def sample(self, y, n=None):
"""Sample from the fitted probabilistic CCA model.
:param n: The number of samples.
:return: Two views of n samples each.
"""
k = self.latent_dim
Lambda, Psi_diag = self.tile_params()
if n and n > y.shape[1]:
raise AttributeError('More samples than estimated z variables.')
elif not n:
n = y.shape[1]
z = torch.empty(k, n)
for i in range(n):
yi = y[:, i]
z[:, i] = self.E_z_given_y(Lambda, Psi_diag, yi)
m1 = self.Lambda1 @ z
m2 = self.Lambda2 @ z
y1 = torch.empty(self.p1, n)
y2 = torch.empty(self.p2, n)
for i in range(n):
y1[:, i] = MVN(m1[:, i], diag(self.Psi1_diag)).sample()
y2[:, i] = MVN(m2[:, i], diag(self.Psi2_diag)).sample()
return y1.t(), y2.t()
def sample(self, y, n_samples):
"""Sample from the fitted probabilistic CCA model.
:param n: The number of samples.
:return: Two views of n samples each.
"""
k = 3 * self.latent_dim if self.private_z else self.latent_dim
Lambda, Psi_diag = self.tile_params()
PLL_inv = LA.woodbury_inv(Psi_diag, Lambda, Lambda.t(), k)
z = self.E_z_given_y(Lambda, PLL_inv, y)
m = Lambda @ z
m1 = m[:self.p1]
m2 = m[self.p1:]
y1 = torch.empty(self.p1, n_samples)
y2 = torch.empty(self.p2, n_samples)
for i in range(n_samples):
# Randomly select a latent variable.
r = random.randint(0, z.shape[1])
# Sample y using the mean for the chosen latent variable.
y1[:, i] = MVN(m1[:, r], diag(self.Psi1_diag)).sample()
y2[:, i] = MVN(m2[:, r], diag(self.Psi2_diag)).sample()
return y1.t(), y2.t()
def init_VL_sampler(self):
from torch.distributions.multivariate_normal import MultivariateNormal as MVN
view_mvn_path = self.cfgs.get('view_mvn_path', 'checkpoints/view_light/view_mvn.pth')
light_mvn_path = self.cfgs.get('light_mvn_path', 'checkpoints/view_light/light_mvn.pth')
view_mvn = torch.load(view_mvn_path)
light_mvn = torch.load(light_mvn_path)
self.view_mean = view_mvn['mean'].cuda()
self.light_mean = light_mvn['mean'].cuda()
self.view_mvn = MVN(view_mvn['mean'].cuda(), view_mvn['cov'].cuda())
self.light_mvn = MVN(light_mvn['mean'].cuda(), light_mvn['cov'].cuda())
def get_projections(self, data, J, projection='two'):
"""
Get projections for ACS approximate procedure
:param data: (Object) Data object to get projections for
:param J: (int) Number of projections to use
:param projection: (str) Type of projection to use (currently only 'two' supported)
:return: (torch.tensor) Projections
"""
projections = []
with torch.no_grad():
theta_mean, theta_cov = self.linear._compute_posterior(
self.encode(self.x_train), self.y_train)
jitter = utils.to_gpu(torch.eye(len(theta_cov)) * 1e-4)
try:
theta_samples = MVN(theta_mean.flatten(),
theta_cov + jitter).sample(torch.Size([J]))
except:
import pdb
pdb.set_trace()
dataloader = DataLoader(Dataset(data, 'unlabeled'),
batch_size=len(data.index['unlabeled']),
shuffle=False)
for (x, _) in dataloader:
x = utils.to_gpu(x)
if projection == 'two':
for theta_sample in theta_samples:
projections.append(
self._compute_expected_ll(x, theta_sample))
else:
raise NotImplementedError
return utils.to_gpu(torch.sqrt(1 / torch.FloatTensor(
[J]))) * torch.cat(projections, dim=1), torch.zeros(len(x))
def test_neg_loglik(self): """ Compute negative log-likelihood of test set. """ self.q_params = self.all_variationals[-1][0] samples, _ = self.sample_q(self.config["bbb_nsamples"]) results = np.apply_along_axis(lambda w: self.forward(self.X_test, weights=torch.Tensor(w)).numpy(), 1, samples) means = torch.tensor(np.mean(results, axis=0)) return -1 * MVN(means, self.config["sigma_noise"] * torch.eye(self.Ydim)).log_prob(self.Y_test).sum()
def test_neg_loglik(self):
""" Compute negative log-likelihood of test set. """
results = np.apply_along_axis(
lambda w: self.forward(self.X_test, weights=torch.Tensor(w)).numpy(
), 1, self.particles)
means = torch.tensor(np.mean(results, axis=0))
return -1 * MVN(means, self.config["sigma_noise"] *
torch.eye(self.Ydim)).log_prob(self.Y_test).sum()
def two_gaussians(n,
covariance=[1, 0, 0, 1],
transforms=[(lambda x: x), (lambda y: y)]):
sampler = MVN(loc=torch.zeros(2),
covariance_matrix=torch.Tensor(
[covariance[0:2], covariance[2:4]]))
X, Y = sampler.sample((n, )).t()
X, Y = transforms[0](X), transforms[1](Y)
return X.view(-1, 1), Y.view(-1, 1)
def get_projections(self,
data,
J,
projection='two',
gamma=0,
transform=None,
**kwargs):
"""
Get projections for ACS approximate procedure
:param data: (Object) Data object to get projections for
:param J: (int) Number of projections to use
:param projection: (str) Type of projection to use (currently only 'two' supported)
:return: (torch.tensor) Projections
"""
ent = lambda py: torch.distributions.Categorical(probs=py).entropy()
projections = []
feat_x = []
with torch.no_grad():
mean, cov = self.linear._compute_posterior()
jitter = to_gpu(torch.eye(len(cov)) * 1e-6)
theta_samples = MVN(mean,
cov + jitter).sample(torch.Size([J])).view(
J, -1, self.linear.out_features)
'''
dataloader = DataLoader(Dataset(data, 'unlabeled', transform=transform),
batch_size=256, shuffle=False)
'''
idx_lb = data.index['unlabeled']
handler = DataHandler(X=data.X[idx_lb],
Y=data.Y[idx_lb],
transform=self.args['transform'])
dataloader = DataLoader(handler,
shuffle=False,
batch_size=256,
num_workers=0)
for (x, _, _) in dataloader:
x = to_gpu(x)
feat_x.append(self.encode(x))
feat_x = torch.cat(feat_x)
py = self._compute_predictive_posterior(self.linear(
feat_x, num_samples=100),
logits=False)
ent_x = ent(py)
if projection == 'two':
for theta_sample in theta_samples:
projections.append(
self._compute_expected_ll(feat_x, theta_sample, py) +
gamma * ent_x[:, None])
else:
raise NotImplementedError
return to_gpu(torch.sqrt(1 / torch.FloatTensor([J]))) * torch.cat(
projections, dim=1), ent_x
def sample(self, y, n_samples=None, one_sample_per_y=False):
"""Sample from the fitted probabilistic CCA model.
:param y: Observations of shape (n_features, n_samples).
:param n_samples: The number of samples.
:return: Two views of n samples each.
"""
k = 3 * self.latent_dim
if one_sample_per_y:
if n_samples and n_samples != y.shape[1]:
msg = 'When sampling once per `y`, `n_samples` must be the' \
'number of samples of `y`.'
raise AttributeError(msg)
n_samples = y.shape[1]
Lambda, Psi_diag = self.tile_params()
PLL_inv = LA.woodbury_inv(Psi_diag, Lambda, Lambda.t(), k)
z = self.E_z_given_y(Lambda, PLL_inv, y)
m = Lambda @ z
m1 = m[:self.p1]
m2 = m[self.p1:]
y1r = torch.empty(self.p1, n_samples, device=device)
y2r = torch.empty(self.p2, n_samples, device=device)
for i in range(n_samples):
if one_sample_per_y:
# Sample based on the estimated mean for the current `y`.
j = i
else:
# Sample based on a randomly chosen latent variable.
j = random.randint(0, z.shape[1] - 1)
y1r[:, i] = MVN(m1[:, j], diag(exp(self.log_Psi1_diag))).sample()
y2r[:, i] = MVN(m2[:, j], diag(exp(self.log_Psi2_diag))).sample()
return y1r.t(), y2r.t()
def log_likelihood(self, batch_indices=None):
""" Computes log-likelihood term. """
if batch_indices is None:
batch = self.X_train
target = self.Y_train
multiplier = 1
else:
batch = self.X_train[batch_indices]
target = self.Y_train[batch_indices]
multiplier = (self.N_train / len(batch_indices))
means = self.forward(X=batch)
if self.Ydim == 1:
return multiplier * self.noise_dist.log_prob(means - target).sum()
return multiplier * MVN(
means, self.config["sigma_noise"] *
torch.eye(self.Ydim)).log_prob(target).sum()
def log_likelihood(self, batch_indices=None):
""" Computes the likelihood. """
if batch_indices is None:
batch = self.X_train
target = self.Y_train
multiplier = 1
else:
batch = self.X_train[batch_indices]
target = self.Y_train[batch_indices]
multiplier = (self.N_train / len(batch_indices))
means = self.forward(X=batch)
if self.Ydim == 1:
return multiplier * Normal(
0, self.sigma_noise).log_prob(means - target).sum()
return multiplier * MVN(means, self.sigma_noise *
torch.eye(self.Ydim)).log_prob(target).sum()
def positive_gaussian_cocp(self):
""" Conditional output-constrained prior: mixture of Gaussian.
Assume uniform mixing weights for each mixture.
Assume isotropic Gaussian.
"""
nn_mean = self.forward(X=self._cr_pos_xsamples)
index = 0
log_prob = torch.tensor(0.0)
for i, (dom, ifunc) in enumerate(
self.dconstraints['positive_gaussian_cocp']):
sub_nsamples = self._cr_ylens[i] * self.ocp_nsamples
dist = MVN(self._cr_pos_ysamples[index:index + sub_nsamples, :],
self.cocp_gaussian_sigma_c *
torch.eye(self.Ydim)).log_prob(nn_mean[index:index +
sub_nsamples, :])
dist += torch.log(torch.tensor(1 / self._cr_ylens[i]))
log_prob += torch.logsumexp(torch.stack(dist.split(
self.ocp_nsamples),
dim=0),
dim=0).sum()
index += sub_nsamples
return log_prob
def nce_test():
"""
Test implementation of NCE for Gaussian
"""
#specify data size
data_dim = 5
Td = 100000
noise_ratio = 50
Tn = Td * noise_ratio
Td_batch = 1000
Tn_batch = Td_batch * noise_ratio
#create Pd and create artificial data
cov_base = th.tensor(make_spd_matrix(data_dim), dtype=th.float)
tril_mat = th.tril(cov_base)
cov_mat = th.matmul(tril_mat, tril_mat.t())
true_c = -0.5 * th.log(th.abs(th.det(cov_mat))) - (data_dim / 2) * th.log(
2 * th.tensor(np.pi))
p_data = MVN(th.zeros(data_dim), scale_tril=tril_mat)
data_labels = th.ones(Td)
data_sample = th.utils.data.TensorDataset(p_data.sample((Td, )),
data_labels)
data_loader = th.utils.data.DataLoader(data_sample,
batch_size=Td_batch,
shuffle=True)
#specify noise parameters for later use
noise_cov_mat = th.eye(data_dim)
#set up the model to be estimated
cov_model = th.tensor(make_spd_matrix(data_dim), dtype=th.float)
tril_mat_model = th.tril(cov_model)
model = UnnormMVGaussian(th.zeros(data_dim), scale_tril=tril_mat_model)
model.scale_tril.requires_grad = True
model.normalizing_constant.requires_grad = True
#set up optimization parameters
start_epoch = 0
end_epoch = 1000
start_lr = 0.001
momentum = 0.9
decay_epochs = [50, 100, 250, 500, 750]
decay_gamma = 0.1
optimizer = th.optim.Adam([model.scale_tril, model.normalizing_constant],
lr=start_lr)
lr_sched = th.optim.lr_scheduler.MultiStepLR(optimizer,
milestones=decay_epochs,
gamma=decay_gamma)
#train
for epoch in range(start_epoch, end_epoch):
lr_sched.step()
print(epoch)
for i, (data_batch, data_labels) in enumerate(data_loader):
#sample noise data for current input batch
noise_distr = MVN(th.zeros(data_dim), noise_cov_mat)
noise_batch = noise_distr.sample((Tn_batch, ))
noise_labels = th.zeros(Tn_batch)
#combine data and noise samples
joint_batch = th.cat((data_batch, noise_batch), 0)
joint_labels = th.cat((data_labels, noise_labels), 0)
#forward pass
log_P_model = model.log_prob(joint_batch)
log_P_noise = noise_distr.log_prob(joint_batch)
log_P_diff = log_P_model - log_P_noise + 1e-20
loss = NCE_loss(log_P_diff, joint_labels, Td_batch, noise_ratio)
print(loss.item(), true_c.item(),
model.normalizing_constant.item())
print(F.mse_loss(model.scale_tril, p_data.scale_tril))
#backward pass
optimizer.zero_grad()
loss.backward()
optimizer.step()
noise_cov_mat = th.chain_matmul(model.scale_tril.detach(),
model.scale_tril.detach().t())
pdb.set_trace()
def vdapc_loss(latent_dist,
latent_sample,
latent_mask,
T,
cov,
post_L,
alpha=0.,
beta=0.,
gamma=1.,
zeta=1.):
batch_size, seq_len, d = latent_sample.shape
### Junwen: compute the log prob terms for each 3*3 block
# Weiran: sample across different utts.
latent_mu = latent_dist[0].reshape(-1, d)
latent_logvar = latent_dist[1].reshape(-1, d)
mask = latent_mask.reshape(-1).float()
# This gives indices of valid samples.
idx = mask.nonzero()[:, 0]
if idx.shape[0] > 2000:
step = idx.shape[0] // 2000
latent_mu_sub = latent_mu[idx[::step], :]
latent_logvar_sub = latent_logvar[idx[::step], :]
else:
latent_mu_sub = latent_mu[idx, :]
latent_logvar_sub = latent_mu[idx, :]
block_log_pz, block_log_qz, block_log_prod_qzi, block_log_q_zCx = _get_log_pz_qz_prodzi_qzCx(
latent_sample.reshape(-1, d), (latent_mu, latent_logvar),
(latent_mu_sub, latent_logvar_sub))
block_mi_loss = torch.sum(
(block_log_q_zCx - block_log_qz) * mask) / torch.sum(mask)
block_tc_loss = torch.sum(
(block_log_qz - block_log_prod_qzi) * mask) / torch.sum(mask)
block_kl_loss = torch.sum(
(block_log_prod_qzi - block_log_pz) * mask) / torch.sum(mask)
### Junwen: compute the log prob terms for each 24*24 block
latent_sample_2T = latent_sample.reshape(batch_size, seq_len * d).unfold(
1, 2 * T * d, d).reshape(-1, 2 * T * d)
latent_mu = latent_mu.reshape(batch_size, seq_len * d).unfold(
1, 2 * T * d, d).reshape(-1, 2 * T * d)
latent_logvar = latent_logvar.reshape(batch_size, seq_len * d).unfold(
1, 2 * T * d, d).reshape(-1, 2 * T * d)
mask = latent_mask.reshape(batch_size, seq_len).unfold(
1, 2 * T, 1).reshape(-1, 2 * T).all(1).float()
log_q_zCx = log_density_gaussian(latent_sample_2T, latent_mu,
latent_logvar).sum(1)
mvn = MVN(torch.zeros(2 * T * d, device=cov.device), covariance_matrix=cov)
latent_sample_2T = post_L(latent_sample_2T)
log_pz = mvn.log_prob(latent_sample_2T)
kl_loss = torch.sum((log_q_zCx - log_pz) * mask) / torch.sum(mask)
# the choice of the losses could be arbitrary combination of diff terms for diff-size blocks
loss = alpha * block_mi_loss + beta * block_tc_loss + gamma * block_kl_loss + zeta * kl_loss
print(
"vae losses: block_mi_loss=%f, block_tc_loss=%f, block_kl_loss=%f, kl_loss=%f"
% (block_mi_loss, block_tc_loss, block_kl_loss, kl_loss))
return loss
def two_gaussians(n, covariance=[1, 0, 0, 1]):
sampler = MVN(loc=torch.zeros(2),
covariance_matrix=torch.Tensor(
[covariance[0:2], covariance[2:4]]))
X, Y = sampler.sample((n, )).t()
return X.view(-1, 1), Y.view(-1, 1)