def block_logdet(self, var, cov_mat_root):
var = flatten(var)
cov_mat_lt = RootLazyTensor(cov_mat_root.t())
var_lt = DiagLazyTensor(var + 1e-6)
covar_lt = AddedDiagLazyTensor(var_lt, cov_mat_lt)
return covar_lt.log_det()
def test_added_diag_lt(self, N=10000, p=20, use_cuda=False, seed=1):
torch.manual_seed(seed)
if torch.cuda.is_available() and use_cuda:
print("Using cuda")
device = torch.device("cuda")
torch.cuda.manual_seed_all(seed)
else:
device = torch.device("cpu")
D = torch.randn(N, p, device=device)
A = torch.randn(N, device=device).abs() * 1e-3 + 0.1
# this is a lazy tensor for DD'
D_lt = RootLazyTensor(D)
# this is a lazy tensor for diag(A)
diag_term = DiagLazyTensor(A)
# DD' + diag(A)
lowrank_pdiag_lt = AddedDiagLazyTensor(diag_term, D_lt)
# z \sim N(0,I), mean = 1
z = torch.randn(N, device=device)
mean = torch.ones(N, device=device)
diff = mean - z
print(lowrank_pdiag_lt.log_det())
logdet = lowrank_pdiag_lt.log_det()
inv_matmul = lowrank_pdiag_lt.inv_matmul(diff.unsqueeze(1)).squeeze(1)
inv_matmul_quad = torch.dot(diff, inv_matmul)
"""inv_matmul_quad_qld, logdet_qld = lowrank_pdiag_lt.inv_quad_log_det(inv_quad_rhs=diff.unsqueeze(1), log_det = True)
"""
"""from gpytorch.functions._inv_quad_log_det import InvQuadLogDet
iqld_construct = InvQuadLogDet(gpytorch.lazy.lazy_tensor_representation_tree.LazyTensorRepresentationTree(lowrank_pdiag_lt),
matrix_shape=lowrank_pdiag_lt.matrix_shape,
dtype=lowrank_pdiag_lt.dtype,
device=lowrank_pdiag_lt.device,
inv_quad=True,
log_det=True,
preconditioner=lowrank_pdiag_lt._preconditioner()[0],
log_det_correction=lowrank_pdiag_lt._preconditioner()[1])
inv_matmul_quad_qld, logdet_qld = iqld_construct(diff.unsqueeze(1))"""
num_random_probes = gpytorch.settings.num_trace_samples.value()
probe_vectors = torch.empty(
lowrank_pdiag_lt.matrix_shape[-1],
num_random_probes,
dtype=lowrank_pdiag_lt.dtype,
device=lowrank_pdiag_lt.device,
)
probe_vectors.bernoulli_().mul_(2).add_(-1)
probe_vector_norms = torch.norm(probe_vectors, 2, dim=-2, keepdim=True)
probe_vectors = probe_vectors.div(probe_vector_norms)
# diff_norm = diff.norm()
# diff = diff/diff_norm
rhs = torch.cat([diff.unsqueeze(1), probe_vectors], dim=1)
solves, t_mat = gpytorch.utils.linear_cg(
lowrank_pdiag_lt.matmul,
rhs,
n_tridiag=num_random_probes,
max_iter=gpytorch.settings.max_cg_iterations.value(),
max_tridiag_iter=gpytorch.settings.
max_lanczos_quadrature_iterations.value(),
preconditioner=lowrank_pdiag_lt._preconditioner()[0],
)
# print(solves)
inv_matmul_qld = solves[:, 0] # * diff_norm
diff_solve = gpytorch.utils.linear_cg(
lowrank_pdiag_lt.matmul,
diff.unsqueeze(1),
max_iter=gpytorch.settings.max_cg_iterations.value(),
preconditioner=lowrank_pdiag_lt._preconditioner()[0],
)
print("diff_solve_norm: ", diff_solve.norm())
print(
"diff between multiple linear_cg: ",
(inv_matmul_qld.unsqueeze(1) - diff_solve).norm() /
diff_solve.norm(),
)
eigenvalues, eigenvectors = gpytorch.utils.lanczos.lanczos_tridiag_to_diag(
t_mat)
slq = gpytorch.utils.StochasticLQ()
log_det_term, = slq.evaluate(
lowrank_pdiag_lt.matrix_shape,
eigenvalues,
eigenvectors,
[lambda x: x.log()],
)
logdet_qld = log_det_term + lowrank_pdiag_lt._preconditioner()[1]
print("Log det difference: ",
(logdet - logdet_qld).norm() / logdet.norm())
print(
"inv matmul difference: ",
(inv_matmul - inv_matmul_qld).norm() / inv_matmul_quad.norm(),
)
# N(1, DD' + diag(A))
lazydist = MultivariateNormal(mean, lowrank_pdiag_lt)
lazy_lprob = lazydist.log_prob(z)
# exact log probability with Cholesky decomposition
exact_dist = torch.distributions.MultivariateNormal(
mean,
lowrank_pdiag_lt.evaluate().float())
exact_lprob = exact_dist.log_prob(z)
print(lazy_lprob, exact_lprob)
rel_error = torch.norm(lazy_lprob - exact_lprob) / exact_lprob.norm()
self.assertLess(rel_error.cpu().item(), 0.01)