Source code for gpflow.models.sgpr

# Copyright 2016-2020 The GPflow Contributors. All Rights Reserved.
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from typing import NamedTuple, Optional, Tuple

import numpy as np
import tensorflow as tf

from .. import posteriors
from ..base import InputData, MeanAndVariance, RegressionData, TensorData
from ..config import default_float, default_jitter
from ..covariances.dispatch import Kuf, Kuu
from ..experimental.check_shapes import check_shapes, inherit_check_shapes
from ..inducing_variables import InducingPoints
from ..kernels import Kernel
from ..likelihoods import Gaussian
from ..mean_functions import MeanFunction
from ..utilities import add_noise_cov, assert_params_false, to_default_float
from .model import GPModel
from .training_mixins import InternalDataTrainingLossMixin
from .util import InducingPointsLike, data_input_to_tensor, inducingpoint_wrapper


[docs]class SGPRBase_deprecated(GPModel, InternalDataTrainingLossMixin): """ Common base class for SGPR and GPRFITC that provides the common __init__ and upper_bound() methods. """ @check_shapes( "data[0]: [N, D]", "data[1]: [N, P]", "noise_variance: []", ) def __init__( self, data: RegressionData, kernel: Kernel, inducing_variable: InducingPointsLike, *, mean_function: Optional[MeanFunction] = None, num_latent_gps: Optional[int] = None, noise_variance: Optional[TensorData] = None, likelihood: Optional[Gaussian] = None, ): """ This method only works with a Gaussian likelihood, its variance is initialized to `noise_variance`. :param data: a tuple of (X, Y), where the inputs X has shape [N, D] and the outputs Y has shape [N, R]. :param inducing_variable: an InducingPoints instance or a matrix of the pseudo inputs Z, of shape [M, D]. :param kernel: An appropriate GPflow kernel object. :param mean_function: An appropriate GPflow mean function object. """ assert (noise_variance is None) or ( likelihood is None ), "Cannot set both `noise_variance` and `likelihood`." if likelihood is None: if noise_variance is None: noise_variance = 1.0 likelihood = Gaussian(noise_variance) X_data, Y_data = data_input_to_tensor(data) num_latent_gps = Y_data.shape[-1] if num_latent_gps is None else num_latent_gps super().__init__(kernel, likelihood, mean_function, num_latent_gps=num_latent_gps) self.data = X_data, Y_data self.num_data = X_data.shape[0] self.inducing_variable: InducingPoints = inducingpoint_wrapper(inducing_variable)
[docs] @check_shapes( "return: []", ) def upper_bound(self) -> tf.Tensor: """ Upper bound for the sparse GP regression marginal likelihood. Note that the same inducing points are used for calculating the upper bound, as are used for computing the likelihood approximation. This may not lead to the best upper bound. The upper bound can be tightened by optimising Z, just like the lower bound. This is especially important in FITC, as FITC is known to produce poor inducing point locations. An optimisable upper bound can be found in https://github.com/markvdw/gp_upper. The key reference is :cite:t:`titsias_2014`. The key quantity, the trace term, can be computed via >>> _, v = conditionals.conditional(X, model.inducing_variable.Z, model.kernel, ... np.zeros((model.inducing_variable.num_inducing, 1))) which computes each individual element of the trace term. """ X_data, Y_data = self.data sigma_sq = tf.squeeze(self.likelihood.variance_at(X_data), axis=-1) # [N] sigma = tf.sqrt(sigma_sq) # [N] Kdiag = self.kernel(X_data, full_cov=False) kuu = Kuu(self.inducing_variable, self.kernel, jitter=default_jitter()) kuf = Kuf(self.inducing_variable, self.kernel, X_data) I = tf.eye(tf.shape(kuu)[0], dtype=default_float()) L = tf.linalg.cholesky(kuu) A = tf.linalg.triangular_solve(L, kuf, lower=True) A_sigma = tf.linalg.triangular_solve(L, kuf / sigma, lower=True) AAT_sigma = tf.linalg.matmul(A_sigma, A_sigma, transpose_b=True) B = I + AAT_sigma LB = tf.linalg.cholesky(B) # Using the Trace bound, from Titsias' presentation c = tf.reduce_sum(Kdiag) - tf.reduce_sum(tf.square(A)) # Alternative bound on max eigenval: cn_var = sigma_sq + c cn_std = tf.sqrt(cn_var) const = -0.5 * tf.reduce_sum(tf.math.log(2 * np.pi * sigma_sq)) logdet = -tf.reduce_sum(tf.math.log(tf.linalg.diag_part(LB))) A_cn = tf.linalg.triangular_solve(L, kuf / cn_std, lower=True) AAT_cn = tf.linalg.matmul(A_cn, A_cn, transpose_b=True) err = Y_data - self.mean_function(X_data) LC = tf.linalg.cholesky(I + AAT_cn) v = tf.linalg.triangular_solve( LC, tf.linalg.matmul(A_cn, err / cn_std[:, None]), lower=True ) quad = -0.5 * tf.reduce_sum(tf.square(err / cn_std[:, None])) + 0.5 * tf.reduce_sum( tf.square(v) ) return const + logdet + quad
[docs]class SGPR_deprecated(SGPRBase_deprecated): """ Sparse Variational GP regression. The key reference is :cite:t:`titsias2009variational`. """
[docs] class CommonTensors(NamedTuple): sigma_sq: tf.Tensor sigma: tf.Tensor A: tf.Tensor B: tf.Tensor LB: tf.Tensor AAT: tf.Tensor L: tf.Tensor
# type-ignore is because of changed method signature:
[docs] @inherit_check_shapes def maximum_log_likelihood_objective(self) -> tf.Tensor: # type: ignore[override] return self.elbo()
@check_shapes( "return.sigma_sq: [N]", "return.sigma: [N]", "return.A: [M, N]", "return.B: [M, M]", "return.LB: [M, M]", "return.AAT: [M, M]", ) def _common_calculation(self) -> "SGPR.CommonTensors": """ Matrices used in log-det calculation :return: * :math:`σ²`, * :math:`σ`, * :math:`A = L⁻¹K_{uf}/σ`, where :math:`LLᵀ = Kᵤᵤ`, * :math:`B = AAT+I`, * :math:`LB` where :math`LBLBᵀ = B`, * :math:`AAT = AAᵀ`, """ x, _ = self.data # [N] iv = self.inducing_variable # [M] sigma_sq = tf.squeeze(self.likelihood.variance_at(x), axis=-1) # [N] sigma = tf.sqrt(sigma_sq) # [N] kuf = Kuf(iv, self.kernel, x) # [M, N] kuu = Kuu(iv, self.kernel, jitter=default_jitter()) # [M, M] L = tf.linalg.cholesky(kuu) # [M, M] # Compute intermediate matrices A = tf.linalg.triangular_solve(L, kuf / sigma, lower=True) AAT = tf.linalg.matmul(A, A, transpose_b=True) B = add_noise_cov(AAT, tf.cast(1.0, AAT.dtype)) LB = tf.linalg.cholesky(B) return self.CommonTensors(sigma_sq, sigma, A, B, LB, AAT, L)
[docs] @check_shapes( "return: []", ) def logdet_term(self, common: "SGPR.CommonTensors") -> tf.Tensor: r""" Bound from Jensen's Inequality: .. math:: \log |K + σ²I| <= \log |Q + σ²I| + N * \log (1 + \textrm{tr}(K - Q)/(σ²N)) :param common: A named tuple containing matrices that will be used :return: log_det, lower bound on :math:`-.5 * \textrm{output_dim} * \log |K + σ²I|` """ sigma_sq = common.sigma_sq LB = common.LB AAT = common.AAT x, y = self.data outdim = to_default_float(tf.shape(y)[1]) kdiag = self.kernel(x, full_cov=False) # tr(K) / σ² trace_k = tf.reduce_sum(kdiag / sigma_sq) # tr(Q) / σ² trace_q = tf.reduce_sum(tf.linalg.diag_part(AAT)) # tr(K - Q) / σ² trace = trace_k - trace_q # 0.5 * log(det(B)) half_logdet_b = tf.reduce_sum(tf.math.log(tf.linalg.diag_part(LB))) # sum log(σ²) log_sigma_sq = tf.reduce_sum(tf.math.log(sigma_sq)) logdet_k = -outdim * (half_logdet_b + 0.5 * log_sigma_sq + 0.5 * trace) return logdet_k
[docs] @check_shapes( "return: []", ) def quad_term(self, common: "SGPR.CommonTensors") -> tf.Tensor: """ :param common: A named tuple containing matrices that will be used :return: Lower bound on -.5 yᵀ(K + σ²I)⁻¹y """ sigma = common.sigma A = common.A LB = common.LB x, y = self.data err = (y - self.mean_function(x)) / sigma[..., None] Aerr = tf.linalg.matmul(A, err) c = tf.linalg.triangular_solve(LB, Aerr, lower=True) # σ⁻² yᵀy err_inner_prod = tf.reduce_sum(tf.square(err)) c_inner_prod = tf.reduce_sum(tf.square(c)) quad = -0.5 * (err_inner_prod - c_inner_prod) return quad
[docs] @check_shapes( "return: []", ) def elbo(self) -> tf.Tensor: """ Construct a tensorflow function to compute the bound on the marginal likelihood. For a derivation of the terms in here, see the associated SGPR notebook. """ common = self._common_calculation() output_shape = tf.shape(self.data[-1]) num_data = to_default_float(output_shape[0]) output_dim = to_default_float(output_shape[1]) const = -0.5 * num_data * output_dim * np.log(2 * np.pi) logdet = self.logdet_term(common) quad = self.quad_term(common) return const + logdet + quad
[docs] @inherit_check_shapes def predict_f( self, Xnew: InputData, full_cov: bool = False, full_output_cov: bool = False ) -> MeanAndVariance: """ Compute the mean and variance of the latent function at some new points Xnew. For a derivation of the terms in here, see the associated SGPR notebook. """ # could copy into posterior into a fused version assert_params_false(self.predict_f, full_output_cov=full_output_cov) X_data, Y_data = self.data num_inducing = self.inducing_variable.num_inducing err = Y_data - self.mean_function(X_data) kuf = Kuf(self.inducing_variable, self.kernel, X_data) kuu = Kuu(self.inducing_variable, self.kernel, jitter=default_jitter()) Kus = Kuf(self.inducing_variable, self.kernel, Xnew) sigma_sq = tf.squeeze(self.likelihood.variance_at(X_data), axis=-1) sigma = tf.sqrt(sigma_sq) L = tf.linalg.cholesky(kuu) # cache alpha, qinv A = tf.linalg.triangular_solve(L, kuf / sigma, lower=True) B = tf.linalg.matmul(A, A, transpose_b=True) + tf.eye( num_inducing, dtype=default_float() ) # cache qinv LB = tf.linalg.cholesky(B) # cache alpha Aerr = tf.linalg.matmul(A, err / sigma[..., None]) c = tf.linalg.triangular_solve(LB, Aerr, lower=True) tmp1 = tf.linalg.triangular_solve(L, Kus, lower=True) tmp2 = tf.linalg.triangular_solve(LB, tmp1, lower=True) mean = tf.linalg.matmul(tmp2, c, transpose_a=True) if full_cov: var = ( self.kernel(Xnew) + tf.linalg.matmul(tmp2, tmp2, transpose_a=True) - tf.linalg.matmul(tmp1, tmp1, transpose_a=True) ) var = tf.tile(var[None, ...], [self.num_latent_gps, 1, 1]) # [P, N, N] else: var = ( self.kernel(Xnew, full_cov=False) + tf.reduce_sum(tf.square(tmp2), 0) - tf.reduce_sum(tf.square(tmp1), 0) ) var = tf.tile(var[:, None], [1, self.num_latent_gps]) return mean + self.mean_function(Xnew), var
[docs] @check_shapes( "return[0]: [M, P]", "return[1]: [M, M]", ) def compute_qu(self) -> Tuple[tf.Tensor, tf.Tensor]: """ Computes the mean and variance of q(u) = N(mu, cov), the variational distribution on inducing outputs. SVGP with this q(u) should predict identically to SGPR. :return: mu, cov """ X_data, Y_data = self.data kuf = Kuf(self.inducing_variable, self.kernel, X_data) kuu = Kuu(self.inducing_variable, self.kernel, jitter=default_jitter()) var = tf.squeeze(self.likelihood.variance_at(X_data), axis=-1) std = tf.sqrt(var) scaled_kuf = kuf / std sig = kuu + tf.matmul(scaled_kuf, scaled_kuf, transpose_b=True) sig_sqrt = tf.linalg.cholesky(sig) sig_sqrt_kuu = tf.linalg.triangular_solve(sig_sqrt, kuu) cov = tf.linalg.matmul(sig_sqrt_kuu, sig_sqrt_kuu, transpose_a=True) err = Y_data - self.mean_function(X_data) scaled_err = err / std[..., None] mu = tf.linalg.matmul( sig_sqrt_kuu, tf.linalg.triangular_solve(sig_sqrt, tf.linalg.matmul(scaled_kuf, scaled_err)), transpose_a=True, ) return mu, cov
[docs]class GPRFITC(SGPRBase_deprecated): """ This implements GP regression with the FITC approximation. The key reference is :cite:t:`Snelson06sparsegaussian`. Implementation loosely based on code from GPML matlab library although obviously gradients are automatic in GPflow. """ @check_shapes( "return[0]: [N, R]", "return[1]: [N]", "return[2]: [M, M]", "return[3]: [M, M]", "return[4]: [M, R]", "return[5]: [N, R]", "return[6]: [M, R]", ) def common_terms( self, ) -> Tuple[tf.Tensor, tf.Tensor, tf.Tensor, tf.Tensor, tf.Tensor, tf.Tensor, tf.Tensor]: X_data, Y_data = self.data num_inducing = self.inducing_variable.num_inducing err = Y_data - self.mean_function(X_data) # size [N, R] Kdiag = self.kernel(X_data, full_cov=False) kuf = Kuf(self.inducing_variable, self.kernel, X_data) kuu = Kuu(self.inducing_variable, self.kernel, jitter=default_jitter()) sigma_sq = tf.squeeze(self.likelihood.variance_at(X_data), axis=-1) Luu = tf.linalg.cholesky(kuu) # => Luu Luu^T = kuu V = tf.linalg.triangular_solve(Luu, kuf) # => V^T V = Qff = kuf^T kuu^-1 kuf diagQff = tf.reduce_sum(tf.square(V), 0) nu = Kdiag - diagQff + sigma_sq B = tf.eye(num_inducing, dtype=default_float()) + tf.linalg.matmul( V / nu, V, transpose_b=True ) L = tf.linalg.cholesky(B) beta = err / tf.expand_dims(nu, 1) # size [N, R] alpha = tf.linalg.matmul(V, beta) # size [M, R] gamma = tf.linalg.triangular_solve(L, alpha, lower=True) # size [M, R] return err, nu, Luu, L, alpha, beta, gamma # type-ignore is because of changed method signature:
[docs] @inherit_check_shapes def maximum_log_likelihood_objective(self) -> tf.Tensor: # type: ignore[override] return self.fitc_log_marginal_likelihood()
[docs] @check_shapes( "return: []", ) def fitc_log_marginal_likelihood(self) -> tf.Tensor: """ Construct a tensorflow function to compute the bound on the marginal likelihood. """ # FITC approximation to the log marginal likelihood is # log ( normal( y | mean, K_fitc ) ) # where K_fitc = Qff + diag( \nu ) # where Qff = Kfu kuu^{-1} kuf # with \nu_i = Kff_{i,i} - Qff_{i,i} + \sigma^2 # We need to compute the Mahalanobis term -0.5* err^T K_fitc^{-1} err # (summed over functions). # We need to deal with the matrix inverse term. # K_fitc^{-1} = ( Qff + \diag( \nu ) )^{-1} # = ( V^T V + \diag( \nu ) )^{-1} # Applying the Woodbury identity we obtain # = \diag( \nu^{-1} ) # - \diag( \nu^{-1} ) V^T ( I + V \diag( \nu^{-1} ) V^T )^{-1} # V \diag(\nu^{-1} ) # Let \beta = \diag( \nu^{-1} ) err # and let \alpha = V \beta # then Mahalanobis term = -0.5* ( # \beta^T err - \alpha^T Solve( I + V \diag( \nu^{-1} ) V^T, alpha ) # ) err, nu, _Luu, L, _alpha, _beta, gamma = self.common_terms() mahalanobisTerm = -0.5 * tf.reduce_sum( tf.square(err) / tf.expand_dims(nu, 1) ) + 0.5 * tf.reduce_sum(tf.square(gamma)) # We need to compute the log normalizing term -N/2 \log 2 pi - 0.5 \log \det( K_fitc ) # We need to deal with the log determinant term. # \log \det( K_fitc ) = \log \det( Qff + \diag( \nu ) ) # = \log \det( V^T V + \diag( \nu ) ) # Applying the determinant lemma we obtain # = \log [ \det \diag( \nu ) \det( I + V \diag( \nu^{-1} ) V^T ) ] # = \log [ # \det \diag( \nu ) ] + \log [ \det( I + V \diag( \nu^{-1} ) V^T ) # ] constantTerm = -0.5 * self.num_data * tf.math.log(tf.constant(2.0 * np.pi, default_float())) logDeterminantTerm = -0.5 * tf.reduce_sum(tf.math.log(nu)) - tf.reduce_sum( tf.math.log(tf.linalg.diag_part(L)) ) logNormalizingTerm = constantTerm + logDeterminantTerm return mahalanobisTerm + logNormalizingTerm * self.num_latent_gps
[docs] @inherit_check_shapes def predict_f( self, Xnew: InputData, full_cov: bool = False, full_output_cov: bool = False ) -> MeanAndVariance: """ Compute the mean and variance of the latent function at some new points Xnew. """ assert_params_false(self.predict_f, full_output_cov=full_output_cov) _, _, Luu, L, _, _, gamma = self.common_terms() Kus = Kuf(self.inducing_variable, self.kernel, Xnew) # [M, N] w = tf.linalg.triangular_solve(Luu, Kus, lower=True) # [M, N] tmp = tf.linalg.triangular_solve(tf.transpose(L), gamma, lower=False) mean = tf.linalg.matmul(w, tmp, transpose_a=True) + self.mean_function(Xnew) intermediateA = tf.linalg.triangular_solve(L, w, lower=True) if full_cov: var = ( self.kernel(Xnew) - tf.linalg.matmul(w, w, transpose_a=True) + tf.linalg.matmul(intermediateA, intermediateA, transpose_a=True) ) var = tf.tile(var[None, ...], [self.num_latent_gps, 1, 1]) # [P, N, N] else: var = ( self.kernel(Xnew, full_cov=False) - tf.reduce_sum(tf.square(w), 0) + tf.reduce_sum(tf.square(intermediateA), 0) ) # [N, P] var = tf.tile(var[:, None], [1, self.num_latent_gps]) return mean, var
[docs]class SGPR_with_posterior(SGPR_deprecated): """ This is an implementation of GPR that provides a posterior() method that enables caching for faster subsequent predictions. """
[docs] def posterior( self, precompute_cache: posteriors.PrecomputeCacheType = posteriors.PrecomputeCacheType.TENSOR, ) -> posteriors.SGPRPosterior: """ Create the Posterior object which contains precomputed matrices for faster prediction. precompute_cache has three settings: - `PrecomputeCacheType.TENSOR` (or `"tensor"`): Precomputes the cached quantities and stores them as tensors (which allows differentiating through the prediction). This is the default. - `PrecomputeCacheType.VARIABLE` (or `"variable"`): Precomputes the cached quantities and stores them as variables, which allows for updating their values without changing the compute graph (relevant for AOT compilation). - `PrecomputeCacheType.NOCACHE` (or `"nocache"` or `None`): Avoids immediate cache computation. This is useful for avoiding extraneous computations when you only want to call the posterior's `fused_predict_f` method. """ return posteriors.SGPRPosterior( kernel=self.kernel, data=self.data, inducing_variable=self.inducing_variable, likelihood=self.likelihood, num_latent_gps=self.num_latent_gps, mean_function=self.mean_function, precompute_cache=precompute_cache, )
[docs] @inherit_check_shapes def predict_f( self, Xnew: InputData, full_cov: bool = False, full_output_cov: bool = False ) -> MeanAndVariance: """ For backwards compatibility, GPR's predict_f uses the fused (no-cache) computation, which is more efficient during training. For faster (cached) prediction, predict directly from the posterior object, i.e.,: model.posterior().predict_f(Xnew, ...) """ return self.posterior(posteriors.PrecomputeCacheType.NOCACHE).fused_predict_f( Xnew, full_cov=full_cov, full_output_cov=full_output_cov )
[docs]class SGPR(SGPR_with_posterior): # subclassed to ensure __class__ == "SGPR" pass