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################################################################################
# Copyright (C) 2011-2012 Jaakko Luttinen
#
# This file is licensed under the MIT License.
################################################################################
import itertools
import numpy as np
#import scipy as sp
import scipy.sparse as sp # prefer CSC format
#import scipy.linalg.decomp_cholesky as decomp
#import scipy.linalg as linalg
#import scipy.special as special
#import matplotlib.pyplot as plt
#import time
#import profile
import scipy.spatial.distance as dist
#import scikits.sparse.distance as spdist
from . import node as ef
from bayespy.utils import misc as utils
# Covariance matrices can be either arrays or matrices so be careful
# with products and powers! Use explicit multiply or dot instead of
# *-operator.
def gp_cov_se(D2, overwrite=False):
if overwrite:
K = D2
K *= -0.5
np.exp(K, out=K)
else:
K = np.exp(-0.5*D2)
return K
def gp_cov_pp2_new(r, d, derivative=False):
# Dimension dependent parameter
q = 2
j = np.floor(d/2) + q + 1
# Polynomial coefficients
a2 = j**2 + 4*j + 3
a1 = 3*j + 6
a0 = 3
# Two parts of the covariance function
k1 = (1-r) ** (j+2)
k2 = (a2*r**2 + a1*r + 3)
# TODO: Check that derivative is 0, 1 or 2!
if derivative == 0:
# Return covariance
return k1 * k2 / 3
dk1 = - (j+2) * (1-r)**(j+1)
dk2 = 2*a2*r + a1
if derivative == 1:
# Return first derivative of the covariance
return (k1 * dk2 + dk1 * k2) / 3
ddk1 = (j+2) * (j+1) * (1-r)**j
ddk2 = 2*a2
if derivative == 2:
# Return second derivative of the covariance
return (ddk1*k2 + 2*dk1*dk2 + k1*ddk2) / 3
def gp_cov_pp2(r, d, gradient=False):
# Dimension dependent parameter
j = np.floor(d/2) + 2 + 1
# Polynomial coefficients
a2 = j**2 + 4*j + 3
a1 = 3*j + 6
a0 = 3
# Two parts of the covariance function
k1 = (1-r) ** (j+2)
k2 = (a2*r**2 + a1*r + 3)
# The covariance function
k = k1 * k2 / 3
if gradient:
# The gradient w.r.t. r
dk = k * (j+2) / (r-1) + k1 * (2*a2*r + a1) / 3
return (k, dk)
else:
return k
def gp_cov_delta(N):
# TODO: Use sparse matrices here!
if N > 0:
#print('in gpcovdelta', N, sp.identity(N).shape)
return sp.identity(N)
else:
# Sparse matrices do not allow zero-length dimensions
return np.identity(N)
#return np.identity(N)
#return np.asmatrix(np.identity(N))
def squared_distance(x1, x2):
## # Reshape arrays to 2-D arrays
## sh1 = np.shape(x1)[:-1]
## sh2 = np.shape(x2)[:-1]
## d = np.shape(x1)[-1]
## x1 = np.reshape(x1, (-1,d))
## x2 = np.reshape(x2, (-1,d))
(m1,n1) = x1.shape
(m2,n2) = x2.shape
if m1 == 0 or m2 == 0:
D2 = np.empty((m1,m2))
else:
# Compute squared Euclidean distance
D2 = dist.cdist(x1, x2, metric='sqeuclidean')
#D2 = np.asmatrix(D2)
# Reshape the result
#D2 = np.reshape(D2, sh1 + sh2)
return D2
# General rule for the parameters for covariance functions:
#
# (value, [ [dvalue1, ...], [dvalue2, ...], [dvalue3, ...], ...])
#
# For instance,
#
# k = covfunc_se((1.0, []), (15, [ [1,update_grad] ]))
# K = k((x1, [ [dx1,update_grad] ]), (x2, []))
#
# Plain values are converted as:
# value -> (value, [])
def gp_standardize_input(x):
if np.size(x) == 0:
x = np.reshape(x, (0,0))
elif np.ndim(x) == 0:
x = np.reshape(x, (1,1))
elif np.ndim(x) == 1:
x = np.reshape(x, (-1,1))
elif np.ndim(x) == 2:
x = np.atleast_2d(x)
else:
raise Exception("Standard GP inputs must be 2-dimensional")
return x
def gp_preprocess_inputs(x1,x2=None):
#args = list(args)
#if len(args) < 1 or len(args) > 2:
#raise Exception("Number of inputs must be one or two")
if x2 is None:
x1 = gp_standardize_input(x1)
return x1
else:
if x1 is x2:
x1 = gp_standardize_input(x1)
x2 = x1
else:
x1 = gp_standardize_input(x1)
x2 = gp_standardize_input(x2)
return (x1, x2)
#return args
## def gp_preprocess_inputs(x1,x2=None):
## #args = list(args)
## #if len(args) < 1 or len(args) > 2:
## #raise Exception("Number of inputs must be one or two")
## if x2 is not None: len(args) == 2:
## if args[0] is args[1]:
## args[0] = gp_standardize_input(args[0])
## args[1] = args[0]
## else:
## args[1] = gp_standardize_input(args[1])
## args[0] = gp_standardize_input(args[0])
## else:
## args[0] = gp_standardize_input(args[0])
## return args
# TODO:
# General syntax for these covariance functions:
# covfunc(hyper1,
# hyper2,
# ...
# hyperN,
# x1,
# x2=None,
# gradient=list_of_booleans_for_each_hyperparameter)
def covfunc_zeros(x1, x2=None, gradient=False):
inputs = gp_preprocess_inputs(*inputs)
# Compute distance and covariance matrix
if x2 is None:
x1 = gp_preprocess_inputs(x1)
# Only variance vector asked
N = np.shape(x1)[0]
# TODO: Use sparse matrices!
K = np.zeros(N)
#K = np.asmatrix(np.zeros((N,1)))
else:
(x1,x2) = gp_preprocess_inputs(x1,x2)
# Full covariance matrix asked
#x1 = inputs[0]
#x2 = inputs[1]
# Number of inputs x1
N1 = np.shape(x1)[0]
N2 = np.shape(x2)[0]
# TODO: Use sparse matrices!
K = np.zeros((N1,N2))
#K = np.asmatrix(np.zeros((N1,N2)))
if gradient is not False:
return (K, [])
else:
return K
def covfunc_delta(amplitude, x1, x2=None, gradient=False):
# Make sure that amplitude is a scalar, not an array object
amplitude = utils.array_to_scalar(amplitude)
## if gradient:
## gradient_amplitude = gradient[0]
## else:
## gradient_amplitude = []
## inputs = gp_preprocess_inputs(*inputs)
# Compute distance and covariance matrix
if x2 is None:
x1 = gp_preprocess_inputs(x1)
# Only variance vector asked
#x = inputs[0]
N = np.shape(x1)[0]
K = np.ones(N) * amplitude**2
else:
(x1,x2) = gp_preprocess_inputs(x1,x2)
# Full covariance matrix asked
#x1 = inputs[0]
#x2 = inputs[1]
# Number of inputs x1
N1 = np.shape(x1)[0]
# x1 == x2?
if x1 is x2:
delta = True
# Delta covariance
#
# FIXME: Broadcasting doesn't work with sparse matrices,
# so must use scalar multiplication
K = gp_cov_delta(N1) * amplitude**2
#K = gp_cov_delta(N1).multiply(amplitude**2)
else:
delta = False
# Number of inputs x2
N2 = np.shape(x2)[0]
# Zero covariance
if N1 > 0 and N2 > 0:
K = sp.csc_matrix((N1,N2))
else:
K = np.zeros((N1,N2))
# Gradient w.r.t. amplitude
if gradient:
# FIXME: Broadcasting doesn't work with sparse matrices,
# so must use scalar multiplication
gradient_amplitude = K*(2/amplitude)
print("noise grad", gradient_amplitude)
return (K, (gradient_amplitude,))
else:
return K
def covfunc_pp2(amplitude, lengthscale, x1, x2, gradient=False):
# Make sure that hyperparameters are scalars, not an array objects
amplitude = utils.array_to_scalar(amplitude)
lengthscale = utils.array_to_scalar(lengthscale)
#amplitude = theta[0]
#lengthscale = theta[1]
## if gradient:
## gradient_amplitude = gradient[0]
## gradient_lengthscale = gradient[1]
## else:
## gradient_amplitude = []
## gradient_lengthscale = []
## inputs = gp_preprocess_inputs(*inputs)
# Compute covariance matrix
if x2 is None:
x1 = gp_preprocess_inputs(x1)
# Compute variance vector
K = np.ones(np.shape(x)[:-1])
K *= amplitude**2
# Compute gradient w.r.t. lengthscale
if gradient:
gradient_lengthscale = np.zeros(np.shape(x1)[:-1])
else:
(x1,x2) = gp_preprocess_inputs(x1,x2)
# Compute (sparse) distance matrix
if x1 is x2:
x1 = inputs[0] / (lengthscale)
x2 = x1
D2 = spdist.pdist(x1, 1.0, form="full", format="csc")
else:
x1 = inputs[0] / (lengthscale)
x2 = inputs[1] / (lengthscale)
D2 = spdist.cdist(x1, x2, 1.0, format="csc")
r = np.sqrt(D2.data)
N1 = np.shape(x1)[0]
N2 = np.shape(x2)[0]
# Compute the covariances
if gradient:
(k, dk) = gp_cov_pp2(r, np.shape(x1)[-1], gradient=True)
else:
k = gp_cov_pp2(r, np.shape(x1)[-1])
k *= amplitude**2
# Compute gradient w.r.t. lengthscale
if gradient:
if N1 >= 1 and N2 >= 1:
dk *= r * (-amplitude**2 / lengthscale)
gradient_lengthscale = sp.csc_matrix((dk, D2.indices, D2.indptr),
shape=(N1,N2))
else:
gradient_lengthscale = np.empty((N1,N2))
# Form sparse covariance matrix
if N1 >= 1 and N2 >= 1:
## K = sp.csc_matrix((k, ij), shape=(N1,N2))
K = sp.csc_matrix((k, D2.indices, D2.indptr), shape=(N1,N2))
else:
K = np.empty((N1, N2))
#print(K.__class__)
# Gradient w.r.t. amplitude
if gradient:
gradient_amplitude = K * (2 / amplitude)
# Return values
if gradient:
print("pp2 grad", gradient_lengthscale)
return (K, (gradient_amplitude, gradient_lengthscale))
else:
return K
def covfunc_se(amplitude, lengthscale, x1, x2=None, gradient=False):
# Make sure that hyperparameters are scalars, not an array objects
amplitude = utils.array_to_scalar(amplitude)
lengthscale = utils.array_to_scalar(lengthscale)
# Compute covariance matrix
if x2 is None:
x1 = gp_preprocess_inputs(x1)
#x = inputs[0]
# Compute variance vector
N = np.shape(x1)[0]
K = np.ones(N)
np.multiply(K, amplitude**2, out=K)
# Compute gradient w.r.t. lengthscale
if gradient:
# TODO: Use sparse matrices?
gradient_lengthscale = np.zeros(N)
else:
(x1,x2) = gp_preprocess_inputs(x1,x2)
x1 = x1 / (lengthscale)
x2 = x2 / (lengthscale)
# Compute distance matrix
K = squared_distance(x1, x2)
# Compute gradient partly
if gradient:
gradient_lengthscale = np.divide(K, lengthscale)
# Compute covariance matrix
gp_cov_se(K, overwrite=True)
np.multiply(K, amplitude**2, out=K)
# Compute gradient w.r.t. lengthscale
if gradient:
gradient_lengthscale *= K
# Gradient w.r.t. amplitude
if gradient:
gradient_amplitude = K * (2 / amplitude)
# Return values
if gradient:
print("se grad", gradient_amplitude, gradient_lengthscale)
return (K, (gradient_amplitude, gradient_lengthscale))
else:
return K
class CovarianceFunctionWrapper():
def __init__(self, covfunc, *params):
# Parse parameter values and their gradients to separate lists
self.covfunc = covfunc
self.params = list(params)
self.gradient_params = list()
## print(params)
for ind in range(len(params)):
if isinstance(params[ind], tuple):
# Parse the value and the list of gradients from the
# form:
# ([value, ...], [ [grad1, ...], [grad2, ...], ... ])
self.gradient_params.append(params[ind][1])
self.params[ind] = params[ind][0][0]
else:
# No gradients, parse from the form:
# [value, ...]
self.gradient_params.append([])
self.params[ind] = params[ind][0]
def fixed_covariance_function(self, *inputs, gradient=False):
# What if this is called several times??
if gradient:
## grads = [[grad[0] for grad in self.gradient_params[ind]]
## for ind in range(len(self.gradient_params))]
## (K, dK) = self.covfunc(self.params,
## *inputs,
## gradient=self.gradient_params)
arguments = tuple(self.params) + tuple(inputs)
(K, dK) = self.covfunc(*arguments,
gradient=True)
## (K, dK) = self.covfunc(self.params,
## *inputs,
## gradient=grads)
DK = []
for ind in range(len(dK)):
# Gradient w.r.t. covariance function's ind-th
# hyperparameter
dk = dK[ind]
# Chain rule: Multiply by the gradient of the
# hyperparameter w.r.t. parent node and append the
# list DK:
# DK = [ (dx1_1, callback), ..., (dx1_n, callback) ]
for grad in self.gradient_params[ind]:
#print(grad[0])
#print(grad[1:])
#print(dk)
if sp.issparse(dk):
print(dk.shape)
print(grad[0].shape)
DK += [ [dk.multiply(grad[0])] + grad[1:] ]
else:
DK += [ [np.multiply(dk,grad[0])] + grad[1:] ]
#DK += [ [np.multiply(grad[0], dk)] + grad[1:] ]
## DK += [ (np.multiply(grad, dk),) + grad[1:]
## for grad in self.gradient_params[ind] ]
## for grad in self.gradient_params[ind]:
## DK += ( (np.multiply(grad, dk),) + grad[1:] )
## DK = []
## for ind in range(len(dK)):
## for (grad, dk) in zip(self.gradient_params[ind], dK[ind]):
## DK += [ [dk] + grad[1:] ]
K = [K]
return (K, DK)
else:
arguments = tuple(self.params) + tuple(inputs)
#print(arguments)
K = self.covfunc(*arguments,
gradient=False)
return [K]
class CovarianceFunction(ef.Node):
def __init__(self, covfunc, *args, **kwargs):
self.covfunc = covfunc
params = list(args)
for i in range(len(args)):
# Check constant parameters
if utils.is_numeric(args[i]):
params[i] = ef.NodeConstant([np.asanyarray(args[i])],
dims=[np.shape(args[i])])
# TODO: Parameters could be constant functions? :)
ef.Node.__init__(self, *params, dims=[(np.inf, np.inf)], **kwargs)
def __call__(self, x1, x2):
""" Compute covariance matrix for inputs x1 and x2. """
covfunc = self.message_to_child()
return covfunc(x1, x2)[0]
def message_to_child(self, gradient=False):
params = [parent.message_to_child(gradient=gradient) for parent in self.parents]
covfunc = self.get_fixed_covariance_function(*params)
return covfunc
def get_fixed_covariance_function(self, *params):
get_cov_func = CovarianceFunctionWrapper(self.covfunc, *params)
return get_cov_func.fixed_covariance_function
## def covariance_function(self, *params):
## # Parse parameter values and their gradients to separate lists
## params = list(params)
## gradient_params = list()
## print(params)
## for ind in range(len(params)):
## if isinstance(params[ind], tuple):
## # Parse the value and the list of gradients from the
## # form:
## # ([value, ...], [ [grad1, ...], [grad2, ...], ... ])
## gradient_params.append(params[ind][1])
## params[ind] = params[ind][0][0]
## else:
## # No gradients, parse from the form:
## # [value, ...]
## gradient_params.append([])
## params[ind] = params[ind][0]
## # This gradient_params changes mysteriously..
## print('grad_params before')
## if isinstance(self, SquaredExponential):
## print(gradient_params)
## def cov(*inputs, gradient=False):
## if gradient:
## print('grad_params after')
## print(gradient_params)
## grads = [[grad[0] for grad in gradient_params[ind]]
## for ind in range(len(gradient_params))]
## print('CovarianceFunction.cov')
## #if isinstance(self, SquaredExponential):
## #print(self.__class__)
## #print(grads)
## (K, dK) = self.covfunc(params,
## *inputs,
## gradient=grads)
## for ind in range(len(dK)):
## for (grad, dk) in zip(gradient_params[ind], dK[ind]):
## grad[0] = dk
## K = [K]
## dK = []
## for grad in gradient_params:
## dK += grad
## return (K, dK)
## else:
## K = self.covfunc(params,
## *inputs,
## gradient=False)
## return [K]
## return cov
class Sum(CovarianceFunction):
def __init__(self, *args, **kwargs):
CovarianceFunction.__init__(self,
None,
*args,
**kwargs)
def get_fixed_covariance_function(self, *covfunc_parents):
def covfunc(*inputs, gradient=False):
K_sum = None
if gradient:
dK_sum = list()
for k in covfunc_parents:
if gradient:
(K, dK) = k(*inputs, gradient=gradient)
print("dK in sum", dK)
dK_sum += dK
#print("dK_sum in sum", dK_sum)
else:
K = k(*inputs, gradient=gradient)
if K_sum is None:
K_sum = K[0]
else:
try:
K_sum += K[0]
except:
# You have to do this way, for instance, if
# K_sum is sparse and K[0] is dense.
K_sum = K_sum + K[0]
if gradient:
#print("dK_sum on: ", dK_sum)
#print('covsum', dK_sum)
return ([K_sum], dK_sum)
else:
return [K_sum]
return covfunc
class Delta(CovarianceFunction):
def __init__(self, amplitude, **kwargs):
CovarianceFunction.__init__(self,
covfunc_delta,
amplitude,
**kwargs)
class Zeros(CovarianceFunction):
def __init__(self, **kwargs):
CovarianceFunction.__init__(self,
covfunc_zeros,
**kwargs)
class SquaredExponential(CovarianceFunction):
def __init__(self, amplitude, lengthscale, **kwargs):
CovarianceFunction.__init__(self,
covfunc_se,
amplitude,
lengthscale,
**kwargs)
class PiecewisePolynomial2(CovarianceFunction):
def __init__(self, amplitude, lengthscale, **kwargs):
CovarianceFunction.__init__(self,
covfunc_pp2,
amplitude,
lengthscale,
**kwargs)
# TODO: Rename to Blocks or Joint ?
class Multiple(CovarianceFunction):
def __init__(self, covfuncs, **kwargs):
self.d = len(covfuncs)
#self.sparse = sparse
parents = [covfunc for row in covfuncs for covfunc in row]
CovarianceFunction.__init__(self,
None,
*parents,
**kwargs)
def get_fixed_covariance_function(self, *covfuncs):
def cov(*inputs, gradient=False):
# Computes the covariance matrix from blocks which all
# have their corresponding covariance functions
if len(inputs) < 2:
# For one input, return the variance vector instead of
# the covariance matrix
x1 = inputs[0]
# Collect variance vectors from the covariance
# functions corresponding to the diagonal blocks
K = [covfuncs[i*self.d+i](x1[i], gradient=gradient)[0]
for i in range(self.d)]
# Form the variance vector from the collected vectors
if gradient:
raise Exception('Gradient not yet implemented.')
else:
## print("in cov multiple")
## for (k,kf) in zip(K,covfuncs):
## print(np.shape(k), k.__class__, kf)
#K = np.vstack(K)
K = np.concatenate(K)
else:
x1 = inputs[0]
x2 = inputs[1]
# Collect the covariance matrix (and possibly
# gradients) from each block.
#print('cov mat collection begins')
K = [[covfuncs[i*self.d+j](x1[i], x2[j], gradient=gradient)
for j in range(self.d)]
for i in range(self.d)]
#print('cov mat collection ends')
# Remove matrices that have zero length dimensions?
if gradient:
K = [[K[i][j]
for j in range(self.d)
if np.shape(K[i][j][0][0])[1] != 0]
for i in range(self.d)
if np.shape(K[i][0][0][0])[0] != 0]
else:
K = [[K[i][j]
for j in range(self.d)
if np.shape(K[i][j][0])[1] != 0]
for i in range(self.d)
if np.shape(K[i][0][0])[0] != 0]
n_blocks = len(K)
#print("nblocks", n_blocks)
#print("K", K)
# Check whether all blocks are sparse
is_sparse = True
for i in range(n_blocks):
for j in range(n_blocks):
if gradient:
A = K[i][j][0][0]
else:
A = K[i][j][0]
if not sp.issparse(A):
is_sparse = False
if gradient:
## Compute the covariance matrix and the gradients
# Create block matrices of zeros. This helps in
# computing the gradient.
if is_sparse:
# Empty sparse matrices. Some weird stuff here
# because sparse matrices can't have zero
# length dimensions.
Z = [[sp.csc_matrix(np.shape(K[i][j][0][0]))
for j in range(n_blocks)]
for i in range(n_blocks)]
else:
# Empty dense matrices
Z = [[np.zeros(np.shape(K[i][j][0][0]))
for j in range(n_blocks)]
for i in range(n_blocks)]
## for j in range(self.d)]
## for i in range(self.d)]
# Compute gradients block by block
dK = list()
for i in range(n_blocks):
for j in range(n_blocks):
# Store the zero block
z_old = Z[i][j]
# Go through the gradients for the (i,j)
# block
for dk in K[i][j][1]:
# Keep other blocks at zero and set
# the gradient to (i,j) block. Form
# the matrix from blocks
if is_sparse:
Z[i][j] = dk[0]
dk[0] = sp.bmat(Z).tocsc()
else:
if sp.issparse(dk[0]):
Z[i][j] = dk[0].toarray()
else:
Z[i][j] = dk[0]
#print("Z on:", Z)
dk[0] = np.asarray(np.bmat(Z))
# Append the computed gradient matrix
# to the list of gradients
dK.append(dk)
# Restore the zero block
Z[i][j] = z_old
## Compute the covariance matrix but not the
## gradients
if is_sparse:
# Form the full sparse covariance matrix from
# blocks. Ignore blocks having a zero-length
# axis because sparse matrices consider zero
# length as an invalid shape (BUG IN SCIPY?).
K = [[K[i][j][0][0]
for j in range(n_blocks)]
for i in range(n_blocks)]
K = sp.bmat(K).tocsc()
else:
# Form the full dense covariance matrix from
# blocks. Transform sparse blocks to dense
# blocks.
K = [[K[i][j][0][0]
if not sp.issparse(K[i][j][0][0]) else
K[i][j][0][0].toarray()
for j in range(n_blocks)]
for i in range(n_blocks)]
K = np.asarray(np.bmat(K))
else:
## Compute the covariance matrix but not the
## gradients
if is_sparse:
# Form the full sparse covariance matrix from
# blocks. Ignore blocks having a zero-length
# axis because sparse matrices consider zero
# length as an invalid shape (BUG IN SCIPY?).
K = [[K[i][j][0]
for j in range(n_blocks)]
for i in range(n_blocks)]
K = sp.bmat(K).tocsc()
else:
# Form the full dense covariance matrix from
# blocks. Transform sparse blocks to dense
# blocks.
K = [[K[i][j][0]
if not sp.issparse(K[i][j][0]) else
K[i][j][0].toarray()
for j in range(n_blocks)]
for i in range(n_blocks)]
K = np.asarray(np.bmat(K))
if gradient:
return ([K], dK)
else:
return [K]
return cov
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