def _kern():
kern_thin_layer = ThinLayer(np.array([0., 0., 0.]),
priors['tec_scale'],
active_dims=slice(2, 6, 1))
kern_time = Matern32(1, active_dims=slice(6, 7, 1))
kern_dir = Matern32(2, active_dims=slice(0, 2, 1))
###
# time kern
kern_time.lengthscales = np.exp(tec_kern_time_ls[0])
kern_time.lengthscales.prior = LogNormal(
tec_kern_time_ls[0], tec_kern_time_ls[1]**2)
kern_time.lengthscales.set_trainable(True)
kern_time.variance = 1. #np.exp(tec_kern_var[0])
#kern_time.variance.prior = LogNormal(tec_kern_var[0],tec_kern_var[1]**2)
kern_time.variance.set_trainable(False) #
###
# directional kern
kern_dir.variance = np.exp(tec_kern_var[0])
kern_dir.variance.prior = LogNormal(tec_kern_var[0],
tec_kern_var[1]**2)
kern_dir.variance.set_trainable(True)
kern_dir.lengthscales = np.exp(tec_kern_dir_ls[0])
kern_dir.lengthscales.prior = LogNormal(
tec_kern_dir_ls[0], tec_kern_dir_ls[1]**2)
kern_dir.lengthscales.set_trainable(True)
kern = kern_dir * kern_time #(kern_thin_layer + kern_dir)*kern_time
return kern
def init_kern_act(num_pitches):
"""Initialize kernels for activations and components"""
kern_act = []
for i in range(num_pitches):
kern_act.append(Matern32(1, lengthscales=1.0, variance=3.5))
return kern_act
def main():
dataname = "1DGP_MaternCombo1"
ptr = "data/toy_data/" + dataname + '/'
n_functions = 1000
lengthscales = 1.0
kernel = Matern52(variance=1.0, lengthscales=2.0) + Matern32(
variance=2.0, lengthscales=1.0)
data_generator = GPDataGenerator(kernel=kernel)
x_trains = []
y_trains = []
x_tests = []
y_tests = []
#Generate n_functions sets of values of x in the range [min_x, max_x], to be used for training and testing
plt.figure()
for i in range(n_functions):
if i % (n_functions // 5) == 0:
n_train = np.random.randint(low=5, high=10)
n_test = 20
else:
n_train = np.random.randint(low=25, high=100)
n_test = int(0.2 * n_train)
x_train, y_train, x_test, y_test = data_generator.sample(
train_size=n_train, test_size=n_test, x_min=-3, x_max=3)
x_trains.append(x_train)
y_trains.append(y_train)
x_tests.append(x_test)
y_tests.append(y_test)
if i == 0:
plt.scatter(x_train, y_train, c='r', s=1, label="train")
plt.scatter(x_test, y_test, c="magenta", s=1, label="test")
elif i == 1:
plt.scatter(x_train, y_train, c='black', s=1, label="train")
plt.scatter(x_test, y_test, c="yellow", s=1, label="test")
elif i == 2:
plt.scatter(x_train, y_train, c='b', s=1, label="train")
plt.scatter(x_test, y_test, c="g", s=1, label="test")
plt.legend()
plt.xlabel("x")
plt.xticks([])
plt.ylabel('f(x)')
plt.yticks([])
plt.show()
x_trains = np.array(x_trains)
y_trains = np.array(y_trains)
x_tests = np.array(x_tests)
y_tests = np.array(y_tests)
np.save(ptr + dataname + "_X_trains.npy", x_trains)
np.save(ptr + dataname + "_y_trains.npy", y_trains)
np.save(ptr + dataname + "_X_tests.npy", x_tests)
np.save(ptr + dataname + "_y_tests.npy", y_tests)
def test_gaussian_mean_and_variance(Ntrain, Ntest, D):
data = rng.randn(Ntrain, D), rng.randn(Ntrain, 1)
Xtest, _ = rng.randn(Ntest, D), rng.randn(Ntest, 1)
kernel = Matern32() + gpflow.kernels.White()
model_gp = gpflow.models.GPR(data, kernel=kernel)
mu_f, var_f = model_gp.predict_f(Xtest)
mu_y, var_y = model_gp.predict_y(Xtest)
assert np.allclose(mu_f, mu_y)
assert np.allclose(var_f, var_y - 1.)
def test_gaussian_full_cov_samples(input_dim, output_dim, N, Ntest, M,
num_samples):
samples_shape = (num_samples, Ntest, output_dim)
X, Y, _ = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn(
M, input_dim)
Xtest = rng.randn(Ntest, input_dim)
kernel = Matern32()
model_gp = gpflow.models.GPR([X, Y], kernel=kernel)
samples = model_gp.predict_f_samples(Xtest, num_samples)
assert samples.shape == samples_shape
def test_gaussian_log_density(Ntrain, Ntest, D):
data = rng.randn(Ntrain, D), rng.randn(Ntrain, 1)
Xtest, Ytest = rng.randn(Ntest, D), rng.randn(Ntest, 1)
kernel = Matern32() + gpflow.kernels.White()
model_gp = gpflow.models.GPR(data, kernel=kernel)
mu_y, var_y = model_gp.predict_y(Xtest)
data = Xtest, Ytest
log_density = model_gp.predict_log_density(data)
log_density_hand = (-0.5 * np.log(2 * np.pi) - 0.5 * np.log(var_y) -
0.5 * np.square(mu_y - Ytest) / var_y)
assert np.allclose(log_density_hand, log_density)
def _build_kernel(self, kern_dir_ls=0.3, kern_time_ls=50., kern_var=1., include_time=True, include_dir=True, **priors):
kern_var = 1. if kern_var == 0. else kern_var
kern_dir = Matern32(2,active_dims=slice(0,2,1))
kern_dir.variance.trainable = False
kern_dir.lengthscales = kern_dir_ls
kern_dir_ls = log_normal_solve(kern_dir_ls, 0.5*kern_dir_ls)
kern_dir.lengthscales.prior = LogNormal(kern_dir_ls[0], kern_dir_ls[1]**2)
kern_dir.lengthscales.trainable = False#True
kern_time = Matern32(1,active_dims=slice(2,3,1))
kern_time.variance = kern_var
kern_var = log_normal_solve(kern_var,0.5*kern_var)
kern_time.variance.prior = LogNormal(kern_var[0], kern_var[1]**2)
kern_time.variance.trainable = False#True
kern_time.lengthscales = kern_time_ls
kern_time_ls = log_normal_solve(kern_time_ls, 0.5*kern_time_ls)
kern_time.lengthscales.prior = LogNormal(kern_time_ls[0], kern_time_ls[1]**2)
kern_time.lengthscales.trainable = False#True
kern_white = gp.kernels.White(3)
kern_white.variance = 1.
kern_time.variance.trainable = False#True
if include_time:
if include_dir:
return kern_dir*kern_time
return kern_time
else:
if include_dir:
kern_dir.variance.trainable = True
return kern_dir
return kern_white
return kern_dir*kern_time
def test_gaussian_full_cov(input_dim, output_dim, N, Ntest, M):
covar_shape = (output_dim, Ntest, Ntest)
X, Y, Z = rng.randn(N, input_dim), rng.randn(N, output_dim), rng.randn(
M, input_dim)
Xtest = rng.randn(Ntest, input_dim)
kernel = Matern32()
model_gp = gpflow.models.GPR([X, Y], kernel=kernel)
mu1, var = model_gp.predict_f(Xtest, full_cov=False)
mu2, covar = model_gp.predict_f(Xtest, full_cov=True)
assert np.allclose(mu1, mu2, atol=1.e-10)
assert covar.shape == covar_shape
assert var.shape == (Ntest, output_dim)
for i in range(output_dim):
assert np.allclose(var[:, i], np.diag(covar[i, :, :]))
def __init__(self,
model_class,
kernel=Matern32(),
likelihood=gpflow.likelihoods.Gaussian(),
whiten=None,
q_diag=None,
requires_inducing_variables=True,
requires_data=False,
requires_likelihood=True):
self.model_class = model_class
self.kernel = kernel
self.likelihood = likelihood
self.whiten = whiten
self.q_diag = q_diag
self.requires_inducing_variables = requires_inducing_variables
self.requires_data = requires_data
self.requires_likelihood = requires_likelihood
def init_kern(num_pitches, energy, frequency):
"""Initialize kernels for activations and components"""
k_act, k_com = [], []
k_com_a, k_com_b = [], []
for i in range(num_pitches):
k_act.append(Matern32(1, lengthscales=0.25, variance=3.5))
k_com_a.append(Matern52(1, lengthscales=0.25, variance=1.0))
k_com_a[i].variance.fixed = True
k_com_a[i].lengthscales.transform = gpflow.transforms.Logistic(0., 0.5)
k_com_b.append(
MercerCosMix(input_dim=1,
energy=energy[i].copy(),
frequency=frequency[i].copy(),
variance=0.25,
features_as_params=False))
k_com_b[i].fixed = True
k_com.append(k_com_a[i] * k_com_b[i])
kern = [k_act, k_com]
return kern
def __init__(self, h: Bandwidth, variance: float):
super().__init__(name="Matern32")
self.kernel = Matern32(variance=variance)
self.h = h
#####################################
###### Test Dataset Parameters ######
#####################################
ip = 0. # Intervention point
dc = 1.0 # Discontinuity
sigma = 0.5 # Standard deviation
sigma_d = 0. # Value added to the standard deviation after the intervention point
n = 20 # Number of data points
############################
###### Kernel Options ######
############################
Matern = Matern32()
linear_kernel = Linear() + Constant() # "Linear" kernel
exp_kernel = Exponential()
RBF_kernel = SquaredExponential()
kernel_names = ['Linear', 'Exponential', 'Gaussian', 'Matern', 'BMA']
kernels = [linear_kernel, exp_kernel, RBF_kernel, Matern]
# make a dictionary that zips the kernel names with the corresponding kernel
kernel_dict = dict(zip(
kernel_names,
kernels)) # making a dictionary of kernels and their corresponding names
###########################################
###### Generation of Test Dataset ######
###########################################
class Container(dict, tf.Module):
def __init__(self):
super().__init__()
res = {
'ckv': list(),
'ckl': list(),
'clv': list(),
'dkv': list(),
'dkl': list(),
'dlv': list()
}
kernels = [Linear() + Constant(), RBF(), Matern32(), Exponential()]
SHOW_PLOTS = 1
epochs = 5
container = Container()
for e in range(epochs):
print(f'epoch {e}')
np.random.seed(e)
'''
n = 100 # Number of data points
x = np.linspace(-3, 3, n) # Evenly distributed x values