def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
train_Yvar: Tensor,
outcome_transform: Optional[OutcomeTransform] = None,
) -> None:
r"""A single-task exact GP model using fixed noise levels.
Args:
train_X: A `batch_shape x n x d` tensor of training features.
train_Y: A `batch_shape x n x m` tensor of training observations.
train_Yvar: A `batch_shape x n x m` tensor of observed measurement
noise.
outcome_transform: An outcome transform that is applied to the
training data during instantiation and to the posterior during
inference (that is, the `Posterior` obtained by calling
`.posterior` on the model will be on the original scale).
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X).sum(dim=1, keepdim=True)
>>> train_Yvar = torch.full_like(train_Y, 0.2)
>>> model = FixedNoiseGP(train_X, train_Y, train_Yvar)
"""
if outcome_transform is not None:
train_Y, train_Yvar = outcome_transform(train_Y, train_Yvar)
validate_input_scaling(train_X=train_X,
train_Y=train_Y,
train_Yvar=train_Yvar)
self._validate_tensor_args(X=train_X, Y=train_Y, Yvar=train_Yvar)
self._set_dimensions(train_X=train_X, train_Y=train_Y)
train_X, train_Y, train_Yvar = self._transform_tensor_args(
X=train_X, Y=train_Y, Yvar=train_Yvar)
likelihood = FixedNoiseGaussianLikelihood(
noise=train_Yvar, batch_shape=self._aug_batch_shape)
ExactGP.__init__(self,
train_inputs=train_X,
train_targets=train_Y,
likelihood=likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
self.covar_module = ScaleKernel(
base_kernel=MaternKernel(
nu=2.5,
ard_num_dims=train_X.shape[-1],
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
),
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
if outcome_transform is not None:
self.outcome_transform = outcome_transform
self._subset_batch_dict = {
"mean_module.constant": -2,
"covar_module.raw_outputscale": -1,
"covar_module.base_kernel.raw_lengthscale": -3,
}
self.to(train_X)
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
likelihood: Optional[Likelihood] = None,
covar_module: Optional[Module] = None,
) -> None:
r"""A single-task exact GP model.
Args:
train_X: A `n x d` or `batch_shape x n x d` (batch mode) tensor of training
features.
train_Y: A `n x m` or `batch_shape x n x m` (batch mode) tensor of
training observations.
likelihood: A likelihood. If omitted, use a standard
GaussianLikelihood with inferred noise level.
covar_module: The covariance (kernel) matrix. If omitted, use the
MaternKernel.
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X).sum(dim=1, keepdim=True)
>>> model = SingleTaskGP(train_X, train_Y)
"""
validate_input_scaling(train_X=train_X, train_Y=train_Y)
self._validate_tensor_args(X=train_X, Y=train_Y)
self._set_dimensions(train_X=train_X, train_Y=train_Y)
train_X, train_Y, _ = self._transform_tensor_args(X=train_X, Y=train_Y)
if likelihood is None:
noise_prior = GammaPrior(1.1, 0.05)
noise_prior_mode = (noise_prior.concentration -
1) / noise_prior.rate
likelihood = GaussianLikelihood(
noise_prior=noise_prior,
batch_shape=self._aug_batch_shape,
noise_constraint=GreaterThan(
MIN_INFERRED_NOISE_LEVEL,
transform=None,
initial_value=noise_prior_mode,
),
)
else:
self._is_custom_likelihood = True
ExactGP.__init__(self, train_X, train_Y, likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
if covar_module is None:
self.covar_module = ScaleKernel(
MaternKernel(
nu=2.5,
ard_num_dims=train_X.shape[-1],
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
),
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
else:
self.covar_module = covar_module
self.to(train_X)
def __init__(self,
train_X: Tensor,
train_Y: Tensor,
likelihood: Optional[Likelihood] = None) -> None:
r"""A single-task exact GP model.
Args:
train_X: A `n x d` or `batch_shape x n x d` (batch mode) tensor of training
features.
train_Y: A `n x (o)` or `batch_shape x n x (o)` (batch mode) tensor of
training observations.
likelihood: A likelihood. If omitted, use a standard
GaussianLikelihood with inferred noise level.
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X[:, 0]) + torch.cos(train_X[:, 1])
>>> model = SingleTaskGP(train_X, train_Y)
"""
ard_num_dims = train_X.shape[-1]
train_X, train_Y, _ = self._set_dimensions(train_X=train_X,
train_Y=train_Y)
train_X, train_Y, _ = multioutput_to_batch_mode_transform(
train_X=train_X, train_Y=train_Y, num_outputs=self._num_outputs)
if likelihood is None:
noise_prior = GammaPrior(1.1, 0.05)
noise_prior_mode = (noise_prior.concentration -
1) / noise_prior.rate
likelihood = GaussianLikelihood(
noise_prior=noise_prior,
batch_shape=self._aug_batch_shape,
noise_constraint=GreaterThan(
MIN_INFERRED_NOISE_LEVEL,
transform=None,
initial_value=noise_prior_mode,
),
)
else:
self._likelihood_state_dict = deepcopy(likelihood.state_dict())
ExactGP.__init__(self, train_X, train_Y, likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
self.covar_module = ScaleKernel(
MaternKernel(
nu=2.5,
ard_num_dims=ard_num_dims,
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
),
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
self.to(train_X)
def __init__(self, train_X: Tensor, train_Y: Tensor, train_Yvar: Tensor) -> None:
r"""A single-task exact GP model using fixed noise levels.
Args:
train_X: A `n x d` or `batch_shape x n x d` (batch mode) tensor of training
features.
train_Y: A `n x (o)` or `batch_shape x n x (o)` (batch mode) tensor of
training observations.
train_Yvar: A `batch_shape x n x (o)` or `batch_shape x n x (o)`
(batch mode) tensor of observed measurement noise.
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X[:, 0]]) + torch.cos(train_X[:, 1])
>>> train_Yvar = torch.full_like(train_Y, 0.2)
>>> model = FixedNoiseGP(train_X, train_Y, train_Yvar)
"""
ard_num_dims = train_X.shape[-1]
train_X, train_Y, train_Yvar = self._set_dimensions(
train_X=train_X, train_Y=train_Y, train_Yvar=train_Yvar
)
train_X, train_Y, train_Yvar = multioutput_to_batch_mode_transform(
train_X=train_X,
train_Y=train_Y,
num_outputs=self._num_outputs,
train_Yvar=train_Yvar,
)
likelihood = FixedNoiseGaussianLikelihood(
noise=train_Yvar, batch_shape=self._aug_batch_shape
)
ExactGP.__init__(
self, train_inputs=train_X, train_targets=train_Y, likelihood=likelihood
)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
self.covar_module = ScaleKernel(
base_kernel=MaternKernel(
nu=2.5,
ard_num_dims=ard_num_dims,
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
),
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
self.to(train_X)
def __init__(self, train_X: Tensor, train_Y: Tensor,
train_Yvar: Tensor) -> None:
self._validate_tensor_args(X=train_X, Y=train_Y, Yvar=train_Yvar)
self._set_dimensions(train_X=train_X, train_Y=train_Y)
train_X, train_Y, train_Yvar = self._transform_tensor_args(
X=train_X, Y=train_Y, Yvar=train_Yvar)
likelihood = FixedNoiseGaussianLikelihood(
noise=train_Yvar, batch_shape=self._aug_batch_shape)
ExactGP.__init__(self,
train_inputs=train_X,
train_targets=train_Y,
likelihood=likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
self.covar_module = ScaleKernel(
base_kernel=RBFKernel(
ard_num_dims=train_X.shape[-1],
batch_shape=self._aug_batch_shape,
),
batch_shape=self._aug_batch_shape,
)
self.to(train_X)
def test_manual_bounds(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]], device=device, dtype=dtype)
train_y = torch.tensor([4.0], device=device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# test the basic case
x, pdict, bounds = module_to_array(
module=mll, bounds={"model.covar_module.raw_lengthscale": (0.1, None)}
)
self.assertTrue(np.array_equal(x, np.zeros(5)))
expected_sizes = {
"likelihood.noise_covar.raw_noise": torch.Size([1]),
"model.covar_module.raw_lengthscale": torch.Size([1, 3]),
"model.mean_module.constant": torch.Size([1]),
}
self.assertEqual(set(pdict.keys()), set(expected_sizes.keys()))
for pname, val in pdict.items():
self.assertEqual(val.dtype, dtype)
self.assertEqual(val.shape, expected_sizes[pname])
self.assertEqual(val.device.type, device.type)
lower_exp = np.full_like(x, 0.1)
for p in ("likelihood.noise_covar.raw_noise", "model.mean_module.constant"):
lower_exp[_get_index(pdict, p)] = -np.inf
self.assertTrue(np.equal(bounds[0], lower_exp).all())
self.assertTrue(np.equal(bounds[1], np.full_like(x, np.inf)).all())
def test_set_parameters(self, cuda=False):
device = torch.device("cuda") if cuda else torch.device("cpu")
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]], device=device, dtype=dtype)
train_y = torch.tensor([4.0], device=device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# get parameters
x, pdict, bounds = module_to_array(module=mll)
# Set parameters
mll = set_params_with_array(mll, np.array([1.0, 2.0, 3.0, 4.0, 5.0]), pdict)
z = dict(mll.named_parameters())
self.assertTrue(
torch.equal(
z["likelihood.noise_covar.raw_noise"],
torch.tensor([1.0], device=device, dtype=dtype),
)
)
self.assertTrue(
torch.equal(
z["model.covar_module.raw_lengthscale"],
torch.tensor([[2.0, 3.0, 4.0]], device=device, dtype=dtype),
)
)
self.assertTrue(
torch.equal(
z["model.mean_module.constant"],
torch.tensor([5.0], device=device, dtype=dtype),
)
)
# Extract again
x2, pdict2, bounds2 = module_to_array(module=mll)
self.assertTrue(np.array_equal(x2, np.array([1.0, 2.0, 3.0, 4.0, 5.0])))
def test_exclude(self):
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]],
device=self.device,
dtype=dtype)
train_y = torch.tensor([4.0], device=self.device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=self.device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# test the basic case
x, pdict, bounds = module_to_array(
module=mll, exclude={"model.mean_module.constant"})
self.assertTrue(np.array_equal(x, np.zeros(4)))
expected_sizes = {
"likelihood.noise_covar.raw_noise": torch.Size([1]),
"model.covar_module.raw_lengthscale": torch.Size([1, 3]),
}
self.assertEqual(set(pdict.keys()), set(expected_sizes.keys()))
for pname, val in pdict.items():
self.assertEqual(val.dtype, dtype)
self.assertEqual(val.shape, expected_sizes[pname])
self.assertEqual(val.device.type, self.device.type)
self.assertIsNone(bounds)
def test_set_parameters(self):
for dtype in (torch.float, torch.double):
# get a test module
train_x = torch.tensor([[1.0, 2.0, 3.0]],
device=self.device,
dtype=dtype)
train_y = torch.tensor([4.0], device=self.device, dtype=dtype)
likelihood = GaussianLikelihood()
model = ExactGP(train_x, train_y, likelihood)
model.covar_module = RBFKernel(ard_num_dims=3)
model.mean_module = ConstantMean()
model.to(device=self.device, dtype=dtype)
mll = ExactMarginalLogLikelihood(likelihood, model)
# get parameters
x, pdict, bounds = module_to_array(module=mll)
# Set parameters
mll = set_params_with_array(mll,
np.array([1.0, 2.0, 3.0, 4.0,
5.0]), pdict)
z = dict(mll.named_parameters())
self.assertTrue(
torch.equal(
z["likelihood.noise_covar.raw_noise"],
torch.tensor([1.0], device=self.device, dtype=dtype),
))
self.assertTrue(
torch.equal(
z["model.covar_module.raw_lengthscale"],
torch.tensor([[2.0, 3.0, 4.0]],
device=self.device,
dtype=dtype),
))
self.assertTrue(
torch.equal(
z["model.mean_module.constant"],
torch.tensor([5.0], device=self.device, dtype=dtype),
))
# Extract again
x2, pdict2, bounds2 = module_to_array(module=mll)
self.assertTrue(
np.array_equal(x2, np.array([1.0, 2.0, 3.0, 4.0, 5.0])))
def __init__(
self,
train_X: Tensor,
train_Y: Tensor,
likelihood: Optional[Likelihood] = None,
covar_module: Optional[Module] = None,
outcome_transform: Optional[OutcomeTransform] = None,
) -> None:
r"""A single-task exact GP model.
Args:
train_X: A `batch_shape x n x d` tensor of training features.
train_Y: A `batch_shape x n x m` tensor of training observations.
likelihood: A likelihood. If omitted, use a standard
GaussianLikelihood with inferred noise level.
covar_module: The module computing the covariance (Kernel) matrix.
If omitted, use a `MaternKernel`.
outcome_transform: An outcome transform that is applied to the
training data during instantiation and to the posterior during
inference (that is, the `Posterior` obtained by calling
`.posterior` on the model will be on the original scale).
Example:
>>> train_X = torch.rand(20, 2)
>>> train_Y = torch.sin(train_X).sum(dim=1, keepdim=True)
>>> model = SingleTaskGP(train_X, train_Y)
"""
if outcome_transform is not None:
train_Y, _ = outcome_transform(train_Y)
validate_input_scaling(train_X=train_X, train_Y=train_Y)
self._validate_tensor_args(X=train_X, Y=train_Y)
self._set_dimensions(train_X=train_X, train_Y=train_Y)
train_X, train_Y, _ = self._transform_tensor_args(X=train_X, Y=train_Y)
if likelihood is None:
noise_prior = GammaPrior(1.1, 0.05)
noise_prior_mode = (noise_prior.concentration -
1) / noise_prior.rate
likelihood = GaussianLikelihood(
noise_prior=noise_prior,
batch_shape=self._aug_batch_shape,
noise_constraint=GreaterThan(
MIN_INFERRED_NOISE_LEVEL,
transform=None,
initial_value=noise_prior_mode,
),
)
else:
self._is_custom_likelihood = True
ExactGP.__init__(self, train_X, train_Y, likelihood)
self.mean_module = ConstantMean(batch_shape=self._aug_batch_shape)
if covar_module is None:
self.covar_module = ScaleKernel(
MaternKernel(
nu=2.5,
ard_num_dims=train_X.shape[-1],
batch_shape=self._aug_batch_shape,
lengthscale_prior=GammaPrior(3.0, 6.0),
),
batch_shape=self._aug_batch_shape,
outputscale_prior=GammaPrior(2.0, 0.15),
)
self._subset_batch_dict = {
"likelihood.noise_covar.raw_noise": -2,
"mean_module.constant": -2,
"covar_module.raw_outputscale": -1,
"covar_module.base_kernel.raw_lengthscale": -3,
}
else:
self.covar_module = covar_module
# TODO: Allow subsetting of other covar modules
if outcome_transform is not None:
self.outcome_transform = outcome_transform
self.to(train_X)
