def sample_from_Omega_to_learn(self):
Omega_from_q = []
for i in range(self.n_Omega):
z = utils.get_normal_samples(self.mc, self.d_in[i], self.d_out[i])
Omega_from_q.append(tf.add(tf.multiply(z, tf.exp(self.log_var_Omega[i] / 2)), self.mean_Omega[i]))
return Omega_from_q
def sample_from_W(self):
W_from_q = []
for i in range(self.n_W):
z = utils.get_normal_samples(self.mc, self.dhat_in[i], self.dhat_out[i])
self.z = z
W_from_q.append(tf.add(tf.multiply(z, tf.exp(self.log_var_W[i] / 2)), self.mean_W[i]))
return W_from_q
def __init__(self, likelihood_fun, num_examples, d_in, d_out, n_layers,
n_rff, df, kernel_type, kernel_arccosine_degree, is_ard,
feed_forward, q_Omega_fixed, theta_fixed, learn_Omega):
"""
:param likelihood_fun: Likelihood function
:param num_examples: total number of input samples
:param d_in: Dimensionality of the input
:param d_out: Dimensionality of the output
:param n_layers: Number of hidden layers
:param n_rff: Number of random features for each layer
:param df: Number of GPs for each layer
:param kernel_type: Kernel type: currently only random Fourier features for RBF and arccosine kernels are implemented
:param kernel_arccosine_degree: degree parameter of the arccosine kernel
:param is_ard: Whether the kernel is ARD or isotropic
:param feed_forward: Whether the original inputs should be fed forward as input to each layer
:param Omega_fixed: Whether the Omega weights should be fixed throughout the optimization
:param theta_fixed: Whether covariance parameters should be fixed throughout the optimization
:param learn_Omega: How to treat Omega - fixed (from the prior), optimized, or learned variationally
"""
self.likelihood = likelihood_fun
self.kernel_type = kernel_type
self.is_ard = is_ard
self.feed_forward = feed_forward
self.q_Omega_fixed = q_Omega_fixed
self.theta_fixed = theta_fixed
self.q_Omega_fixed_flag = q_Omega_fixed > 0
self.theta_fixed_flag = theta_fixed > 0
self.learn_Omega = learn_Omega
self.arccosine_degree = kernel_arccosine_degree
## These are all scalars
self.num_examples = num_examples
self.nl = n_layers ## Number of hidden layers
self.n_Omega = n_layers ## Number of weigh matrices is "Number of hidden layers"
self.n_W = n_layers
## These are arrays to allow flexibility in the future
self.n_rff = n_rff * np.ones(n_layers, dtype=np.int64)
self.df = df * np.ones(n_layers, dtype=np.int64)
## Dimensionality of Omega matrices
if self.feed_forward:
self.d_in = np.concatenate([[d_in],
self.df[:(n_layers - 1)] + d_in])
else:
self.d_in = np.concatenate([[d_in], self.df[:(n_layers - 1)]])
self.d_out = self.n_rff
## Dimensionality of W matrices
if self.kernel_type == "RBF":
self.dhat_in = self.n_rff * 2
self.dhat_out = np.concatenate([self.df[:-1], [d_out]])
if self.kernel_type == "arccosine":
self.dhat_in = self.n_rff
self.dhat_out = np.concatenate([self.df[:-1], [d_out]])
## When Omega is learned variationally, define the right KL function and the way Omega are constructed
if self.learn_Omega == "var":
self.get_kl = self.get_kl_Omega_to_learn
self.sample_from_Omega = self.sample_from_Omega_to_learn
## When Omega is optimized, fix some standard normals throughout the execution that will be used to construct Omega
if self.learn_Omega == "optim":
self.get_kl = self.get_kl_Omega_to_learn
self.sample_from_Omega = self.sample_from_Omega_optim
self.z_for_Omega_fixed = []
for i in range(self.n_Omega):
tmp = utils.get_normal_samples(1, self.d_in[i], self.d_out[i])
self.z_for_Omega_fixed.append(
tf.Variable(tmp[0, :, :], trainable=False))
## When Omega is fixed, fix some standard normals throughout the execution that will be used to construct Omega
if self.learn_Omega == "no":
self.get_kl = self.get_kl_Omega_fixed
self.sample_from_Omega = self.sample_from_Omega_fixed
self.z_for_Omega_fixed = []
for i in range(self.n_Omega):
tmp = utils.get_normal_samples(1, self.d_in[i], self.d_out[i])
self.z_for_Omega_fixed.append(
tf.Variable(tmp[0, :, :], trainable=False))
## Parameters defining prior over Omega
self.log_theta_sigma2 = tf.Variable(tf.zeros([n_layers]),
name="log_theta_sigma2")
if self.is_ard:
self.llscale0 = []
for i in range(self.nl):
self.llscale0.append(
tf.constant(0.5 * np.log(self.d_in[i]), tf.float32))
else:
self.llscale0 = tf.constant(0.5 * np.log(self.d_in), tf.float32)
if self.is_ard:
self.log_theta_lengthscale = []
for i in range(self.nl):
self.log_theta_lengthscale.append(
tf.Variable(tf.mul(tf.ones([self.d_in[i]]),
self.llscale0[i]),
name="log_theta_lengthscale"))
else:
self.log_theta_lengthscale = tf.Variable(
self.llscale0, name="log_theta_lengthscale")
self.prior_mean_Omega, self.log_prior_var_Omega = self.get_prior_Omega(
self.log_theta_lengthscale)
## Set the prior over weights
self.prior_mean_W, self.log_prior_var_W = self.get_prior_W()
## Initialize posterior parameters
if self.learn_Omega == "var":
self.mean_Omega, self.log_var_Omega = self.init_posterior_Omega()
if self.learn_Omega == "optim":
self.mean_Omega, self.log_var_Omega = self.init_posterior_Omega()
self.mean_W, self.log_var_W = self.init_posterior_W()
## Set the number of Monte Carlo samples as a placeholder so that it can be different for training and test
self.mc = tf.placeholder(tf.int32)
## Batch data placeholders
Din = d_in
Dout = d_out
self.X = tf.placeholder(tf.float32, [None, Din])
self.Y = tf.placeholder(tf.float32, [None, Dout])
## Builds whole computational graph with relevant quantities as part of the class
self.loss, self.kl, self.ell, self.layer_out = self.get_nelbo()
## Initialize the session
self.session = tf.Session()
def get_ell(self):
Din = self.d_in[0]
MC = self.mc
N_L = self.nl
X = self.X
Y = self.Y
batch_size = tf.shape(
X
)[0] # This is the actual batch size when X is passed to the graph of computations
## The representation of the information is based on 3-dimensional tensors (one for each layer)
## Each slice [i,:,:] of these tensors is one Monte Carlo realization of the value of the hidden units
## At layer zero we simply replicate the input matrix X self.mc times
self.layer = []
self.layer.append(tf.multiply(tf.ones([self.mc, batch_size, Din]), X))
## Forward propagate information from the input to the output through hidden layers
Omega_from_q = self.sample_from_Omega()
for i in range(N_L):
layer_times_Omega = tf.matmul(self.layer[i],
Omega_from_q[i]) # X * Omega
## Apply the activation function corresponding to the chosen kernel - PHI
if self.kernel_type == "RBF":
Phi = tf.exp(0.5 * self.log_theta_sigma2[i]) / tf.cast(
tf.sqrt(1. * self.n_rff[i]), 'float32') * tf.concat(
values=[
tf.cos(layer_times_Omega),
tf.sin(layer_times_Omega)
],
axis=2)
if self.kernel_type == "arccosine":
if self.arccosine_degree == 0:
Phi = tf.exp(0.5 * self.log_theta_sigma2[i]) / tf.cast(
tf.sqrt(1. * self.n_rff[i]), 'float32') * tf.concat(
values=[
tf.sign(tf.maximum(layer_times_Omega, 0.0))
],
axis=2)
if self.arccosine_degree == 1:
Phi = tf.exp(0.5 * self.log_theta_sigma2[i]) / tf.cast(
tf.sqrt(1. * self.n_rff[i]), 'float32') * tf.concat(
values=[tf.maximum(layer_times_Omega, 0.0)],
axis=2)
if self.arccosine_degree == 2:
Phi = tf.exp(0.5 * self.log_theta_sigma2[i]) / tf.cast(
tf.sqrt(1. * self.n_rff[i]), 'float32') * tf.concat(
values=[
tf.square(tf.maximum(layer_times_Omega, 0.0))
],
axis=2)
if self.local_reparam:
z_for_F_sample = utils.get_normal_samples(
self.mc,
tf.shape(Phi)[1], self.dhat_out[i])
mean_F = tf.tensordot(Phi, self.mean_W[i], [[2], [0]])
var_F = tf.tensordot(tf.pow(Phi, 2), tf.exp(self.log_var_W[i]),
[[2], [0]])
F = tf.add(tf.multiply(z_for_F_sample, tf.sqrt(var_F)), mean_F)
else:
W_from_q = self.sample_from_W()
F = tf.matmul(Phi, W_from_q[i])
if self.feed_forward and not (
i == (N_L - 1)
): ## In the feed-forward case, no concatenation in the last layer so that F has the same dimensions of Y
F = tf.concat(values=[F, self.layer[0]], axis=2)
self.layer.append(F)
## Output layer
layer_out = self.layer[N_L]
## Given the output layer, we compute the conditional likelihood across all samples
ll = self.likelihood.log_cond_prob(Y, layer_out)
## Mini-batch estimation of the expected log-likelihood term
ell = tf.reduce_sum(tf.reduce_mean(
ll, 0)) * self.num_examples / tf.cast(batch_size, "float32")
return ell, layer_out
