def test_solve(self):
size = 100
train_x = torch.cat([
torch.linspace(0, 1, size).unsqueeze(0),
torch.linspace(0, 0.5, size).unsqueeze(0)
], 0).unsqueeze(-1)
covar_matrix = RBFKernel()(train_x, train_x).evaluate()
piv_chol = pivoted_cholesky.pivoted_cholesky(covar_matrix, 10)
woodbury_factor, inv_scale, logdet = woodbury.woodbury_factor(
piv_chol, piv_chol, torch.ones(2, 100), logdet=True)
actual_logdet = torch.stack([
mat.logdet() for mat in (piv_chol @ piv_chol.transpose(-1, -2) +
torch.eye(100)).view(-1, 100, 100)
], 0).view(2)
self.assertTrue(approx_equal(logdet, actual_logdet, 2e-4))
rhs_vector = torch.randn(2, 100, 5)
shifted_covar_matrix = covar_matrix + torch.eye(size)
real_solve = torch.cat(
[
shifted_covar_matrix[0].inverse().matmul(
rhs_vector[0]).unsqueeze(0),
shifted_covar_matrix[1].inverse().matmul(
rhs_vector[1]).unsqueeze(0),
],
0,
)
scaled_inv_diag = (inv_scale / torch.ones(2, 100)).unsqueeze(-1)
approx_solve = woodbury.woodbury_solve(rhs_vector,
piv_chol * scaled_inv_diag,
woodbury_factor,
scaled_inv_diag, inv_scale)
self.assertTrue(approx_equal(approx_solve, real_solve, 2e-4))
def test_solve(self):
size = 100
train_x = torch.linspace(0, 1, size)
covar_matrix = RBFKernel()(train_x, train_x).evaluate()
piv_chol = pivoted_cholesky.pivoted_cholesky(covar_matrix, 10)
woodbury_factor, inv_scale, logdet = woodbury.woodbury_factor(piv_chol, piv_chol, torch.ones(100), logdet=True)
self.assertTrue(approx_equal(logdet, (piv_chol @ piv_chol.transpose(-1, -2) + torch.eye(100)).logdet(), 2e-4))
rhs_vector = torch.randn(100, 50)
shifted_covar_matrix = covar_matrix + torch.eye(size)
real_solve = shifted_covar_matrix.inverse().matmul(rhs_vector)
scaled_inv_diag = (inv_scale / torch.ones(100)).unsqueeze(-1)
approx_solve = woodbury.woodbury_solve(
rhs_vector, piv_chol * scaled_inv_diag, woodbury_factor, scaled_inv_diag, inv_scale
)
self.assertTrue(approx_equal(approx_solve, real_solve, 2e-4))
