def testMeanSameAsGPRM(self):
df = np.float64(3.)
index_points = np.linspace(-4., 4., 5, dtype=np.float64)
index_points = np.stack(np.meshgrid(index_points, index_points),
axis=-1)
index_points = np.reshape(index_points, [-1, 2])
# Kernel with batch_shape [5, 3]
amplitude = np.array([1., 2., 3., 4., 5.], np.float64).reshape([5, 1])
length_scale = np.array([.1, .2, .3], np.float64).reshape([1, 3])
observation_noise_variance = np.array([1e-5, 1e-6, 1e-9],
np.float64).reshape([1, 3])
observation_index_points = (np.random.uniform(
-1., 1., (3, 7, 2)).astype(np.float64))
observations = np.random.uniform(-1., 1., (3, 7)).astype(np.float64)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
stprm = tfd.StudentTProcessRegressionModel(
df=df,
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance)
gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance)
self.assertAllClose(self.evaluate(stprm.mean()),
self.evaluate(gprm.mean()))
def gaussian_process_regression_models(draw,
kernel_name=None,
batch_shape=None,
event_dim=None,
feature_dim=None,
feature_ndims=None,
enable_vars=False):
# First draw a kernel.
k, _ = draw(
kernel_hps.base_kernels(
kernel_name=kernel_name,
batch_shape=batch_shape,
event_dim=event_dim,
feature_dim=feature_dim,
feature_ndims=feature_ndims,
# Disable variables
enable_vars=False))
compatible_batch_shape = draw(
tfp_hps.broadcast_compatible_shape(k.batch_shape))
index_points = draw(
kernel_hps.kernel_input(batch_shape=compatible_batch_shape,
example_ndims=1,
feature_dim=feature_dim,
feature_ndims=feature_ndims,
enable_vars=enable_vars,
name='index_points'))
observation_index_points = draw(
kernel_hps.kernel_input(batch_shape=compatible_batch_shape,
example_ndims=1,
feature_dim=feature_dim,
feature_ndims=feature_ndims,
enable_vars=enable_vars,
name='observation_index_points'))
observations = draw(
kernel_hps.kernel_input(
batch_shape=compatible_batch_shape,
example_ndims=1,
# This is the example dimension suggested observation_index_points.
example_dim=int(
observation_index_points.shape[-(feature_ndims + 1)]),
# No feature dimensions.
feature_dim=0,
feature_ndims=0,
enable_vars=enable_vars,
name='observations'))
params = draw(
broadcasting_params('GaussianProcessRegressionModel',
compatible_batch_shape,
event_dim=event_dim,
enable_vars=enable_vars))
gp = tfd.GaussianProcessRegressionModel(
kernel=k,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=params['observation_noise_variance'])
return gp
def testInitParameterVariations(self, noise_kwargs, implied_values):
num_test_points = 3
num_obs_points = 4
kernel = psd_kernels.ExponentiatedQuadratic()
index_points = np.random.uniform(-1., 1., (num_test_points, 1))
observation_index_points = np.random.uniform(-1., 1.,
(num_obs_points, 1))
observations = np.random.uniform(-1., 1., num_obs_points)
jitter = 1e-6
gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
jitter=jitter,
validate_args=True,
**noise_kwargs)
# 'Property' means what was passed to CTOR. 'Parameter' is the effective
# value by which the distribution is parameterized.
implied_onv_param = implied_values[
'observation_noise_variance_parameter']
implied_pnv_param = implied_values[
'predictive_noise_variance_parameter']
# k_xx - k_xn @ (k_nn + ONV) @ k_nx + PNV
k = lambda x, y: _np_kernel_matrix_fn(1., 1., x, y)
k_tt_ = k(index_points, index_points)
k_tx_ = k(index_points, observation_index_points)
k_xx_plus_noise_ = (
k(observation_index_points, observation_index_points) +
(jitter + implied_onv_param) * np.eye(num_obs_points))
expected_predictive_covariance = (
k_tt_ - np.dot(k_tx_, np.linalg.solve(k_xx_plus_noise_, k_tx_.T)) +
implied_pnv_param * np.eye(num_test_points))
# Assertion 1: predictive covariance is correct.
self.assertAllClose(self.evaluate(gprm.covariance()),
expected_predictive_covariance)
# Assertion 2: predictive_noise_variance property is correct
self.assertIsInstance(gprm.predictive_noise_variance, tf.Tensor)
self.assertAllClose(self.evaluate(gprm.predictive_noise_variance),
implied_pnv_param)
# Assertion 3: observation_noise_variance property is correct.
self.assertIsInstance(gprm.observation_noise_variance, tf.Tensor)
self.assertAllClose(
self.evaluate(gprm.observation_noise_variance),
# Note that this is, somewhat unintuitively, expceted to equal the
# predictive_noise_variance. This is because of 1) the inheritance
# structure of GPRM as a subclass of GaussianProcess and 2) the poor
# choice of name of the GaussianProcess noise parameter. The latter
# issue is being cleaned up in cl/256413439.
implied_pnv_param)
def testErrorCases(self):
kernel = psd_kernels.ExponentiatedQuadratic()
index_points = np.random.uniform(-1., 1., (10, 1)).astype(np.float64)
observation_index_points = (np.random.uniform(-1., 1., (5, 1)).astype(
np.float64))
observations = np.random.uniform(-1., 1., 3).astype(np.float64)
# Both or neither of `observation_index_points` and `observations` must be
# specified.
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
observation_index_points=None,
observations=observations)
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
observation_index_points,
observations=None)
# If specified, mean_fn must be a callable.
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
mean_fn=0.)
# Observation index point and observation counts must be broadcastable.
if self.is_static or tf.executing_eagerly:
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(
kernel,
index_points,
observation_index_points=np.ones([2, 2, 2]),
observations=np.ones([5, 5]))
else:
gprm = tfd.GaussianProcessRegressionModel(
kernel,
index_points,
observation_index_points=tf.placeholder_with_default(
np.ones([2, 2, 2]), shape=None),
observations=tf.placeholder_with_default(np.ones([5, 5]),
shape=None))
with self.assertRaises(ValueError):
self.evaluate(gprm.event_shape_tensor())
def testEmptyDataMatchesGPPrior(self):
amp = np.float64(.5)
len_scale = np.float64(.2)
jitter = np.float64(1e-4)
index_points = np.random.uniform(-1., 1., (10, 1)).astype(np.float64)
# k_xx - k_xn @ (k_nn + sigma^2) @ k_nx + sigma^2
mean_fn = lambda x: x[:, 0]**2
kernel = psd_kernels.ExponentiatedQuadratic(amp, len_scale)
gp = tfd.GaussianProcess(
kernel,
index_points,
mean_fn=mean_fn,
jitter=jitter,
validate_args=True)
gprm_nones = tfd.GaussianProcessRegressionModel(
kernel,
index_points,
mean_fn=mean_fn,
jitter=jitter,
validate_args=True)
gprm_zero_shapes = tfd.GaussianProcessRegressionModel(
kernel,
index_points,
observation_index_points=tf.ones([5, 0, 1], tf.float64),
observations=tf.ones([5, 0], tf.float64),
mean_fn=mean_fn,
jitter=jitter,
validate_args=True)
for gprm in [gprm_nones, gprm_zero_shapes]:
self.assertAllClose(self.evaluate(gp.mean()), self.evaluate(gprm.mean()))
self.assertAllClose(self.evaluate(gp.covariance()),
self.evaluate(gprm.covariance()))
self.assertAllClose(self.evaluate(gp.variance()),
self.evaluate(gprm.variance()))
observations = np.random.uniform(-1., 1., 10).astype(np.float64)
self.assertAllClose(self.evaluate(gp.log_prob(observations)),
self.evaluate(gprm.log_prob(observations)))
def testErrorCases(self):
kernel = psd_kernels.ExponentiatedQuadratic()
index_points = np.random.uniform(-1., 1., (10, 1)).astype(np.float64)
observation_index_points = (np.random.uniform(-1., 1., (5, 1)).astype(
np.float64))
observations = np.random.uniform(-1., 1., 3).astype(np.float64)
# Both or neither of `observation_index_points` and `observations` must be
# specified.
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
observation_index_points=None,
observations=observations,
validate_args=True)
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
observation_index_points,
observations=None,
validate_args=True)
# If specified, mean_fn must be a callable.
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(kernel,
index_points,
mean_fn=0.,
validate_args=True)
# Observation index point and observation counts must be broadcastable.
# Errors based on conditions of dynamic shape in graph mode cannot be
# caught, so we only check this error case in static shape or eager mode.
if self.is_static or tf.executing_eagerly():
with self.assertRaises(ValueError):
tfd.GaussianProcessRegressionModel(
kernel,
index_points,
observation_index_points=np.ones([2, 2, 2]),
observations=np.ones([5, 5]),
validate_args=True)
def testGPPosteriorPredictive(self):
amplitude = np.float64(.5)
length_scale = np.float64(2.)
jitter = np.float64(1e-4)
observation_noise_variance = np.float64(3e-3)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
index_points = np.random.uniform(-1., 1., 10)[..., np.newaxis]
gp = tfd.GaussianProcess(
kernel,
index_points,
observation_noise_variance=observation_noise_variance,
jitter=jitter,
validate_args=True)
predictive_index_points = np.random.uniform(1., 2., 10)[..., np.newaxis]
observations = np.linspace(1., 10., 10)
expected_gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
observation_index_points=index_points,
observations=observations,
observation_noise_variance=observation_noise_variance,
jitter=jitter,
index_points=predictive_index_points,
validate_args=True)
actual_gprm = gp.posterior_predictive(
predictive_index_points=predictive_index_points,
observations=observations)
samples = self.evaluate(actual_gprm.sample(10, seed=test_util.test_seed()))
self.assertAllClose(
self.evaluate(expected_gprm.mean()),
self.evaluate(actual_gprm.mean()))
self.assertAllClose(
self.evaluate(expected_gprm.covariance()),
self.evaluate(actual_gprm.covariance()))
self.assertAllClose(
self.evaluate(expected_gprm.log_prob(samples)),
self.evaluate(actual_gprm.log_prob(samples)))
def testLogProbNearGPRM(self):
# For large df, the log_prob calculations should be the same.
df = np.float64(1e6)
index_points = np.linspace(-4., 4., 5, dtype=np.float64)
index_points = np.stack(np.meshgrid(index_points, index_points),
axis=-1)
index_points = np.reshape(index_points, [-1, 2])
# Kernel with batch_shape [5, 3]
amplitude = np.array([1., 2., 3., 4., 5.], np.float64).reshape([5, 1])
length_scale = np.array([.1, .2, .3], np.float64).reshape([1, 3])
observation_noise_variance = np.array([1e-5, 1e-6, 1e-9],
np.float64).reshape([1, 3])
observation_index_points = (np.random.uniform(
-1., 1., (3, 7, 2)).astype(np.float64))
observations = np.random.uniform(-1., 1., (3, 7)).astype(np.float64)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
stprm = tfd.StudentTProcessRegressionModel(
df=df,
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance)
gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance)
x = np.linspace(-3., 3., 25)
self.assertAllClose(self.evaluate(stprm.log_prob(x)),
self.evaluate(gprm.log_prob(x)),
rtol=2e-5)
def testMeanVarianceAndCovariancePrecomputed(self):
amplitude = np.array([1., 2.], np.float64).reshape([2, 1])
length_scale = np.array([.1, .2, .3], np.float64).reshape([1, 3])
observation_noise_variance = np.array([1e-9], np.float64)
jitter = np.float64(1e-6)
observation_index_points = (np.random.uniform(
-1., 1., (1, 1, 7, 2)).astype(np.float64))
observations = np.random.uniform(-1., 1., (1, 1, 7)).astype(np.float64)
index_points = np.random.uniform(-1., 1., (6, 2)).astype(np.float64)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance,
jitter=jitter,
validate_args=True)
precomputed_gprm = tfd.GaussianProcessRegressionModel.precompute_regression_model(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance,
jitter=jitter,
validate_args=True)
self.assertAllClose(self.evaluate(precomputed_gprm.covariance()),
self.evaluate(gprm.covariance()))
self.assertAllClose(self.evaluate(precomputed_gprm.variance()),
self.evaluate(gprm.variance()))
self.assertAllClose(self.evaluate(precomputed_gprm.mean()),
self.evaluate(gprm.mean()))
def testShapes(self):
# 5x5 grid of index points in R^2 and flatten to 25x2
index_points = np.linspace(-4., 4., 5, dtype=np.float64)
index_points = np.stack(np.meshgrid(index_points, index_points), axis=-1)
index_points = np.reshape(index_points, [-1, 2])
# ==> shape = [25, 2]
batched_index_points = np.expand_dims(np.stack([index_points]*6), -3)
# ==> shape = [6, 1, 25, 2]
# Kernel with batch_shape [2, 4, 1, 1]
amplitude = np.array([1., 2.], np.float64).reshape([2, 1, 1, 1])
length_scale = np.array([.1, .2, .3, .4], np.float64).reshape([1, 4, 1, 1])
jitter = np.float64(1e-6)
observation_noise_variance = np.float64(1e-2)
observation_index_points = (
np.random.uniform(-1., 1., (3, 7, 2)).astype(np.float64))
observations = np.random.uniform(-1., 1., (3, 7)).astype(np.float64)
if not self.is_static:
amplitude = tf.placeholder_with_default(amplitude, shape=None)
length_scale = tf.placeholder_with_default(length_scale, shape=None)
batched_index_points = tf.placeholder_with_default(
batched_index_points, shape=None)
observation_index_points = tf.placeholder_with_default(
observation_index_points, shape=None)
observations = tf.placeholder_with_default(observations, shape=None)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
gprm = tfd.GaussianProcessRegressionModel(
kernel,
batched_index_points,
observation_index_points,
observations,
observation_noise_variance,
jitter=jitter)
batch_shape = [2, 4, 6, 3]
event_shape = [25]
sample_shape = [9, 3]
samples = gprm.sample(sample_shape)
if self.is_static or tf.executing_eagerly():
self.assertAllEqual(gprm.batch_shape_tensor(), batch_shape)
self.assertAllEqual(gprm.event_shape_tensor(), event_shape)
self.assertAllEqual(samples.shape,
sample_shape + batch_shape + event_shape)
self.assertAllEqual(gprm.batch_shape, batch_shape)
self.assertAllEqual(gprm.event_shape, event_shape)
self.assertAllEqual(samples.shape,
sample_shape + batch_shape + event_shape)
else:
self.assertAllEqual(self.evaluate(gprm.batch_shape_tensor()), batch_shape)
self.assertAllEqual(self.evaluate(gprm.event_shape_tensor()), event_shape)
self.assertAllEqual(self.evaluate(samples).shape,
sample_shape + batch_shape + event_shape)
self.assertIsNone(samples.shape.ndims)
self.assertIsNone(gprm.batch_shape.ndims)
self.assertEqual(gprm.event_shape.ndims, 1)
self.assertIsNone(gprm.event_shape.dims[0].value)
def testCopy(self):
# 5 random index points in R^2
index_points_1 = np.random.uniform(-4., 4., (5, 2)).astype(np.float32)
# 10 random index points in R^2
index_points_2 = np.random.uniform(-4., 4., (10, 2)).astype(np.float32)
observation_index_points_1 = (
np.random.uniform(-4., 4., (7, 2)).astype(np.float32))
observation_index_points_2 = (
np.random.uniform(-4., 4., (9, 2)).astype(np.float32))
observations_1 = np.random.uniform(-1., 1., 7).astype(np.float32)
observations_2 = np.random.uniform(-1., 1., 9).astype(np.float32)
# ==> shape = [6, 25, 2]
if not self.is_static:
index_points_1 = tf.placeholder_with_default(index_points_1, shape=None)
index_points_2 = tf.placeholder_with_default(index_points_2, shape=None)
observation_index_points_1 = tf.placeholder_with_default(
observation_index_points_1, shape=None)
observation_index_points_2 = tf.placeholder_with_default(
observation_index_points_2, shape=None)
observations_1 = tf.placeholder_with_default(observations_1, shape=None)
observations_2 = tf.placeholder_with_default(observations_2, shape=None)
mean_fn = lambda x: np.array([0.], np.float32)
kernel_1 = psd_kernels.ExponentiatedQuadratic()
kernel_2 = psd_kernels.ExpSinSquared()
gprm1 = tfd.GaussianProcessRegressionModel(
kernel=kernel_1,
index_points=index_points_1,
observation_index_points=observation_index_points_1,
observations=observations_1,
mean_fn=mean_fn,
jitter=1e-5)
gprm2 = gprm1.copy(
kernel=kernel_2,
index_points=index_points_2,
observation_index_points=observation_index_points_2,
observations=observations_2)
event_shape_1 = [5]
event_shape_2 = [10]
self.assertEqual(gprm1.mean_fn, gprm2.mean_fn)
self.assertIsInstance(gprm1.kernel, psd_kernels.ExponentiatedQuadratic)
self.assertIsInstance(gprm2.kernel, psd_kernels.ExpSinSquared)
if self.is_static or tf.executing_eagerly():
self.assertAllEqual(gprm1.batch_shape, gprm2.batch_shape)
self.assertAllEqual(gprm1.event_shape, event_shape_1)
self.assertAllEqual(gprm2.event_shape, event_shape_2)
self.assertAllEqual(gprm1.index_points, index_points_1)
self.assertAllEqual(gprm2.index_points, index_points_2)
self.assertAllEqual(tensor_util.constant_value(gprm1.jitter),
tensor_util.constant_value(gprm2.jitter))
else:
self.assertAllEqual(self.evaluate(gprm1.batch_shape_tensor()),
self.evaluate(gprm2.batch_shape_tensor()))
self.assertAllEqual(self.evaluate(gprm1.event_shape_tensor()),
event_shape_1)
self.assertAllEqual(self.evaluate(gprm2.event_shape_tensor()),
event_shape_2)
self.assertEqual(self.evaluate(gprm1.jitter), self.evaluate(gprm2.jitter))
self.assertAllEqual(self.evaluate(gprm1.index_points), index_points_1)
self.assertAllEqual(self.evaluate(gprm2.index_points), index_points_2)
def testMeanVarianceAndCovariance(self):
amp = np.float64(.5)
len_scale = np.float64(.2)
observation_noise_variance = np.float64(1e-3)
jitter = np.float64(1e-4)
num_test = 10
num_obs = 3
index_points = np.random.uniform(-1., 1., (num_test, 1)).astype(np.float64)
observation_index_points = (
np.random.uniform(-1., 1., (num_obs, 1)).astype(np.float64))
observations = np.random.uniform(-1., 1., 3).astype(np.float64)
# k_xx - k_xn @ (k_nn + sigma^2) @ k_nx + sigma^2
k = lambda x, y: _np_kernel_matrix_fn(amp, len_scale, x, y)
k_xx_ = k(index_points, index_points)
k_xn_ = k(index_points, observation_index_points)
k_nn_plus_noise_ = (
k(observation_index_points, observation_index_points) +
(jitter + observation_noise_variance) * np.eye(num_obs))
expected_predictive_covariance_no_noise = (
k_xx_ - np.dot(k_xn_, np.linalg.solve(k_nn_plus_noise_, k_xn_.T)) +
np.eye(num_test) * jitter)
expected_predictive_covariance_with_noise = (
expected_predictive_covariance_no_noise +
np.eye(num_test) * observation_noise_variance)
mean_fn = lambda x: x[:, 0]**2
prior_mean = mean_fn(observation_index_points)
expected_mean = np.dot(
k_xn_, np.linalg.solve(k_nn_plus_noise_, observations - prior_mean))
kernel = psd_kernels.ExponentiatedQuadratic(amp, len_scale)
gprm = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance,
mean_fn=mean_fn,
jitter=jitter)
self.assertAllClose(expected_predictive_covariance_with_noise,
self.evaluate(gprm.covariance()))
self.assertAllClose(np.diag(expected_predictive_covariance_with_noise),
self.evaluate(gprm.variance()))
self.assertAllClose(expected_mean,
self.evaluate(gprm.mean()))
gprm_no_predictive_noise = tfd.GaussianProcessRegressionModel(
kernel=kernel,
index_points=index_points,
observation_index_points=observation_index_points,
observations=observations,
observation_noise_variance=observation_noise_variance,
predictive_noise_variance=0.,
mean_fn=mean_fn,
jitter=jitter)
self.assertAllClose(expected_predictive_covariance_no_noise,
self.evaluate(gprm_no_predictive_noise.covariance()))
self.assertAllClose(np.diag(expected_predictive_covariance_no_noise),
self.evaluate(gprm_no_predictive_noise.variance()))
self.assertAllClose(expected_mean,
self.evaluate(gprm_no_predictive_noise.mean()))
def testShapes(self):
# We'll use a batch shape of [2, 3, 5, 7, 11]
# 5x5 grid of index points in R^2 and flatten to 25x2
index_points = np.linspace(-4., 4., 5, dtype=np.float64)
index_points = np.stack(np.meshgrid(index_points, index_points),
axis=-1)
index_points = np.reshape(index_points, [-1, 2])
# ==> shape = [25, 2]
batched_index_points = np.reshape(index_points, [1, 1, 25, 2])
batched_index_points = np.stack([batched_index_points] * 5)
# ==> shape = [5, 1, 1, 25, 2]
# Kernel with batch_shape [2, 3, 1, 1, 1]
amplitude = np.array([1., 2.], np.float64).reshape([2, 1, 1, 1, 1])
length_scale = np.array([.1, .2, .3],
np.float64).reshape([1, 3, 1, 1, 1])
observation_noise_variance = np.array([1e-9], np.float64).reshape(
[1, 1, 1, 1, 1])
jitter = np.float64(1e-6)
observation_index_points = (np.random.uniform(
-1., 1., (7, 1, 7, 2)).astype(np.float64))
observations = np.random.uniform(-1., 1., (11, 7)).astype(np.float64)
def cholesky_fn(x):
return tf.linalg.cholesky(
tf.linalg.set_diag(x,
tf.linalg.diag_part(x) + 1.))
if not self.is_static:
amplitude = tf1.placeholder_with_default(amplitude, shape=None)
length_scale = tf1.placeholder_with_default(length_scale,
shape=None)
batched_index_points = tf1.placeholder_with_default(
batched_index_points, shape=None)
observation_index_points = tf1.placeholder_with_default(
observation_index_points, shape=None)
observations = tf1.placeholder_with_default(observations,
shape=None)
kernel = psd_kernels.ExponentiatedQuadratic(amplitude, length_scale)
gprm = tfd.GaussianProcessRegressionModel(kernel,
batched_index_points,
observation_index_points,
observations,
observation_noise_variance,
cholesky_fn=cholesky_fn,
jitter=jitter,
validate_args=True)
batch_shape = [2, 3, 5, 7, 11]
event_shape = [25]
sample_shape = [9, 3]
samples = gprm.sample(sample_shape, seed=test_util.test_seed())
self.assertIs(cholesky_fn, gprm.cholesky_fn)
if self.is_static or tf.executing_eagerly():
self.assertAllEqual(gprm.batch_shape_tensor(), batch_shape)
self.assertAllEqual(gprm.event_shape_tensor(), event_shape)
self.assertAllEqual(samples.shape,
sample_shape + batch_shape + event_shape)
self.assertAllEqual(gprm.batch_shape, batch_shape)
self.assertAllEqual(gprm.event_shape, event_shape)
self.assertAllEqual(samples.shape,
sample_shape + batch_shape + event_shape)
else:
self.assertAllEqual(self.evaluate(gprm.batch_shape_tensor()),
batch_shape)
self.assertAllEqual(self.evaluate(gprm.event_shape_tensor()),
event_shape)
self.assertAllEqual(
self.evaluate(samples).shape,
sample_shape + batch_shape + event_shape)
self.assertIsNone(tensorshape_util.rank(samples.shape))
self.assertIsNone(tensorshape_util.rank(gprm.batch_shape))
self.assertEqual(tensorshape_util.rank(gprm.event_shape), 1)
self.assertIsNone(
tf.compat.dimension_value(
tensorshape_util.dims(gprm.event_shape)[0]))