def run_methods(train_points, train_targets, test_points, test_targets,
model_parameters, m_list, file_name, title, show=False, full=True, vi=True):
method = 'means'
optimizer = 'L-BFGS-B'
max_iter = 50
options = {'maxiter': max_iter, 'disp': False, 'mydisp': True}
means_r2 = []
vi_r2 = []
for m in m_list:
print('m:', m)
print('Finding means...')
means = KMeans(n_clusters=m, n_init=1, max_iter=20)
means.fit(train_points.T)
inputs = means.cluster_centers_.T
print('...found')
model_covariance_obj = SquaredExponential(np.copy(model_parameters))
new_gp = GPR(model_covariance_obj, method='means', optimizer=optimizer)
res = new_gp.fit(train_points, train_targets, num_inputs=m, optimizer_options=options, inputs=inputs)
predicted_y_test, _, _ = new_gp.predict(test_points)
means_r2.append(r2_score(test_targets, predicted_y_test))
if vi:
model_covariance_obj = SquaredExponential(np.copy(model_parameters))
new_gp = GPR(model_covariance_obj, method='vi', optimizer=optimizer)
res = new_gp.fit(train_points, train_targets, num_inputs=m, optimizer_options=options, inputs=inputs)
predicted_y_test, _, _ = new_gp.predict(test_points)
vi_r2.append(r2_score(test_targets, predicted_y_test))
if full:
model_covariance_obj = SquaredExponential(np.copy(model_parameters))
new_gp = GPR(model_covariance_obj, method='brute')
res = new_gp.fit(train_points, train_targets, max_iter=max_iter)
predicted_y_test, _, _ = new_gp.predict(test_points, train_points, train_targets)
brute_r2 = r2_score(test_targets, predicted_y_test)
plt.plot(range(len(m_list)), means_r2, '-kx', label='vi-means')
if vi:
plt.plot(range(len(m_list)), vi_r2, '-rx', label='vi')
if full:
plt.plot(range(len(m_list)), len(m_list) * [brute_r2], '--g', label='full GP')
plt.xticks(range(len(m_list)), m_list)
plt.xlabel('m')
plt.ylabel('$R^2$-score on test data')
# plt.ylim(0.5, 1)
plt.legend(loc=4)
plt.title(title)
plt.savefig('../Plots/inducing_inputs/'+file_name + '.pgf')
if show:
plt.show()
def onclick(event):
plt.close('all')
point_x, point_y = event.xdata, event.ydata
data_points.append(point_x)
data_targets.append(point_y)
x_tr = np.array(data_points).reshape(-1)[None, :]
y_tr = np.array(data_targets)
new_gp = GPR(model_covariance_obj, method=method)
# new_gp.fit(x_tr, y_tr, max_iter=max_iter)
print(new_gp.covariance_obj.get_params())
predicted_y_test, high, low = new_gp.predict(x_test, x_tr, y_tr)
fig = plt.figure()
gp_plot_reg_data(x_tr, y_tr, 'yo')
gp_plot_reg_data(x_test, predicted_y_test, 'b')
gp_plot_reg_data(x_test, means_y_test, '--b')
gp_plot_reg_data(means_inducing_points, means_mean, 'bo', markersize=12)
gp_plot_reg_data(x_test, means_low, '--g')
gp_plot_reg_data(x_test, means_high, '--r')
gp_plot_reg_data(x_test, low, 'g-')
gp_plot_reg_data(x_test, high, 'r-')
gp_plot_reg_data(x_test, y_test, 'y-')
fig.canvas.mpl_connect('button_press_event', onclick)
plt.ylim(-2, 2)
plt.xlim(0, 1)
plt.show()
else:
x_test = np.random.rand(dim, test_num)
y_tr, y_test = gp.generate_data(x_tr, x_test, seed=seed)
data_points = []
data_targets = []
fig = plt.figure()
gp_plot_reg_data(x_test, y_test, 'y-')
means_gp = GPR(model_covariance_obj, method='means')
means_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, optimizer_options=lbfgsb_options)
print(model_covariance_obj.get_params())
means_inducing_points, means_mean, means_cov = means_gp.inducing_inputs
means_y_test, means_high, means_low = means_gp.predict(x_test)
def onclick(event):
plt.close('all')
point_x, point_y = event.xdata, event.ydata
data_points.append(point_x)
data_targets.append(point_y)
x_tr = np.array(data_points).reshape(-1)[None, :]
y_tr = np.array(data_targets)
new_gp = GPR(model_covariance_obj, method=method)
# new_gp.fit(x_tr, y_tr, max_iter=max_iter)
print(new_gp.covariance_obj.get_params())
predicted_y_test, high, low = new_gp.predict(x_test, x_tr, y_tr)
# Generating data points
np.random.seed(seed)
x_tr = np.random.rand(dim, num)
if dim == 1:
x_test = np.linspace(0, 1, test_num)
x_test = x_test.reshape(1, test_num)
else:
x_test = np.random.rand(dim, test_num)
y_tr, y_test = gp.generate_data(x_tr, x_test, seed=seed)
if method == 'brute':
new_gp = GPR(model_covariance_obj)
# res = new_gp.fit(x_tr, y_tr, max_iter=max_iter)
predicted_y_test, high, low, samples = new_gp.predict(x_test,
x_tr,
y_tr,
n_samples=3)
print(len(samples))
print(samples[0].shape)
elif method == 'means' or method == 'vi':
model_covariance_obj = SquaredExponential(model_params)
new_gp = GPR(model_covariance_obj, method=method, optimizer=optimizer)
res = new_gp.fit(x_tr,
y_tr,
num_inputs=ind_inputs_num,
optimizer_options=lbfgsb_options)
# res = new_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, optimizer_options=projected_newton_options)
inducing_points, mean, cov = new_gp.inducing_inputs
predicted_y_test, high, low = new_gp.predict(x_test,
return_confidence_region=True)
model_params = np.array([0.6, 0.3, 0.1])
model_covariance_obj = SquaredExponential(model_params)
num = 200
test_num = 100
dim = 1
seed = 21
method = 'means' # possible methods: 'brute', 'vi', 'means', 'svi'
parametrization = 'natural' # possible parametrizations for svi method: cholesky, natural
ind_inputs_num = 30
max_iter = 100
if method == 'brute':
new_gp = GPR(model_covariance_obj)
new_gp.fit(x_tr, y_tr, max_iter=max_iter)
predicted_y_test, high, low = new_gp.predict(x_test, x_tr, y_tr)
elif method == 'means' or method == 'vi':
model_covariance_obj = SquaredExponential(model_params)
new_gp = GPR(model_covariance_obj, method=method)
start = time.time()
new_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, max_iter=max_iter)
print(time.time() - start)
inducing_points, mean, cov = new_gp.inducing_inputs
predicted_y_test, high, low = new_gp.predict(x_test)
elif method == 'svi':
model_covariance_obj = SquaredExponential(model_params)
new_gp = GPR(model_covariance_obj, method=method, parametrization=parametrization)
new_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, max_iter=max_iter)
inducing_points, mean, cov = new_gp.inducing_inputs
# Generating data points
np.random.seed(seed)
x_tr = np.random.rand(dim, num)
if dim == 1:
x_test = np.linspace(0, 1, test_num)
x_test = x_test.reshape(1, test_num)
else:
x_test = np.random.rand(dim, test_num)
y_tr, y_test = gp.generate_data(x_tr, x_test, seed=seed)
if method == 'brute':
new_gp = GPR(model_covariance_obj)
# res = new_gp.fit(x_tr, y_tr, max_iter=max_iter)
predicted_y_test, high, low, samples = new_gp.predict(x_test, x_tr, y_tr, n_samples=3)
print(len(samples))
print(samples[0].shape)
elif method == 'means' or method == 'vi':
model_covariance_obj = SquaredExponential(model_params)
new_gp = GPR(model_covariance_obj, method=method, optimizer=optimizer)
res = new_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, optimizer_options=lbfgsb_options)
# res = new_gp.fit(x_tr, y_tr, num_inputs=ind_inputs_num, optimizer_options=projected_newton_options)
inducing_points, mean, cov = new_gp.inducing_inputs
predicted_y_test, high, low = new_gp.predict(x_test, return_confidence_region=True)
elif method == 'svi':
model_covariance_obj = SquaredExponential(model_params)
if parametrization == 'natural':
opts = sg_options
