def test_lower_bound(self):
"""
Test the Wishart VB lower bound
"""
#
# By having the Wishart node as the only latent node, VB will give exact
# results, thus the VB lower bound is the true marginal log likelihood.
# Thus, check that they are equal. The true marginal likelihood is the
# multivariate Student-t distribution.
#
np.random.seed(42)
D = 3
n = (D-1) + np.random.uniform(0.1, 0.5)
V = random.covariance(D)
Lambda = Wishart(n, V)
mu = np.random.randn(D)
Y = Gaussian(mu, Lambda)
y = np.random.randn(D)
Y.observe(y)
Lambda.update()
L = Y.lower_bound_contribution() + Lambda.lower_bound_contribution()
mu = mu
nu = n + 1 - D
Cov = V / nu
self.assertAllClose(L,
_student_logpdf(y,
mu,
Cov,
nu))
pass
def test_lower_bound(self):
"""
Test the Wishart VB lower bound
"""
#
# By having the Wishart node as the only latent node, VB will give exact
# results, thus the VB lower bound is the true marginal log likelihood.
# Thus, check that they are equal. The true marginal likelihood is the
# multivariate Student-t distribution.
#
np.random.seed(42)
D = 3
n = (D-1) + np.random.uniform(0.1, 0.5)
V = random.covariance(D)
Lambda = Wishart(n, V)
mu = np.random.randn(D)
Y = Gaussian(mu, Lambda)
y = np.random.randn(D)
Y.observe(y)
Lambda.update()
L = Y.lower_bound_contribution() + Lambda.lower_bound_contribution()
mu = mu
nu = n + 1 - D
Cov = V / nu
self.assertAllClose(L,
_student_logpdf(y,
mu,
Cov,
nu))
pass
def test_moments(self):
"""
Test the moments of Wishart node
"""
np.random.seed(42)
# Test prior moments
D = 3
n = (D-1) + np.random.uniform(0.1,2)
V = random.covariance(D)
Lambda = Wishart(n, V)
Lambda.update()
u = Lambda.get_moments()
self.assertAllClose(u[0],
n*np.linalg.inv(V),
msg='Mean incorrect')
self.assertAllClose(u[1],
(np.sum(special.digamma((n - np.arange(D))/2))
+ D*np.log(2)
- np.linalg.slogdet(V)[1]),
msg='Log determinant incorrect')
# Test posterior moments
D = 3
n = (D-1) + np.random.uniform(0.1,2)
V = random.covariance(D)
Lambda = Wishart(n, V)
mu = np.random.randn(D)
Y = Gaussian(mu, Lambda)
y = np.random.randn(D)
Y.observe(y)
Lambda.update()
u = Lambda.get_moments()
n = n + 1
V = V + np.outer(y-mu, y-mu)
self.assertAllClose(u[0],
n*np.linalg.inv(V),
msg='Mean incorrect')
self.assertAllClose(u[1],
(np.sum(special.digamma((n - np.arange(D))/2))
+ D*np.log(2)
- np.linalg.slogdet(V)[1]),
msg='Log determinant incorrect')
pass
def test_moments(self):
"""
Test the moments of Wishart node
"""
np.random.seed(42)
# Test prior moments
D = 3
n = (D-1) + np.random.uniform(0.1,2)
V = random.covariance(D)
Lambda = Wishart(n, V)
Lambda.update()
u = Lambda.get_moments()
self.assertAllClose(u[0],
n*np.linalg.inv(V),
msg='Mean incorrect')
self.assertAllClose(u[1],
(np.sum(special.digamma((n - np.arange(D))/2))
+ D*np.log(2)
- np.linalg.slogdet(V)[1]),
msg='Log determinant incorrect')
# Test posterior moments
D = 3
n = (D-1) + np.random.uniform(0.1,2)
V = random.covariance(D)
Lambda = Wishart(n, V)
mu = np.random.randn(D)
Y = Gaussian(mu, Lambda)
y = np.random.randn(D)
Y.observe(y)
Lambda.update()
u = Lambda.get_moments()
n = n + 1
V = V + np.outer(y-mu, y-mu)
self.assertAllClose(u[0],
n*np.linalg.inv(V),
msg='Mean incorrect')
self.assertAllClose(u[1],
(np.sum(special.digamma((n - np.arange(D))/2))
+ D*np.log(2)
- np.linalg.slogdet(V)[1]),
msg='Log determinant incorrect')
pass
def test_gaussian_mixture_plot():
"""
Test the gaussian_mixture plotting function.
The code is from http://www.bayespy.org/examples/gmm.html
"""
np.random.seed(1)
y0 = np.random.multivariate_normal([0, 0], [[1, 0], [0, 0.02]], size=50)
y1 = np.random.multivariate_normal([0, 0], [[0.02, 0], [0, 1]], size=50)
y2 = np.random.multivariate_normal([2, 2], [[1, -0.9], [-0.9, 1]], size=50)
y3 = np.random.multivariate_normal([-2, -2], [[0.1, 0], [0, 0.1]], size=50)
y = np.vstack([y0, y1, y2, y3])
bpplt.pyplot.plot(y[:, 0], y[:, 1], 'rx')
N = 200
D = 2
K = 10
alpha = Dirichlet(1e-5 * np.ones(K), name='alpha')
Z = Categorical(alpha, plates=(N, ), name='z')
mu = Gaussian(np.zeros(D), 1e-5 * np.identity(D), plates=(K, ), name='mu')
Lambda = Wishart(D, 1e-5 * np.identity(D), plates=(K, ), name='Lambda')
Y = Mixture(Z, Gaussian, mu, Lambda, name='Y')
Z.initialize_from_random()
Q = VB(Y, mu, Lambda, Z, alpha)
Y.observe(y)
Q.update(repeat=1000)
bpplt.gaussian_mixture_2d(Y, scale=2)
def test_moments(self):
np.random.seed(42)
N = 4
D1 = 2
D2 = 3
X1 = Gaussian(np.random.randn(N, D1), random.covariance(D1))
X2 = Gaussian(np.random.randn(N, D2), random.covariance(D2))
Z = ConcatGaussian(X1, X2)
u = Z._message_to_child()
# First moment
self.assertAllClose(
u[0][...,:D1],
X1.u[0]
)
self.assertAllClose(
u[0][...,D1:],
X2.u[0]
)
# Second moment
self.assertAllClose(
u[1][...,:D1,:D1],
X1.u[1]
)
self.assertAllClose(
u[1][...,D1:,D1:],
X2.u[1]
)
self.assertAllClose(
u[1][...,:D1,D1:],
X1.u[0][...,:,None] * X2.u[0][...,None,:]
)
self.assertAllClose(
u[1][...,D1:,:D1],
X2.u[0][...,:,None] * X1.u[0][...,None,:]
)
pass
def test_message_to_parents(self):
""" Check gradient passed to inputs parent node """
D = 3
X = Gaussian(np.random.randn(D), random.covariance(D))
V = Wishart(D + np.random.rand(), random.covariance(D))
Y = Gaussian(X, V)
self.assert_moments(
Y,
lambda u: [u[0], u[1] + u[1].T]
)
Y.observe(np.random.randn(D))
self.assert_message_to_parent(Y, X)
#self.assert_message_to_parent(Y, V)
pass
def test_message_to_parents(self):
np.random.seed(42)
N = 5
D1 = 3
D2 = 4
D3 = 2
X1 = Gaussian(np.random.randn(N, D1), random.covariance(D1))
X2 = Gaussian(np.random.randn(N, D2), random.covariance(D2))
X3 = np.random.randn(N, D3)
Z = ConcatGaussian(X1, X2, X3)
Y = Gaussian(Z, random.covariance(D1 + D2 + D3))
Y.observe(np.random.randn(*(Y.plates + Y.dims[0])))
self.assert_message_to_parent(
Y,
X1,
eps=1e-7,
rtol=1e-5,
atol=1e-5
)
self.assert_message_to_parent(
Y,
X2,
eps=1e-7,
rtol=1e-5,
atol=1e-5
)
pass
def test_rotate_plates(self):
# Basic test for Gaussian vectors
X = GaussianARD(np.random.randn(3,2),
np.random.rand(3,2),
shape=(2,),
plates=(3,))
(u0, u1) = X.get_moments()
Cov = u1 - linalg.outer(u0, u0, ndim=1)
Q = np.random.randn(3,3)
Qu0 = np.einsum('ik,kj->ij', Q, u0)
QCov = np.einsum('k,kij->kij', np.sum(Q, axis=0)**2, Cov)
Qu1 = QCov + linalg.outer(Qu0, Qu0, ndim=1)
X.rotate_plates(Q, plate_axis=-1)
(u0, u1) = X.get_moments()
self.assertAllClose(u0, Qu0)
self.assertAllClose(u1, Qu1)
# Test full covariance, that is, with observations
X = GaussianARD(np.random.randn(3,2),
np.random.rand(3,2),
shape=(2,),
plates=(3,))
Y = Gaussian(X, [[2.0, 1.5], [1.5, 3.0]],
plates=(3,))
Y.observe(np.random.randn(3,2))
X.update()
(u0, u1) = X.get_moments()
Cov = u1 - linalg.outer(u0, u0, ndim=1)
Q = np.random.randn(3,3)
Qu0 = np.einsum('ik,kj->ij', Q, u0)
QCov = np.einsum('k,kij->kij', np.sum(Q, axis=0)**2, Cov)
Qu1 = QCov + linalg.outer(Qu0, Qu0, ndim=1)
X.rotate_plates(Q, plate_axis=-1)
(u0, u1) = X.get_moments()
self.assertAllClose(u0, Qu0)
self.assertAllClose(u1, Qu1)
pass
def test_message_to_parents(self):
""" Check gradient passed to inputs parent node """
D = 3
X = Gaussian(np.random.randn(D), random.covariance(D))
a = Gamma(np.random.rand(D), np.random.rand(D))
Y = GaussianARD(X, a)
Y.observe(np.random.randn(D))
self.assert_message_to_parent(Y, X)
self.assert_message_to_parent(Y, a)
pass
def test_message_to_parent_alpha(self):
"""
Test the message from GaussianARD the 2nd parent (alpha).
"""
# Check formula with uncertain parent mu
mu = GaussianARD(1, 1)
tau = Gamma(0.5 * 1e10, 1e10)
X = GaussianARD(mu, tau)
X.observe(3)
(m0, m1) = tau._message_from_children()
self.assertAllClose(m0, -0.5 * (3**2 - 2 * 3 * 1 + 1**2 + 1))
self.assertAllClose(m1, 0.5)
# Check formula with uncertain node
tau = Gamma(1e10, 1e10)
X = GaussianARD(2, tau)
Y = GaussianARD(X, 1)
Y.observe(5)
X.update()
(m0, m1) = tau._message_from_children()
self.assertAllClose(m0,
-0.5 * (1 / (1 + 1) + 3.5**2 - 2 * 3.5 * 2 + 2**2))
self.assertAllClose(m1, 0.5)
# Check alpha larger than mu
alpha = Gamma(np.ones((3, 2, 3)) * 1e10, 1e10)
X = GaussianARD(np.ones((2, 3)), alpha, ndim=3)
X.observe(2 * np.ones((3, 2, 3)))
(m0, m1) = alpha._message_from_children()
self.assertAllClose(
m0 * np.ones((3, 2, 3)),
-0.5 * (2**2 - 2 * 2 * 1 + 1**2) * np.ones((3, 2, 3)))
self.assertAllClose(m1 * np.ones((3, 2, 3)), 0.5 * np.ones((3, 2, 3)))
# Check mu larger than alpha
tau = Gamma(np.ones((2, 3)) * 1e10, 1e10)
X = GaussianARD(np.ones((3, 2, 3)), tau, ndim=3)
X.observe(2 * np.ones((3, 2, 3)))
(m0, m1) = tau._message_from_children()
self.assertAllClose(
m0, -0.5 * (2**2 - 2 * 2 * 1 + 1**2) * 3 * np.ones((2, 3)))
self.assertAllClose(m1 * np.ones((2, 3)), 0.5 * 3 * np.ones((2, 3)))
# Check node larger than mu and alpha
tau = Gamma(np.ones((3, )) * 1e10, 1e10)
X = GaussianARD(np.ones((2, 3)), tau, shape=(3, 2, 3))
X.observe(2 * np.ones((3, 2, 3)))
(m0, m1) = tau._message_from_children()
self.assertAllClose(
m0 * np.ones(3), -0.5 * (2**2 - 2 * 2 * 1 + 1**2) * 6 * np.ones(
(3, )))
self.assertAllClose(m1 * np.ones(3), 0.5 * 6 * np.ones(3))
# Check plates for smaller mu than node
tau = Gamma(np.ones((4, 1, 2, 3)) * 1e10, 1e10)
X = GaussianARD(GaussianARD(1, 1, shape=(3, ), plates=(4, 1, 1)),
tau,
shape=(2, 3),
plates=(4, 5))
X.observe(2 * np.ones((4, 5, 2, 3)))
(m0, m1) = tau._message_from_children()
self.assertAllClose(m0 * np.ones(
(4, 1, 2, 3)), (-0.5 * (2**2 - 2 * 2 * 1 + 1**2 + 1) * 5 * np.ones(
(4, 1, 2, 3))))
self.assertAllClose(m1 * np.ones((4, 1, 2, 3)), 5 * 0.5 * np.ones(
(4, 1, 2, 3)))
# Check mask
tau = Gamma(np.ones((4, 3)) * 1e10, 1e10)
X = GaussianARD(np.ones(3), tau, shape=(3, ), plates=(
2,
4,
))
X.observe(2 * np.ones((2, 4, 3)),
mask=[[True, False, True, False], [False, True, True,
False]])
(m0, m1) = tau._message_from_children()
self.assertAllClose(m0 * np.ones((4, 3)),
(-0.5 * (2**2 - 2 * 2 * 1 + 1**2) * np.ones(
(4, 3)) * np.array([[1], [1], [2], [0]])))
self.assertAllClose(
m1 * np.ones((4, 3)),
0.5 * np.array([[1], [1], [2], [0]]) * np.ones((4, 3)))
# Check non-ARD Gaussian child
mu = np.array([1, 2])
alpha = np.array([3, 4])
Alpha = Gamma(alpha * 1e10, 1e10)
Lambda = np.array([[1, 0.5], [0.5, 1]])
X = GaussianARD(mu, Alpha, ndim=1)
Y = Gaussian(X, Lambda)
y = np.array([5, 6])
Y.observe(y)
X.update()
(m0, m1) = Alpha._message_from_children()
Cov = np.linalg.inv(np.diag(alpha) + Lambda)
mean = np.dot(Cov, np.dot(np.diag(alpha), mu) + np.dot(Lambda, y))
self.assertAllClose(
m0 * np.ones(2), -0.5 * np.diag(
np.outer(mean, mean) + Cov - np.outer(mean, mu) -
np.outer(mu, mean) + np.outer(mu, mu)))
self.assertAllClose(m1 * np.ones(2), 0.5 * np.ones(2))
pass
def test_message_to_parent_mu(self):
"""
Test that GaussianARD computes the message to the 1st parent correctly.
"""
# Check formula with uncertain parent alpha
mu = GaussianARD(0, 1)
alpha = Gamma(2, 1)
X = GaussianARD(mu, alpha)
X.observe(3)
(m0, m1) = mu._message_from_children()
#(m0, m1) = X._message_to_parent(0)
self.assertAllClose(m0, 2 * 3)
self.assertAllClose(m1, -0.5 * 2)
# Check formula with uncertain node
mu = GaussianARD(1, 1e10)
X = GaussianARD(mu, 2)
Y = GaussianARD(X, 1)
Y.observe(5)
X.update()
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, 2 * 1 / (2 + 1) * (2 * 1 + 1 * 5))
self.assertAllClose(m1, -0.5 * 2)
# Check alpha larger than mu
mu = GaussianARD(np.zeros((2, 3)), 1e10, shape=(2, 3))
X = GaussianARD(mu, 2 * np.ones((3, 2, 3)))
X.observe(3 * np.ones((3, 2, 3)))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, 2 * 3 * 3 * np.ones((2, 3)))
self.assertAllClose(m1, -0.5 * 3 * 2 * misc.identity(2, 3))
# Check mu larger than alpha
mu = GaussianARD(np.zeros((3, 2, 3)), 1e10, shape=(3, 2, 3))
X = GaussianARD(mu, 2 * np.ones((2, 3)))
X.observe(3 * np.ones((3, 2, 3)))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, 2 * 3 * np.ones((3, 2, 3)))
self.assertAllClose(m1, -0.5 * 2 * misc.identity(3, 2, 3))
# Check node larger than mu and alpha
mu = GaussianARD(np.zeros((2, 3)), 1e10, shape=(2, 3))
X = GaussianARD(mu, 2 * np.ones((3, )), shape=(3, 2, 3))
X.observe(3 * np.ones((3, 2, 3)))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, 2 * 3 * 3 * np.ones((2, 3)))
self.assertAllClose(m1, -0.5 * 2 * 3 * misc.identity(2, 3))
# Check broadcasting of dimensions
mu = GaussianARD(np.zeros((2, 1)), 1e10, shape=(2, 1))
X = GaussianARD(mu, 2 * np.ones((2, 3)), shape=(2, 3))
X.observe(3 * np.ones((2, 3)))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, 2 * 3 * 3 * np.ones((2, 1)))
self.assertAllClose(m1, -0.5 * 2 * 3 * misc.identity(2, 1))
# Check plates for smaller mu than node
mu = GaussianARD(0, 1, shape=(3, ), plates=(4, 1, 1))
X = GaussianARD(mu, 2 * np.ones((3, )), shape=(2, 3), plates=(4, 5))
X.observe(3 * np.ones((4, 5, 2, 3)))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0 * np.ones((4, 1, 1, 3)),
2 * 3 * 5 * 2 * np.ones((4, 1, 1, 3)))
self.assertAllClose(
m1 * np.ones((4, 1, 1, 3, 3)),
-0.5 * 2 * 5 * 2 * misc.identity(3) * np.ones((4, 1, 1, 3, 3)))
# Check mask
mu = GaussianARD(np.zeros((2, 1, 3)), 1e10, shape=(3, ))
X = GaussianARD(mu,
2 * np.ones((2, 4, 3)),
shape=(3, ),
plates=(
2,
4,
))
X.observe(3 * np.ones((2, 4, 3)),
mask=[[True, True, True, False], [False, True, False, True]])
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0, (2 * 3 * np.ones(
(2, 1, 3)) * np.array([[[3]], [[2]]])))
self.assertAllClose(m1, (-0.5 * 2 * misc.identity(3) * np.ones(
(2, 1, 1, 1)) * np.array([[[[3]]], [[[2]]]])))
# Check mask with different shapes
mu = GaussianARD(np.zeros((2, 1, 3)), 1e10, shape=())
X = GaussianARD(mu,
2 * np.ones((2, 4, 3)),
shape=(3, ),
plates=(
2,
4,
))
mask = np.array([[True, True, True, False], [False, True, False,
True]])
X.observe(3 * np.ones((2, 4, 3)), mask=mask)
(m0, m1) = mu._message_from_children()
self.assertAllClose(
m0, 2 * 3 * np.sum(
np.ones((2, 4, 3)) * mask[..., None], axis=-2, keepdims=True))
self.assertAllClose(m1, (-0.5 * 2 * np.sum(
np.ones((2, 4, 3)) * mask[..., None], axis=-2, keepdims=True)))
# Check non-ARD Gaussian child
mu = np.array([1, 2])
Mu = GaussianARD(mu, 1e10, shape=(2, ))
alpha = np.array([3, 4])
Lambda = np.array([[1, 0.5], [0.5, 1]])
X = GaussianARD(Mu, alpha)
Y = Gaussian(X, Lambda)
y = np.array([5, 6])
Y.observe(y)
X.update()
(m0, m1) = Mu._message_from_children()
mean = np.dot(np.linalg.inv(np.diag(alpha) + Lambda),
np.dot(np.diag(alpha), mu) + np.dot(Lambda, y))
self.assertAllClose(m0, np.dot(np.diag(alpha), mean))
self.assertAllClose(m1, -0.5 * np.diag(alpha))
# Check broadcasted variable axes
mu = GaussianARD(np.zeros(1), 1e10, shape=(1, ))
X = GaussianARD(mu, 2, shape=(3, ))
X.observe(3 * np.ones(3))
(m0, m1) = mu._message_from_children()
self.assertAllClose(m0,
2 * 3 * np.sum(np.ones(3), axis=-1, keepdims=True))
self.assertAllClose(
m1,
-0.5 * 2 * np.sum(np.identity(3), axis=(-1, -2), keepdims=True))
pass
def test_message_to_child(self):
"""
Test the message to child of GaussianGamma node.
"""
# Simple test
mu = np.array([1,2,3])
Lambda = np.identity(3)
a = 2
b = 10
X_alpha = GaussianGamma(mu, Lambda, a, b)
u = X_alpha._message_to_child()
self.assertEqual(len(u), 4)
tau = np.array(a/b)
self.assertAllClose(u[0],
tau[...,None] * mu)
self.assertAllClose(u[1],
(linalg.inv(Lambda)
+ tau[...,None,None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2],
tau)
self.assertAllClose(u[3],
-np.log(b) + special.psi(a))
# Test with unknown parents
mu = Gaussian(np.arange(3), 10*np.identity(3))
Lambda = Wishart(10, np.identity(3))
a = 2
b = Gamma(3, 15)
X_alpha = GaussianGamma(mu, Lambda, a, b)
u = X_alpha._message_to_child()
(mu, mumu) = mu._message_to_child()
Cov_mu = mumu - linalg.outer(mu, mu)
(Lambda, _) = Lambda._message_to_child()
(b, _) = b._message_to_child()
(tau, logtau) = Gamma(a, b + 0.5*np.sum(Lambda*Cov_mu))._message_to_child()
self.assertAllClose(u[0],
tau[...,None] * mu)
self.assertAllClose(u[1],
(linalg.inv(Lambda)
+ tau[...,None,None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2],
tau)
self.assertAllClose(u[3],
logtau)
# Test with plates
mu = Gaussian(np.reshape(np.arange(3*4), (4,3)),
10*np.identity(3),
plates=(4,))
Lambda = Wishart(10, np.identity(3))
a = 2
b = Gamma(3, 15)
X_alpha = GaussianGamma(mu, Lambda, a, b, plates=(4,))
u = X_alpha._message_to_child()
(mu, mumu) = mu._message_to_child()
Cov_mu = mumu - linalg.outer(mu, mu)
(Lambda, _) = Lambda._message_to_child()
(b, _) = b._message_to_child()
(tau, logtau) = Gamma(a,
b + 0.5*np.sum(Lambda*Cov_mu,
axis=(-1,-2)))._message_to_child()
self.assertAllClose(u[0] * np.ones((4,1)),
np.ones((4,1)) * tau[...,None] * mu)
self.assertAllClose(u[1] * np.ones((4,1,1)),
np.ones((4,1,1)) * (linalg.inv(Lambda)
+ tau[...,None,None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2] * np.ones(4),
np.ones(4) * tau)
self.assertAllClose(u[3] * np.ones(4),
np.ones(4) * logtau)
pass
def test_lowerbound(self):
"""
Test the variational Bayesian lower bound term for GaussianARD.
"""
# Test vector formula with full noise covariance
m = np.random.randn(2)
alpha = np.random.rand(2)
y = np.random.randn(2)
X = GaussianARD(m, alpha, ndim=1)
V = np.array([[3,1],[1,3]])
Y = Gaussian(X, V)
Y.observe(y)
X.update()
Cov = np.linalg.inv(np.diag(alpha) + V)
mu = np.dot(Cov, np.dot(V, y) + alpha*m)
x2 = np.outer(mu, mu) + Cov
logH_X = (+ 2*0.5*(1+np.log(2*np.pi))
+ 0.5*np.log(np.linalg.det(Cov)))
logp_X = (- 2*0.5*np.log(2*np.pi)
+ 0.5*np.log(np.linalg.det(np.diag(alpha)))
- 0.5*np.sum(np.diag(alpha)
* (x2
- np.outer(mu,m)
- np.outer(m,mu)
+ np.outer(m,m))))
self.assertAllClose(logp_X + logH_X,
X.lower_bound_contribution())
def check_lower_bound(shape_mu, shape_alpha, plates_mu=(), **kwargs):
M = GaussianARD(np.ones(plates_mu + shape_mu),
np.ones(plates_mu + shape_mu),
shape=shape_mu,
plates=plates_mu)
if not ('ndim' in kwargs or 'shape' in kwargs):
kwargs['ndim'] = len(shape_mu)
X = GaussianARD(M,
2*np.ones(shape_alpha),
**kwargs)
Y = GaussianARD(X,
3*np.ones(X.get_shape(0)),
**kwargs)
Y.observe(4*np.ones(Y.get_shape(0)))
X.update()
Cov = 1/(2+3)
mu = Cov * (2*1 + 3*4)
x2 = mu**2 + Cov
logH_X = (+ 0.5*(1+np.log(2*np.pi))
+ 0.5*np.log(Cov))
logp_X = (- 0.5*np.log(2*np.pi)
+ 0.5*np.log(2)
- 0.5*2*(x2 - 2*mu*1 + 1**2+1))
r = np.prod(X.get_shape(0))
self.assertAllClose(r * (logp_X + logH_X),
X.lower_bound_contribution())
# Test scalar formula
check_lower_bound((), ())
# Test array formula
check_lower_bound((2,3), (2,3))
# Test dim-broadcasting of mu
check_lower_bound((3,1), (2,3,4))
# Test dim-broadcasting of alpha
check_lower_bound((2,3,4), (3,1))
# Test dim-broadcasting of mu and alpha
check_lower_bound((3,1), (3,1),
shape=(2,3,4))
# Test dim-broadcasting of mu with plates
check_lower_bound((), (),
plates_mu=(),
shape=(),
plates=(5,))
# BUG: Scalar parents for array variable caused einsum error
check_lower_bound((), (),
shape=(3,))
# BUG: Log-det was summed over plates
check_lower_bound((), (),
shape=(3,),
plates=(4,))
pass
def run(N=100000, N_batch=50, seed=42, maxiter=100, plot=True):
"""
Run deterministic annealing demo for 1-D Gaussian mixture.
"""
if seed is not None:
np.random.seed(seed)
# Number of clusters in the model
K = 20
# Dimensionality of the data
D = 5
# Generate data
K_true = 10
spread = 5
means = spread * np.random.randn(K_true, D)
z = random.categorical(np.ones(K_true), size=N)
data = np.empty((N, D))
for n in range(N):
data[n] = means[z[n]] + np.random.randn(D)
#
# Standard VB-EM algorithm
#
# Full model
mu = Gaussian(np.zeros(D), np.identity(D), plates=(K, ), name='means')
alpha = Dirichlet(np.ones(K), name='class probabilities')
Z = Categorical(alpha, plates=(N, ), name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D), name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Put the data in
Y.observe(data)
# Run inference
Q = VB(Y, Z, mu, alpha)
Q.save(mu)
Q.update(repeat=maxiter)
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'k-')
max_cputime = np.sum(Q.cputime[~np.isnan(Q.cputime)])
#
# Stochastic variational inference
#
# Construct smaller model (size of the mini-batch)
mu = Gaussian(np.zeros(D), np.identity(D), plates=(K, ), name='means')
alpha = Dirichlet(np.ones(K), name='class probabilities')
Z = Categorical(alpha,
plates=(N_batch, ),
plates_multiplier=(N / N_batch, ),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D), name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Inference engine
Q = VB(Y, Z, mu, alpha, autosave_filename=Q.autosave_filename)
Q.load(mu)
# Because using mini-batches, messages need to be multiplied appropriately
print("Stochastic variational inference...")
Q.ignore_bound_checks = True
maxiter *= int(N / N_batch)
delay = 1
forgetting_rate = 0.7
for n in range(maxiter):
# Observe a mini-batch
subset = np.random.choice(N, N_batch)
Y.observe(data[subset, :])
# Learn intermediate variables
Q.update(Z)
# Set step length
step = (n + delay)**(-forgetting_rate)
# Stochastic gradient for the global variables
Q.gradient_step(mu, alpha, scale=step)
if np.sum(Q.cputime[:n]) > max_cputime:
break
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'r:')
bpplt.pyplot.xlabel('CPU time (in seconds)')
bpplt.pyplot.ylabel('VB lower bound')
bpplt.pyplot.legend(['VB-EM', 'Stochastic inference'],
loc='lower right')
bpplt.pyplot.title('VB for Gaussian mixture model')
return
def run(N=100000, N_batch=50, seed=42, maxiter=100, plot=True):
"""
Run deterministic annealing demo for 1-D Gaussian mixture.
"""
if seed is not None:
np.random.seed(seed)
# Number of clusters in the model
K = 20
# Dimensionality of the data
D = 5
# Generate data
K_true = 10
spread = 5
means = spread * np.random.randn(K_true, D)
z = random.categorical(np.ones(K_true), size=N)
data = np.empty((N,D))
for n in range(N):
data[n] = means[z[n]] + np.random.randn(D)
#
# Standard VB-EM algorithm
#
# Full model
mu = Gaussian(np.zeros(D), np.identity(D),
plates=(K,),
name='means')
alpha = Dirichlet(np.ones(K),
name='class probabilities')
Z = Categorical(alpha,
plates=(N,),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D),
name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Put the data in
Y.observe(data)
# Run inference
Q = VB(Y, Z, mu, alpha)
Q.save(mu)
Q.update(repeat=maxiter)
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'k-')
max_cputime = np.sum(Q.cputime[~np.isnan(Q.cputime)])
#
# Stochastic variational inference
#
# Construct smaller model (size of the mini-batch)
mu = Gaussian(np.zeros(D), np.identity(D),
plates=(K,),
name='means')
alpha = Dirichlet(np.ones(K),
name='class probabilities')
Z = Categorical(alpha,
plates=(N_batch,),
plates_multiplier=(N/N_batch,),
name='classes')
Y = Mixture(Z, Gaussian, mu, np.identity(D),
name='observations')
# Break symmetry with random initialization of the means
mu.initialize_from_random()
# Inference engine
Q = VB(Y, Z, mu, alpha, autosave_filename=Q.autosave_filename)
Q.load(mu)
# Because using mini-batches, messages need to be multiplied appropriately
print("Stochastic variational inference...")
Q.ignore_bound_checks = True
maxiter *= int(N/N_batch)
delay = 1
forgetting_rate = 0.7
for n in range(maxiter):
# Observe a mini-batch
subset = np.random.choice(N, N_batch)
Y.observe(data[subset,:])
# Learn intermediate variables
Q.update(Z)
# Set step length
step = (n + delay) ** (-forgetting_rate)
# Stochastic gradient for the global variables
Q.gradient_step(mu, alpha, scale=step)
if np.sum(Q.cputime[:n]) > max_cputime:
break
if plot:
bpplt.pyplot.plot(np.cumsum(Q.cputime), Q.L, 'r:')
bpplt.pyplot.xlabel('CPU time (in seconds)')
bpplt.pyplot.ylabel('VB lower bound')
bpplt.pyplot.legend(['VB-EM', 'Stochastic inference'], loc='lower right')
bpplt.pyplot.title('VB for Gaussian mixture model')
return
def test_gradient(self):
"""Test standard gradient of a Gaussian node."""
D = 3
np.random.seed(42)
#
# Without observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
Q = VB(X)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound(ignore_masked=False)
g_num = [np.zeros(D), np.zeros((D, D))]
for i in range(D):
e = np.zeros(D)
e[i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound(ignore_masked=False)
g_num[0][i] = (l1 - l0) / eps
for i in range(D):
for j in range(i + 1):
e = np.zeros((D, D))
e[i, j] += eps
e[j, i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound(ignore_masked=False)
g_num[1][i, j] = (l1 - l0) / (2 * eps)
g_num[1][j, i] = (l1 - l0) / (2 * eps)
# Check
self.assertAllClose(g[0], g_num[0])
self.assertAllClose(g[1], g_num[1])
#
# With observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
V = random.covariance(D)
Y = Gaussian(X, V)
Y.observe(np.random.randn(D))
Q = VB(Y, X)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound()
g_num = [np.zeros(D), np.zeros((D, D))]
for i in range(D):
e = np.zeros(D)
e[i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound()
g_num[0][i] = (l1 - l0) / eps
for i in range(D):
for j in range(i + 1):
e = np.zeros((D, D))
e[i, j] += eps
e[j, i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound()
g_num[1][i, j] = (l1 - l0) / (2 * eps)
g_num[1][j, i] = (l1 - l0) / (2 * eps)
# Check
self.assertAllClose(g[0], g_num[0])
self.assertAllClose(g[1], g_num[1])
#
# With plates
#
# Construct model
K = D + 1
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda, plates=(K, ))
V = random.covariance(D, size=(K, ))
Y = Gaussian(X, V)
Y.observe(np.random.randn(K, D))
Q = VB(Y, X)
# Random initialization
mu0 = np.random.randn(*(X.get_shape(0)))
Lambda0 = random.covariance(D, size=X.plates)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound()
g_num = [np.zeros(X.get_shape(0)), np.zeros(X.get_shape(1))]
for k in range(K):
for i in range(D):
e = np.zeros(X.get_shape(0))
e[k, i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound()
g_num[0][k, i] = (l1 - l0) / eps
for i in range(D):
for j in range(i + 1):
e = np.zeros(X.get_shape(1))
e[k, i, j] += eps
e[k, j, i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound()
g_num[1][k, i, j] = (l1 - l0) / (2 * eps)
g_num[1][k, j, i] = (l1 - l0) / (2 * eps)
# Check
self.assertAllClose(g[0], g_num[0])
self.assertAllClose(g[1], g_num[1])
pass
def test_message_to_child(self):
"""
Test the message to child of GaussianGammaISO node.
"""
# Simple test
mu = np.array([1, 2, 3])
Lambda = np.identity(3)
a = 2
b = 10
X_alpha = GaussianGammaISO(mu, Lambda, a, b)
u = X_alpha._message_to_child()
self.assertEqual(len(u), 4)
tau = np.array(a / b)
self.assertAllClose(u[0], tau[..., None] * mu)
self.assertAllClose(
u[1],
(linalg.inv(Lambda) + tau[..., None, None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2], tau)
self.assertAllClose(u[3], -np.log(b) + special.psi(a))
# Test with unknown parents
mu = Gaussian(np.arange(3), 10 * np.identity(3))
Lambda = Wishart(10, np.identity(3))
a = 2
b = Gamma(3, 15)
X_alpha = GaussianGammaISO(mu, Lambda, a, b)
u = X_alpha._message_to_child()
(mu, mumu) = mu._message_to_child()
Cov_mu = mumu - linalg.outer(mu, mu)
(Lambda, _) = Lambda._message_to_child()
(b, _) = b._message_to_child()
(tau, logtau) = Gamma(
a, b + 0.5 * np.sum(Lambda * Cov_mu))._message_to_child()
self.assertAllClose(u[0], tau[..., None] * mu)
self.assertAllClose(
u[1],
(linalg.inv(Lambda) + tau[..., None, None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2], tau)
self.assertAllClose(u[3], logtau)
# Test with plates
mu = Gaussian(np.reshape(np.arange(3 * 4), (4, 3)),
10 * np.identity(3),
plates=(4, ))
Lambda = Wishart(10, np.identity(3))
a = 2
b = Gamma(3, 15)
X_alpha = GaussianGammaISO(mu, Lambda, a, b, plates=(4, ))
u = X_alpha._message_to_child()
(mu, mumu) = mu._message_to_child()
Cov_mu = mumu - linalg.outer(mu, mu)
(Lambda, _) = Lambda._message_to_child()
(b, _) = b._message_to_child()
(tau, logtau) = Gamma(
a, b +
0.5 * np.sum(Lambda * Cov_mu, axis=(-1, -2)))._message_to_child()
self.assertAllClose(u[0] * np.ones((4, 1)),
np.ones((4, 1)) * tau[..., None] * mu)
self.assertAllClose(
u[1] * np.ones((4, 1, 1)),
np.ones((4, 1, 1)) *
(linalg.inv(Lambda) + tau[..., None, None] * linalg.outer(mu, mu)))
self.assertAllClose(u[2] * np.ones(4), np.ones(4) * tau)
self.assertAllClose(u[3] * np.ones(4), np.ones(4) * logtau)
pass
def test_lowerbound(self):
"""
Test the variational Bayesian lower bound term for GaussianARD.
"""
# Test vector formula with full noise covariance
m = np.random.randn(2)
alpha = np.random.rand(2)
y = np.random.randn(2)
X = GaussianARD(m, alpha, ndim=1)
V = np.array([[3, 1], [1, 3]])
Y = Gaussian(X, V)
Y.observe(y)
X.update()
Cov = np.linalg.inv(np.diag(alpha) + V)
mu = np.dot(Cov, np.dot(V, y) + alpha * m)
x2 = np.outer(mu, mu) + Cov
logH_X = (+2 * 0.5 * (1 + np.log(2 * np.pi)) +
0.5 * np.log(np.linalg.det(Cov)))
logp_X = (
-2 * 0.5 * np.log(2 * np.pi) +
0.5 * np.log(np.linalg.det(np.diag(alpha))) - 0.5 * np.sum(
np.diag(alpha) *
(x2 - np.outer(mu, m) - np.outer(m, mu) + np.outer(m, m))))
self.assertAllClose(logp_X + logH_X, X.lower_bound_contribution())
def check_lower_bound(shape_mu, shape_alpha, plates_mu=(), **kwargs):
M = GaussianARD(np.ones(plates_mu + shape_mu),
np.ones(plates_mu + shape_mu),
shape=shape_mu,
plates=plates_mu)
X = GaussianARD(M, 2 * np.ones(shape_alpha), **kwargs)
Y = GaussianARD(X, 3 * np.ones(X.get_shape(0)), **kwargs)
Y.observe(4 * np.ones(Y.get_shape(0)))
X.update()
Cov = 1 / (2 + 3)
mu = Cov * (2 * 1 + 3 * 4)
x2 = mu**2 + Cov
logH_X = (+0.5 * (1 + np.log(2 * np.pi)) + 0.5 * np.log(Cov))
logp_X = (-0.5 * np.log(2 * np.pi) + 0.5 * np.log(2) - 0.5 * 2 *
(x2 - 2 * mu * 1 + 1**2 + 1))
r = np.prod(X.get_shape(0))
self.assertAllClose(r * (logp_X + logH_X),
X.lower_bound_contribution())
# Test scalar formula
check_lower_bound((), ())
# Test array formula
check_lower_bound((2, 3), (2, 3))
# Test dim-broadcasting of mu
check_lower_bound((3, 1), (2, 3, 4))
# Test dim-broadcasting of alpha
check_lower_bound((2, 3, 4), (3, 1))
# Test dim-broadcasting of mu and alpha
check_lower_bound((3, 1), (3, 1), shape=(2, 3, 4))
# Test dim-broadcasting of mu with plates
check_lower_bound((), (), plates_mu=(), shape=(), plates=(5, ))
# BUG: Scalar parents for array variable caused einsum error
check_lower_bound((), (), shape=(3, ))
# BUG: Log-det was summed over plates
check_lower_bound((), (), shape=(3, ), plates=(4, ))
pass
def test_messages(self):
D = 2
M = 3
np.random.seed(42)
def check(mu, Lambda, alpha, beta, ndim):
X = GaussianGamma(
mu,
(
Lambda if isinstance(Lambda._moments, WishartMoments) else
Lambda.as_wishart(ndim=ndim)
),
alpha,
beta,
ndim=ndim
)
self.assert_moments(
X,
postprocess=lambda u: [
u[0],
u[1] + linalg.transpose(u[1], ndim=ndim),
u[2],
u[3]
],
rtol=1e-5,
atol=1e-6,
eps=1e-8
)
X.observe(
(
np.random.randn(*(X.plates + X.dims[0])),
np.random.rand(*X.plates)
)
)
self.assert_message_to_parent(X, mu)
self.assert_message_to_parent(
X,
Lambda,
postprocess=lambda m: [
m[0] + linalg.transpose(m[0], ndim=ndim),
m[1],
]
)
self.assert_message_to_parent(X, beta)
check(
Gaussian(np.random.randn(M, D), random.covariance(D), plates=(M,)),
Wishart(D + np.random.rand(M), random.covariance(D), plates=(M,)),
np.random.rand(M),
Gamma(np.random.rand(M), np.random.rand(M), plates=(M,)),
ndim=1
)
check(
GaussianARD(np.random.randn(M, D), np.random.rand(M, D), ndim=0),
Gamma(np.random.rand(M, D), np.random.rand(M, D)),
np.random.rand(M, D),
Gamma(np.random.rand(M, D), np.random.rand(M, D)),
ndim=0
)
pass
#( 5 : Parameter expansion 収束が遅い時) # from bayespy.inference.vmp import transformations # rotX = transformations.RotateGaussianARD(X) # rotC = transformations.RotateGaussianARD(C, alpha) # R = transformations.RotationOptimizer(rotC, rotX, D) # R.rotate() # alpha.initialize_from_prior() # C.initialize_from_prior() # X.initialize_from_parameters(np.random.randn(1, 100, D), 10) # tau.initialize_from_prior() # Q = VB(Y, C, X, alpha, tau) # Q.callback = R.rotate # Q.update(repeat=1000, tol=1e-6) # -----Examining the results----- # Plotting the results bpplt.pyplot.figure() bpplt.pdf(Q['tau'], np.linspace(60, 140, num=100)) V = Gaussian([3, 5], [[4, 2], [2, 5]]) bpplt.pyplot.figure() bpplt.contour(V, np.linspace(1, 5, num=100), np.linspace(3, 7, num=100)) bpplt.pyplot.figure() bpplt.hinton(C) bpplt.pyplot.figure() bpplt.plot(X, axis=-2) bpplt.pyplot.show()
def test_init(self):
"""
Test the creation of GaussianGammaISO node
"""
# Simple construction
X_alpha = GaussianGammaISO([1, 2, 3], np.identity(3), 2, 10)
self.assertEqual(X_alpha.plates, ())
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Plates
X_alpha = GaussianGammaISO([1, 2, 3],
np.identity(3),
2,
10,
plates=(4, ))
self.assertEqual(X_alpha.plates, (4, ))
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Plates in mu
X_alpha = GaussianGammaISO(np.ones((4, 3)), np.identity(3), 2, 10)
self.assertEqual(X_alpha.plates, (4, ))
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Plates in Lambda
X_alpha = GaussianGammaISO(np.ones(3),
np.ones((4, 3, 3)) * np.identity(3), 2, 10)
self.assertEqual(X_alpha.plates, (4, ))
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Plates in a
X_alpha = GaussianGammaISO(np.ones(3), np.identity(3), np.ones(4), 10)
self.assertEqual(X_alpha.plates, (4, ))
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Plates in Lambda
X_alpha = GaussianGammaISO(np.ones(3), np.identity(3), 2, np.ones(4))
self.assertEqual(X_alpha.plates, (4, ))
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# Inconsistent plates
self.assertRaises(ValueError,
GaussianGammaISO,
np.ones((4, 3)),
np.identity(3),
2,
10,
plates=())
# Inconsistent plates
self.assertRaises(ValueError,
GaussianGammaISO,
np.ones((4, 3)),
np.identity(3),
2,
10,
plates=(5, ))
# Unknown parameters
mu = Gaussian(np.zeros(3), np.identity(3))
Lambda = Wishart(10, np.identity(3))
b = Gamma(1, 1)
X_alpha = GaussianGammaISO(mu, Lambda, 2, b)
self.assertEqual(X_alpha.plates, ())
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
# mu is Gaussian-gamma
mu_tau = GaussianGammaISO(np.ones(3), np.identity(3), 5, 5)
X_alpha = GaussianGammaISO(mu_tau, np.identity(3), 5, 5)
self.assertEqual(X_alpha.plates, ())
self.assertEqual(X_alpha.dims, ((3, ), (3, 3), (), ()))
pass
def test_riemannian_gradient(self):
"""Test Riemannian gradient of a Gaussian node."""
D = 3
#
# Without observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
g = X.get_riemannian_gradient()
# Parameters after VB-EM update
X.update()
phi1 = X.phi
# Check
self.assertAllClose(g[0],
phi1[0] - phi0[0])
self.assertAllClose(g[1],
phi1[1] - phi0[1])
# TODO/FIXME: Actually, gradient should be zero because cost function
# is zero without observations! Use the mask!
#
# With observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
V = random.covariance(D)
Y = Gaussian(X, V)
Y.observe(np.random.randn(D))
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
g = X.get_riemannian_gradient()
# Parameters after VB-EM update
X.update()
phi1 = X.phi
# Check
self.assertAllClose(g[0],
phi1[0] - phi0[0])
self.assertAllClose(g[1],
phi1[1] - phi0[1])
pass
def test_riemannian_gradient(self):
"""Test Riemannian gradient of a Gaussian node."""
D = 3
#
# Without observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
g = X.get_riemannian_gradient()
# Parameters after VB-EM update
X.update()
phi1 = X.phi
# Check
self.assertAllClose(g[0], phi1[0] - phi0[0])
self.assertAllClose(g[1], phi1[1] - phi0[1])
# TODO/FIXME: Actually, gradient should be zero because cost function
# is zero without observations! Use the mask!
#
# With observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
V = random.covariance(D)
Y = Gaussian(X, V)
Y.observe(np.random.randn(D))
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
g = X.get_riemannian_gradient()
# Parameters after VB-EM update
X.update()
phi1 = X.phi
# Check
self.assertAllClose(g[0], phi1[0] - phi0[0])
self.assertAllClose(g[1], phi1[1] - phi0[1])
pass
def test_gradient(self):
"""Test standard gradient of a Gaussian node."""
D = 3
np.random.seed(42)
#
# Without observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
Q = VB(X)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound(ignore_masked=False)
g_num = [np.zeros(D), np.zeros((D,D))]
for i in range(D):
e = np.zeros(D)
e[i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound(ignore_masked=False)
g_num[0][i] = (l1 - l0) / eps
for i in range(D):
for j in range(i+1):
e = np.zeros((D,D))
e[i,j] += eps
e[j,i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound(ignore_masked=False)
g_num[1][i,j] = (l1 - l0) / (2*eps)
g_num[1][j,i] = (l1 - l0) / (2*eps)
# Check
self.assertAllClose(g[0],
g_num[0])
self.assertAllClose(g[1],
g_num[1])
#
# With observations
#
# Construct model
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda)
# Random initialization
mu0 = np.random.randn(D)
Lambda0 = random.covariance(D)
X.initialize_from_parameters(mu0, Lambda0)
V = random.covariance(D)
Y = Gaussian(X, V)
Y.observe(np.random.randn(D))
Q = VB(Y, X)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound()
g_num = [np.zeros(D), np.zeros((D,D))]
for i in range(D):
e = np.zeros(D)
e[i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound()
g_num[0][i] = (l1 - l0) / eps
for i in range(D):
for j in range(i+1):
e = np.zeros((D,D))
e[i,j] += eps
e[j,i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound()
g_num[1][i,j] = (l1 - l0) / (2*eps)
g_num[1][j,i] = (l1 - l0) / (2*eps)
# Check
self.assertAllClose(g[0],
g_num[0])
self.assertAllClose(g[1],
g_num[1])
#
# With plates
#
# Construct model
K = D+1
mu = np.random.randn(D)
Lambda = random.covariance(D)
X = Gaussian(mu, Lambda, plates=(K,))
V = random.covariance(D, size=(K,))
Y = Gaussian(X, V)
Y.observe(np.random.randn(K,D))
Q = VB(Y, X)
# Random initialization
mu0 = np.random.randn(*(X.get_shape(0)))
Lambda0 = random.covariance(D, size=X.plates)
X.initialize_from_parameters(mu0, Lambda0)
# Initial parameters
phi0 = X.phi
# Gradient
rg = X.get_riemannian_gradient()
g = X.get_gradient(rg)
# Numerical gradient
eps = 1e-6
p0 = X.get_parameters()
l0 = Q.compute_lowerbound()
g_num = [np.zeros(X.get_shape(0)), np.zeros(X.get_shape(1))]
for k in range(K):
for i in range(D):
e = np.zeros(X.get_shape(0))
e[k,i] = eps
p1 = p0[0] + e
X.set_parameters([p1, p0[1]])
l1 = Q.compute_lowerbound()
g_num[0][k,i] = (l1 - l0) / eps
for i in range(D):
for j in range(i+1):
e = np.zeros(X.get_shape(1))
e[k,i,j] += eps
e[k,j,i] += eps
p1 = p0[1] + e
X.set_parameters([p0[0], p1])
l1 = Q.compute_lowerbound()
g_num[1][k,i,j] = (l1 - l0) / (2*eps)
g_num[1][k,j,i] = (l1 - l0) / (2*eps)
# Check
self.assertAllClose(g[0],
g_num[0])
self.assertAllClose(g[1],
g_num[1])
pass
from bayespy.nodes import Dirichlet, Categorical from bayespy.nodes import Gaussian, Wishart from bayespy.nodes import Mixture from bayespy.inference import VB y0 = np.random.multivariate_normal([0, 0], [[2, 0], [0, 0.1]], size=50) y1 = np.random.multivariate_normal([0, 0], [[0.1, 0], [0, 2]], size=50) y2 = np.random.multivariate_normal([2, 2], [[2, -1.5], [-1.5, 2]], size=50) y3 = np.random.multivariate_normal([-2, -2], [[0.5, 0], [0, 0.5]], size=50) y = np.vstack([y0, y1, y2, y3]) N = 200 D = 2 K = 10 alpha = Dirichlet(1e-5*np.ones(K), name='alpha') Z = Categorical(alpha, plates=(N,),name='z') mu = Gaussian(np.zeros(D),1e-5*np.identity(D),plates=(K,),name='mu') Lambda = Wishart(D,1e-5*np.identity(D),plates=(K,),name='Lambda') Y = Mixture(Z, Gaussian, mu, Lambda, name='Y') Z.initialize_from_random() Q = VB(Y, mu, Lambda, Z, alpha) Y.observe(y) Q.update(repeat=1000) bpplt.gaussian_mixture_2d(Y, alpha=alpha, scale=2)
action_nodes = {}
O_D = int(np.prod(env.observation_space.shape)
) # will only work with low dimensions. Need filter
if isinstance(env.action_space, gym.spaces.discrete.Discrete):
A_D = env.action_space.n
#mu = np.zeros(D)
#lambda_ = 1e-5*np.identity(D)
for obs in observations:
trial = obs[0]
o_n = obs[1:O_D + 1]
n = obs[-1]
if n in obs_nodes:
X = obs_nodes[n]
else:
mu = Gaussian(np.zeros(O_D), 1e-5 * np.identity(O_D))
lambda_ = Wishart(O_D, np.identity(O_D))
O_n = Gaussian(mu, lambda_, name=f"O_{n}")
obs_nodes[n] = O_n
X.observe(o_n)
for action in actions:
trial, agent, a_n, n = action
if a_n < 0: #action reset
continue
if n in action_nodes:
A = action_nodes[n]
else:
category_prob = Dirichlet(1e-3 * np.ones(A_D),
name='category_prob') #FIXME: Unconfirmed!
A = Categorical(category_prob)
