def test_compare_mixed_kernel(session_tf):
data = DataMixedKernel
kern_list = [RBF(data.D) for _ in range(data.L)]
k1 = mk.SeparateMixedMok(kern_list, W=data.W)
f1 = mf.SharedIndependentMof(InducingPoints(data.X[:data.M, ...].copy()))
m1 = SVGP(data.X,
data.Y,
k1,
Gaussian(),
feat=f1,
q_mu=data.mu_data,
q_sqrt=data.sqrt_data)
kern_list = [RBF(data.D) for _ in range(data.L)]
k2 = mk.SeparateMixedMok(kern_list, W=data.W)
f2 = mf.MixedKernelSharedMof(InducingPoints(data.X[:data.M, ...].copy()))
m2 = SVGP(data.X,
data.Y,
k2,
Gaussian(),
feat=f2,
q_mu=data.mu_data,
q_sqrt=data.sqrt_data)
check_equality_predictions(session_tf, [m1, m2])
def test_MixedKernelSeparateMof():
data = DataMixedKernel
kern_list = [SquaredExponential() for _ in range(data.L)]
inducing_variable_list = [
InducingPoints(data.X[:data.M, ...]) for _ in range(data.L)
]
k1 = mk.LinearCoregionalization(kern_list, W=data.W)
f1 = mf.SeparateIndependentInducingVariables(inducing_variable_list)
model_1 = SVGP(k1,
Gaussian(),
inducing_variable=f1,
q_mu=data.mu_data,
q_sqrt=data.sqrt_data)
kern_list = [SquaredExponential() for _ in range(data.L)]
inducing_variable_list = [
InducingPoints(data.X[:data.M, ...]) for _ in range(data.L)
]
k2 = mk.LinearCoregionalization(kern_list, W=data.W)
f2 = mf.SeparateIndependentInducingVariables(inducing_variable_list)
model_2 = SVGP(k2,
Gaussian(),
inducing_variable=f2,
q_mu=data.mu_data,
q_sqrt=data.sqrt_data)
check_equality_predictions(Data.data, [model_1, model_2])
def test_multioutput_with_diag_q_sqrt(session_tf):
data = DataMixedKernel
q_sqrt_diag = np.ones((data.M, data.L)) * 2
q_sqrt = np.repeat(np.eye(data.M)[None, ...], data.L,
axis=0) * 2 # L x M x M
kern_list = [RBF(data.D) for _ in range(data.L)]
k1 = mk.SeparateMixedMok(kern_list, W=data.W)
f1 = mf.SharedIndependentMof(InducingPoints(data.X[:data.M, ...].copy()))
m1 = SVGP(data.X,
data.Y,
k1,
Gaussian(),
feat=f1,
q_mu=data.mu_data,
q_sqrt=q_sqrt_diag,
q_diag=True)
kern_list = [RBF(data.D) for _ in range(data.L)]
k2 = mk.SeparateMixedMok(kern_list, W=data.W)
f2 = mf.SharedIndependentMof(InducingPoints(data.X[:data.M, ...].copy()))
m2 = SVGP(data.X,
data.Y,
k2,
Gaussian(),
feat=f2,
q_mu=data.mu_data,
q_sqrt=q_sqrt,
q_diag=False)
check_equality_predictions(session_tf, [m1, m2])
def test_multioutput_with_diag_q_sqrt():
data = DataMixedKernel
q_sqrt_diag = np.ones((data.M, data.L)) * 2
q_sqrt = np.repeat(np.eye(data.M)[None, ...], data.L,
axis=0) * 2 # L x M x M
kern_list = [SquaredExponential() for _ in range(data.L)]
k1 = mk.LinearCoregionalization(kern_list, W=data.W)
f1 = mf.SharedIndependentInducingVariables(
InducingPoints(data.X[:data.M, ...]))
model_1 = SVGP(
k1,
Gaussian(),
inducing_variable=f1,
q_mu=data.mu_data,
q_sqrt=q_sqrt_diag,
q_diag=True,
)
kern_list = [SquaredExponential() for _ in range(data.L)]
k2 = mk.LinearCoregionalization(kern_list, W=data.W)
f2 = mf.SharedIndependentInducingVariables(
InducingPoints(data.X[:data.M, ...]))
model_2 = SVGP(
k2,
Gaussian(),
inducing_variable=f2,
q_mu=data.mu_data,
q_sqrt=q_sqrt,
q_diag=False,
)
check_equality_predictions(Data.data, [model_1, model_2])
def main(config):
assert config is not None, ValueError
tf.random.set_seed(config.seed)
gpflow_config.set_default_float(config.floatx)
gpflow_config.set_default_jitter(config.jitter)
X = tf.random.uniform([config.num_test, config.input_dims],
dtype=floatx())
Z_shape = config.num_cond, config.input_dims
for cls in SupportedBaseKernels:
minval = config.rel_lengthscales_min * (config.input_dims**0.5)
maxval = config.rel_lengthscales_max * (config.input_dims**0.5)
lenscales = tf.random.uniform(shape=[config.input_dims],
minval=minval,
maxval=maxval,
dtype=floatx())
q_sqrt = tf.zeros([1] + 2 * [config.num_cond], dtype=floatx())
kern = cls(lengthscales=lenscales,
variance=config.kernel_variance)
Z = InducingPoints(tf.random.uniform(Z_shape, dtype=floatx()))
const = tf.random.normal([1], dtype=floatx())
model = SVGP(kernel=kern,
likelihood=None,
inducing_variable=Z,
mean_function=mean_functions.Constant(c=const),
q_sqrt=q_sqrt)
mf, Sff = subroutine(config, model, X)
mg, Sgg = model.predict_f(X, full_cov=True)
tol = config.error_tol
assert allclose(mf, mg, tol, tol)
assert allclose(Sff, Sgg, tol, tol)
def main(config):
assert config is not None, ValueError
tf.random.set_seed(config.seed)
gpflow_config.set_default_float(config.floatx)
gpflow_config.set_default_jitter(config.jitter)
X = tf.random.uniform([config.num_test, config.input_dims],
dtype=floatx())
allK = []
allZ = []
Z_shape = config.num_cond, config.input_dims
for cls in SupportedBaseKernels:
minval = config.rel_lengthscales_min * (config.input_dims**0.5)
maxval = config.rel_lengthscales_max * (config.input_dims**0.5)
lenscales = tf.random.uniform(shape=[config.input_dims],
minval=minval,
maxval=maxval,
dtype=floatx())
rel_variance = tf.random.uniform(shape=[],
minval=0.9,
maxval=1.1,
dtype=floatx())
allK.append(
cls(lengthscales=lenscales,
variance=config.kernel_variance * rel_variance))
allZ.append(
InducingPoints(tf.random.uniform(Z_shape, dtype=floatx())))
kern = kernels.SeparateIndependent(allK)
Z = SeparateIndependentInducingVariables(allZ)
Kuu = covariances.Kuu(Z,
kern,
jitter=gpflow_config.default_jitter())
q_sqrt = tf.linalg.cholesky(Kuu)\
* tf.random.uniform(shape=[kern.num_latent_gps, 1, 1],
minval=0.0,
maxval=0.5,
dtype=floatx())
const = tf.random.normal([len(kern.kernels)], dtype=floatx())
model = SVGP(kernel=kern,
likelihood=None,
inducing_variable=Z,
mean_function=mean_functions.Constant(c=const),
q_sqrt=q_sqrt,
whiten=False,
num_latent_gps=len(allK))
mf, Sff = subroutine(config, model, X)
mg, Sgg = model.predict_f(X, full_cov=True)
tol = config.error_tol
assert allclose(mf, mg, tol, tol)
assert allclose(Sff, Sgg, tol, tol)
def test_mixed_mok_with_Id_vs_independent_mok(session_tf):
data = DataMixedKernelWithEye
# Independent model
k1 = mk.SharedIndependentMok(RBF(data.D, variance=0.5, lengthscales=1.2),
data.L)
f1 = InducingPoints(data.X[:data.M, ...].copy())
m1 = SVGP(data.X,
data.Y,
k1,
Gaussian(),
f1,
q_mu=data.mu_data_full,
q_sqrt=data.sqrt_data_full)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=data.MAXITER)
# Mixed Model
kern_list = [
RBF(data.D, variance=0.5, lengthscales=1.2) for _ in range(data.L)
]
k2 = mk.SeparateMixedMok(kern_list, data.W)
f2 = InducingPoints(data.X[:data.M, ...].copy())
m2 = SVGP(data.X,
data.Y,
k2,
Gaussian(),
f2,
q_mu=data.mu_data_full,
q_sqrt=data.sqrt_data_full)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=data.MAXITER)
check_equality_predictions(session_tf, [m1, m2])
def _test_linear_svgp(config: ConfigDense, model: SVGP,
Xnew: tf.Tensor) -> tf.Tensor:
"""
Sample generation subroutine common to each unit test
"""
Z = model.inducing_variable
count = 0
basis = fourier_basis(model.kernel, num_bases=config.num_bases)
L_joint = None
samples = []
while count < config.num_samples:
# Sample $u ~ N(q_mu, q_sqrt q_sqrt^{T})$
size = min(config.shard_size, config.num_samples - count)
shape = model.num_latent_gps, config.num_cond, size
rvs = tf.random.normal(shape=shape, dtype=floatx())
u = tf.transpose(model.q_sqrt @ rvs)
# Generate draws from the joint distribution $p(f(X), g(Z))$
(f, fnew), L_joint = common.sample_joint(model.kernel,
Z,
Xnew,
num_samples=size,
L=L_joint)
# Solve for update functions
update_fns = linear_update(Z, u, f, basis=basis)
samples.append(fnew + update_fns(Xnew))
count += size
samples = tf.concat(samples, axis=0)
if model.mean_function is not None:
samples += model.mean_function(Xnew)
return samples
def test_mixed_mok_with_Id_vs_independent_mok():
data = DataMixedKernelWithEye
# Independent model
k1 = mk.SharedIndependent(
SquaredExponential(variance=0.5, lengthscale=1.2), data.L)
f1 = InducingPoints(data.X[:data.M, ...])
model_1 = SVGP(k1,
Gaussian(),
f1,
q_mu=data.mu_data_full,
q_sqrt=data.sqrt_data_full)
set_trainable(model_1, False)
model_1.q_sqrt.trainable = True
@tf.function(autograph=False)
def closure1():
return -model_1.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure1,
variables=model_1.trainable_variables,
method='BFGS')
# Mixed Model
kern_list = [
SquaredExponential(variance=0.5, lengthscale=1.2)
for _ in range(data.L)
]
k2 = mk.LinearCoregionalization(kern_list, data.W)
f2 = InducingPoints(data.X[:data.M, ...])
model_2 = SVGP(k2,
Gaussian(),
f2,
q_mu=data.mu_data_full,
q_sqrt=data.sqrt_data_full)
set_trainable(model_2, False)
model_2.q_sqrt.trainable = True
@tf.function(autograph=False)
def closure2():
return -model_2.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure2,
variables=model_2.trainable_variables,
method='BFGS')
check_equality_predictions(Data.X, Data.Y, [model_1, model_2])
def main(config):
assert config is not None, ValueError
tf.random.set_seed(config.seed)
gpflow_config.set_default_float(config.floatx)
gpflow_config.set_default_jitter(config.jitter)
X = tf.random.uniform([config.num_test, config.input_dims],
dtype=floatx())
Z_shape = config.num_cond, config.input_dims
for cls in SupportedBaseKernels:
minval = config.rel_lengthscales_min * (config.input_dims**0.5)
maxval = config.rel_lengthscales_max * (config.input_dims**0.5)
lenscales = tf.random.uniform(shape=[config.input_dims],
minval=minval,
maxval=maxval,
dtype=floatx())
base = cls(lengthscales=lenscales,
variance=config.kernel_variance)
kern = kernels.SharedIndependent(base, output_dim=2)
Z = SharedIndependentInducingVariables(
InducingPoints(tf.random.uniform(Z_shape, dtype=floatx())))
Kuu = covariances.Kuu(Z,
kern,
jitter=gpflow_config.default_jitter())
q_sqrt = tf.stack([
tf.zeros(2 * [config.num_cond], dtype=floatx()),
tf.linalg.cholesky(Kuu)
])
const = tf.random.normal([2], dtype=floatx())
model = SVGP(kernel=kern,
likelihood=None,
inducing_variable=Z,
mean_function=mean_functions.Constant(c=const),
q_sqrt=q_sqrt,
whiten=False,
num_latent_gps=2)
mf, Sff = subroutine(config, model, X)
mg, Sgg = model.predict_f(X, full_cov=True)
tol = config.error_tol
assert allclose(mf, mg, tol, tol)
assert allclose(Sff, Sgg, tol, tol)
def test_separate_independent_mok(session_tf):
"""
We use different independent kernels for each of the output dimensions.
We can achieve this in two ways:
1) efficient: SeparateIndependentMok with Shared/SeparateIndependentMof
2) inefficient: SeparateIndependentMok with InducingPoints
However, both methods should return the same conditional,
and after optimization return the same log likelihood.
"""
# Model 1 (INefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P,
Data.M * Data.P))[None,
...] # 1 x MP x MP
kern_list_1 = [
RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)
]
kernel_1 = mk.SeparateIndependentMok(kern_list_1)
feature_1 = InducingPoints(Data.X[:Data.M, ...].copy())
m1 = SVGP(Data.X,
Data.Y,
kernel_1,
Gaussian(),
feature_1,
q_mu=q_mu_1,
q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
m1.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kern_list_2 = [
RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)
]
kernel_2 = mk.SeparateIndependentMok(kern_list_2)
feature_2 = mf.SharedIndependentMof(
InducingPoints(Data.X[:Data.M, ...].copy()))
m2 = SVGP(Data.X,
Data.Y,
kernel_2,
Gaussian(),
feature_2,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
m2.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2])
def test_mixed_mok_with_Id_vs_independent_mok():
data = DataMixedKernelWithEye
# Independent model
k1 = mk.SharedIndependent(SquaredExponential(variance=0.5, lengthscales=1.2), data.L)
f1 = InducingPoints(data.X[: data.M, ...])
model_1 = SVGP(k1, Gaussian(), f1, q_mu=data.mu_data_full, q_sqrt=data.sqrt_data_full)
set_trainable(model_1, False)
set_trainable(model_1.q_sqrt, True)
gpflow.optimizers.Scipy().minimize(
model_1.training_loss_closure(Data.data),
variables=model_1.trainable_variables,
method="BFGS",
compile=True,
)
# Mixed Model
kern_list = [SquaredExponential(variance=0.5, lengthscales=1.2) for _ in range(data.L)]
k2 = mk.LinearCoregionalization(kern_list, data.W)
f2 = InducingPoints(data.X[: data.M, ...])
model_2 = SVGP(k2, Gaussian(), f2, q_mu=data.mu_data_full, q_sqrt=data.sqrt_data_full)
set_trainable(model_2, False)
set_trainable(model_2.q_sqrt, True)
gpflow.optimizers.Scipy().minimize(
model_2.training_loss_closure(Data.data),
variables=model_2.trainable_variables,
method="BFGS",
compile=True,
)
check_equality_predictions(Data.data, [model_1, model_2])
def init_spectral(x, y, M, Q, kern, n_inits=10, minibatch_size=256, noise_var=10.0, ARD=True, likelihood=None):
print('Initializing a spectral kernel...')
best_loglik = -np.inf
best_m = None
N, input_dim = x.shape
for k in range(n_inits):
try:
#gpflow.reset_default_graph_and_session()
with gpflow.defer_build():
Z = random_Z(x, N, M)
dists = pdist(Z, 'euclidean').ravel()
max_freq = min(10.0, 1./np.min(dists[dists > 0.0]))
max_len = min(5.0, np.max(dists) * (2*np.pi))
k = kern(input_dim=input_dim, max_freq=max_freq, Q=Q, ARD=ARD, max_len=max_len)
if likelihood is not None:
likhood = likelihood
else:
likhood = gpflow.likelihoods.Gaussian(noise_var)
likhood.variance.prior = gpflow.priors.LogNormal(mu=0, var=1)
model = SVGP(X=x, Y=y, Z=Z, kern=k, likelihood=likhood,
minibatch_size=minibatch_size)
model.feature.Z.prior = gpflow.priors.Gaussian(0, 1)
model.compile()
loglik = model.compute_log_likelihood()
if loglik > best_loglik:
best_loglik = loglik
best_m = model
#best_dir = tempfile.TemporaryDirectory()
#gpflow.saver.Saver().save(best_dir.name + 'model.gpflow', best_m)
del model
gc.collect()
except tf.errors.InvalidArgumentError: # cholesky fails sometimes (with really bad init?)
pass
print('Best init: %f' % best_loglik)
print(best_m)
#gpflow.reset_default_graph_and_session()
#best_m = gpflow.saver.Saver().load(best_dir.name + 'model.gpflow')
#best_m.compile()
#print(best_m)
return best_m
def test_separate_independent_mok():
"""
We use different independent kernels for each of the output dimensions.
We can achieve this in two ways:
1) efficient: SeparateIndependentMok with Shared/SeparateIndependentMof
2) inefficient: SeparateIndependentMok with InducingPoints
However, both methods should return the same conditional,
and after optimization return the same log likelihood.
"""
# Model 1 (Inefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP
kern_list_1 = [SquaredExponential(variance=0.5, lengthscales=1.2) for _ in range(Data.P)]
kernel_1 = mk.SeparateIndependent(kern_list_1)
inducing_variable_1 = InducingPoints(Data.X[: Data.M, ...])
model_1 = SVGP(
kernel_1, Gaussian(), inducing_variable_1, num_latent_gps=1, q_mu=q_mu_1, q_sqrt=q_sqrt_1,
)
set_trainable(model_1, False)
set_trainable(model_1.q_sqrt, True)
set_trainable(model_1.q_mu, True)
gpflow.optimizers.Scipy().minimize(
model_1.training_loss_closure(Data.data),
variables=model_1.trainable_variables,
method="BFGS",
compile=True,
)
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array(
[np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]
) # P x M x M
kern_list_2 = [SquaredExponential(variance=0.5, lengthscales=1.2) for _ in range(Data.P)]
kernel_2 = mk.SeparateIndependent(kern_list_2)
inducing_variable_2 = mf.SharedIndependentInducingVariables(
InducingPoints(Data.X[: Data.M, ...])
)
model_2 = SVGP(
kernel_2,
Gaussian(),
inducing_variable_2,
num_latent_gps=Data.P,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2,
)
set_trainable(model_2, False)
set_trainable(model_2.q_sqrt, True)
set_trainable(model_2.q_mu, True)
gpflow.optimizers.Scipy().minimize(
model_2.training_loss_closure(Data.data),
variables=model_2.trainable_variables,
method="BFGS",
compile=True,
)
check_equality_predictions(Data.data, [model_1, model_2])
def test_separate_independent_mof(session_tf):
"""
Same test as above but we use different (i.e. separate) inducing features
for each of the output dimensions.
"""
np.random.seed(0)
# Model 1 (INefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP
kernel_1 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_1 = InducingPoints(Data.X[:Data.M,...].copy())
m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
m1.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M
kernel_2 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feat_list_2 = [InducingPoints(Data.X[:Data.M, ...].copy()) for _ in range(Data.P)]
feature_2 = mf.SeparateIndependentMof(feat_list_2)
m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
m2.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
# Model 3 (Inefficient): an idenitical feature is used P times,
# and treated as a separate feature.
q_mu_3 = np.random.randn(Data.M, Data.P)
q_sqrt_3 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M
kern_list = [RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)]
kernel_3 = mk.SeparateIndependentMok(kern_list)
feat_list_3 = [InducingPoints(Data.X[:Data.M, ...].copy()) for _ in range(Data.P)]
feature_3 = mf.SeparateIndependentMof(feat_list_3)
m3 = SVGP(Data.X, Data.Y, kernel_3, Gaussian(), feature_3, q_mu=q_mu_3, q_sqrt=q_sqrt_3)
m3.set_trainable(False)
m3.q_sqrt.set_trainable(True)
m3.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m3, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2, m3])
def test_separate_independent_mok(session_tf):
"""
We use different independent kernels for each of the output dimensions.
We can achieve this in two ways:
1) efficient: SeparateIndependentMok with Shared/SeparateIndependentMof
2) inefficient: SeparateIndependentMok with InducingPoints
However, both methods should return the same conditional,
and after optimization return the same log likelihood.
"""
# Model 1 (INefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP
kern_list_1 = [RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)]
kernel_1 = mk.SeparateIndependentMok(kern_list_1)
feature_1 = InducingPoints(Data.X[:Data.M,...].copy())
m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
m1.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M
kern_list_2 = [RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)]
kernel_2 = mk.SeparateIndependentMok(kern_list_2)
feature_2 = mf.SharedIndependentMof(InducingPoints(Data.X[:Data.M, ...].copy()))
m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
m2.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2])
def test_shared_independent_mok(session_tf):
"""
In this test we use the same kernel and the same inducing features
for each of the outputs. The outputs are considered to be uncorrelated.
This is how GPflow handled multiple outputs before the multioutput framework was added.
We compare three models here:
1) an ineffient one, where we use a SharedIndepedentMok with InducingPoints.
This combination will uses a Kff of size N x P x N x P, Kfu if size N x P x M x P
which is extremely inefficient as most of the elements are zero.
2) efficient: SharedIndependentMok and SharedIndependentMof
This combinations uses the most efficient form of matrices
3) the old way, efficient way: using Kernel and InducingPoints
Model 2) and 3) follow more or less the same code path.
"""
# Model 1
q_mu_1 = np.random.randn(Data.M * Data.P, 1) # MP x 1
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P, Data.M * Data.P))[None, ...] # 1 x MP x MP
kernel_1 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_1 = InducingPoints(Data.X[:Data.M,...].copy())
m1 = SVGP(Data.X, Data.Y, kernel_1, Gaussian(), feature_1, q_mu=q_mu_1, q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2
q_mu_2 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_2 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M
kernel_2 = RBF(Data.D, variance=0.5, lengthscales=1.2)
feature_2 = InducingPoints(Data.X[:Data.M, ...].copy())
m2 = SVGP(Data.X, Data.Y, kernel_2, Gaussian(), feature_2, q_mu=q_mu_2, q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
# Model 3
q_mu_3 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_3 = np.array([np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)]) # P x M x M
kernel_3 = mk.SharedIndependentMok(RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_3 = mf.SharedIndependentMof(InducingPoints(Data.X[:Data.M, ...].copy()))
m3 = SVGP(Data.X, Data.Y, kernel_3, Gaussian(), feature_3, q_mu=q_mu_3, q_sqrt=q_sqrt_3)
m3.set_trainable(False)
m3.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m3, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2, m3])
def init_neural(x, y, M, Q, n_inits=1, minibatch_size=256, noise_var=0.1, likelihood=None, hidden_sizes=None):
print('Initializing neural spectral kernel...')
best_loglik = -np.inf
best_m = None
N, input_dim = x.shape
for k in range(n_inits):
try:
# gpflow.reset_default_graph_and_session()
with gpflow.defer_build():
Z = random_Z(x, N, M)
k = NeuralSpectralKernel(input_dim=input_dim, Q=Q, hidden_sizes=hidden_sizes)
if likelihood is not None:
likhood = likelihood
else:
likhood = gpflow.likelihoods.Gaussian(noise_var)
likhood.variance.prior = gpflow.priors.LogNormal(mu=0, var=1)
model = SVGP(X=x, Y=y, Z=Z, kern=k, likelihood=likhood,
minibatch_size=minibatch_size)
model.feature.Z.prior = gpflow.priors.Gaussian(0, 1)
model.compile()
loglik = model.compute_log_likelihood()
if loglik > best_loglik:
best_loglik = loglik
best_m = model
# best_dir = tempfile.TemporaryDirectory()
# gpflow.saver.Saver().save(best_dir.name + 'model.gpflow', best_m)
del model
gc.collect()
except tf.errors.InvalidArgumentError: # cholesky fails sometimes (with really bad init?)
pass
print('Best init: %f' % best_loglik)
print(best_m)
# gpflow.reset_default_graph_and_session()
# best_m = gpflow.saver.Saver().load(best_dir.name + 'model.gpflow')
# best_m.compile()
# print(best_m)
return best_m
def _test_cg_svgp(config: ConfigDense,
model: SVGP,
Xnew: tf.Tensor) -> tf.Tensor:
"""
Sample generation subroutine common to each unit test
"""
# Prepare preconditioner for CG
Z = model.inducing_variable
Kff = covariances.Kuu(Z, model.kernel, jitter=0)
max_rank = config.num_cond//(2 if config.num_cond > 1 else 1)
preconditioner = get_default_preconditioner(Kff,
diag=default_jitter(),
max_rank=max_rank)
count = 0
samples = []
L_joint = None
while count < config.num_samples:
# Sample $u ~ N(q_mu, q_sqrt q_sqrt^{T})$
size = min(config.shard_size, config.num_samples - count)
shape = model.num_latent_gps, config.num_cond, size
rvs = tf.random.normal(shape=shape, dtype=floatx())
u = tf.transpose(model.q_sqrt @ rvs)
# Generate draws from the joint distribution $p(f(X), g(Z))$
(f, fnew), L_joint = common.sample_joint(model.kernel,
Z,
Xnew,
num_samples=size,
L=L_joint)
# Solve for update functions
update_fns = cg_update(model.kernel,
Z,
u,
f,
tol=1e-6,
max_iter=config.num_cond,
preconditioner=preconditioner)
samples.append(fnew + update_fns(Xnew))
count += size
samples = tf.concat(samples, axis=0)
if model.mean_function is not None:
samples += model.mean_function(Xnew)
return samples
def _test_exact_svgp(config: Union[ConfigDense, ConfigConv2d], model: SVGP,
Xnew: tf.Tensor) -> tf.Tensor:
"""
Sample generation subroutine common to each unit test
"""
# Precompute Cholesky factor (optional)
Z = model.inducing_variable
Kuu = covariances.Kuu(Z, model.kernel, jitter=default_jitter())
Luu = tf.linalg.cholesky(Kuu)
count = 0
L_joint = None
samples = []
while count < config.num_samples:
# Sample $u ~ N(q_mu, q_sqrt q_sqrt^{T})$
size = min(config.shard_size, config.num_samples - count)
shape = model.num_latent_gps, config.num_cond, size
rvs = tf.random.normal(shape=shape, dtype=floatx())
u = tf.transpose(model.q_sqrt @ rvs)
# Generate draws from the joint distribution $p(f(X), g(Z))$
(f, fnew), L_joint = common.sample_joint(model.kernel,
Z,
Xnew,
num_samples=size,
L=L_joint)
# Solve for update functions
update_fns = exact_update(model.kernel, Z, u, f, L=Luu)
samples.append(fnew + update_fns(Xnew))
count += size
samples = tf.concat(samples, axis=0)
if model.mean_function is not None:
samples += model.mean_function(Xnew)
return samples
def test_mixed_mok_with_Id_vs_independent_mok(session_tf):
data = DataMixedKernelWithEye
# Independent model
k1 = mk.SharedIndependentMok(RBF(data.D, variance=0.5, lengthscales=1.2), data.L)
f1 = InducingPoints(data.X[:data.M, ...].copy())
m1 = SVGP(data.X, data.Y, k1, Gaussian(), f1,
q_mu=data.mu_data_full, q_sqrt=data.sqrt_data_full)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=data.MAXITER)
# Mixed Model
kern_list = [RBF(data.D, variance=0.5, lengthscales=1.2) for _ in range(data.L)]
k2 = mk.SeparateMixedMok(kern_list, data.W)
f2 = InducingPoints(data.X[:data.M, ...].copy())
m2 = SVGP(data.X, data.Y, k2, Gaussian(), f2,
q_mu=data.mu_data_full, q_sqrt=data.sqrt_data_full)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=data.MAXITER)
check_equality_predictions(session_tf, [m1, m2])
def test_separate_independent_mof(session_tf):
"""
Same test as above but we use different (i.e. separate) inducing features
for each of the output dimensions.
"""
np.random.seed(0)
# Model 1 (INefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P,
Data.M * Data.P))[None,
...] # 1 x MP x MP
kernel_1 = mk.SharedIndependentMok(
RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_1 = InducingPoints(Data.X[:Data.M, ...].copy())
m1 = SVGP(Data.X,
Data.Y,
kernel_1,
Gaussian(),
feature_1,
q_mu=q_mu_1,
q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
m1.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_2 = mk.SharedIndependentMok(
RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feat_list_2 = [
InducingPoints(Data.X[:Data.M, ...].copy()) for _ in range(Data.P)
]
feature_2 = mf.SeparateIndependentMof(feat_list_2)
m2 = SVGP(Data.X,
Data.Y,
kernel_2,
Gaussian(),
feature_2,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
m2.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
# Model 3 (Inefficient): an idenitical feature is used P times,
# and treated as a separate feature.
q_mu_3 = np.random.randn(Data.M, Data.P)
q_sqrt_3 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kern_list = [
RBF(Data.D, variance=0.5, lengthscales=1.2) for _ in range(Data.P)
]
kernel_3 = mk.SeparateIndependentMok(kern_list)
feat_list_3 = [
InducingPoints(Data.X[:Data.M, ...].copy()) for _ in range(Data.P)
]
feature_3 = mf.SeparateIndependentMof(feat_list_3)
m3 = SVGP(Data.X,
Data.Y,
kernel_3,
Gaussian(),
feature_3,
q_mu=q_mu_3,
q_sqrt=q_sqrt_3)
m3.set_trainable(False)
m3.q_sqrt.set_trainable(True)
m3.q_mu.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m3, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2, m3])
def main(config):
assert config is not None, ValueError
tf.random.set_seed(config.seed)
gpflow_config.set_default_float(config.floatx)
gpflow_config.set_default_jitter(config.jitter)
X_shape = [config.num_test
] + config.image_shape + [config.channels_in]
X = tf.reshape(tf.range(tf.reduce_prod(X_shape), dtype=floatx()),
X_shape)
X /= tf.reduce_max(X)
patch_len = config.channels_in * int(
tf.reduce_prod(config.patch_shape))
for base_cls in SupportedBaseKernels:
minval = config.rel_lengthscales_min * (patch_len**0.5)
maxval = config.rel_lengthscales_max * (patch_len**0.5)
lenscales = tf.random.uniform(shape=[patch_len],
minval=minval,
maxval=maxval,
dtype=floatx())
base = base_cls(lengthscales=lenscales,
variance=config.kernel_variance)
Z_shape = [config.num_cond
] + config.patch_shape + [config.channels_in]
for cls in (kernels_ext.Conv2d, kernels_ext.Conv2dTranspose):
kern = cls(kernel=base,
image_shape=config.image_shape,
patch_shape=config.patch_shape,
channels_in=config.channels_in,
channels_out=config.num_latent_gps,
strides=config.strides,
padding=config.padding,
dilations=config.dilations)
Z = InducingImages(
tf.random.uniform(Z_shape, dtype=floatx()))
q_sqrt = tf.linalg.cholesky(covariances.Kuu(Z, kern))
q_sqrt *= tf.random.uniform([config.num_latent_gps, 1, 1],
minval=0.0,
maxval=0.5,
dtype=floatx())
# TODO: GPflow's SVGP class is not setup to support outputs defined
# as spatial feature maps. For now, we content ourselves with
# the following hack...
const = tf.random.normal([config.num_latent_gps],
dtype=floatx())
mean_function = lambda x: const
model = SVGP(kernel=kern,
likelihood=None,
mean_function=mean_function,
inducing_variable=Z,
q_sqrt=q_sqrt,
whiten=False,
num_latent_gps=config.num_latent_gps)
mf, Sff = subroutine(config, model, X)
mg, Sgg = model.predict_f(X, full_cov=True)
tol = config.error_tol
assert allclose(mf, mg, tol, tol)
assert allclose(Sff, Sgg, tol, tol)
def test_separate_independent_mof():
"""
Same test as above but we use different (i.e. separate) inducing inducing
for each of the output dimensions.
"""
np.random.seed(0)
# Model 1 (INefficient)
q_mu_1 = np.random.randn(Data.M * Data.P, 1)
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P,
Data.M * Data.P))[None,
...] # 1 x MP x MP
kernel_1 = mk.SharedIndependent(
SquaredExponential(variance=0.5, lengthscale=1.2), Data.P)
inducing_variable_1 = InducingPoints(Data.X[:Data.M, ...])
model_1 = SVGP(kernel_1,
Gaussian(),
inducing_variable_1,
q_mu=q_mu_1,
q_sqrt=q_sqrt_1)
set_trainable(model_1, False)
model_1.q_sqrt.trainable = True
model_1.q_mu.trainable = True
@tf.function(autograph=False)
def closure1():
return -model_1.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure1,
variables=model_1.trainable_variables,
method='BFGS')
# Model 2 (efficient)
q_mu_2 = np.random.randn(Data.M, Data.P)
q_sqrt_2 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_2 = mk.SharedIndependent(
SquaredExponential(variance=0.5, lengthscale=1.2), Data.P)
inducing_variable_list_2 = [
InducingPoints(Data.X[:Data.M, ...]) for _ in range(Data.P)
]
inducing_variable_2 = mf.SeparateIndependentInducingVariables(
inducing_variable_list_2)
model_2 = SVGP(kernel_2,
Gaussian(),
inducing_variable_2,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2)
set_trainable(model_2, False)
model_2.q_sqrt.trainable = True
model_2.q_mu.trainable = True
@tf.function(autograph=False)
def closure2():
return -model_2.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure2,
variables=model_2.trainable_variables,
method='BFGS')
# Model 3 (Inefficient): an idenitical inducing variable is used P times,
# and treated as a separate one.
q_mu_3 = np.random.randn(Data.M, Data.P)
q_sqrt_3 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kern_list = [
SquaredExponential(variance=0.5, lengthscale=1.2)
for _ in range(Data.P)
]
kernel_3 = mk.SeparateIndependent(kern_list)
inducing_variable_list_3 = [
InducingPoints(Data.X[:Data.M, ...]) for _ in range(Data.P)
]
inducing_variable_3 = mf.SeparateIndependentInducingVariables(
inducing_variable_list_3)
model_3 = SVGP(kernel_3,
Gaussian(),
inducing_variable_3,
q_mu=q_mu_3,
q_sqrt=q_sqrt_3)
set_trainable(model_3, False)
model_3.q_sqrt.trainable = True
model_3.q_mu.trainable = True
@tf.function(autograph=False)
def closure3():
return -model_3.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure3,
variables=model_3.trainable_variables,
method='BFGS')
check_equality_predictions(Data.X, Data.Y, [model_1, model_2, model_3])
def test_shared_independent_mok():
"""
In this test we use the same kernel and the same inducing inducing
for each of the outputs. The outputs are considered to be uncorrelated.
This is how GPflow handled multiple outputs before the multioutput framework was added.
We compare three models here:
1) an ineffient one, where we use a SharedIndepedentMok with InducingPoints.
This combination will uses a Kff of size N x P x N x P, Kfu if size N x P x M x P
which is extremely inefficient as most of the elements are zero.
2) efficient: SharedIndependentMok and SharedIndependentMof
This combinations uses the most efficient form of matrices
3) the old way, efficient way: using Kernel and InducingPoints
Model 2) and 3) follow more or less the same code path.
"""
np.random.seed(0)
# Model 1
q_mu_1 = np.random.randn(Data.M * Data.P, 1) # MP x 1
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P,
Data.M * Data.P))[None,
...] # 1 x MP x MP
kernel_1 = mk.SharedIndependent(
SquaredExponential(variance=0.5, lengthscale=1.2), Data.P)
inducing_variable = InducingPoints(Data.X[:Data.M, ...])
model_1 = SVGP(kernel_1,
Gaussian(),
inducing_variable,
q_mu=q_mu_1,
q_sqrt=q_sqrt_1,
num_latent=Data.Y.shape[-1])
set_trainable(model_1, False)
model_1.q_sqrt.trainable = True
@tf.function(autograph=False)
def closure1():
return -model_1.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure1,
variables=model_1.trainable_variables,
options=dict(maxiter=500),
method='BFGS')
# Model 2
q_mu_2 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_2 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_2 = SquaredExponential(variance=0.5, lengthscale=1.2)
inducing_variable_2 = InducingPoints(Data.X[:Data.M, ...])
model_2 = SVGP(kernel_2,
Gaussian(),
inducing_variable_2,
num_latent=Data.P,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2)
set_trainable(model_2, False)
model_2.q_sqrt.trainable = True
@tf.function(autograph=False)
def closure2():
return -model_2.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure2,
variables=model_2.trainable_variables,
options=dict(maxiter=500),
method='BFGS')
# Model 3
q_mu_3 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_3 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_3 = mk.SharedIndependent(
SquaredExponential(variance=0.5, lengthscale=1.2), Data.P)
inducing_variable_3 = mf.SharedIndependentInducingVariables(
InducingPoints(Data.X[:Data.M, ...]))
model_3 = SVGP(kernel_3,
Gaussian(),
inducing_variable_3,
num_latent=Data.P,
q_mu=q_mu_3,
q_sqrt=q_sqrt_3)
set_trainable(model_3, False)
model_3.q_sqrt.trainable = True
@tf.function(autograph=False)
def closure3():
return -model_3.log_marginal_likelihood(Data.X, Data.Y)
gpflow.optimizers.Scipy().minimize(closure3,
variables=model_3.trainable_variables,
options=dict(maxiter=500),
method='BFGS')
check_equality_predictions(Data.X, Data.Y, [model_1, model_2, model_3])
def _svgp(inducing_variable: tf.Tensor) -> SVGP:
return SVGP(gpflow.kernels.Linear(), gpflow.likelihoods.Gaussian(), inducing_variable)
def __init__(self, *args, paths: AbstractSampler = None, **kwargs): SVGP.__init__(self, *args, **kwargs) self._paths = paths
Z = np.linspace(-2, 2, 100)[:, None]
with tf.Session(graph=tf.Graph()) as sess:
with gp.defer_build():
# Define the likelihood
likelihood = gp.likelihoods.Gaussian()
# Define the underlying GP mean and kernel
mean = gp.mean_functions.Zero()
kernel = gp.kernels.RBF(1)
# Create the HGP (note the slightly different order from SVGP)
model = SVGP(X,
Y,
kernel,
likelihood,
mean_function=mean,
minibatch_size=100,
num_latent=1,
num_data=None,
whiten=False,
Z=Z)
model.compile()
run_with_adam(model, 1e-3, iterations, PrintAction(model, "Adam"))
# Predictions uses stochastic sampling and produces
# [num_samples,N,D] shape output
ystar, varstar = model.predict_y(X)
# In[5]:
plt.figure(figsize=(4, 4))
plt.plot(X[:, 0], ystar, alpha=1, c='r', label='vanilla-inferred')
def test_shared_independent_mok(session_tf):
"""
In this test we use the same kernel and the same inducing features
for each of the outputs. The outputs are considered to be uncorrelated.
This is how GPflow handled multiple outputs before the multioutput framework was added.
We compare three models here:
1) an ineffient one, where we use a SharedIndepedentMok with InducingPoints.
This combination will uses a Kff of size N x P x N x P, Kfu if size N x P x M x P
which is extremely inefficient as most of the elements are zero.
2) efficient: SharedIndependentMok and SharedIndependentMof
This combinations uses the most efficient form of matrices
3) the old way, efficient way: using Kernel and InducingPoints
Model 2) and 3) follow more or less the same code path.
"""
# Model 1
q_mu_1 = np.random.randn(Data.M * Data.P, 1) # MP x 1
q_sqrt_1 = np.tril(np.random.randn(Data.M * Data.P,
Data.M * Data.P))[None,
...] # 1 x MP x MP
kernel_1 = mk.SharedIndependentMok(
RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_1 = InducingPoints(Data.X[:Data.M, ...].copy())
m1 = SVGP(Data.X,
Data.Y,
kernel_1,
Gaussian(),
feature_1,
q_mu=q_mu_1,
q_sqrt=q_sqrt_1)
m1.set_trainable(False)
m1.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m1, maxiter=Data.MAXITER)
# Model 2
q_mu_2 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_2 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_2 = RBF(Data.D, variance=0.5, lengthscales=1.2)
feature_2 = InducingPoints(Data.X[:Data.M, ...].copy())
m2 = SVGP(Data.X,
Data.Y,
kernel_2,
Gaussian(),
feature_2,
q_mu=q_mu_2,
q_sqrt=q_sqrt_2)
m2.set_trainable(False)
m2.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m2, maxiter=Data.MAXITER)
# Model 3
q_mu_3 = np.reshape(q_mu_1, [Data.M, Data.P]) # M x P
q_sqrt_3 = np.array([
np.tril(np.random.randn(Data.M, Data.M)) for _ in range(Data.P)
]) # P x M x M
kernel_3 = mk.SharedIndependentMok(
RBF(Data.D, variance=0.5, lengthscales=1.2), Data.P)
feature_3 = mf.SharedIndependentMof(
InducingPoints(Data.X[:Data.M, ...].copy()))
m3 = SVGP(Data.X,
Data.Y,
kernel_3,
Gaussian(),
feature_3,
q_mu=q_mu_3,
q_sqrt=q_sqrt_3)
m3.set_trainable(False)
m3.q_sqrt.set_trainable(True)
gpflow.training.ScipyOptimizer().minimize(m3, maxiter=Data.MAXITER)
check_equality_predictions(session_tf, [m1, m2, m3])
def fit(self, X, Y, Xval, Yval):
N = X.shape[0]
if self.var_dist == "diag":
q_diag = True
elif self.var_dist == "full":
q_diag = False
else:
raise NotImplementedError(
"GPFlow cannot implement %s variational distribution" %
(self.var_dist))
if self.do_classif:
if self.num_classes == 2:
likelihood = gpflow.likelihoods.Bernoulli()
num_latent = 1
else:
# Softmax better than Robustmax (apparently per the gpflow slack)
#likelihood = gpflow.likelihoods.MultiClass(self.num_classes, invlink=invlink) # Multiclass likelihood
likelihood = gpflow.likelihoods.Softmax(self.num_classes)
num_latent = self.num_classes
# Y must be 1D for the multiclass model to actually work.
Y = np.argmax(Y, 1).reshape((-1, 1)).astype(int)
else:
num_latent = 1
likelihood = gpflow.likelihoods.Gaussian()
self.model = SVGP(kernel=self.kernel,
likelihood=likelihood,
inducing_variable=self.Z,
num_data=N,
num_latent_gps=num_latent,
whiten=False,
q_diag=q_diag)
# Setup training
if not self.train_hyperparams:
set_trainable(self.model.inducing_variable.Z, False)
set_trainable(self.kernel.lengthscales, False)
set_trainable(self.kernel.variance, False)
if self.natgrad_lr > 0:
set_trainable(self.model.q_mu, False)
set_trainable(self.model.q_sqrt, False)
variational_params = [(self.model.q_mu, self.model.q_sqrt)]
# Create the optimizers
adam_opt = tf.optimizers.Adam(self.lr)
if self.natgrad_lr > 0:
natgrad_opt = NaturalGradient(gamma=self.natgrad_lr)
# Print
gpflow.utilities.print_summary(self.model)
print("", flush=True)
# Giacomo: If shuffle buffer is too large it will run OOM
if self.num_classes == 2:
Y = (Y + 1) / 2
Yval = (Yval + 1) / 2
generator = partial(data_generator, X, Y)
#train_dataset = tf.data.Dataset.from_tensor_slices((X, Y)) \
train_dataset = tf.data.Dataset.from_generator(generator, args=(self.batch_size, ), output_types=(tf.float32, tf.float32)) \
.prefetch(self.batch_size * 10) \
.repeat() \
.shuffle(min(N // self.batch_size, 1_000_000 // self.batch_size)) \
.batch(1)
train_iter = iter(train_dataset)
loss = self.model.training_loss_closure(train_iter)
t_elapsed = 0
for step in range(self.num_iter):
t_s = time.time()
if self.natgrad_lr > 0:
natgrad_opt.minimize(loss, var_list=variational_params)
adam_opt.minimize(loss, var_list=self.model.trainable_variables)
t_elapsed += time.time() - t_s
if step % 700 == 0:
print("Step %d -- Elapsed %.2fs" % (step, t_elapsed),
flush=True)
if (step + 1) % self.error_every == 0:
preds = self.predict(Xval)
val_err, err_name = self.err_fn(Yval, preds)
print(
f"Step {step + 1} - {t_elapsed:7.2f}s Elapsed - "
f"Validation {err_name} {val_err:7.5f}",
flush=True)
preds = self.predict(Xval)
val_err, err_name = self.err_fn(Yval, preds)
print(
f"Finished optimization - {t_elapsed:7.2f}s Elapsed - "
f"Validation {err_name} {val_err:7.5f}",
flush=True)
print("Final model is ")
gpflow.utilities.print_summary(self.model)
print("", flush=True)
return self
# Compare GPR and VGP lengthscales after optimization:
# %%
print(f"GPR lengthscales = {gpr.kernel.lengthscales.numpy():.04f}")
print(f"VGP lengthscales = {vgp.kernel.lengthscales.numpy():.04f}")
# %% [markdown]
# ### Natural gradients also work for the sparse model
# Similarly, natural gradients turn SVGP into SGPR in the Gaussian likelihood case. <br>
# We can again combine natural gradients with Adam to update both variational parameters and hyperparameters too.<br>
# Here we'll just do a single natural step demonstration.
# %%
svgp = SVGP(
kernel=gpflow.kernels.Matern52(),
likelihood=gpflow.likelihoods.Gaussian(),
inducing_variable=inducing_variable,
)
sgpr = SGPR(data,
kernel=gpflow.kernels.Matern52(),
inducing_variable=inducing_variable)
for model in svgp, sgpr:
model.likelihood.variance.assign(0.1)
# %% [markdown]
# Analytically optimal sparse model ELBO:
# %%
sgpr.elbo().numpy()
class TrainableSVGP():
def __init__(self,
kernel,
inducing_points,
batch_size,
num_iter,
err_fn,
var_dist,
classif=None,
error_every=100,
train_hyperparams: bool = True,
lr: float = 0.001,
natgrad_lr: float = 0.01):
self.train_hyperparams = train_hyperparams
self.lr = lr
self.natgrad_lr = natgrad_lr
self.kernel = kernel
self.Z = inducing_points.copy()
self.batch_size = batch_size
self.num_iter = num_iter
self.err_fn = err_fn
self.error_every = error_every
self.do_classif = classif is not None and classif > 0
self.num_classes = 1
if self.do_classif:
self.num_classes = int(classif)
self.model = None
self.var_dist = var_dist
def fit(self, X, Y, Xval, Yval):
N = X.shape[0]
if self.var_dist == "diag":
q_diag = True
elif self.var_dist == "full":
q_diag = False
else:
raise NotImplementedError(
"GPFlow cannot implement %s variational distribution" %
(self.var_dist))
if self.do_classif:
if self.num_classes == 2:
likelihood = gpflow.likelihoods.Bernoulli()
num_latent = 1
else:
# Softmax better than Robustmax (apparently per the gpflow slack)
#likelihood = gpflow.likelihoods.MultiClass(self.num_classes, invlink=invlink) # Multiclass likelihood
likelihood = gpflow.likelihoods.Softmax(self.num_classes)
num_latent = self.num_classes
# Y must be 1D for the multiclass model to actually work.
Y = np.argmax(Y, 1).reshape((-1, 1)).astype(int)
else:
num_latent = 1
likelihood = gpflow.likelihoods.Gaussian()
self.model = SVGP(kernel=self.kernel,
likelihood=likelihood,
inducing_variable=self.Z,
num_data=N,
num_latent_gps=num_latent,
whiten=False,
q_diag=q_diag)
# Setup training
if not self.train_hyperparams:
set_trainable(self.model.inducing_variable.Z, False)
set_trainable(self.kernel.lengthscales, False)
set_trainable(self.kernel.variance, False)
if self.natgrad_lr > 0:
set_trainable(self.model.q_mu, False)
set_trainable(self.model.q_sqrt, False)
variational_params = [(self.model.q_mu, self.model.q_sqrt)]
# Create the optimizers
adam_opt = tf.optimizers.Adam(self.lr)
if self.natgrad_lr > 0:
natgrad_opt = NaturalGradient(gamma=self.natgrad_lr)
# Print
gpflow.utilities.print_summary(self.model)
print("", flush=True)
# Giacomo: If shuffle buffer is too large it will run OOM
if self.num_classes == 2:
Y = (Y + 1) / 2
Yval = (Yval + 1) / 2
generator = partial(data_generator, X, Y)
#train_dataset = tf.data.Dataset.from_tensor_slices((X, Y)) \
train_dataset = tf.data.Dataset.from_generator(generator, args=(self.batch_size, ), output_types=(tf.float32, tf.float32)) \
.prefetch(self.batch_size * 10) \
.repeat() \
.shuffle(min(N // self.batch_size, 1_000_000 // self.batch_size)) \
.batch(1)
train_iter = iter(train_dataset)
loss = self.model.training_loss_closure(train_iter)
t_elapsed = 0
for step in range(self.num_iter):
t_s = time.time()
if self.natgrad_lr > 0:
natgrad_opt.minimize(loss, var_list=variational_params)
adam_opt.minimize(loss, var_list=self.model.trainable_variables)
t_elapsed += time.time() - t_s
if step % 700 == 0:
print("Step %d -- Elapsed %.2fs" % (step, t_elapsed),
flush=True)
if (step + 1) % self.error_every == 0:
preds = self.predict(Xval)
val_err, err_name = self.err_fn(Yval, preds)
print(
f"Step {step + 1} - {t_elapsed:7.2f}s Elapsed - "
f"Validation {err_name} {val_err:7.5f}",
flush=True)
preds = self.predict(Xval)
val_err, err_name = self.err_fn(Yval, preds)
print(
f"Finished optimization - {t_elapsed:7.2f}s Elapsed - "
f"Validation {err_name} {val_err:7.5f}",
flush=True)
print("Final model is ")
gpflow.utilities.print_summary(self.model)
print("", flush=True)
return self
def predict(self, X):
preds = []
dset = tf.data.Dataset.from_tensor_slices((X, )).batch(self.batch_size)
for X_batch in iter(dset):
batch_preds = self.model.predict_y(X_batch[0])[0].numpy()
if self.do_classif:
batch_preds = batch_preds.reshape((X_batch[0].shape[0], -1))
preds.append(batch_preds)
preds = np.concatenate(preds, axis=0)
return preds
@property
def inducing_points(self):
return self.model.inducing_variable.Z.numpy()
def __str__(self):
return ((
"TrainableSVGP<kernel=%s, num_inducing_points=%d, batch_size=%d, "
"num_iter=%d, lr=%f, natgrad_lr=%f, error_every=%d, train_hyperparams=%s, "
"var_dist=%s, do_classif=%s, model=%s") %
(self.kernel, self.Z.shape[0], self.batch_size, self.num_iter,
self.lr, self.natgrad_lr, self.error_every,
self.train_hyperparams, self.var_dist, self.do_classif,
self.model))
