def __init__(self, X, Y, kernel, likelihood, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
assert Y.shape[0] == self.num_data
_, self.output_dim = self.Y.shape
#TODO: check the type of this is okay?
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print "defaulting to ", inference_method, "for latent function inference"
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
def __init__(self, X, Y, kernel, likelihood, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
assert Y.shape[0] == self.num_data
_, self.output_dim = self.Y.shape
#TODO: check the type of this is okay?
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print "defaulting to ", inference_method, "for latent function inference"
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
class GP(Model):
"""
General purpose Gaussian process model
:param X: input observations
:param Y: output observations
:param kernel: a GPy kernel, defaults to rbf+white
:param likelihood: a GPy likelihood
:param inference_method: The :class:`~GPy.inference.latent_function_inference.LatentFunctionInference` inference method to use for this GP
:rtype: model object
:param Norm normalizer:
normalize the outputs Y.
Prediction will be un-normalized using this normalizer.
If normalizer is None, we will normalize using MeanNorm.
If normalizer is False, no normalization will be done.
.. Note:: Multiple independent outputs are allowed using columns of Y
"""
def __init__(self, X, Y, kernel, likelihood, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
assert Y.shape[0] == self.num_data
_, self.output_dim = self.Y.shape
#TODO: check the type of this is okay?
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print "defaulting to ", inference_method, "for latent function inference"
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
def set_XY(self, X=None, Y=None):
"""
Set the input / output data of the model
This is useful if we wish to change our existing data but maintain the same model
:param X: input observations
:type X: np.ndarray
:param Y: output observations
:type Y: np.ndarray
"""
self.update_model(False)
if Y is not None:
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
if X is not None:
if self.X in self.parameters:
# LVM models
if isinstance(self.X, VariationalPosterior):
assert isinstance(X, type(self.X)), "The given X must have the same type as the X in the model!"
self.unlink_parameter(self.X)
self.X = X
self.link_parameters(self.X)
else:
self.unlink_parameter(self.X)
from ..core import Param
self.X = Param('latent mean',X)
self.link_parameters(self.X)
else:
self.X = ObsAr(X)
self.update_model(True)
self._trigger_params_changed()
def set_X(self,X):
"""
Set the input data of the model
:param X: input observations
:type X: np.ndarray
"""
self.set_XY(X=X)
def set_Y(self,Y):
"""
Set the output data of the model
:param X: output observations
:type X: np.ndarray
"""
self.set_XY(Y=Y)
def parameters_changed(self):
"""
Method that is called upon any changes to :class:`~GPy.core.parameterization.param.Param` variables within the model.
In particular in the GP class this method reperforms inference, recalculating the posterior and log marginal likelihood and gradients of the model
.. warning::
This method is not designed to be called manually, the framework is set up to automatically call this method upon changes to parameters, if you call
this method yourself, there may be unexpected consequences.
"""
self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.likelihood, self.Y_normalized, self.Y_metadata)
self.likelihood.update_gradients(self.grad_dict['dL_dthetaL'])
self.kern.update_gradients_full(self.grad_dict['dL_dK'], self.X)
def log_likelihood(self):
"""
The log marginal likelihood of the model, :math:`p(\mathbf{y})`, this is the objective function of the model being optimised
"""
return self._log_marginal_likelihood
def _raw_predict(self, _Xnew, full_cov=False, kern=None):
"""
For making predictions, does not account for normalization or likelihood
full_cov is a boolean which defines whether the full covariance matrix
of the prediction is computed. If full_cov is False (default), only the
diagonal of the covariance is returned.
.. math::
p(f*|X*, X, Y) = \int^{\inf}_{\inf} p(f*|f,X*)p(f|X,Y) df
= N(f*| K_{x*x}(K_{xx} + \Sigma)^{-1}Y, K_{x*x*} - K_{xx*}(K_{xx} + \Sigma)^{-1}K_{xx*}
\Sigma := \texttt{Likelihood.variance / Approximate likelihood covariance}
"""
if kern is None:
kern = self.kern
Kx = kern.K(_Xnew, self.X).T
WiKx = np.dot(self.posterior.woodbury_inv, Kx)
mu = np.dot(Kx.T, self.posterior.woodbury_vector)
if full_cov:
Kxx = kern.K(_Xnew)
var = Kxx - np.dot(Kx.T, WiKx)
else:
Kxx = kern.Kdiag(_Xnew)
var = Kxx - np.sum(WiKx*Kx, 0)
var = var.reshape(-1, 1)
#force mu to be a column vector
if len(mu.shape)==1: mu = mu[:,None]
return mu, var
def predict_uncertain(self, Xnew_mu, Xnew_covar):
"""
Predict the functions' mean and variance at the new points distributed by Xnew, where Xnew is assumed
to be normal distributed with mean Xnew_mu and variance Xnew_var.
This function only works for an RBF kernel.
:param Xnew_mu: The mean of the points at which to make a prediction
:type Xnew_mu: np.ndarray (Nnew x self.input_dim)
:param Xnew_covar: The covariance w.r.t. the input dimensions of the points at which to make a prediction
:type Xnew_covar: np.ndarray (Nnew x self.input_dim x self.input_dim)
:returns: (mean, covar):
mean: posterior mean, a Numpy array, Nnew x self.output_dim
covar: posterior covariance, a Numpy array, Nnew x self.output_dim x self.output_dim
Note that the covariance is calculated w.r.t. the output dimensions for each sample
and not w.r.t. to the samples, as it is common with GPs.
"""
if not isinstance(self.kern, RBF):
raise ValueError("predict_from_unsure_input only works with RBF kernel")
if not isinstance(self.likelihood, Gaussian):
raise ValueError("predict_from_unsure_input only works with Gaussian likelihood")
if Xnew_mu.shape[0] != Xnew_covar.shape[0]:
raise ValueError("Xnew_mu and Xnew_covar must have same number of samples")
if (Xnew_mu.shape[1] != self.input_dim or Xnew_covar.shape[1] != self.input_dim or
Xnew_covar.shape[2] != self.input_dim):
raise ValueError("Wrong number of input dimensions provided")
#######################################################################################
# inputs:
n_smpls = Xnew_mu.shape[0]
# mu[new_smpl, feature] = Xnew_mu
mu = Xnew_mu
# Sigma[new_smpl, feature, feature] = Xnew_covar
Sigma = Xnew_covar
# kernel parameters:
# ls[feature]
ls = 1. / self.kern.lengthscale ** 2
if ls.shape[0] == 1:
ls = ls * np.ones(self.input_dim)
# LambdaInv[feature, feature]
LambdaInv = np.diag(ls)
# Lambda[feature, feature]
Lambda = np.diag(1. / ls)
# alpha2 (scalar)
alpha2 = np.asarray(self.kern.variance)
# SigmaE2 (scalar)
SigmaE2 = np.asarray(self.likelihood.variance)
# training data:
# self.X[X_smpl, feature]
# self.Y[X_smpl, out_dim]
# dxx[X_smpl, X_smpl, feature]
dxx = self.X[:,np.newaxis,:] - self.X[np.newaxis,:,:]
# DxxLambdaInvDxx[X_smpl, X_smpl]
DxxLambdaInvDxx = np.sum(ls[np.newaxis,np.newaxis,:] * dxx**2, axis=2)
# Kxx[X_smpl, X_smpl]
#Kxx = alpha2 * np.exp(-0.5 * DxxLambdaInvDxx)
# KxxPlusSigmaE[X_smpl, X_smpl]
#KxxPlusSigmaE = Kxx + SigmaE2 * np.identity(Kxx.shape[0])
# Beta[X_smpl, X_smpl] = woodbury_inv
#Beta = np.linalg.inv(KxxPlusSigmaE)
Beta = self.posterior.woodbury_inv
# beta[X_smpl, out_dim] = woodbury_vector
#beta = np.dot(Beta, self.Y)
beta = self.posterior.woodbury_vector
#######################################################################################
#######################################################################################
# calculate predictive mean, eq. (9)
# dxmu[new_smpl, X_smpl, feature]
dxmu = self.X[np.newaxis,:,:] - mu[:,np.newaxis,:]
# SigmaPlusLambda[new_xmpl, feature, feature]
SigmaPlusLambda = Sigma + Lambda[np.newaxis,:,:]
# SigmaPlusLambdaInv[new_xmpl, feature, feature]
SigmaPlusLambdaInv = np.linalg.inv(SigmaPlusLambda)
# DSigmaPlusLambdaInvD[new_smpl, X_smpl]
DSigmaPlusLambdaInvD = np.einsum("sif,sfg,sig->si", dxmu, SigmaPlusLambdaInv, dxmu)
# SigmaLambdaInvPlusId[new_smpl, feature, feature]
SigmaLambdaInvPlusId = np.einsum("sik,kj->sij", Sigma, LambdaInv) + np.identity(self.input_dim)[np.newaxis,:,:]
# SigmaLambdaInvPlusIdDet[new_smpl]
SigmaLambdaInvPlusIdDet = np.linalg.det(SigmaLambdaInvPlusId)
# l[new_smpl, X_smpl]
l = alpha2 * (SigmaLambdaInvPlusIdDet**(-0.5))[:,np.newaxis] * np.exp(-0.5 * DSigmaPlusLambdaInvD)
# p_mean[new_smpl, out_dim]
p_mean = np.dot(l, beta)
#######################################################################################
#######################################################################################
# calculate predictive covariance of output dimensions
# k* = ks[new_smpl, X_smpl]
ks = alpha2 * np.exp(-0.5 * np.sum(ls[np.newaxis,np.newaxis,:] * dxmu**2, axis=2))
# LambdaInvSigma[new_smpl, feature, feature]
LambdaInvSigma = np.einsum("fg,sgh->sfh", LambdaInv, Sigma)
# TwoLambdaInvSigmaPlusId[new_smpl, feature, feature]
TwoLambdaInvSigmaPlusId = 2 * LambdaInvSigma + np.identity(self.input_dim)[np.newaxis,:,:]
# TwoLambdaInvSigmaPlusIdDet[new_smpl]
TwoLambdaInvSigmaPlusIdDet = np.linalg.det(TwoLambdaInvSigmaPlusId)
# z[X_smpl, X_smpl, feature]
z = 0.5 * (self.X[:,np.newaxis,:] + self.X[np.newaxis,:,:])
# gamma[new_smpl, X_smpl, X_smpl, feature]
gamma = z[np.newaxis,:,:,:] - mu[:,np.newaxis,np.newaxis,:]
# HalfLambdaPlusSigma[new_smpl, feature, feature]
HalfLambdaPlusSigma = 0.5 * Lambda[np.newaxis,:,:] + Sigma
# HalfLambdaPlusSigmaInv[new_smpl, feature, feature]
HalfLambdaPlusSigmaInv = np.linalg.inv(HalfLambdaPlusSigma)
# GammaHalfLambdaPlusSigmaInvGamma[new_smpl, X_smpl, X_smpl]
GammaHalfLambdaPlusSigmaInvGamma = np.einsum("sijf,sfg,sijg->sij", gamma, HalfLambdaPlusSigmaInv, gamma)
# L[new_smpl, X_smpl, X_smpl], eq. (12)
L = (alpha2**2 * TwoLambdaInvSigmaPlusIdDet[:,np.newaxis,np.newaxis]**(-0.5) *
np.exp(-0.25 * DxxLambdaInvDxx[np.newaxis,:,:]) *
np.exp(-0.5 * GammaHalfLambdaPlusSigmaInvGamma))
# Eh[new_smpl, out_dim, out_dim]
Eh = np.einsum("xo,mxy,yp->mop", beta, L, beta)
# BetaL[new_smpl, X_smpl, X_smpl]
BetaL = np.einsum("xy,syz->sxz", Beta, L)
# TrBetaL[new_smpl]
TrBetaL = np.einsum("sxx->s", BetaL)
# Alpha2PlusTrBetaL[new_smpl, out_dim, out_dim]
Alpha2PlusTrBetaL = np.identity(self.output_dim)[np.newaxis,:,:] * (alpha2 - TrBetaL[:,np.newaxis,np.newaxis] + SigmaE2)
# p_cov[new_smpl, out_dim, out_dim]
p_cov = Eh - p_mean[:,:,np.newaxis] * p_mean[:,np.newaxis,:] + Alpha2PlusTrBetaL
#######################################################################################
return p_mean, p_cov
def predict(self, Xnew, full_cov=False, Y_metadata=None, kern=None):
"""
Predict the function(s) at the new point(s) Xnew.
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var, lower_upper):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
lower_upper: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
if self.normalizer is not None:
mu, var = self.normalizer.inverse_mean(mu), self.normalizer.inverse_variance(var)
# now push through likelihood
mean, var = self.likelihood.predictive_values(mu, var, full_cov, Y_metadata)
return mean, var
def predict_quantiles(self, X, quantiles=(2.5, 97.5), Y_metadata=None):
"""
Get the predictive quantiles around the prediction at X
:param X: The points at which to make a prediction
:type X: np.ndarray (Xnew x self.input_dim)
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.input_dim), np.ndarray (Xnew x self.input_dim)]
"""
m, v = self._raw_predict(X, full_cov=False)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
return self.likelihood.predictive_quantiles(m, v, quantiles, Y_metadata)
def predictive_gradients(self, Xnew):
"""
Compute the derivatives of the latent function with respect to X*
Given a set of points at which to predict X* (size [N*,Q]), compute the
derivatives of the mean and variance. Resulting arrays are sized:
dmu_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
dv_dX* -- [N*, Q], (since all outputs have the same variance)
:param X: The points at which to get the predictive gradients
:type X: np.ndarray (Xnew x self.input_dim)
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q) ]
"""
dmu_dX = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for i in range(self.output_dim):
dmu_dX[:,:,i] = self.kern.gradients_X(self.posterior.woodbury_vector[:,i:i+1].T, Xnew, self.X)
# gradients wrt the diagonal part k_{xx}
dv_dX = self.kern.gradients_X(np.eye(Xnew.shape[0]), Xnew)
#grads wrt 'Schur' part K_{xf}K_{ff}^{-1}K_{fx}
alpha = -2.*np.dot(self.kern.K(Xnew, self.X),self.posterior.woodbury_inv)
dv_dX += self.kern.gradients_X(alpha, Xnew, self.X)
return dmu_dX, dv_dX
def posterior_samples_f(self,X,size=10, full_cov=True):
"""
Samples the posterior GP at the points X.
:param X: The points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:returns: Ysim: set of simulations
:rtype: np.ndarray (N x samples)
"""
m, v = self._raw_predict(X, full_cov=full_cov)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
v = v.reshape(m.size,-1) if len(v.shape)==3 else v
if not full_cov:
Ysim = np.random.multivariate_normal(m.flatten(), np.diag(v.flatten()), size).T
else:
Ysim = np.random.multivariate_normal(m.flatten(), v, size).T
return Ysim
def posterior_samples(self, X, size=10, full_cov=False, Y_metadata=None):
"""
Samples the posterior GP at the points X.
:param X: the points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim.)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:param noise_model: for mixed noise likelihood, the noise model to use in the samples.
:type noise_model: integer.
:returns: Ysim: set of simulations, a Numpy array (N x samples).
"""
Ysim = self.posterior_samples_f(X, size, full_cov=full_cov)
Ysim = self.likelihood.samples(Ysim, Y_metadata)
return Ysim
def plot_f(self, plot_limits=None, which_data_rows='all',
which_data_ycols='all', fixed_inputs=[],
levels=20, samples=0, fignum=None, ax=None, resolution=None,
plot_raw=True,
linecol=None,fillcol=None, Y_metadata=None, data_symbol='kx'):
"""
Plot the GP's view of the world, where the data is normalized and before applying a likelihood.
This is a call to plot with plot_raw=True.
Data will not be plotted in this, as the GP's view of the world
may live in another space, or units then the data.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self, plot_limits, which_data_rows,
which_data_ycols, fixed_inputs,
levels, samples, fignum, ax, resolution,
plot_raw=plot_raw, Y_metadata=Y_metadata,
data_symbol=data_symbol, **kw)
def plot(self, plot_limits=None, which_data_rows='all',
which_data_ycols='all', fixed_inputs=[],
levels=20, samples=0, fignum=None, ax=None, resolution=None,
plot_raw=False,
linecol=None,fillcol=None, Y_metadata=None, data_symbol='kx'):
"""
Plot the posterior of the GP.
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
- In two dimsensions, a contour-plot shows the mean predicted function
- In higher dimensions, use fixed_inputs to plot the GP with some of the inputs fixed.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self, plot_limits, which_data_rows,
which_data_ycols, fixed_inputs,
levels, samples, fignum, ax, resolution,
plot_raw=plot_raw, Y_metadata=Y_metadata,
data_symbol=data_symbol, **kw)
def input_sensitivity(self, summarize=True):
"""
Returns the sensitivity for each dimension of this model
"""
return self.kern.input_sensitivity(summarize=summarize)
def optimize(self, optimizer=None, start=None, **kwargs):
"""
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
kwargs are passed to the optimizer. They can be:
:param max_f_eval: maximum number of function evaluations
:type max_f_eval: int
:messages: whether to display during optimisation
:type messages: bool
:param optimizer: which optimizer to use (defaults to self.preferred optimizer), a range of optimisers can be found in :module:`~GPy.inference.optimization`, they include 'scg', 'lbfgs', 'tnc'.
:type optimizer: string
"""
self.inference_method.on_optimization_start()
try:
super(GP, self).optimize(optimizer, start, **kwargs)
except KeyboardInterrupt:
print "KeyboardInterrupt caught, calling on_optimization_end() to round things up"
self.inference_method.on_optimization_end()
raise
def infer_newX(self, Y_new, optimize=True, ):
"""
Infer the distribution of X for the new observed data *Y_new*.
:param Y_new: the new observed data for inference
:type Y_new: numpy.ndarray
:param optimize: whether to optimize the location of new X (True by default)
:type optimize: boolean
:return: a tuple containing the posterior estimation of X and the model that optimize X
:rtype: (:class:`~GPy.core.parameterization.variational.VariationalPosterior` or numpy.ndarray, :class:`~GPy.core.model.Model`)
"""
from ..inference.latent_function_inference.inferenceX import infer_newX
return infer_newX(self, Y_new, optimize=optimize)
def __init__(self,
X,
Y,
kernel,
likelihood,
mean_function=None,
inference_method=None,
name='gp',
Y_metadata=None,
normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else:
self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
elif isinstance(Y, np.ndarray):
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
else:
self.Y = Y
if Y.shape[0] != self.num_data:
#There can be cases where we want inputs than outputs, for example if we have multiple latent
#function values
warnings.warn("There are more rows in your input data X, \
than in your output data Y, be VERY sure this is what you want"
)
_, self.output_dim = self.Y.shape
assert ((Y_metadata is None) or isinstance(Y_metadata, dict))
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#handle the mean function
self.mean_function = mean_function
if mean_function is not None:
assert isinstance(self.mean_function, Mapping)
assert mean_function.input_dim == self.input_dim
assert mean_function.output_dim == self.output_dim
self.link_parameter(mean_function)
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(
likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference(
)
else:
inference_method = expectation_propagation.EP()
print("defaulting to ", inference_method,
"for latent function inference")
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.posterior = None
class GP(Model):
"""
General purpose Gaussian process model
:param X: input observations
:param Y: output observations
:param kernel: a GPy kernel, defaults to rbf+white
:param likelihood: a GPy likelihood
:param inference_method: The :class:`~GPy.inference.latent_function_inference.LatentFunctionInference` inference method to use for this GP
:rtype: model object
:param Norm normalizer:
normalize the outputs Y.
Prediction will be un-normalized using this normalizer.
If normalizer is None, we will normalize using MeanNorm.
If normalizer is False, no normalization will be done.
.. Note:: Multiple independent outputs are allowed using columns of Y
"""
def __init__(self,
X,
Y,
kernel,
likelihood,
mean_function=None,
inference_method=None,
name='gp',
Y_metadata=None,
normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else:
self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
elif isinstance(Y, np.ndarray):
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
else:
self.Y = Y
if Y.shape[0] != self.num_data:
#There can be cases where we want inputs than outputs, for example if we have multiple latent
#function values
warnings.warn("There are more rows in your input data X, \
than in your output data Y, be VERY sure this is what you want"
)
_, self.output_dim = self.Y.shape
assert ((Y_metadata is None) or isinstance(Y_metadata, dict))
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#handle the mean function
self.mean_function = mean_function
if mean_function is not None:
assert isinstance(self.mean_function, Mapping)
assert mean_function.input_dim == self.input_dim
assert mean_function.output_dim == self.output_dim
self.link_parameter(mean_function)
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(
likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference(
)
else:
inference_method = expectation_propagation.EP()
print("defaulting to ", inference_method,
"for latent function inference")
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.posterior = None
# The predictive variable to be used to predict using the posterior object's
# woodbury_vector and woodbury_inv is defined as predictive_variable
# as long as the posterior has the right woodbury entries.
# It is the input variable used for the covariance between
# X_star and the posterior of the GP.
# This is usually just a link to self.X (full GP) or self.Z (sparse GP).
# Make sure to name this variable and the predict functions will "just work"
# In maths the predictive variable is:
# K_{xx} - K_{xp}W_{pp}^{-1}K_{px}
# W_{pp} := \texttt{Woodbury inv}
# p := _predictive_variable
@property
def _predictive_variable(self):
return self.X
def set_XY(self, X=None, Y=None):
"""
Set the input / output data of the model
This is useful if we wish to change our existing data but maintain the same model
:param X: input observations
:type X: np.ndarray
:param Y: output observations
:type Y: np.ndarray
"""
self.update_model(False)
if Y is not None:
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
if X is not None:
if self.X in self.parameters:
# LVM models
if isinstance(self.X, VariationalPosterior):
assert isinstance(
X, type(self.X)
), "The given X must have the same type as the X in the model!"
self.unlink_parameter(self.X)
self.X = X
self.link_parameter(self.X)
else:
self.unlink_parameter(self.X)
from ..core import Param
self.X = Param('latent mean', X)
self.link_parameter(self.X)
else:
self.X = ObsAr(X)
self.update_model(True)
def set_X(self, X):
"""
Set the input data of the model
:param X: input observations
:type X: np.ndarray
"""
self.set_XY(X=X)
def set_Y(self, Y):
"""
Set the output data of the model
:param X: output observations
:type X: np.ndarray
"""
self.set_XY(Y=Y)
def parameters_changed(self):
"""
Method that is called upon any changes to :class:`~GPy.core.parameterization.param.Param` variables within the model.
In particular in the GP class this method reperforms inference, recalculating the posterior and log marginal likelihood and gradients of the model
.. warning::
This method is not designed to be called manually, the framework is set up to automatically call this method upon changes to parameters, if you call
this method yourself, there may be unexpected consequences.
"""
self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(
self.kern, self.X, self.likelihood, self.Y_normalized,
self.mean_function, self.Y_metadata)
self.likelihood.update_gradients(self.grad_dict['dL_dthetaL'])
self.kern.update_gradients_full(self.grad_dict['dL_dK'], self.X)
if self.mean_function is not None:
self.mean_function.update_gradients(self.grad_dict['dL_dm'],
self.X)
def log_likelihood(self):
"""
The log marginal likelihood of the model, :math:`p(\mathbf{y})`, this is the objective function of the model being optimised
"""
return self._log_marginal_likelihood
def _raw_predict(self, Xnew, full_cov=False, kern=None):
"""
For making predictions, does not account for normalization or likelihood
full_cov is a boolean which defines whether the full covariance matrix
of the prediction is computed. If full_cov is False (default), only the
diagonal of the covariance is returned.
.. math::
p(f*|X*, X, Y) = \int^{\inf}_{\inf} p(f*|f,X*)p(f|X,Y) df
= N(f*| K_{x*x}(K_{xx} + \Sigma)^{-1}Y, K_{x*x*} - K_{xx*}(K_{xx} + \Sigma)^{-1}K_{xx*}
\Sigma := \texttt{Likelihood.variance / Approximate likelihood covariance}
"""
if kern is None:
kern = self.kern
Kx = kern.K(self._predictive_variable, Xnew)
mu = np.dot(Kx.T, self.posterior.woodbury_vector)
if len(mu.shape) == 1:
mu = mu.reshape(-1, 1)
if full_cov:
Kxx = kern.K(Xnew)
if self.posterior.woodbury_inv.ndim == 2:
var = Kxx - np.dot(Kx.T, np.dot(self.posterior.woodbury_inv,
Kx))
elif self.posterior.woodbury_inv.ndim == 3: # Missing data
var = np.empty((Kxx.shape[0], Kxx.shape[1],
self.posterior.woodbury_inv.shape[2]))
from ..util.linalg import mdot
for i in range(var.shape[2]):
var[:, :, i] = (
Kxx -
mdot(Kx.T, self.posterior.woodbury_inv[:, :, i], Kx))
var = var
else:
Kxx = kern.Kdiag(Xnew)
if self.posterior.woodbury_inv.ndim == 2:
var = (Kxx - np.sum(
np.dot(self.posterior.woodbury_inv.T, Kx) * Kx, 0))[:,
None]
elif self.posterior.woodbury_inv.ndim == 3: # Missing data
var = np.empty(
(Kxx.shape[0], self.posterior.woodbury_inv.shape[2]))
for i in range(var.shape[1]):
var[:, i] = (Kxx - (np.sum(
np.dot(self.posterior.woodbury_inv[:, :, i].T, Kx) *
Kx, 0)))
var = var
#add in the mean function
if self.mean_function is not None:
mu += self.mean_function.f(Xnew)
return mu, var
def predict(self, Xnew, full_cov=False, Y_metadata=None, kern=None):
"""
Predict the function(s) at the new point(s) Xnew.
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
Note: If you want the predictive quantiles (e.g. 95% confidence interval) use :py:func:"~GPy.core.gp.GP.predict_quantiles".
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
if self.normalizer is not None:
mu, var = self.normalizer.inverse_mean(
mu), self.normalizer.inverse_variance(var)
# now push through likelihood
mean, var = self.likelihood.predictive_values(mu,
var,
full_cov,
Y_metadata=Y_metadata)
return mean, var
def predict_quantiles(self,
X,
quantiles=(2.5, 97.5),
Y_metadata=None,
kern=None):
"""
Get the predictive quantiles around the prediction at X
:param X: The points at which to make a prediction
:type X: np.ndarray (Xnew x self.input_dim)
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:param kern: optional kernel to use for prediction
:type predict_kw: dict
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.output_dim), np.ndarray (Xnew x self.output_dim)]
"""
m, v = self._raw_predict(X, full_cov=False, kern=kern)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(
m), self.normalizer.inverse_variance(v)
return self.likelihood.predictive_quantiles(m,
v,
quantiles,
Y_metadata=Y_metadata)
def predictive_gradients(self, Xnew):
"""
Compute the derivatives of the predicted latent function with respect to X*
Given a set of points at which to predict X* (size [N*,Q]), compute the
derivatives of the mean and variance. Resulting arrays are sized:
dmu_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is not the same as computing the mean and variance of the derivative of the function!
dv_dX* -- [N*, Q], (since all outputs have the same variance)
:param X: The points at which to get the predictive gradients
:type X: np.ndarray (Xnew x self.input_dim)
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q) ]
"""
dmu_dX = np.empty((Xnew.shape[0], Xnew.shape[1], self.output_dim))
for i in range(self.output_dim):
dmu_dX[:, :, i] = self.kern.gradients_X(
self.posterior.woodbury_vector[:, i:i + 1].T, Xnew, self.X)
# gradients wrt the diagonal part k_{xx}
dv_dX = self.kern.gradients_X(np.eye(Xnew.shape[0]), Xnew)
#grads wrt 'Schur' part K_{xf}K_{ff}^{-1}K_{fx}
alpha = -2. * np.dot(self.kern.K(Xnew, self.X),
self.posterior.woodbury_inv)
dv_dX += self.kern.gradients_X(alpha, Xnew, self.X)
return dmu_dX, dv_dX
def predict_jacobian(self, Xnew, kern=None, full_cov=True):
"""
Compute the derivatives of the posterior of the GP.
Given a set of points at which to predict X* (size [N*,Q]), compute the
mean and variance of the derivative. Resulting arrays are sized:
dL_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is the mean and variance of the derivative,
not the derivative of the mean and variance! (See predictive_gradients for that)
dv_dX* -- [N*, Q], (since all outputs have the same variance)
If there is missing data, it is not implemented for now, but
there will be one output variance per output dimension.
:param X: The points at which to get the predictive gradients.
:type X: np.ndarray (Xnew x self.input_dim)
:param kern: The kernel to compute the jacobian for.
:param boolean full_cov: whether to return the full covariance of the jacobian.
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q,(D)) ]
Note: We always return sum in input_dim gradients, as the off-diagonals
in the input_dim are not needed for further calculations.
This is a compromise for increase in speed. Mathematically the jacobian would
have another dimension in Q.
"""
if kern is None:
kern = self.kern
mean_jac = np.empty((Xnew.shape[0], Xnew.shape[1], self.output_dim))
for i in range(self.output_dim):
mean_jac[:, :, i] = kern.gradients_X(
self.posterior.woodbury_vector[:, i:i + 1].T, Xnew,
self._predictive_variable)
dK_dXnew_full = np.empty(
(self._predictive_variable.shape[0], Xnew.shape[0], Xnew.shape[1]))
for i in range(self._predictive_variable.shape[0]):
dK_dXnew_full[i] = kern.gradients_X([[1.]], Xnew,
self._predictive_variable[[i]])
if full_cov:
dK2_dXdX = kern.gradients_XX([[1.]], Xnew)
else:
dK2_dXdX = kern.gradients_XX_diag([[1.]], Xnew)
def compute_cov_inner(wi):
if full_cov:
# full covariance gradients:
var_jac = dK2_dXdX - np.einsum(
'qnm,miq->niq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
else:
var_jac = dK2_dXdX - np.einsum(
'qim,miq->iq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
return var_jac
if self.posterior.woodbury_inv.ndim == 3: # Missing data:
if full_cov:
var_jac = np.empty((Xnew.shape[0], Xnew.shape[0],
Xnew.shape[1], self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, :, d] = compute_cov_inner(
self.posterior.woodbury_inv[:, :, d])
else:
var_jac = np.empty(
(Xnew.shape[0], Xnew.shape[1], self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, d] = compute_cov_inner(
self.posterior.woodbury_inv[:, :, d])
else:
var_jac = compute_cov_inner(self.posterior.woodbury_inv)
return mean_jac, var_jac
def predict_wishard_embedding(self,
Xnew,
kern=None,
mean=True,
covariance=True):
"""
Predict the wishard embedding G of the GP. This is the density of the
input of the GP defined by the probabilistic function mapping f.
G = J_mean.T*J_mean + output_dim*J_cov.
:param array-like Xnew: The points at which to evaluate the magnification.
:param :py:class:`~GPy.kern.Kern` kern: The kernel to use for the magnification.
Supplying only a part of the learning kernel gives insights into the density
of the specific kernel part of the input function. E.g. one can see how dense the
linear part of a kernel is compared to the non-linear part etc.
"""
if kern is None:
kern = self.kern
mu_jac, var_jac = self.predict_jacobian(Xnew, kern, full_cov=False)
mumuT = np.einsum('iqd,ipd->iqp', mu_jac, mu_jac)
Sigma = np.zeros(mumuT.shape)
if var_jac.ndim == 3:
Sigma[(slice(None), ) +
np.diag_indices(Xnew.shape[1], 2)] = var_jac.sum(-1)
else:
Sigma[
(slice(None), ) +
np.diag_indices(Xnew.shape[1], 2)] = self.output_dim * var_jac
G = 0.
if mean:
G += mumuT
if covariance:
G += Sigma
return G
def predict_magnification(self,
Xnew,
kern=None,
mean=True,
covariance=True):
"""
Predict the magnification factor as
sqrt(det(G))
for each point N in Xnew
"""
G = self.predict_wishard_embedding(Xnew, kern, mean, covariance)
from ..util.linalg import jitchol
mag = np.empty(Xnew.shape[0])
for n in range(Xnew.shape[0]):
try:
mag[n] = np.sqrt(
np.exp(2 * np.sum(np.log(np.diag(jitchol(G[n, :, :]))))))
except:
mag[n] = np.sqrt(np.linalg.det(G[n, :, :]))
return mag
def posterior_samples_f(self, X, size=10, full_cov=True):
"""
Samples the posterior GP at the points X.
:param X: The points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:returns: fsim: set of simulations
:rtype: np.ndarray (N x samples)
"""
m, v = self._raw_predict(X, full_cov=full_cov)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(
m), self.normalizer.inverse_variance(v)
v = v.reshape(m.size, -1) if len(v.shape) == 3 else v
if not full_cov:
fsim = np.random.multivariate_normal(m.flatten(),
np.diag(v.flatten()), size).T
else:
fsim = np.random.multivariate_normal(m.flatten(), v, size).T
return fsim
def posterior_samples(self, X, size=10, full_cov=False, Y_metadata=None):
"""
Samples the posterior GP at the points X.
:param X: the points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim.)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:param noise_model: for mixed noise likelihood, the noise model to use in the samples.
:type noise_model: integer.
:returns: Ysim: set of simulations, a Numpy array (N x samples).
"""
fsim = self.posterior_samples_f(X, size, full_cov=full_cov)
Ysim = self.likelihood.samples(fsim, Y_metadata=Y_metadata)
return Ysim
def plot_f(self,
plot_limits=None,
which_data_rows='all',
which_data_ycols='all',
fixed_inputs=[],
levels=20,
samples=0,
fignum=None,
ax=None,
resolution=None,
plot_raw=True,
linecol=None,
fillcol=None,
Y_metadata=None,
data_symbol='kx',
apply_link=False):
"""
Plot the GP's view of the world, where the data is normalized and before applying a likelihood.
This is a call to plot with plot_raw=True.
Data will not be plotted in this, as the GP's view of the world
may live in another space, or units then the data.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
:param apply_link: if there is a link function of the likelihood, plot the link(f*) rather than f*
:type apply_link: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self,
plot_limits,
which_data_rows,
which_data_ycols,
fixed_inputs,
levels,
samples,
fignum,
ax,
resolution,
plot_raw=plot_raw,
Y_metadata=Y_metadata,
data_symbol=data_symbol,
apply_link=apply_link,
**kw)
def plot(self,
plot_limits=None,
which_data_rows='all',
which_data_ycols='all',
fixed_inputs=[],
levels=20,
samples=0,
fignum=None,
ax=None,
resolution=None,
plot_raw=False,
linecol=None,
fillcol=None,
Y_metadata=None,
data_symbol='kx',
predict_kw=None,
plot_training_data=True,
samples_y=0,
apply_link=False):
"""
Plot the posterior of the GP.
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
- In two dimsensions, a contour-plot shows the mean predicted function
- In higher dimensions, use fixed_inputs to plot the GP with some of the inputs fixed.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot, p(f*|y)
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
:param plot_training_data: whether or not to plot the training points
:type plot_training_data: boolean
:param samples_y: the number of a posteriori samples to plot, p(y*|y)
:type samples_y: int
:param apply_link: if there is a link function of the likelihood, plot the link(f*) rather than f*, when plotting posterior samples f
:type apply_link: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self,
plot_limits,
which_data_rows,
which_data_ycols,
fixed_inputs,
levels,
samples,
fignum,
ax,
resolution,
plot_raw=plot_raw,
Y_metadata=Y_metadata,
data_symbol=data_symbol,
predict_kw=predict_kw,
plot_training_data=plot_training_data,
samples_y=samples_y,
apply_link=apply_link,
**kw)
def plot_data(self,
which_data_rows='all',
which_data_ycols='all',
visible_dims=None,
fignum=None,
ax=None,
data_symbol='kx'):
"""
Plot the training data
- For higher dimensions than two, use fixed_inputs to plot the data points with some of the inputs fixed.
Can plot only part of the data
using which_data_rows and which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param visible_dims: an array specifying the input dimensions to plot (maximum two)
:type visible_dims: a numpy array
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot, p(f*|y)
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
return models_plots.plot_data(self, which_data_rows, which_data_ycols,
visible_dims, fignum, ax, data_symbol,
**kw)
def errorbars_trainset(self,
which_data_rows='all',
which_data_ycols='all',
fixed_inputs=[],
fignum=None,
ax=None,
linecol=None,
data_symbol='kx',
predict_kw=None,
plot_training_data=True,
lw=None):
"""
Plot the posterior error bars corresponding to the training data
- For higher dimensions than two, use fixed_inputs to plot the data points with some of the inputs fixed.
Can plot only part of the data
using which_data_rows and which_data_ycols.
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_rows: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param plot_training_data: whether or not to plot the training points
:type plot_training_data: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if lw is not None:
kw['lw'] = lw
return models_plots.errorbars_trainset(self, which_data_rows,
which_data_ycols, fixed_inputs,
fignum, ax, linecol,
data_symbol, predict_kw,
plot_training_data, **kw)
def plot_magnification(self,
labels=None,
which_indices=None,
resolution=50,
ax=None,
marker='o',
s=40,
fignum=None,
legend=True,
plot_limits=None,
aspect='auto',
updates=False,
plot_inducing=True,
kern=None,
**kwargs):
import sys
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import dim_reduction_plots
return dim_reduction_plots.plot_magnification(
self, labels, which_indices, resolution, ax, marker, s, fignum,
plot_inducing, legend, plot_limits, aspect, updates, **kwargs)
def input_sensitivity(self, summarize=True):
"""
Returns the sensitivity for each dimension of this model
"""
return self.kern.input_sensitivity(summarize=summarize)
def optimize(self, optimizer=None, start=None, **kwargs):
"""
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
kwargs are passed to the optimizer. They can be:
:param max_f_eval: maximum number of function evaluations
:type max_f_eval: int
:messages: whether to display during optimisation
:type messages: bool
:param optimizer: which optimizer to use (defaults to self.preferred optimizer), a range of optimisers can be found in :module:`~GPy.inference.optimization`, they include 'scg', 'lbfgs', 'tnc'.
:type optimizer: string
"""
self.inference_method.on_optimization_start()
try:
super(GP, self).optimize(optimizer, start, **kwargs)
except KeyboardInterrupt:
print(
"KeyboardInterrupt caught, calling on_optimization_end() to round things up"
)
self.inference_method.on_optimization_end()
raise
def infer_newX(self, Y_new, optimize=True):
"""
Infer X for the new observed data *Y_new*.
:param Y_new: the new observed data for inference
:type Y_new: numpy.ndarray
:param optimize: whether to optimize the location of new X (True by default)
:type optimize: boolean
:return: a tuple containing the posterior estimation of X and the model that optimize X
:rtype: (:class:`~GPy.core.parameterization.variational.VariationalPosterior` and numpy.ndarray, :class:`~GPy.core.model.Model`)
"""
from ..inference.latent_function_inference.inferenceX import infer_newX
return infer_newX(self, Y_new, optimize=optimize)
def log_predictive_density(self, x_test, y_test, Y_metadata=None):
"""
Calculation of the log predictive density
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density(y_test,
mu_star,
var_star,
Y_metadata=Y_metadata)
def log_predictive_density_sampling(self,
x_test,
y_test,
Y_metadata=None,
num_samples=1000):
"""
Calculation of the log predictive density by sampling
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
:param num_samples: number of samples to use in monte carlo integration
:type num_samples: int
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density_sampling(
y_test,
mu_star,
var_star,
Y_metadata=Y_metadata,
num_samples=num_samples)
class GP(Model):
"""
General purpose Gaussian process model
:param X: input observations
:param Y: output observations
:param kernel: a GPy kernel, defaults to rbf+white
:param likelihood: a GPy likelihood
:param inference_method: The :class:`~GPy.inference.latent_function_inference.LatentFunctionInference` inference method to use for this GP
:rtype: model object
:param Norm normalizer:
normalize the outputs Y.
Prediction will be un-normalized using this normalizer.
If normalizer is None, we will normalize using MeanNorm.
If normalizer is False, no normalization will be done.
.. Note:: Multiple independent outputs are allowed using columns of Y
"""
def __init__(self, X, Y, kernel, likelihood, mean_function=None, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
elif isinstance(Y, np.ndarray):
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
else:
self.Y = Y
if Y.shape[0] != self.num_data:
#There can be cases where we want inputs than outputs, for example if we have multiple latent
#function values
warnings.warn("There are more rows in your input data X, \
than in your output data Y, be VERY sure this is what you want")
_, self.output_dim = self.Y.shape
assert ((Y_metadata is None) or isinstance(Y_metadata, dict))
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
if self.kern._effective_input_dim != self.X.shape[1]:
warnings.warn("Your kernel has a different input dimension {} then the given X dimension {}. Be very sure this is what you want and you have not forgotten to set the right input dimenion in your kernel".format(self.kern._effective_input_dim, self.X.shape[1]))
#handle the mean function
self.mean_function = mean_function
if mean_function is not None:
assert isinstance(self.mean_function, Mapping)
assert mean_function.input_dim == self.input_dim
assert mean_function.output_dim == self.output_dim
self.link_parameter(mean_function)
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print("defaulting to " + str(inference_method) + " for latent function inference")
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.posterior = None
# The predictive variable to be used to predict using the posterior object's
# woodbury_vector and woodbury_inv is defined as predictive_variable
# as long as the posterior has the right woodbury entries.
# It is the input variable used for the covariance between
# X_star and the posterior of the GP.
# This is usually just a link to self.X (full GP) or self.Z (sparse GP).
# Make sure to name this variable and the predict functions will "just work"
# In maths the predictive variable is:
# K_{xx} - K_{xp}W_{pp}^{-1}K_{px}
# W_{pp} := \texttt{Woodbury inv}
# p := _predictive_variable
@property
def _predictive_variable(self):
return self.X
def set_XY(self, X=None, Y=None):
"""
Set the input / output data of the model
This is useful if we wish to change our existing data but maintain the same model
:param X: input observations
:type X: np.ndarray
:param Y: output observations
:type Y: np.ndarray
"""
self.update_model(False)
if Y is not None:
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
if X is not None:
if self.X in self.parameters:
# LVM models
if isinstance(self.X, VariationalPosterior):
assert isinstance(X, type(self.X)), "The given X must have the same type as the X in the model!"
self.unlink_parameter(self.X)
self.X = X
self.link_parameter(self.X)
else:
self.unlink_parameter(self.X)
from ..core import Param
self.X = Param('latent mean',X)
self.link_parameter(self.X)
else:
self.X = ObsAr(X)
self.update_model(True)
def set_X(self,X):
"""
Set the input data of the model
:param X: input observations
:type X: np.ndarray
"""
self.set_XY(X=X)
def set_Y(self,Y):
"""
Set the output data of the model
:param X: output observations
:type X: np.ndarray
"""
self.set_XY(Y=Y)
def parameters_changed(self):
"""
Method that is called upon any changes to :class:`~GPy.core.parameterization.param.Param` variables within the model.
In particular in the GP class this method re-performs inference, recalculating the posterior and log marginal likelihood and gradients of the model
.. warning::
This method is not designed to be called manually, the framework is set up to automatically call this method upon changes to parameters, if you call
this method yourself, there may be unexpected consequences.
"""
self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.likelihood, self.Y_normalized, self.mean_function, self.Y_metadata)
self.likelihood.update_gradients(self.grad_dict['dL_dthetaL'])
self.kern.update_gradients_full(self.grad_dict['dL_dK'], self.X)
if self.mean_function is not None:
self.mean_function.update_gradients(self.grad_dict['dL_dm'], self.X)
def log_likelihood(self):
"""
The log marginal likelihood of the model, :math:`p(\mathbf{y})`, this is the objective function of the model being optimised
"""
return self._log_marginal_likelihood
def _raw_predict(self, Xnew, full_cov=False, kern=None):
"""
For making predictions, does not account for normalization or likelihood
full_cov is a boolean which defines whether the full covariance matrix
of the prediction is computed. If full_cov is False (default), only the
diagonal of the covariance is returned.
.. math::
p(f*|X*, X, Y) = \int^{\inf}_{\inf} p(f*|f,X*)p(f|X,Y) df
= N(f*| K_{x*x}(K_{xx} + \Sigma)^{-1}Y, K_{x*x*} - K_{xx*}(K_{xx} + \Sigma)^{-1}K_{xx*}
\Sigma := \texttt{Likelihood.variance / Approximate likelihood covariance}
"""
mu, var = self.posterior._raw_predict(kern=self.kern if kern is None else kern, Xnew=Xnew, pred_var=self._predictive_variable, full_cov=full_cov)
if self.mean_function is not None:
mu += self.mean_function.f(Xnew)
return mu, var
def predict(self, Xnew, full_cov=False, Y_metadata=None, kern=None, likelihood=None, include_likelihood=True):
"""
Predict the function(s) at the new point(s) Xnew. This includes the likelihood
variance added to the predicted underlying function (usually referred to as f).
In order to predict without adding in the likelihood give
`include_likelihood=False`, or refer to self.predict_noiseless().
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:param bool include_likelihood: Whether or not to add likelihood noise to the predicted underlying latent function f.
:returns: (mean, var):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
Note: If you want the predictive quantiles (e.g. 95% confidence interval) use :py:func:"~GPy.core.gp.GP.predict_quantiles".
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
if self.normalizer is not None:
mu, var = self.normalizer.inverse_mean(mu), self.normalizer.inverse_variance(var)
if include_likelihood:
# now push through likelihood
if likelihood is None:
likelihood = self.likelihood
mu, var = likelihood.predictive_values(mu, var, full_cov, Y_metadata=Y_metadata)
return mu, var
def predict_noiseless(self, Xnew, full_cov=False, Y_metadata=None, kern=None):
"""
Convenience function to predict the underlying function of the GP (often
referred to as f) without adding the likelihood variance on the
prediction function.
This is most likely what you want to use for your predictions.
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
Note: If you want the predictive quantiles (e.g. 95% confidence interval) use :py:func:"~GPy.core.gp.GP.predict_quantiles".
"""
return self.predict(Xnew, full_cov, Y_metadata, kern, None, False)
def predict_quantiles(self, X, quantiles=(2.5, 97.5), Y_metadata=None, kern=None, likelihood=None):
"""
Get the predictive quantiles around the prediction at X
:param X: The points at which to make a prediction
:type X: np.ndarray (Xnew x self.input_dim)
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:param kern: optional kernel to use for prediction
:type predict_kw: dict
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.output_dim), np.ndarray (Xnew x self.output_dim)]
"""
m, v = self._raw_predict(X, full_cov=False, kern=kern)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
if likelihood is None:
likelihood = self.likelihood
return likelihood.predictive_quantiles(m, v, quantiles, Y_metadata=Y_metadata)
def predictive_gradients(self, Xnew, kern=None):
"""
Compute the derivatives of the predicted latent function with respect to X*
Given a set of points at which to predict X* (size [N*,Q]), compute the
derivatives of the mean and variance. Resulting arrays are sized:
dmu_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is not the same as computing the mean and variance of the derivative of the function!
dv_dX* -- [N*, Q], (since all outputs have the same variance)
:param X: The points at which to get the predictive gradients
:type X: np.ndarray (Xnew x self.input_dim)
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q) ]
"""
if kern is None:
kern = self.kern
mean_jac = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for i in range(self.output_dim):
mean_jac[:,:,i] = kern.gradients_X(self.posterior.woodbury_vector[:,i:i+1].T, Xnew, self._predictive_variable)
# gradients wrt the diagonal part k_{xx}
dv_dX = kern.gradients_X(np.eye(Xnew.shape[0]), Xnew)
#grads wrt 'Schur' part K_{xf}K_{ff}^{-1}K_{fx}
alpha = -2.*np.dot(kern.K(Xnew, self._predictive_variable), self.posterior.woodbury_inv)
dv_dX += kern.gradients_X(alpha, Xnew, self._predictive_variable)
return mean_jac, dv_dX
def predict_jacobian(self, Xnew, kern=None, full_cov=True):
"""
Compute the derivatives of the posterior of the GP.
Given a set of points at which to predict X* (size [N*,Q]), compute the
mean and variance of the derivative. Resulting arrays are sized:
dL_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is the mean and variance of the derivative,
not the derivative of the mean and variance! (See predictive_gradients for that)
dv_dX* -- [N*, Q], (since all outputs have the same variance)
If there is missing data, it is not implemented for now, but
there will be one output variance per output dimension.
:param X: The points at which to get the predictive gradients.
:type X: np.ndarray (Xnew x self.input_dim)
:param kern: The kernel to compute the jacobian for.
:param boolean full_cov: whether to return the full covariance of the jacobian.
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q,(D)) ]
Note: We always return sum in input_dim gradients, as the off-diagonals
in the input_dim are not needed for further calculations.
This is a compromise for increase in speed. Mathematically the jacobian would
have another dimension in Q.
"""
if kern is None:
kern = self.kern
mean_jac = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for i in range(self.output_dim):
mean_jac[:,:,i] = kern.gradients_X(self.posterior.woodbury_vector[:,i:i+1].T, Xnew, self._predictive_variable)
dK_dXnew_full = np.empty((self._predictive_variable.shape[0], Xnew.shape[0], Xnew.shape[1]))
one = np.ones((1,1))
for i in range(self._predictive_variable.shape[0]):
dK_dXnew_full[i] = kern.gradients_X(one, Xnew, self._predictive_variable[[i]])
if full_cov:
dK2_dXdX = kern.gradients_XX(one, Xnew)
else:
dK2_dXdX = kern.gradients_XX_diag(one, Xnew)
def compute_cov_inner(wi):
if full_cov:
# full covariance gradients:
var_jac = dK2_dXdX - np.einsum('qnm,miq->niq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
else:
var_jac = dK2_dXdX - np.einsum('qim,miq->iq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
return var_jac
if self.posterior.woodbury_inv.ndim == 3: # Missing data:
if full_cov:
var_jac = np.empty((Xnew.shape[0],Xnew.shape[0],Xnew.shape[1],self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, :, d] = compute_cov_inner(self.posterior.woodbury_inv[:, :, d])
else:
var_jac = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, d] = compute_cov_inner(self.posterior.woodbury_inv[:, :, d])
else:
var_jac = compute_cov_inner(self.posterior.woodbury_inv)
return mean_jac, var_jac
def predict_wishart_embedding(self, Xnew, kern=None, mean=True, covariance=True):
"""
Predict the wishart embedding G of the GP. This is the density of the
input of the GP defined by the probabilistic function mapping f.
G = J_mean.T*J_mean + output_dim*J_cov.
:param array-like Xnew: The points at which to evaluate the magnification.
:param :py:class:`~GPy.kern.Kern` kern: The kernel to use for the magnification.
Supplying only a part of the learning kernel gives insights into the density
of the specific kernel part of the input function. E.g. one can see how dense the
linear part of a kernel is compared to the non-linear part etc.
"""
if kern is None:
kern = self.kern
mu_jac, var_jac = self.predict_jacobian(Xnew, kern, full_cov=False)
mumuT = np.einsum('iqd,ipd->iqp', mu_jac, mu_jac)
Sigma = np.zeros(mumuT.shape)
if var_jac.ndim == 3:
Sigma[(slice(None), )+np.diag_indices(Xnew.shape[1], 2)] = var_jac.sum(-1)
else:
Sigma[(slice(None), )+np.diag_indices(Xnew.shape[1], 2)] = self.output_dim*var_jac
G = 0.
if mean:
G += mumuT
if covariance:
G += Sigma
return G
def predict_wishard_embedding(self, Xnew, kern=None, mean=True, covariance=True):
warnings.warn("Wrong naming, use predict_wishart_embedding instead. Will be removed in future versions!", DeprecationWarning)
return self.predict_wishart_embedding(Xnew, kern, mean, covariance)
def predict_magnification(self, Xnew, kern=None, mean=True, covariance=True, dimensions=None):
"""
Predict the magnification factor as
sqrt(det(G))
for each point N in Xnew.
:param bool mean: whether to include the mean of the wishart embedding.
:param bool covariance: whether to include the covariance of the wishart embedding.
:param array-like dimensions: which dimensions of the input space to use [defaults to self.get_most_significant_input_dimensions()[:2]]
"""
G = self.predict_wishard_embedding(Xnew, kern, mean, covariance)
if dimensions is None:
dimensions = self.get_most_significant_input_dimensions()[:2]
G = G[:, dimensions][:,:,dimensions]
from ..util.linalg import jitchol
mag = np.empty(Xnew.shape[0])
for n in range(Xnew.shape[0]):
try:
mag[n] = np.sqrt(np.exp(2*np.sum(np.log(np.diag(jitchol(G[n, :, :]))))))
except:
mag[n] = np.sqrt(np.linalg.det(G[n, :, :]))
return mag
def posterior_samples_f(self,X, size=10, full_cov=True, **predict_kwargs):
"""
Samples the posterior GP at the points X.
:param X: The points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:returns: fsim: set of simulations
:rtype: np.ndarray (D x N x samples) (if D==1 we flatten out the first dimension)
"""
m, v = self._raw_predict(X, full_cov=full_cov, **predict_kwargs)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
def sim_one_dim(m, v):
if not full_cov:
return np.random.multivariate_normal(m.flatten(), np.diag(v.flatten()), size).T
else:
return np.random.multivariate_normal(m.flatten(), v, size).T
if self.output_dim == 1:
return sim_one_dim(m, v)
else:
fsim = np.empty((self.output_dim, self.num_data, size))
for d in range(self.output_dim):
if full_cov and v.ndim == 3:
fsim[d] = sim_one_dim(m[:, d], v[:, :, d])
elif (not full_cov) and v.ndim == 2:
fsim[d] = sim_one_dim(m[:, d], v[:, d])
else:
fsim[d] = sim_one_dim(m[:, d], v)
return fsim
def posterior_samples(self, X, size=10, full_cov=False, Y_metadata=None, likelihood=None, **predict_kwargs):
"""
Samples the posterior GP at the points X.
:param X: the points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim.)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:param noise_model: for mixed noise likelihood, the noise model to use in the samples.
:type noise_model: integer.
:returns: Ysim: set of simulations,
:rtype: np.ndarray (D x N x samples) (if D==1 we flatten out the first dimension)
"""
fsim = self.posterior_samples_f(X, size, full_cov=full_cov, **predict_kwargs)
if likelihood is None:
likelihood = self.likelihood
if fsim.ndim == 3:
for d in range(fsim.shape[0]):
fsim[d] = likelihood.samples(fsim[d], Y_metadata=Y_metadata)
else:
fsim = likelihood.samples(fsim, Y_metadata=Y_metadata)
return fsim
def input_sensitivity(self, summarize=True):
"""
Returns the sensitivity for each dimension of this model
"""
return self.kern.input_sensitivity(summarize=summarize)
def get_most_significant_input_dimensions(self, which_indices=None):
return self.kern.get_most_significant_input_dimensions(which_indices)
def optimize(self, optimizer=None, start=None, messages=False, max_iters=1000, ipython_notebook=True, clear_after_finish=False, **kwargs):
"""
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
kwargs are passed to the optimizer. They can be:
:param max_iters: maximum number of function evaluations
:type max_iters: int
:messages: whether to display during optimisation
:type messages: bool
:param optimizer: which optimizer to use (defaults to self.preferred optimizer), a range of optimisers can be found in :module:`~GPy.inference.optimization`, they include 'scg', 'lbfgs', 'tnc'.
:type optimizer: string
:param bool ipython_notebook: whether to use ipython notebook widgets or not.
:param bool clear_after_finish: if in ipython notebook, we can clear the widgets after optimization.
"""
self.inference_method.on_optimization_start()
try:
super(GP, self).optimize(optimizer, start, messages, max_iters, ipython_notebook, clear_after_finish, **kwargs)
except KeyboardInterrupt:
print("KeyboardInterrupt caught, calling on_optimization_end() to round things up")
self.inference_method.on_optimization_end()
raise
def infer_newX(self, Y_new, optimize=True):
"""
Infer X for the new observed data *Y_new*.
:param Y_new: the new observed data for inference
:type Y_new: numpy.ndarray
:param optimize: whether to optimize the location of new X (True by default)
:type optimize: boolean
:return: a tuple containing the posterior estimation of X and the model that optimize X
:rtype: (:class:`~GPy.core.parameterization.variational.VariationalPosterior` and numpy.ndarray, :class:`~GPy.core.model.Model`)
"""
from ..inference.latent_function_inference.inferenceX import infer_newX
return infer_newX(self, Y_new, optimize=optimize)
def log_predictive_density(self, x_test, y_test, Y_metadata=None):
"""
Calculation of the log predictive density
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density(y_test, mu_star, var_star, Y_metadata=Y_metadata)
def log_predictive_density_sampling(self, x_test, y_test, Y_metadata=None, num_samples=1000):
"""
Calculation of the log predictive density by sampling
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
:param num_samples: number of samples to use in monte carlo integration
:type num_samples: int
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density_sampling(y_test, mu_star, var_star, Y_metadata=Y_metadata, num_samples=num_samples)
def __init__(self, X, Y, kernel, likelihood, mean_function=None, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
elif isinstance(Y, np.ndarray):
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
else:
self.Y = Y
if Y.shape[0] != self.num_data:
#There can be cases where we want inputs than outputs, for example if we have multiple latent
#function values
warnings.warn("There are more rows in your input data X, \
than in your output data Y, be VERY sure this is what you want")
_, self.output_dim = self.Y.shape
assert ((Y_metadata is None) or isinstance(Y_metadata, dict))
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#handle the mean function
self.mean_function = mean_function
if mean_function is not None:
assert isinstance(self.mean_function, Mapping)
assert mean_function.input_dim == self.input_dim
assert mean_function.output_dim == self.output_dim
self.link_parameter(mean_function)
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print("defaulting to ", inference_method, "for latent function inference")
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.posterior = None
class GP(Model):
"""
General purpose Gaussian process model
:param X: input observations
:param Y: output observations
:param kernel: a GPy kernel, defaults to rbf+white
:param likelihood: a GPy likelihood
:param inference_method: The :class:`~GPy.inference.latent_function_inference.LatentFunctionInference` inference method to use for this GP
:rtype: model object
:param Norm normalizer:
normalize the outputs Y.
Prediction will be un-normalized using this normalizer.
If normalizer is None, we will normalize using MeanNorm.
If normalizer is False, no normalization will be done.
.. Note:: Multiple independent outputs are allowed using columns of Y
"""
def __init__(self, X, Y, kernel, likelihood, mean_function=None, inference_method=None, name='gp', Y_metadata=None, normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else: self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
elif isinstance(Y, np.ndarray):
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
else:
self.Y = Y
if Y.shape[0] != self.num_data:
#There can be cases where we want inputs than outputs, for example if we have multiple latent
#function values
warnings.warn("There are more rows in your input data X, \
than in your output data Y, be VERY sure this is what you want")
_, self.output_dim = self.Y.shape
assert ((Y_metadata is None) or isinstance(Y_metadata, dict))
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#handle the mean function
self.mean_function = mean_function
if mean_function is not None:
assert isinstance(self.mean_function, Mapping)
assert mean_function.input_dim == self.input_dim
assert mean_function.output_dim == self.output_dim
self.link_parameter(mean_function)
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference()
else:
inference_method = expectation_propagation.EP()
print("defaulting to ", inference_method, "for latent function inference")
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.posterior = None
# The predictive variable to be used to predict using the posterior object's
# woodbury_vector and woodbury_inv is defined as predictive_variable
# as long as the posterior has the right woodbury entries.
# It is the input variable used for the covariance between
# X_star and the posterior of the GP.
# This is usually just a link to self.X (full GP) or self.Z (sparse GP).
# Make sure to name this variable and the predict functions will "just work"
# In maths the predictive variable is:
# K_{xx} - K_{xp}W_{pp}^{-1}K_{px}
# W_{pp} := \texttt{Woodbury inv}
# p := _predictive_variable
@property
def _predictive_variable(self):
return self.X
def set_XY(self, X=None, Y=None):
"""
Set the input / output data of the model
This is useful if we wish to change our existing data but maintain the same model
:param X: input observations
:type X: np.ndarray
:param Y: output observations
:type Y: np.ndarray
"""
self.update_model(False)
if Y is not None:
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
if X is not None:
if self.X in self.parameters:
# LVM models
if isinstance(self.X, VariationalPosterior):
assert isinstance(X, type(self.X)), "The given X must have the same type as the X in the model!"
self.unlink_parameter(self.X)
self.X = X
self.link_parameter(self.X)
else:
self.unlink_parameter(self.X)
from ..core import Param
self.X = Param('latent mean',X)
self.link_parameter(self.X)
else:
self.X = ObsAr(X)
self.update_model(True)
def set_X(self,X):
"""
Set the input data of the model
:param X: input observations
:type X: np.ndarray
"""
self.set_XY(X=X)
def set_Y(self,Y):
"""
Set the output data of the model
:param X: output observations
:type X: np.ndarray
"""
self.set_XY(Y=Y)
def parameters_changed(self):
"""
Method that is called upon any changes to :class:`~GPy.core.parameterization.param.Param` variables within the model.
In particular in the GP class this method reperforms inference, recalculating the posterior and log marginal likelihood and gradients of the model
.. warning::
This method is not designed to be called manually, the framework is set up to automatically call this method upon changes to parameters, if you call
this method yourself, there may be unexpected consequences.
"""
self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.likelihood, self.Y_normalized, self.mean_function, self.Y_metadata)
self.likelihood.update_gradients(self.grad_dict['dL_dthetaL'])
self.kern.update_gradients_full(self.grad_dict['dL_dK'], self.X)
if self.mean_function is not None:
self.mean_function.update_gradients(self.grad_dict['dL_dm'], self.X)
def log_likelihood(self):
"""
The log marginal likelihood of the model, :math:`p(\mathbf{y})`, this is the objective function of the model being optimised
"""
return self._log_marginal_likelihood
def _raw_predict(self, Xnew, full_cov=False, kern=None):
"""
For making predictions, does not account for normalization or likelihood
full_cov is a boolean which defines whether the full covariance matrix
of the prediction is computed. If full_cov is False (default), only the
diagonal of the covariance is returned.
.. math::
p(f*|X*, X, Y) = \int^{\inf}_{\inf} p(f*|f,X*)p(f|X,Y) df
= N(f*| K_{x*x}(K_{xx} + \Sigma)^{-1}Y, K_{x*x*} - K_{xx*}(K_{xx} + \Sigma)^{-1}K_{xx*}
\Sigma := \texttt{Likelihood.variance / Approximate likelihood covariance}
"""
if kern is None:
kern = self.kern
Kx = kern.K(self._predictive_variable, Xnew)
mu = np.dot(Kx.T, self.posterior.woodbury_vector)
if len(mu.shape)==1:
mu = mu.reshape(-1,1)
if full_cov:
Kxx = kern.K(Xnew)
if self.posterior.woodbury_inv.ndim == 2:
var = Kxx - np.dot(Kx.T, np.dot(self.posterior.woodbury_inv, Kx))
elif self.posterior.woodbury_inv.ndim == 3: # Missing data
var = np.empty((Kxx.shape[0],Kxx.shape[1],self.posterior.woodbury_inv.shape[2]))
from ..util.linalg import mdot
for i in range(var.shape[2]):
var[:, :, i] = (Kxx - mdot(Kx.T, self.posterior.woodbury_inv[:, :, i], Kx))
var = var
else:
Kxx = kern.Kdiag(Xnew)
if self.posterior.woodbury_inv.ndim == 2:
var = (Kxx - np.sum(np.dot(self.posterior.woodbury_inv.T, Kx) * Kx, 0))[:,None]
elif self.posterior.woodbury_inv.ndim == 3: # Missing data
var = np.empty((Kxx.shape[0],self.posterior.woodbury_inv.shape[2]))
for i in range(var.shape[1]):
var[:, i] = (Kxx - (np.sum(np.dot(self.posterior.woodbury_inv[:, :, i].T, Kx) * Kx, 0)))
var = var
#add in the mean function
if self.mean_function is not None:
mu += self.mean_function.f(Xnew)
return mu, var
def predict(self, Xnew, full_cov=False, Y_metadata=None, kern=None):
"""
Predict the function(s) at the new point(s) Xnew.
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
Note: If you want the predictive quantiles (e.g. 95% confidence interval) use :py:func:"~GPy.core.gp.GP.predict_quantiles".
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
if self.normalizer is not None:
mu, var = self.normalizer.inverse_mean(mu), self.normalizer.inverse_variance(var)
# now push through likelihood
mean, var = self.likelihood.predictive_values(mu, var, full_cov, Y_metadata=Y_metadata)
return mean, var
def predict_quantiles(self, X, quantiles=(2.5, 97.5), Y_metadata=None, kern=None):
"""
Get the predictive quantiles around the prediction at X
:param X: The points at which to make a prediction
:type X: np.ndarray (Xnew x self.input_dim)
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:param kern: optional kernel to use for prediction
:type predict_kw: dict
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.output_dim), np.ndarray (Xnew x self.output_dim)]
"""
m, v = self._raw_predict(X, full_cov=False, kern=kern)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
return self.likelihood.predictive_quantiles(m, v, quantiles, Y_metadata=Y_metadata)
def predictive_gradients(self, Xnew):
"""
Compute the derivatives of the predicted latent function with respect to X*
Given a set of points at which to predict X* (size [N*,Q]), compute the
derivatives of the mean and variance. Resulting arrays are sized:
dmu_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is not the same as computing the mean and variance of the derivative of the function!
dv_dX* -- [N*, Q], (since all outputs have the same variance)
:param X: The points at which to get the predictive gradients
:type X: np.ndarray (Xnew x self.input_dim)
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q) ]
"""
dmu_dX = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for i in range(self.output_dim):
dmu_dX[:,:,i] = self.kern.gradients_X(self.posterior.woodbury_vector[:,i:i+1].T, Xnew, self.X)
# gradients wrt the diagonal part k_{xx}
dv_dX = self.kern.gradients_X(np.eye(Xnew.shape[0]), Xnew)
#grads wrt 'Schur' part K_{xf}K_{ff}^{-1}K_{fx}
alpha = -2.*np.dot(self.kern.K(Xnew, self.X),self.posterior.woodbury_inv)
dv_dX += self.kern.gradients_X(alpha, Xnew, self.X)
return dmu_dX, dv_dX
def predict_jacobian(self, Xnew, kern=None, full_cov=True):
"""
Compute the derivatives of the posterior of the GP.
Given a set of points at which to predict X* (size [N*,Q]), compute the
mean and variance of the derivative. Resulting arrays are sized:
dL_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
Note that this is the mean and variance of the derivative,
not the derivative of the mean and variance! (See predictive_gradients for that)
dv_dX* -- [N*, Q], (since all outputs have the same variance)
If there is missing data, it is not implemented for now, but
there will be one output variance per output dimension.
:param X: The points at which to get the predictive gradients.
:type X: np.ndarray (Xnew x self.input_dim)
:param kern: The kernel to compute the jacobian for.
:param boolean full_cov: whether to return the full covariance of the jacobian.
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q,(D)) ]
Note: We always return sum in input_dim gradients, as the off-diagonals
in the input_dim are not needed for further calculations.
This is a compromise for increase in speed. Mathematically the jacobian would
have another dimension in Q.
"""
if kern is None:
kern = self.kern
mean_jac = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for i in range(self.output_dim):
mean_jac[:,:,i] = kern.gradients_X(self.posterior.woodbury_vector[:,i:i+1].T, Xnew, self._predictive_variable)
dK_dXnew_full = np.empty((self._predictive_variable.shape[0], Xnew.shape[0], Xnew.shape[1]))
for i in range(self._predictive_variable.shape[0]):
dK_dXnew_full[i] = kern.gradients_X([[1.]], Xnew, self._predictive_variable[[i]])
if full_cov:
dK2_dXdX = kern.gradients_XX([[1.]], Xnew)
else:
dK2_dXdX = kern.gradients_XX_diag([[1.]], Xnew)
def compute_cov_inner(wi):
if full_cov:
# full covariance gradients:
var_jac = dK2_dXdX - np.einsum('qnm,miq->niq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
else:
var_jac = dK2_dXdX - np.einsum('qim,miq->iq', dK_dXnew_full.T.dot(wi), dK_dXnew_full)
return var_jac
if self.posterior.woodbury_inv.ndim == 3: # Missing data:
if full_cov:
var_jac = np.empty((Xnew.shape[0],Xnew.shape[0],Xnew.shape[1],self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, :, d] = compute_cov_inner(self.posterior.woodbury_inv[:, :, d])
else:
var_jac = np.empty((Xnew.shape[0],Xnew.shape[1],self.output_dim))
for d in range(self.posterior.woodbury_inv.shape[2]):
var_jac[:, :, d] = compute_cov_inner(self.posterior.woodbury_inv[:, :, d])
else:
var_jac = compute_cov_inner(self.posterior.woodbury_inv)
return mean_jac, var_jac
def predict_wishard_embedding(self, Xnew, kern=None, mean=True, covariance=True):
"""
Predict the wishard embedding G of the GP. This is the density of the
input of the GP defined by the probabilistic function mapping f.
G = J_mean.T*J_mean + output_dim*J_cov.
:param array-like Xnew: The points at which to evaluate the magnification.
:param :py:class:`~GPy.kern.Kern` kern: The kernel to use for the magnification.
Supplying only a part of the learning kernel gives insights into the density
of the specific kernel part of the input function. E.g. one can see how dense the
linear part of a kernel is compared to the non-linear part etc.
"""
if kern is None:
kern = self.kern
mu_jac, var_jac = self.predict_jacobian(Xnew, kern, full_cov=False)
mumuT = np.einsum('iqd,ipd->iqp', mu_jac, mu_jac)
Sigma = np.zeros(mumuT.shape)
if var_jac.ndim == 3:
Sigma[(slice(None), )+np.diag_indices(Xnew.shape[1], 2)] = var_jac.sum(-1)
else:
Sigma[(slice(None), )+np.diag_indices(Xnew.shape[1], 2)] = self.output_dim*var_jac
G = 0.
if mean:
G += mumuT
if covariance:
G += Sigma
return G
def predict_magnification(self, Xnew, kern=None, mean=True, covariance=True):
"""
Predict the magnification factor as
sqrt(det(G))
for each point N in Xnew
"""
G = self.predict_wishard_embedding(Xnew, kern, mean, covariance)
from ..util.linalg import jitchol
mag = np.empty(Xnew.shape[0])
for n in range(Xnew.shape[0]):
try:
mag[n] = np.sqrt(np.exp(2*np.sum(np.log(np.diag(jitchol(G[n, :, :]))))))
except:
mag[n] = np.sqrt(np.linalg.det(G[n, :, :]))
return mag
def posterior_samples_f(self,X,size=10, full_cov=True):
"""
Samples the posterior GP at the points X.
:param X: The points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:returns: fsim: set of simulations
:rtype: np.ndarray (N x samples)
"""
m, v = self._raw_predict(X, full_cov=full_cov)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(m), self.normalizer.inverse_variance(v)
v = v.reshape(m.size,-1) if len(v.shape)==3 else v
if not full_cov:
fsim = np.random.multivariate_normal(m.flatten(), np.diag(v.flatten()), size).T
else:
fsim = np.random.multivariate_normal(m.flatten(), v, size).T
return fsim
def posterior_samples(self, X, size=10, full_cov=False, Y_metadata=None):
"""
Samples the posterior GP at the points X.
:param X: the points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim.)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:param noise_model: for mixed noise likelihood, the noise model to use in the samples.
:type noise_model: integer.
:returns: Ysim: set of simulations, a Numpy array (N x samples).
"""
fsim = self.posterior_samples_f(X, size, full_cov=full_cov)
Ysim = self.likelihood.samples(fsim, Y_metadata=Y_metadata)
return Ysim
def plot_f(self, plot_limits=None, which_data_rows='all',
which_data_ycols='all', fixed_inputs=[],
levels=20, samples=0, fignum=None, ax=None, resolution=None,
plot_raw=True,
linecol=None,fillcol=None, Y_metadata=None, data_symbol='kx',
apply_link=False):
"""
Plot the GP's view of the world, where the data is normalized and before applying a likelihood.
This is a call to plot with plot_raw=True.
Data will not be plotted in this, as the GP's view of the world
may live in another space, or units then the data.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
:param apply_link: if there is a link function of the likelihood, plot the link(f*) rather than f*
:type apply_link: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self, plot_limits, which_data_rows,
which_data_ycols, fixed_inputs,
levels, samples, fignum, ax, resolution,
plot_raw=plot_raw, Y_metadata=Y_metadata,
data_symbol=data_symbol, apply_link=apply_link, **kw)
def plot(self, plot_limits=None, which_data_rows='all',
which_data_ycols='all', fixed_inputs=[],
levels=20, samples=0, fignum=None, ax=None, resolution=None,
plot_raw=False, linecol=None,fillcol=None, Y_metadata=None,
data_symbol='kx', predict_kw=None, plot_training_data=True, samples_y=0, apply_link=False):
"""
Plot the posterior of the GP.
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
- In two dimsensions, a contour-plot shows the mean predicted function
- In higher dimensions, use fixed_inputs to plot the GP with some of the inputs fixed.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot, p(f*|y)
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
:param plot_training_data: whether or not to plot the training points
:type plot_training_data: boolean
:param samples_y: the number of a posteriori samples to plot, p(y*|y)
:type samples_y: int
:param apply_link: if there is a link function of the likelihood, plot the link(f*) rather than f*, when plotting posterior samples f
:type apply_link: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self, plot_limits, which_data_rows,
which_data_ycols, fixed_inputs,
levels, samples, fignum, ax, resolution,
plot_raw=plot_raw, Y_metadata=Y_metadata,
data_symbol=data_symbol, predict_kw=predict_kw,
plot_training_data=plot_training_data, samples_y=samples_y, apply_link=apply_link, **kw)
def plot_data(self, which_data_rows='all',
which_data_ycols='all', visible_dims=None,
fignum=None, ax=None, data_symbol='kx'):
"""
Plot the training data
- For higher dimensions than two, use fixed_inputs to plot the data points with some of the inputs fixed.
Can plot only part of the data
using which_data_rows and which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param visible_dims: an array specifying the input dimensions to plot (maximum two)
:type visible_dims: a numpy array
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot, p(f*|y)
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
return models_plots.plot_data(self, which_data_rows,
which_data_ycols, visible_dims,
fignum, ax, data_symbol, **kw)
def errorbars_trainset(self, which_data_rows='all',
which_data_ycols='all', fixed_inputs=[], fignum=None, ax=None,
linecol=None, data_symbol='kx', predict_kw=None, plot_training_data=True,lw=None):
"""
Plot the posterior error bars corresponding to the training data
- For higher dimensions than two, use fixed_inputs to plot the data points with some of the inputs fixed.
Can plot only part of the data
using which_data_rows and which_data_ycols.
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_rows: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param plot_training_data: whether or not to plot the training points
:type plot_training_data: boolean
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if lw is not None:
kw['lw'] = lw
return models_plots.errorbars_trainset(self, which_data_rows, which_data_ycols, fixed_inputs,
fignum, ax, linecol, data_symbol,
predict_kw, plot_training_data, **kw)
def plot_magnification(self, labels=None, which_indices=None,
resolution=50, ax=None, marker='o', s=40,
fignum=None, legend=True,
plot_limits=None,
aspect='auto', updates=False, plot_inducing=True, kern=None, **kwargs):
import sys
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import dim_reduction_plots
return dim_reduction_plots.plot_magnification(self, labels, which_indices,
resolution, ax, marker, s,
fignum, plot_inducing, legend,
plot_limits, aspect, updates, **kwargs)
def input_sensitivity(self, summarize=True):
"""
Returns the sensitivity for each dimension of this model
"""
return self.kern.input_sensitivity(summarize=summarize)
def optimize(self, optimizer=None, start=None, **kwargs):
"""
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
kwargs are passed to the optimizer. They can be:
:param max_f_eval: maximum number of function evaluations
:type max_f_eval: int
:messages: whether to display during optimisation
:type messages: bool
:param optimizer: which optimizer to use (defaults to self.preferred optimizer), a range of optimisers can be found in :module:`~GPy.inference.optimization`, they include 'scg', 'lbfgs', 'tnc'.
:type optimizer: string
"""
self.inference_method.on_optimization_start()
try:
super(GP, self).optimize(optimizer, start, **kwargs)
except KeyboardInterrupt:
print("KeyboardInterrupt caught, calling on_optimization_end() to round things up")
self.inference_method.on_optimization_end()
raise
def infer_newX(self, Y_new, optimize=True):
"""
Infer X for the new observed data *Y_new*.
:param Y_new: the new observed data for inference
:type Y_new: numpy.ndarray
:param optimize: whether to optimize the location of new X (True by default)
:type optimize: boolean
:return: a tuple containing the posterior estimation of X and the model that optimize X
:rtype: (:class:`~GPy.core.parameterization.variational.VariationalPosterior` and numpy.ndarray, :class:`~GPy.core.model.Model`)
"""
from ..inference.latent_function_inference.inferenceX import infer_newX
return infer_newX(self, Y_new, optimize=optimize)
def log_predictive_density(self, x_test, y_test, Y_metadata=None):
"""
Calculation of the log predictive density
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density(y_test, mu_star, var_star, Y_metadata=Y_metadata)
def log_predictive_density_sampling(self, x_test, y_test, Y_metadata=None, num_samples=1000):
"""
Calculation of the log predictive density by sampling
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test locations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
:param Y_metadata: metadata associated with the test points
:param num_samples: number of samples to use in monte carlo integration
:type num_samples: int
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density_sampling(y_test, mu_star, var_star, Y_metadata=Y_metadata, num_samples=num_samples)
class GP(Model):
"""
General purpose Gaussian process model
:param X: input observations
:param Y: output observations
:param kernel: a GPy kernel, defaults to rbf+white
:param likelihood: a GPy likelihood
:param inference_method: The :class:`~GPy.inference.latent_function_inference.LatentFunctionInference` inference method to use for this GP
:rtype: model object
:param Norm normalizer:
normalize the outputs Y.
Prediction will be un-normalized using this normalizer.
If normalizer is None, we will normalize using MeanNorm.
If normalizer is False, no normalization will be done.
.. Note:: Multiple independent outputs are allowed using columns of Y
"""
def __init__(self,
X,
Y,
kernel,
likelihood,
inference_method=None,
name='gp',
Y_metadata=None,
normalizer=False):
super(GP, self).__init__(name)
assert X.ndim == 2
if isinstance(X, (ObsAr, VariationalPosterior)):
self.X = X.copy()
else:
self.X = ObsAr(X)
self.num_data, self.input_dim = self.X.shape
assert Y.ndim == 2
logger.info("initializing Y")
if normalizer is True:
self.normalizer = MeanNorm()
elif normalizer is False:
self.normalizer = None
else:
self.normalizer = normalizer
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
assert Y.shape[0] == self.num_data
_, self.output_dim = self.Y.shape
#TODO: check the type of this is okay?
self.Y_metadata = Y_metadata
assert isinstance(kernel, kern.Kern)
#assert self.input_dim == kernel.input_dim
self.kern = kernel
assert isinstance(likelihood, likelihoods.Likelihood)
self.likelihood = likelihood
#find a sensible inference method
logger.info("initializing inference method")
if inference_method is None:
if isinstance(likelihood, likelihoods.Gaussian) or isinstance(
likelihood, likelihoods.MixedNoise):
inference_method = exact_gaussian_inference.ExactGaussianInference(
)
else:
inference_method = expectation_propagation.EP()
print "defaulting to ", inference_method, "for latent function inference"
self.inference_method = inference_method
logger.info("adding kernel and likelihood as parameters")
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
def set_XY(self, X=None, Y=None):
"""
Set the input / output data of the model
This is useful if we wish to change our existing data but maintain the same model
:param X: input observations
:type X: np.ndarray
:param Y: output observations
:type Y: np.ndarray
"""
self.update_model(False)
if Y is not None:
if self.normalizer is not None:
self.normalizer.scale_by(Y)
self.Y_normalized = ObsAr(self.normalizer.normalize(Y))
self.Y = Y
else:
self.Y = ObsAr(Y)
self.Y_normalized = self.Y
if X is not None:
if self.X in self.parameters:
# LVM models
if isinstance(self.X, VariationalPosterior):
assert isinstance(
X, type(self.X)
), "The given X must have the same type as the X in the model!"
self.unlink_parameter(self.X)
self.X = X
self.link_parameters(self.X)
else:
self.unlink_parameter(self.X)
from ..core import Param
self.X = Param('latent mean', X)
self.link_parameters(self.X)
else:
self.X = ObsAr(X)
self.update_model(True)
def set_X(self, X):
"""
Set the input data of the model
:param X: input observations
:type X: np.ndarray
"""
self.set_XY(X=X)
def set_Y(self, Y):
"""
Set the output data of the model
:param X: output observations
:type X: np.ndarray
"""
self.set_XY(Y=Y)
def parameters_changed(self):
"""
Method that is called upon any changes to :class:`~GPy.core.parameterization.param.Param` variables within the model.
In particular in the GP class this method reperforms inference, recalculating the posterior and log marginal likelihood and gradients of the model
.. warning::
This method is not designed to be called manually, the framework is set up to automatically call this method upon changes to parameters, if you call
this method yourself, there may be unexpected consequences.
"""
self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(
self.kern, self.X, self.likelihood, self.Y_normalized,
self.Y_metadata)
self.likelihood.update_gradients(self.grad_dict['dL_dthetaL'])
self.kern.update_gradients_full(self.grad_dict['dL_dK'], self.X)
def log_likelihood(self):
"""
The log marginal likelihood of the model, :math:`p(\mathbf{y})`, this is the objective function of the model being optimised
"""
return self._log_marginal_likelihood
def _raw_predict(self, _Xnew, full_cov=False, kern=None):
"""
For making predictions, does not account for normalization or likelihood
full_cov is a boolean which defines whether the full covariance matrix
of the prediction is computed. If full_cov is False (default), only the
diagonal of the covariance is returned.
.. math::
p(f*|X*, X, Y) = \int^{\inf}_{\inf} p(f*|f,X*)p(f|X,Y) df
= N(f*| K_{x*x}(K_{xx} + \Sigma)^{-1}Y, K_{x*x*} - K_{xx*}(K_{xx} + \Sigma)^{-1}K_{xx*}
\Sigma := \texttt{Likelihood.variance / Approximate likelihood covariance}
"""
if kern is None:
kern = self.kern
Kx = kern.K(_Xnew, self.X).T
WiKx = np.dot(self.posterior.woodbury_inv, Kx)
mu = np.dot(Kx.T, self.posterior.woodbury_vector)
if full_cov:
Kxx = kern.K(_Xnew)
var = Kxx - np.dot(Kx.T, WiKx)
else:
Kxx = kern.Kdiag(_Xnew)
var = Kxx - np.sum(WiKx * Kx, 0)
var = var.reshape(-1, 1)
#force mu to be a column vector
if len(mu.shape) == 1: mu = mu[:, None]
return mu, var
def predict(self, Xnew, full_cov=False, Y_metadata=None, kern=None):
"""
Predict the function(s) at the new point(s) Xnew.
:param Xnew: The points at which to make a prediction
:type Xnew: np.ndarray (Nnew x self.input_dim)
:param full_cov: whether to return the full covariance matrix, or just
the diagonal
:type full_cov: bool
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var, lower_upper):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
lower_upper: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
if self.normalizer is not None:
mu, var = self.normalizer.inverse_mean(
mu), self.normalizer.inverse_variance(var)
# now push through likelihood
mean, var = self.likelihood.predictive_values(mu, var, full_cov,
Y_metadata)
return mean, var
def predict_quantiles(self, X, quantiles=(2.5, 97.5), Y_metadata=None):
"""
Get the predictive quantiles around the prediction at X
:param X: The points at which to make a prediction
:type X: np.ndarray (Xnew x self.input_dim)
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.input_dim), np.ndarray (Xnew x self.input_dim)]
"""
m, v = self._raw_predict(X, full_cov=False)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(
m), self.normalizer.inverse_variance(v)
return self.likelihood.predictive_quantiles(m, v, quantiles,
Y_metadata)
def predictive_gradients(self, Xnew):
"""
Compute the derivatives of the latent function with respect to X*
Given a set of points at which to predict X* (size [N*,Q]), compute the
derivatives of the mean and variance. Resulting arrays are sized:
dmu_dX* -- [N*, Q ,D], where D is the number of output in this GP (usually one).
dv_dX* -- [N*, Q], (since all outputs have the same variance)
:param X: The points at which to get the predictive gradients
:type X: np.ndarray (Xnew x self.input_dim)
:returns: dmu_dX, dv_dX
:rtype: [np.ndarray (N*, Q ,D), np.ndarray (N*,Q) ]
"""
dmu_dX = np.empty((Xnew.shape[0], Xnew.shape[1], self.output_dim))
for i in range(self.output_dim):
dmu_dX[:, :, i] = self.kern.gradients_X(
self.posterior.woodbury_vector[:, i:i + 1].T, Xnew, self.X)
# gradients wrt the diagonal part k_{xx}
dv_dX = self.kern.gradients_X(np.eye(Xnew.shape[0]), Xnew)
#grads wrt 'Schur' part K_{xf}K_{ff}^{-1}K_{fx}
alpha = -2. * np.dot(self.kern.K(Xnew, self.X),
self.posterior.woodbury_inv)
dv_dX += self.kern.gradients_X(alpha, Xnew, self.X)
return dmu_dX, dv_dX
def posterior_samples_f(self, X, size=10, full_cov=True):
"""
Samples the posterior GP at the points X.
:param X: The points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:returns: Ysim: set of simulations
:rtype: np.ndarray (N x samples)
"""
m, v = self._raw_predict(X, full_cov=full_cov)
if self.normalizer is not None:
m, v = self.normalizer.inverse_mean(
m), self.normalizer.inverse_variance(v)
v = v.reshape(m.size, -1) if len(v.shape) == 3 else v
if not full_cov:
Ysim = np.random.multivariate_normal(m.flatten(),
np.diag(v.flatten()), size).T
else:
Ysim = np.random.multivariate_normal(m.flatten(), v, size).T
return Ysim
def posterior_samples(self, X, size=10, full_cov=False, Y_metadata=None):
"""
Samples the posterior GP at the points X.
:param X: the points at which to take the samples.
:type X: np.ndarray (Nnew x self.input_dim.)
:param size: the number of a posteriori samples.
:type size: int.
:param full_cov: whether to return the full covariance matrix, or just the diagonal.
:type full_cov: bool.
:param noise_model: for mixed noise likelihood, the noise model to use in the samples.
:type noise_model: integer.
:returns: Ysim: set of simulations, a Numpy array (N x samples).
"""
Ysim = self.posterior_samples_f(X, size, full_cov=full_cov)
Ysim = self.likelihood.samples(Ysim, Y_metadata)
return Ysim
def plot_f(self,
plot_limits=None,
which_data_rows='all',
which_data_ycols='all',
fixed_inputs=[],
levels=20,
samples=0,
fignum=None,
ax=None,
resolution=None,
plot_raw=True,
linecol=None,
fillcol=None,
Y_metadata=None,
data_symbol='kx'):
"""
Plot the GP's view of the world, where the data is normalized and before applying a likelihood.
This is a call to plot with plot_raw=True.
Data will not be plotted in this, as the GP's view of the world
may live in another space, or units then the data.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self,
plot_limits,
which_data_rows,
which_data_ycols,
fixed_inputs,
levels,
samples,
fignum,
ax,
resolution,
plot_raw=plot_raw,
Y_metadata=Y_metadata,
data_symbol=data_symbol,
**kw)
def plot(self,
plot_limits=None,
which_data_rows='all',
which_data_ycols='all',
fixed_inputs=[],
levels=20,
samples=0,
fignum=None,
ax=None,
resolution=None,
plot_raw=False,
linecol=None,
fillcol=None,
Y_metadata=None,
data_symbol='kx'):
"""
Plot the posterior of the GP.
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
- In two dimsensions, a contour-plot shows the mean predicted function
- In higher dimensions, use fixed_inputs to plot the GP with some of the inputs fixed.
Can plot only part of the data and part of the posterior functions
using which_data_rowsm which_data_ycols.
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
:type plot_limits: np.array
:param which_data_rows: which of the training data to plot (default all)
:type which_data_rows: 'all' or a slice object to slice model.X, model.Y
:param which_data_ycols: when the data has several columns (independant outputs), only plot these
:type which_data_ycols: 'all' or a list of integers
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
:type fixed_inputs: a list of tuples
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
:type resolution: int
:param levels: number of levels to plot in a contour plot.
:param levels: for 2D plotting, the number of contour levels to use is ax is None, create a new figure
:type levels: int
:param samples: the number of a posteriori samples to plot
:type samples: int
:param fignum: figure to plot on.
:type fignum: figure number
:param ax: axes to plot on.
:type ax: axes handle
:param linecol: color of line to plot [Tango.colorsHex['darkBlue']]
:type linecol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param fillcol: color of fill [Tango.colorsHex['lightBlue']]
:type fillcol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) as is standard in matplotlib
:param Y_metadata: additional data associated with Y which may be needed
:type Y_metadata: dict
:param data_symbol: symbol as used matplotlib, by default this is a black cross ('kx')
:type data_symbol: color either as Tango.colorsHex object or character ('r' is red, 'g' is green) alongside marker type, as is standard in matplotlib.
"""
assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import models_plots
kw = {}
if linecol is not None:
kw['linecol'] = linecol
if fillcol is not None:
kw['fillcol'] = fillcol
return models_plots.plot_fit(self,
plot_limits,
which_data_rows,
which_data_ycols,
fixed_inputs,
levels,
samples,
fignum,
ax,
resolution,
plot_raw=plot_raw,
Y_metadata=Y_metadata,
data_symbol=data_symbol,
**kw)
def input_sensitivity(self, summarize=True):
"""
Returns the sensitivity for each dimension of this model
"""
return self.kern.input_sensitivity(summarize=summarize)
def optimize(self, optimizer=None, start=None, **kwargs):
"""
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
kwargs are passed to the optimizer. They can be:
:param max_f_eval: maximum number of function evaluations
:type max_f_eval: int
:messages: whether to display during optimisation
:type messages: bool
:param optimizer: which optimizer to use (defaults to self.preferred optimizer), a range of optimisers can be found in :module:`~GPy.inference.optimization`, they include 'scg', 'lbfgs', 'tnc'.
:type optimizer: string
"""
self.inference_method.on_optimization_start()
try:
super(GP, self).optimize(optimizer, start, **kwargs)
except KeyboardInterrupt:
print "KeyboardInterrupt caught, calling on_optimization_end() to round things up"
self.inference_method.on_optimization_end()
raise
def infer_newX(
self,
Y_new,
optimize=True,
):
"""
Infer the distribution of X for the new observed data *Y_new*.
:param Y_new: the new observed data for inference
:type Y_new: numpy.ndarray
:param optimize: whether to optimize the location of new X (True by default)
:type optimize: boolean
:return: a tuple containing the posterior estimation of X and the model that optimize X
:rtype: (:class:`~GPy.core.parameterization.variational.VariationalPosterior` or numpy.ndarray, :class:`~GPy.core.model.Model`)
"""
from ..inference.latent_function_inference.inferenceX import infer_newX
return infer_newX(self, Y_new, optimize=optimize)
