengthscale is None:
lengthscale = np.ones(X.shape[1])
exp = 0.
for q in range(X.shape[1]):
exp += ((X[:, [q]] - X2[:, [q]].T)/lengthscale[q])**2
#exp = np.sqrt(exp)
return alpha * np.exp(-.5*exp)
dk = ag.elementwise_grad(lambda x, x2: k(x, x2, alpha=ke.variance.values, lengthscale=ke.lengthscale.values))
dkdk = ag.elementwise_grad(dk, argnum=1)
ke = GPy.kern.RBF(1, ARD=True)
#ke.randomize()
ke.variance = .2#.randomize()
ke.lengthscale[:] = .5
ke.randomize()
X = np.linspace(-1, 1, 1000)[:,None]
X2 = np.array([[0.]]).T
np.testing.assert_allclose(ke.gradients_X([[1.]], X, X), dk(X, X))
np.testing.assert_allclose(ke.gradients_XX([[1.]], X, X).sum(0), dkdk(X, X))
np.testing.assert_allclose(ke.gradients_X([[1.]], X, X2), dk(X, X2))
np.testing.assert_allclose(ke.gradients_XX([[1.]], X, X2).sum(0), dkdk(X, X2))
m = GPRegression(self.X, self.Y)
def f(x):
m.X[:] = x
return m.log_likelihood()
def df(x):
m.X[:] = x
return m.kern.gradients_X(m.grad_dict['dL_dK'], X)
def ddf(x):
m.X[:] = x
return m.kern.gradients_XX(m.grad_dict['dL_dK'], X).sum(0)
gc = GradientChecker(f, df, self.X)
gc2 = GradientChecker(df, ddf, self.X)
assert(gc.checkgrad())
assert(gc2.checkgrad())
def _test_kernel_param(self, kernel, psi2n=False):
def f(p):
kernel.param_array[:] = p
psi0 = kernel.psi0(self.Z, self.qX)
psi1 = kernel.psi1(self.Z, self.qX)
if not psi2n:
psi2 = kernel.psi2(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3 * psi2).sum()
else:
psi2 = kernel.psi2n(self.Z, self.qX)
return (self.w1 * psi0).sum() + (self.w2 * psi1).sum() + (self.w3n * psi2).sum()
def df(p):
kernel.param_array[:] = p
kernel.update_gradients_expectations(self.w1, self.w2, self.w3 if not psi2n else self.w3n, self.Z, self.qX)
return kernel.gradient.copy()
from GPy.models import GradientChecker
m = GradientChecker(f, df, kernel.param_array.copy())
self.assertTrue(m.checkgrad())
def main():
np.random.seed(2)
M, Q = 15, 5
X = np.random.rand(M, Q)
Y = np.random.rand(M, 1)
mu = np.random.rand(Q)
cov = np.random.rand(Q)**2
lb = np.abs(np.random.randn(Q, 1))
ub = lb + np.abs(np.random.randn(Q, 1))
domain = np.hstack((lb, ub)).tolist()
inputs = UniformInputs(domain)
#inputs = GaussianInputs(domain, mu, cov)
#inputs = LogNormalInputs(domain, mu, cov)
x_new = np.random.rand(3, Q)
g = GradientChecker(lambda x: inputs.pdf(x), lambda x: inputs.pdf_jac(x),
x_new, 'x')
assert (g.checkgrad())
def t_dlogpdf_dlink(self, model, Y, f, link_f_constraints):
print "\n{}".format(inspect.stack()[0][3])
logpdf = functools.partial(model.logpdf_link, y=Y)
dlogpdf_dlink = functools.partial(model.dlogpdf_dlink, y=Y)
grad = GradientChecker(logpdf, dlogpdf_dlink, f.copy(), 'g')
#Apply constraints to link_f values
for constraint in link_f_constraints:
constraint('g', grad)
grad.randomize()
print grad
grad.checkgrad(verbose=1)
assert grad.checkgrad()
def check_jacobian(self):
try:
import autograd.numpy as np, autograd as ag, GPy, matplotlib.pyplot as plt
from GPy.models import GradientChecker, GPRegression
except:
raise self.skipTest("autograd not available to check gradients")
def k(X, X2, alpha=1., lengthscale=None):
if lengthscale is None:
lengthscale = np.ones(X.shape[1])
exp = 0.
for q in range(X.shape[1]):
exp += ((X[:, [q]] - X2[:, [q]].T) / lengthscale[q])**2
#exp = np.sqrt(exp)
return alpha * np.exp(-.5 * exp)
dk = ag.elementwise_grad(lambda x, x2: k(
x, x2, alpha=ke.variance.values, lengthscale=ke.lengthscale.values)
)
dkdk = ag.elementwise_grad(dk, argnum=1)
ke = GPy.kern.RBF(1, ARD=True)
#ke.randomize()
ke.variance = .2 #.randomize()
ke.lengthscale[:] = .5
ke.randomize()
X = np.linspace(-1, 1, 1000)[:, None]
X2 = np.array([[0.]]).T
np.testing.assert_allclose(ke.gradients_X([[1.]], X, X), dk(X, X))
np.testing.assert_allclose(
ke.gradients_XX([[1.]], X, X).sum(0), dkdk(X, X))
np.testing.assert_allclose(ke.gradients_X([[1.]], X, X2), dk(X, X2))
np.testing.assert_allclose(
ke.gradients_XX([[1.]], X, X2).sum(0), dkdk(X, X2))
m = GPRegression(self.X, self.Y)
def f(x):
m.X[:] = x
return m.log_likelihood()
def df(x):
m.X[:] = x
return m.kern.gradients_X(m.grad_dict['dL_dK'], X)
def ddf(x):
m.X[:] = x
return m.kern.gradients_XX(m.grad_dict['dL_dK'], X).sum(0)
gc = GradientChecker(f, df, self.X)
gc2 = GradientChecker(df, ddf, self.X)
assert (gc.checkgrad())
assert (gc2.checkgrad())
def dparam_checkgrad(func, dfunc, params, params_names, args, constraints=None, randomize=False, verbose=False):
"""
checkgrad expects a f: R^N -> R^1 and df: R^N -> R^N
However if we are holding other parameters fixed and moving something else
We need to check the gradient of each of the fixed parameters
(f and y for example) seperately, whilst moving another parameter.
Otherwise f: gives back R^N and
df: gives back R^NxM where M is
The number of parameters and N is the number of data
Need to take a slice out from f and a slice out of df
"""
print "\n{} likelihood: {} vs {}".format(func.im_self.__class__.__name__,
func.__name__, dfunc.__name__)
partial_f = dparam_partial(func, *args)
partial_df = dparam_partial(dfunc, *args)
gradchecking = True
zipped_params = zip(params, params_names)
for param_ind, (param_val, param_name) in enumerate(zipped_params):
#Check one parameter at a time, make sure it is 2d (as some gradients only return arrays) then strip out the parameter
fnum = np.atleast_2d(partial_f(param_val, param_name))[:, param_ind].shape[0]
dfnum = np.atleast_2d(partial_df(param_val, param_name))[:, param_ind].shape[0]
for fixed_val in range(dfnum):
#dlik and dlik_dvar gives back 1 value for each
f_ind = min(fnum, fixed_val+1) - 1
print "fnum: {} dfnum: {} f_ind: {} fixed_val: {}".format(fnum, dfnum, f_ind, fixed_val)
#Make grad checker with this param moving, note that set_params is NOT being called
#The parameter is being set directly with __setattr__
#Check only the parameter and function value we wish to check at a time
grad = GradientChecker(lambda p_val: np.atleast_2d(partial_f(p_val, param_name))[f_ind, param_ind],
lambda p_val: np.atleast_2d(partial_df(p_val, param_name))[fixed_val, param_ind],
param_val, [param_name])
if constraints is not None:
for constrain_param, constraint in constraints:
if grad.grep_param_names(constrain_param):
constraint(constrain_param, grad)
else:
print "parameter didn't exist"
print constrain_param, " ", constraint
if randomize:
grad.randomize()
if verbose:
print grad
grad.checkgrad(verbose=1)
if not grad.checkgrad(verbose=True):
gradchecking = False
return gradchecking
def dparam_checkgrad(func, dfunc, params, args, constraints=None, randomize=False, verbose=False):
"""
checkgrad expects a f: R^N -> R^1 and df: R^N -> R^N
However if we are holding other parameters fixed and moving something else
We need to check the gradient of each of the fixed parameters
(f and y for example) seperately, whilst moving another parameter.
Otherwise f: gives back R^N and
df: gives back R^NxM where M is
The number of parameters and N is the number of data
Need to take a slice out from f and a slice out of df
"""
#print "\n{} likelihood: {} vs {}".format(func.im_self.__class__.__name__,
#func.__name__, dfunc.__name__)
partial_f = dparam_partial(func, *args)
partial_df = dparam_partial(dfunc, *args)
gradchecking = True
for param in params:
fnum = np.atleast_1d(partial_f(param)).shape[0]
dfnum = np.atleast_1d(partial_df(param)).shape[0]
for fixed_val in range(dfnum):
#dlik and dlik_dvar gives back 1 value for each
f_ind = min(fnum, fixed_val+1) - 1
print "fnum: {} dfnum: {} f_ind: {} fixed_val: {}".format(fnum, dfnum, f_ind, fixed_val)
#Make grad checker with this param moving, note that set_params is NOT being called
#The parameter is being set directly with __setattr__
grad = GradientChecker(lambda x: np.atleast_1d(partial_f(x))[f_ind],
lambda x : np.atleast_1d(partial_df(x))[fixed_val],
param, 'p')
#This is not general for more than one param...
if constraints is not None:
for constraint in constraints:
constraint('p', grad)
if randomize:
grad.randomize()
if verbose:
print grad
grad.checkgrad(verbose=1)
if not grad.checkgrad():
gradchecking = False
return gradchecking
def test_predictive_gradients_with_normalizer():
"""
Check that model.predictive_gradients returns the gradients of
model.predict when normalizer=True
"""
N, M, Q = 10, 15, 3
X = np.random.rand(M,Q)
Y = np.random.rand(M,1)
x = np.random.rand(N,Q)
model = GPy.models.GPRegression(X=X, Y=Y, normalizer=False)
gm = GradientChecker(lambda x: model.predict(x)[0],
lambda x: model.predictive_gradients(x)[0],
x, 'x')
gc = GradientChecker(lambda x: model.predict(x)[1],
lambda x: model.predictive_gradients(x)[1],
x, 'x')
assert(gm.checkgrad())
assert(gc.checkgrad())
def check_gradient(self, link_func, lim_of_inf, test_lim=False):
grad = GradientChecker(link_func.transf,
link_func.dtransf_df,
x0=self.mid_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df,
link_func.d2transf_df2,
x0=self.mid_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2,
link_func.d3transf_df3,
x0=self.mid_f)
self.assertTrue(grad3.checkgrad(verbose=True))
grad = GradientChecker(link_func.transf,
link_func.dtransf_df,
x0=self.small_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df,
link_func.d2transf_df2,
x0=self.small_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2,
link_func.d3transf_df3,
x0=self.small_f)
self.assertTrue(grad3.checkgrad(verbose=True))
grad = GradientChecker(link_func.transf,
link_func.dtransf_df,
x0=self.zero_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df,
link_func.d2transf_df2,
x0=self.zero_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2,
link_func.d3transf_df3,
x0=self.zero_f)
self.assertTrue(grad3.checkgrad(verbose=True))
#Do a limit test if the large f value is too large
large_f = np.clip(self.large_f, -np.inf, lim_of_inf - 1e-3)
grad = GradientChecker(link_func.transf,
link_func.dtransf_df,
x0=large_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df,
link_func.d2transf_df2,
x0=large_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2,
link_func.d3transf_df3,
x0=large_f)
self.assertTrue(grad3.checkgrad(verbose=True))
if test_lim:
print("Testing limits")
#Remove some otherwise we are too close to the limit for gradcheck to work effectively
lim_of_inf = lim_of_inf - 1e-4
grad = GradientChecker(link_func.transf,
link_func.dtransf_df,
x0=lim_of_inf)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df,
link_func.d2transf_df2,
x0=lim_of_inf)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2,
link_func.d3transf_df3,
x0=lim_of_inf)
self.assertTrue(grad3.checkgrad(verbose=True))
def t_d3transf_df3(self, transformation, f):
print "\n{}".format(inspect.stack()[0][3])
grad = GradientChecker(transformation.d2transf_df2, transformation.d3transf_df3, f, 'f')
grad.randomize()
grad.checkgrad(verbose=1)
assert grad.checkgrad()
def plot_likelihood_ratio(function, n_GMM, filename):
my_map, inputs = function.my_map, function.inputs
mu = np.random.randn(inputs.input_dim)
cov = 4*np.random.randn(inputs.input_dim)**2
inputs = GaussianInputs(inputs.domain, mu=mu, cov=cov)
ngrid = 10
pts = inputs.draw_samples(n_samples=ngrid, sample_method="grd")
ndim = pts.shape[-1]
grd = pts.reshape( (ngrid,)*ndim + (ndim,) ).T
X, Y = grd[0], grd[1]
# Compute map
yy = my_map.evaluate(pts)
# Compute GPy model
model = GPy.models.GPRegression(pts, yy, normalizer=True)
likelihood = Likelihood(model, inputs)
x_new = np.random.rand(2, inputs.input_dim)
print(likelihood._evaluate_raw(x_new))
print(likelihood._jacobian_raw(x_new))
g = GradientChecker(lambda x: likelihood._evaluate_gmm(x),
lambda x: likelihood._jacobian_gmm(x),
x_new, 'x')
assert(g.checkgrad())
yy = model.predict(pts)[0].flatten()
dyy_dx, _ = model.predictive_gradients(pts)
dyy_dx = dyy_dx[:,:,0]
ZZ = yy.reshape( (ngrid,)*ndim ).T
# Compute likelihood ratio
x, y = custom_KDE(yy, weights=inputs.pdf(pts)).evaluate()
fnTn = scipy.interpolate.interp1d(x, y)
fx = inputs.pdf(pts).flatten()
fy = fnTn(yy).flatten()
w = fx/fy
ZL = w.reshape( (ngrid,)*ndim ).T
# Compute gradient of likelihood ratio
dy_dx = np.gradient(y,x)
fnTn_dx = scipy.interpolate.interp1d(x, dy_dx)
tmp = -fx / fy**2 * fnTn_dx(yy)
dw_dx = tmp[:,None] * dyy_dx
plt.figure()
plt.plot(x,y)
plt.plot(x,fnTn(x), '-.')
from scipy.interpolate import InterpolatedUnivariateSpline
spl = InterpolatedUnivariateSpline(x, y)
plt.plot(x, spl(x), '--')
plt.figure()
plt.semilogy(x,dy_dx)
plt.semilogy(x,fnTn_dx(x), '-.')
plt.semilogy(x, spl.derivative()(x), '--')
plt.show(); exit()
def dparam_checkgrad(func,
dfunc,
params,
params_names,
args,
constraints=None,
randomize=False,
verbose=False):
"""
checkgrad expects a f: R^N -> R^1 and df: R^N -> R^N
However if we are holding other parameters fixed and moving something else
We need to check the gradient of each of the fixed parameters
(f and y for example) seperately, whilst moving another parameter.
Otherwise f: gives back R^N and
df: gives back R^NxM where M is
The number of parameters and N is the number of data
Need to take a slice out from f and a slice out of df
"""
print("\n{} likelihood: {} vs {}".format(func.__self__.__class__.__name__,
func.__name__, dfunc.__name__))
partial_f = dparam_partial(func, *args)
partial_df = dparam_partial(dfunc, *args)
gradchecking = True
zipped_params = zip(params, params_names)
for param_ind, (param_val, param_name) in enumerate(zipped_params):
#Check one parameter at a time, make sure it is 2d (as some gradients only return arrays) then strip out the parameter
f_ = partial_f(param_val, param_name)
df_ = partial_df(param_val, param_name)
#Reshape it such that we have a 3d matrix incase, that is we want it (?, N, D) regardless of whether ? is num_params or not
f_ = f_.reshape(-1, f_.shape[0], f_.shape[1])
df_ = df_.reshape(-1, f_.shape[0], f_.shape[1])
#Get the number of f and number of dimensions
fnum = f_.shape[-2]
fdim = f_.shape[-1]
dfnum = df_.shape[-2]
for fixed_val in range(dfnum):
#dlik and dlik_dvar gives back 1 value for each
f_ind = min(fnum, fixed_val + 1) - 1
print("fnum: {} dfnum: {} f_ind: {} fixed_val: {}".format(
fnum, dfnum, f_ind, fixed_val))
#Make grad checker with this param moving, note that set_params is NOT being called
#The parameter is being set directly with __setattr__
#Check only the parameter and function value we wish to check at a time
#func = lambda p_val, fnum, fdim, param_ind, f_ind, param_ind: partial_f(p_val, param_name).reshape(-1, fnum, fdim)[param_ind, f_ind, :]
#dfunc_dparam = lambda d_val, fnum, fdim, param_ind, fixed_val: partial_df(d_val, param_name).reshape(-1, fnum, fdim)[param_ind, fixed_val, :]
#First we reshape the output such that it is (num_params, N, D) then we pull out the relavent parameter-findex and checkgrad just this index at a time
func = lambda p_val: partial_f(p_val, param_name).reshape(
-1, fnum, fdim)[param_ind, f_ind, :]
dfunc_dparam = lambda d_val: partial_df(d_val, param_name).reshape(
-1, fnum, fdim)[param_ind, fixed_val, :]
grad = GradientChecker(func, dfunc_dparam, param_val, [param_name])
if constraints is not None:
for constrain_param, constraint in constraints:
if grad.grep_param_names(constrain_param):
constraint(constrain_param, grad)
else:
print("parameter didn't exist")
print(constrain_param, " ", constraint)
if randomize:
grad.randomize()
if verbose:
print(grad)
grad.checkgrad(verbose=1)
if not grad.checkgrad(verbose=True):
gradchecking = False
if not grad.checkgrad(verbose=True):
gradchecking = False
return gradchecking
def check_gradient(self, link_func, lim_of_inf, test_lim=False):
grad = GradientChecker(link_func.transf, link_func.dtransf_df, x0=self.mid_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df, link_func.d2transf_df2, x0=self.mid_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2, link_func.d3transf_df3, x0=self.mid_f)
self.assertTrue(grad3.checkgrad(verbose=True))
grad = GradientChecker(link_func.transf, link_func.dtransf_df, x0=self.small_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df, link_func.d2transf_df2, x0=self.small_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2, link_func.d3transf_df3, x0=self.small_f)
self.assertTrue(grad3.checkgrad(verbose=True))
grad = GradientChecker(link_func.transf, link_func.dtransf_df, x0=self.zero_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df, link_func.d2transf_df2, x0=self.zero_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2, link_func.d3transf_df3, x0=self.zero_f)
self.assertTrue(grad3.checkgrad(verbose=True))
#Do a limit test if the large f value is too large
large_f = np.clip(self.large_f, -np.inf, lim_of_inf-1e-3)
grad = GradientChecker(link_func.transf, link_func.dtransf_df, x0=large_f)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df, link_func.d2transf_df2, x0=large_f)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2, link_func.d3transf_df3, x0=large_f)
self.assertTrue(grad3.checkgrad(verbose=True))
if test_lim:
print("Testing limits")
#Remove some otherwise we are too close to the limit for gradcheck to work effectively
lim_of_inf = lim_of_inf - 1e-4
grad = GradientChecker(link_func.transf, link_func.dtransf_df, x0=lim_of_inf)
self.assertTrue(grad.checkgrad(verbose=True))
grad2 = GradientChecker(link_func.dtransf_df, link_func.d2transf_df2, x0=lim_of_inf)
self.assertTrue(grad2.checkgrad(verbose=True))
grad3 = GradientChecker(link_func.d2transf_df2, link_func.d3transf_df3, x0=lim_of_inf)
self.assertTrue(grad3.checkgrad(verbose=True))
def dparam_checkgrad(func, dfunc, params, params_names, args, constraints=None, randomize=False, verbose=False):
"""
checkgrad expects a f: R^N -> R^1 and df: R^N -> R^N
However if we are holding other parameters fixed and moving something else
We need to check the gradient of each of the fixed parameters
(f and y for example) seperately, whilst moving another parameter.
Otherwise f: gives back R^N and
df: gives back R^NxM where M is
The number of parameters and N is the number of data
Need to take a slice out from f and a slice out of df
"""
print("\n{} likelihood: {} vs {}".format(func.__self__.__class__.__name__, func.__name__, dfunc.__name__))
partial_f = dparam_partial(func, *args)
partial_df = dparam_partial(dfunc, *args)
gradchecking = True
zipped_params = zip(params, params_names)
for param_ind, (param_val, param_name) in enumerate(zipped_params):
# Check one parameter at a time, make sure it is 2d (as some gradients only return arrays) then strip out the parameter
f_ = partial_f(param_val, param_name)
df_ = partial_df(param_val, param_name)
# Reshape it such that we have a 3d matrix incase, that is we want it (?, N, D) regardless of whether ? is num_params or not
f_ = f_.reshape(-1, f_.shape[0], f_.shape[1])
df_ = df_.reshape(-1, f_.shape[0], f_.shape[1])
# Get the number of f and number of dimensions
fnum = f_.shape[-2]
fdim = f_.shape[-1]
dfnum = df_.shape[-2]
for fixed_val in range(dfnum):
# dlik and dlik_dvar gives back 1 value for each
f_ind = min(fnum, fixed_val + 1) - 1
print("fnum: {} dfnum: {} f_ind: {} fixed_val: {}".format(fnum, dfnum, f_ind, fixed_val))
# Make grad checker with this param moving, note that set_params is NOT being called
# The parameter is being set directly with __setattr__
# Check only the parameter and function value we wish to check at a time
# func = lambda p_val, fnum, fdim, param_ind, f_ind, param_ind: partial_f(p_val, param_name).reshape(-1, fnum, fdim)[param_ind, f_ind, :]
# dfunc_dparam = lambda d_val, fnum, fdim, param_ind, fixed_val: partial_df(d_val, param_name).reshape(-1, fnum, fdim)[param_ind, fixed_val, :]
# First we reshape the output such that it is (num_params, N, D) then we pull out the relavent parameter-findex and checkgrad just this index at a time
func = lambda p_val: partial_f(p_val, param_name).reshape(-1, fnum, fdim)[param_ind, f_ind, :]
dfunc_dparam = lambda d_val: partial_df(d_val, param_name).reshape(-1, fnum, fdim)[param_ind, fixed_val, :]
grad = GradientChecker(func, dfunc_dparam, param_val, [param_name])
if constraints is not None:
for constrain_param, constraint in constraints:
if grad.grep_param_names(constrain_param):
constraint(constrain_param, grad)
else:
print("parameter didn't exist")
print(constrain_param, " ", constraint)
if randomize:
grad.randomize()
if verbose:
print(grad)
grad.checkgrad(verbose=1)
if not grad.checkgrad(verbose=True):
gradchecking = False
if not grad.checkgrad(verbose=True):
gradchecking = False
return gradchecking
Y = np.random.randint(2, size=N)
Y[Y == 0] = -1
probit = Probit(Y)
mu = np.random.randn(N)
sigma2 = np.random.rand(N)
#gradcheck for Z wrt mu
def f(mu):
probit.set_cavity(mu, sigma2)
return probit.Z
def df(mu):
probit.set_cavity(mu, sigma2)
return probit.dZ_dmu
m = GradientChecker(f, df, np.random.randn(N))
m.checkgrad(verbose=1)
#gradcheck for Z wrt sigma2
def f(sigma2):
probit.set_cavity(mu, sigma2)
return probit.Z
def df(sigma2):
probit.set_cavity(mu, sigma2)
return probit.dZ_dsigma2
m = GradientChecker(f, df, np.random.rand(N))
m.checkgrad(verbose=1)
#gradcheck for mean wrt mu
if __name__=='__main__':
N = 4
Y = np.random.randint(2,size=N)
Y[Y==0] = -1
probit = Probit(Y)
mu = np.random.randn(N)
sigma2 = np.random.rand(N)
#gradcheck for Z wrt mu
def f(mu):
probit.set_cavity(mu, sigma2)
return probit.Z
def df(mu):
probit.set_cavity(mu, sigma2)
return probit.dZ_dmu
m = GradientChecker(f,df,np.random.randn(N))
m.checkgrad(verbose=1)
#gradcheck for Z wrt sigma2
def f(sigma2):
probit.set_cavity(mu, sigma2)
return probit.Z
def df(sigma2):
probit.set_cavity(mu, sigma2)
return probit.dZ_dsigma2
m = GradientChecker(f,df,np.random.rand(N))
m.checkgrad(verbose=1)
#gradcheck for mean wrt mu
def f(mu):
probit.set_cavity(mu, sigma2)