def main():
nTrain = 200
nQuery = [150, 100]
nDims = 2
# Make test dataset:
X = np.random.uniform(0, 1.0, size=(nTrain, nDims))
X = (X + 0.2 * (X > 0.5))/1.2
X = X[np.argsort(X[:, 0])]
noise = np.random.normal(loc=0.0, scale=0.1, size=(nTrain,))
Y = (np.cos(3*np.pi*X[:, 0]) + np.cos(3*np.pi*X[:, 1])) + noise
data_mean = np.mean(Y, axis=0)
ys = Y-data_mean
# make a gridded query
Xsx = np.linspace(0., 1., nQuery[0])
Xsy = np.linspace(0., 1., nQuery[1])
xv, yv = np.meshgrid(Xsx, Xsy)
Xs = np.vstack((xv.ravel(), yv.ravel())).T
# Compose isotropic kernel:
def kerneldef(h, k):
a = h(0.1, 5, 0.1)
b = h(0.1, 5, 0.1)
logsigma = h(-6, 1)
return a*k(gp.kernels.gaussian, b) + k(gp.kernels.lognoise, logsigma)
hyper_params = gp.learn(X, ys, kerneldef, verbose=True, ftol=1e-5,
maxiter=2000)
print(gp.describe(kerneldef, hyper_params))
regressor = gp.condition(X, ys, kerneldef, hyper_params)
query = gp.query(regressor, Xs)
post_mu = gp.mean(query) + data_mean
post_var = gp.variance(query, noise=True)
# Shift outputs back:
ax = pl.subplot(131)
pl.scatter(X[:, 0], X[:, 1], s=20, c=Y, linewidths=0)
pl.axis('equal')
pl.title('Training')
pl.subplot(132, sharex=ax, sharey=ax)
pl.scatter(Xs[:, 0], Xs[:, 1], s=20, c=post_mu, linewidths=0)
pl.axis('equal')
pl.title('Prediction')
pl.subplot(133, sharex=ax, sharey=ax)
pl.scatter(Xs[:, 0], Xs[:, 1], s=20, c=np.sqrt(post_var), linewidths=0)
pl.axis('equal')
pl.title('Stdev')
pl.tight_layout()
pl.show()
def main():
nTrain = 20
nQuery = 100
nDims = 1
noise_level = 0.05
# Test dataset----------------------------------------------
X = np.random.uniform(0, 1.0, size=(nTrain, nDims))
X = X[np.argsort(X[:, 0])] # n*d
underlyingFunc = (lambda x: np.sin(2*np.pi*x) + 5 +
np.random.normal(loc=0.0, scale=0.05,
size=(x.shape[0], 1)))
y = underlyingFunc(X) + noise_level * np.random.randn(nTrain, 1)
y = y.ravel()
Xs = np.linspace(0., 1., nQuery)[:, np.newaxis]
data_mean = np.mean(y)
ys = y - data_mean
# ----------------------------------------------------------
# Define a pathological GP kernel:
def kerneldef(h, k):
a = h(0.1, 5, 0.1)
b = h(0.1, 5, 0.1)
logsigma = h(-6, 1)
return (a*k(gp.kernels.gaussian, b) + .1*b*k(gp.kernels.matern3on2, a)
+ k(gp.kernels.lognoise, logsigma))
# Learning signal and noise hyperparameters
hyper_params = gp.learn(X, ys, kerneldef, verbose=False, ftol=1e-15,
maxiter=2000)
# old_hyper_params = [1.48, .322, np.log(0.0486)]
# print(gp.describe(kerneldef, old_hyper_params))
print(gp.describe(kerneldef, hyper_params))
regressor = gp.condition(X, ys, kerneldef, hyper_params)
query = gp.query(regressor, Xs)
post_mu = gp.mean(query) + data_mean
# post_cov = gp.covariance(query)
post_var = gp.variance(query, noise=True)
# Plot
fig = pl.figure()
ax = fig.add_subplot(111)
ax.plot(Xs, post_mu, 'k-')
upper = post_mu + 2*np.sqrt(post_var)
lower = post_mu - 2*np.sqrt(post_var)
ax.fill_between(Xs.ravel(), upper, lower,
facecolor=(0.9, 0.9, 0.9), edgecolor=(0.5, 0.5, 0.5))
ax.plot(regressor.X[:, 0], regressor.y+data_mean, 'r.')
pl.show()
def predict(self, Xq, real=True):
"""
Predict the query mean and variance using the Gaussian process model.
Infers the mean and variance of the Gaussian process at given
locations using the data collected so far
.. note :: [Properties Modified]
(None)
Parameters
----------
Xq : numpy.ndarray
Query points
real : bool, optional
To use only the real observations or also the virtual observations
Returns
-------
numpy.ndarray
Expectance of the prediction at the given locations
numpy.ndarray
Variance of the prediction at the given locations
"""
assert self.hyperparams, "Sampler is not trained yet. " \
"Possibly not enough observations provided."
# To use only the real data, extract the real data and compute the
# regressors using only the real data
if real:
X_real, y_real = self.get_real_data()
regressors = [gp.condition(X_real, y_real[:, i_task] -
self.y_mean[i_task],
self.kerneldef, self.hyperparams[i_task])
for i_task in range(self.n_tasks)]
# Otherwise, just use the regressors we already have
else:
regressors = self.regressors
# Compute using the standard predictor sequence
predictors = [gp.query(r, Xq) for r in regressors]
yq_exp = [gp.mean(p) for p in predictors]
yq_var = [gp.variance(p) for p in predictors]
return np.asarray(yq_exp).T + self.y_mean, np.asarray(yq_var).T
def eval_acq(self, Xq):
"""
Evaluates the acquistion function for a given Xq (query points)
Parameters
----------
Xq : numpy.ndarray,
The query points on which the acquistion function will be evaluated
Returns
-------
numpy.ndarray
value of acquistion function at Xq
scalar
argmax of the evaluated points
"""
# make the query points a 2d array if a 1d array is passed in
if len(Xq.shape)==1:
Xq = Xq[:,np.newaxis]
self.update_y_mean()
# Generate cached predictors for those test points
predictors = [gp.query(r, Xq) for r in self.regressors]
# Compute the posterior distributions at those points
# Note: No covariance information implemented at this stage
Yq_exp = np.asarray([gp.mean(p) for p in predictors]).T + \
self.y_mean
Yq_var = np.asarray([gp.variance(p) for p in predictors]).T
# Aquisition Functions
acq_defs_current = acq_defs(y_mean=self.y_mean,
explore_priority=self.explore_priority)
# Compute the acquisition levels at those test points
yq_acq = acq_defs_current[self.acq_name](Yq_exp, Yq_var)
return yq_acq, np.argmax(yq_acq)
def main():
#
# Settings
#
# Algorithmic properties
nbases = 50
lenscale = 1 # For all basis functions that take lengthscales
lenscale2 = 0.5 # For the Combo basis
noise = 1
order = 7 # For polynomial basis
rate = 0.9
eta = 1e-5
passes = 1000
batchsize = 100
reg = 1
# np.random.seed(100)
N = 500
Ns = 250
# Dataset selection
# dataset = 'sinusoid'
dataset = 'gp1D'
# Dataset properties
lenscale_true = 0.7 # For the gpdraw dataset
noise_true = 0.1
basis = 'RKS'
# basis = 'FF'
# basis = 'RBF'
# basis = 'Linear'
# basis = 'Poly'
# basis = 'Combo'
#
# Make Data
#
# Sinusoid
if dataset == 'sinusoid':
Xtrain = np.linspace(-2 * np.pi, 2 * np.pi, N)[:, np.newaxis]
ytrain = np.sin(Xtrain).flatten() + np.random.randn(N) * noise
Xtest = np.linspace(-2 * np.pi, 2 * np.pi, Ns)[:, np.newaxis]
ftest = np.sin(Xtest).flatten()
# Random RBF GP
elif dataset == 'gp1D':
Xtrain, ytrain, Xtest, ftest = \
gen_gausprocess_se(N, Ns, lenscale=lenscale_true, noise=noise_true)
else:
raise ValueError('Invalid dataset!')
#
# Make Bases
#
if basis == 'FF':
base = basis_functions.FastFood(nbases, Xtrain.shape[1])
elif basis == 'RKS':
base = basis_functions.RandomRBF(nbases, Xtrain.shape[1])
elif basis == 'RBF':
base = basis_functions.RadialBasis(Xtrain)
elif basis == 'Linear':
base = basis_functions.LinearBasis(onescol=True)
elif basis == 'Poly':
base = basis_functions.PolynomialBasis(order)
elif basis == 'Combo':
base1 = basis_functions.RandomRBF(nbases, Xtrain.shape[1])
base2 = basis_functions.LinearBasis(onescol=True)
base3 = basis_functions.FastFood(nbases, Xtrain.shape[1])
base = base1 + base2 + base3
else:
raise ValueError('Invalid basis!')
# Set up optimisation
# learning_params = gp.OptConfig()
# learning_params.sigma = gp.auto_range(kdef)
# learning_params.noise = gp.Range([1e-5], [1e5], [1])
# learning_params.walltime = 60
#
# Learn regression parameters and predict
#
if basis == 'Linear' or basis == 'Poly':
hypers = []
elif basis == 'FF' or basis == 'RKS' or basis == 'RBF':
hypers = [lenscale]
elif basis == 'Combo':
hypers = [lenscale, lenscale2]
else:
raise ValueError('Invalid basis!')
params_elbo = regression.learn(Xtrain, ytrain, base, hypers, var=noise**2,
regulariser=reg)
Ey_e, Vf_e, Vy_e = regression.predict(Xtest, base, *params_elbo)
Sy_e = np.sqrt(Vy_e)
#
# Nonparametric variational inference GLM
#
llhood = likelihoods.Gaussian()
lparams = [noise**2]
params_glm = glm.learn(Xtrain, ytrain, llhood, lparams, base, hypers,
regulariser=reg, use_sgd=True, rate=rate,
postcomp=10, eta=eta, batchsize=batchsize,
maxit=passes)
Ey_g, Vf_g, Eyn, Eyx = glm.predict_meanvar(Xtest, llhood, base,
*params_glm)
Vy_g = Vf_g + params_glm[2][0]
Sy_g = np.sqrt(Vy_g)
#
# Learn GP and predict
#
def kdef(h, k):
return (h(1e-5, 1., 0.5) * k(kern.gaussian, h(1e-5, 1e5, lenscale)) +
k(kern.lognoise, h(-4, 1, -3)))
hyper_params = gp.learn(Xtrain, ytrain, kdef, verbose=True, ftol=1e-15,
maxiter=passes)
regressor = gp.condition(Xtrain, ytrain, kdef, hyper_params)
query = gp.query(regressor, Xtest)
Ey_gp = gp.mean(query)
Vf_gp = gp.variance(query)
Vy_gp = gp.variance(query, noise=True)
Sy_gp = np.sqrt(Vy_gp)
# import ipdb; ipdb.set_trace()
#
# Evaluate LL and SMSE
#
LL_elbo = mll(ftest, Ey_e, Vf_e)
LL_gp = mll(ftest, Ey_gp, Vf_gp)
LL_g = mll(ftest, Ey_g, Vy_g)
smse_elbo = smse(ftest, Ey_e)
smse_gp = smse(ftest, Ey_gp)
smse_glm = smse(ftest, Ey_g)
log.info("A la Carte, LL: {}, smse = {}, noise: {}, hypers: {}"
.format(LL_elbo, smse_elbo, np.sqrt(params_elbo[3]),
params_elbo[2]))
log.info("GP, LL: {}, smse = {}, noise: {}, hypers: {}"
.format(LL_gp, smse_gp, hyper_params[1], hyper_params[0]))
log.info("GLM, LL: {}, smse = {}, noise: {}, hypers: {}"
.format(LL_g, smse_glm, np.sqrt(params_glm[2][0]),
params_glm[3]))
#
# Plot
#
Xpl_t = Xtrain.flatten()
Xpl_s = Xtest.flatten()
# Training/Truth
pl.plot(Xpl_t, ytrain, 'k.', label='Training')
pl.plot(Xpl_s, ftest, 'k-', label='Truth')
# ELBO Regressor
pl.plot(Xpl_s, Ey_e, 'g-', label='Bayesian linear regression')
pl.fill_between(Xpl_s, Ey_e - 2 * Sy_e, Ey_e + 2 * Sy_e, facecolor='none',
edgecolor='g', linestyle='--', label=None)
# GP
# pl.plot(Xpl_s, Ey_gp, 'b-', label='GP')
# pl.fill_between(Xpl_s, Ey_gp - 2 * Sy_gp, Ey_gp + 2 * Sy_gp,
# facecolor='none', edgecolor='b', linestyle='--',
# label=None)
# GLM Regressor
pl.plot(Xpl_s, Ey_g, 'm-', label='GLM')
pl.fill_between(Xpl_s, Ey_g - 2 * Sy_g, Ey_g + 2 * Sy_g, facecolor='none',
edgecolor='m', linestyle='--', label=None)
pl.legend()
pl.grid(True)
pl.title('Regression demo')
pl.ylabel('y')
pl.xlabel('x')
pl.show()
# Predict Revrand
#
Ey, Vf, _, _ = glm.predict_meanvar(X_test, llhood, base, *params)
Vy = Vf + params[2][0]
Sy = np.sqrt(Vy)
#
# Predict GP
#
regressor = gp.condition(X_train_sub, y_train_sub, kdef, hyper_params)
query = gp.query(regressor, X_test)
Ey_gp = gp.mean(query)
Vf_gp = gp.variance(query)
Vy_gp = gp.variance(query, noise=True)
Sy_gp = np.sqrt(Vy_gp)
#
# Validation
#
log.info("Subset GP smse = {}, msll = {},\n\thypers = {}, noise = {}."
.format(smse(y_test, Ey_gp), msll(y_test, Ey_gp, Vy_gp, y_train),
hyper_params[0], hyper_params[1]))
log.info("Revrand smse = {}, msll = {},\n\thypers = {}, noise = {}."
.format(smse(y_test, Ey), msll(y_test, Ey, Vy, y_train),
params[2], np.sqrt(params[3])))
#
# Predict Revrand
#
Ey, Vf, _, _ = glm.predict_meanvar(X_test, llhood, base, *params)
Vy = Vf + params[2][0]
Sy = np.sqrt(Vy)
#
# Predict GP
#
regressor = gp.condition(X_train_sub, y_train_sub, kdef, hyper_params)
query = gp.query(regressor, X_test)
Ey_gp = gp.mean(query)
Vf_gp = gp.variance(query)
Vy_gp = gp.variance(query, noise=True)
Sy_gp = np.sqrt(Vy_gp)
#
# Validation
#
log.info("Subset GP smse = {}, msll = {},\n\thypers = {}, noise = {}.".format(
smse(y_test, Ey_gp), msll(y_test, Ey_gp, Vy_gp, y_train), hyper_params[0],
hyper_params[1]))
log.info("Revrand smse = {}, msll = {},\n\thypers = {}, noise = {}.".format(
smse(y_test, Ey), msll(y_test, Ey, Vy, y_train), params[2],
np.sqrt(params[3])))
def pick(self, n_test=500):
"""
Pick the next feature location for the next observation to be taken.
.. note :: [Properties Modified]
X,
y,
virtual_flag,
pending_results,
y_mean,
hyperparameters,
regressors
Parameters
----------
n_test : int, optional
The number of random query points across the search space to pick
from
Returns
-------
numpy.ndarray
Location in the parameter space for the next observation to be
taken
str
A random hexadecimal ID to identify the corresponding job
"""
n = len(self.X)
self.update_y_mean()
# If we do not have enough samples yet, randomly sample for more!
if n < self.n_min:
xq = random_sample(self.lower, self.upper, 1)[0]
yq_exp = self.y_mean # Note: Can be 'None' initially
else:
if self.regressors is None:
self.train()
# Randomly sample the volume for test points
Xq = random_sample(self.lower, self.upper, n_test)
# Generate cached predictors for those test points
predictors = [gp.query(r, Xq) for r in self.regressors]
# Compute the posterior distributions at those points
# Note: No covariance information implemented at this stage
Yq_exp = np.asarray([gp.mean(p) for p in predictors]).T + \
self.y_mean
Yq_var = np.asarray([gp.variance(p) for p in predictors]).T
# Aquisition Functions
acq_defs_current = acq_defs(y_mean=self.y_mean,
explore_priority=self.explore_priority)
# Compute the acquisition levels at those test points
yq_acq = acq_defs_current[self.acq_name](Yq_exp, Yq_var)
# Find the test point with the highest acquisition level
iq_acq = np.argmax(yq_acq)
xq = Xq[iq_acq, :]
yq_exp = Yq_exp[iq_acq, :]
# Place a virtual observation...
uid = Sampler._assign(self, xq, yq_exp) # it can be None...
return xq, uid