Source code for gpflow.kullback_leiblers

# Copyright 2016-2020 The GPflow Contributors. All Rights Reserved.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

# -*- coding: utf-8 -*-

import tensorflow as tf
from check_shapes import check_shapes
from packaging.version import Version

from .base import TensorType
from .config import default_float, default_jitter
from .covariances import Kuu
from .inducing_variables import InducingVariables
from .kernels import Kernel
from .utilities import Dispatcher, to_default_float

prior_kl = Dispatcher("prior_kl")


[docs]@prior_kl.register(InducingVariables, Kernel, object, object) @check_shapes( "inducing_variable: [N, D, broadcast L]", "q_mu: [M, L]", "q_sqrt: [M_L_or_L_M_M...]", "return: []", ) def _( inducing_variable: InducingVariables, kernel: Kernel, q_mu: TensorType, q_sqrt: TensorType, whiten: bool = False, ) -> tf.Tensor: if whiten: return gauss_kl(q_mu, q_sqrt, None) else: K = Kuu(inducing_variable, kernel, jitter=default_jitter()) # [P, M, M] or [M, M] return gauss_kl(q_mu, q_sqrt, K)
[docs]@check_shapes( "q_mu: [M, L]", "q_sqrt: [M_L_or_L_M_M...]", "K: [broadcast L, M, M]", "K_cholesky: [broadcast L, M, M]", "return: []", ) def gauss_kl( q_mu: TensorType, q_sqrt: TensorType, K: TensorType = None, *, K_cholesky: TensorType = None ) -> tf.Tensor: """ Compute the KL divergence KL[q || p] between:: q(x) = N(q_mu, q_sqrt^2) and:: p(x) = N(0, K) if K is not None p(x) = N(0, I) if K is None We assume L multiple independent distributions, given by the columns of q_mu and the first or last dimension of q_sqrt. Returns the *sum* of the divergences. q_mu is a matrix ([M, L]), each column contains a mean. - q_sqrt can be a 3D tensor ([L, M, M]), each matrix within is a lower triangular square-root matrix of the covariance of q. - q_sqrt can be a matrix ([M, L]), each column represents the diagonal of a square-root matrix of the covariance of q. K is the covariance of p (positive-definite matrix). The K matrix can be passed either directly as `K`, or as its Cholesky factor, `K_cholesky`. In either case, it can be a single matrix [M, M], in which case the sum of the L KL divergences is computed by broadcasting, or L different covariances [L, M, M]. Note: if no K matrix is given (both `K` and `K_cholesky` are None), `gauss_kl` computes the KL divergence from p(x) = N(0, I) instead. """ if (K is not None) and (K_cholesky is not None): raise ValueError( "Ambiguous arguments: gauss_kl() must only be passed one of `K` or `K_cholesky`." ) is_white = (K is None) and (K_cholesky is None) is_diag = len(q_sqrt.shape) == 2 M, L = tf.shape(q_mu)[0], tf.shape(q_mu)[1] if is_white: alpha = q_mu # [M, L] else: if K is not None: Lp = tf.linalg.cholesky(K) # [L, M, M] or [M, M] elif K_cholesky is not None: Lp = K_cholesky # [L, M, M] or [M, M] is_batched = len(Lp.shape) == 3 q_mu = tf.transpose(q_mu)[:, :, None] if is_batched else q_mu # [L, M, 1] or [M, L] alpha = tf.linalg.triangular_solve(Lp, q_mu, lower=True) # [L, M, 1] or [M, L] if is_diag: Lq = Lq_diag = q_sqrt Lq_full = tf.linalg.diag(tf.transpose(q_sqrt)) # [L, M, M] else: Lq = Lq_full = tf.linalg.band_part(q_sqrt, -1, 0) # force lower triangle # [L, M, M] Lq_diag = tf.linalg.diag_part(Lq) # [M, L] # Mahalanobis term: μqᵀ Σp⁻¹ μq mahalanobis = tf.reduce_sum(tf.square(alpha)) # Constant term: - L * M constant = -to_default_float(tf.size(q_mu, out_type=tf.int64)) # Log-determinant of the covariance of q(x): logdet_qcov = tf.reduce_sum(tf.math.log(tf.square(Lq_diag))) # Trace term: tr(Σp⁻¹ Σq) if is_white: trace = tf.reduce_sum(tf.square(Lq)) else: if is_diag and not is_batched: # K is [M, M] and q_sqrt is [M, L]: fast specialisation LpT = tf.transpose(Lp) # [M, M] Lp_inv = tf.linalg.triangular_solve( Lp, tf.eye(M, dtype=default_float()), lower=True ) # [M, M] K_inv = tf.linalg.diag_part(tf.linalg.triangular_solve(LpT, Lp_inv, lower=False))[ :, None ] # [M, M] -> [M, 1] trace = tf.reduce_sum(K_inv * tf.square(q_sqrt)) else: if is_batched or Version(tf.__version__) >= Version("2.2"): Lp_full = Lp else: # workaround for segfaults when broadcasting in TensorFlow<2.2 Lp_full = tf.tile(tf.expand_dims(Lp, 0), [L, 1, 1]) LpiLq = tf.linalg.triangular_solve(Lp_full, Lq_full, lower=True) trace = tf.reduce_sum(tf.square(LpiLq)) twoKL = mahalanobis + constant - logdet_qcov + trace # Log-determinant of the covariance of p(x): if not is_white: log_sqdiag_Lp = tf.math.log(tf.square(tf.linalg.diag_part(Lp))) sum_log_sqdiag_Lp = tf.reduce_sum(log_sqdiag_Lp) # If K is [L, M, M], num_latent_gps is no longer implicit, no need to multiply the single kernel logdet scale = 1.0 if is_batched else to_default_float(L) twoKL += scale * sum_log_sqdiag_Lp return 0.5 * twoKL