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test_conditionals.py
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test_conditionals.py
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# Copyright 2017 the GPflow authors.
#
# 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.
import tensorflow as tf
import numpy as np
from numpy.testing import assert_almost_equal, assert_allclose
import gpflow
from gpflow.test_util import GPflowTestCase
from gpflow import settings
class DiagsTest(GPflowTestCase):
"""
The conditionals can take cholesky matrices or diagaonal matrices.
Here we make sure the behaviours overlap.
"""
def prepare(self):
num_latent = 2
num_data = 3
k = gpflow.kernels.Matern32(1) + gpflow.kernels.White(1)
k.kernels[1].variance = 0.01
X = tf.placeholder(settings.float_type)
mu = tf.placeholder(settings.float_type)
Xs = tf.placeholder(settings.float_type)
sqrt = tf.placeholder(settings.float_type, shape=[num_data, num_latent])
rng = np.random.RandomState(0)
X_data = rng.randn(num_data, 1)
mu_data = rng.randn(num_data, num_latent)
sqrt_data = rng.randn(num_data, num_latent)
Xs_data = rng.randn(50, 1)
feed_dict = {X: X_data, Xs: Xs_data, mu: mu_data, sqrt: sqrt_data}
k.compile()
#the chols are diagonal matrices, with the same entries as the diag representation.
chol = tf.stack([tf.diag(sqrt[:, i]) for i in range(num_latent)])
return Xs, X, k, mu, sqrt, chol, feed_dict
def test_whiten(self):
with self.test_context() as sess:
Xs, X, k, mu, sqrt, chol, feed_dict = self.prepare()
Fstar_mean_1, Fstar_var_1 = gpflow.conditionals.conditional(
Xs, X, k, mu, q_sqrt=sqrt)
Fstar_mean_2, Fstar_var_2 = gpflow.conditionals.conditional(
Xs, X, k, mu, q_sqrt=chol, white=True)
mean_diff = sess.run(Fstar_mean_1 - Fstar_mean_2, feed_dict=feed_dict)
var_diff = sess.run(Fstar_var_1 - Fstar_var_2, feed_dict=feed_dict)
# TODO(@awav): CHECK IT
# assert_allclose(mean_diff, 0.0)
# assert_allclose(var_diff, 0.0)
def test_nonwhiten(self):
with self.test_context() as sess:
Xs, X, k, mu, sqrt, chol, feed_dict = self.prepare()
Fstar_mean_1, Fstar_var_1 = gpflow.conditionals.conditional(
Xs, X, k, mu, q_sqrt=sqrt)
Fstar_mean_2, Fstar_var_2 = gpflow.conditionals.conditional(
Xs, X, k, mu, q_sqrt=chol)
mean_diff = sess.run(Fstar_mean_1 - Fstar_mean_2, feed_dict=feed_dict)
var_diff = sess.run(Fstar_var_1 - Fstar_var_2, feed_dict=feed_dict)
assert_allclose(mean_diff, 0)
assert_allclose(var_diff, 0)
class WhitenTest(GPflowTestCase):
def prepare(self):
k = gpflow.kernels.Matern32(1) + gpflow.kernels.White(1)
k.kernels[1].variance = 0.01
num_data = 10
num_test_data = 100
X = tf.placeholder(settings.float_type, [num_data, 1])
F = tf.placeholder(settings.float_type, [num_data, 1])
Xs = tf.placeholder(settings.float_type, [num_test_data, 1])
rng = np.random.RandomState(0)
X_data = rng.randn(num_data, 1)
F_data = rng.randn(num_data, 1)
Xs_data = rng.randn(num_test_data, 1)
feed_dict = {X: X_data, F: F_data, Xs: Xs_data}
return Xs, X, F, k, num_data, feed_dict
def test_whiten(self):
"""
make sure that predicting using the whitened representation is the
sameas the non-whitened one.
"""
with self.test_context() as sess:
Xs, X, F, k, num_data, feed_dict = self.prepare()
k.compile(session=sess)
K = k.K(X) + tf.eye(num_data, dtype=settings.float_type) * 1e-6
L = tf.cholesky(K)
V = tf.matrix_triangular_solve(L, F, lower=True)
Fstar_mean, Fstar_var = gpflow.conditionals.conditional(Xs, X, k, F)
Fstar_w_mean, Fstar_w_var = gpflow.conditionals.conditional(Xs, X, k, V, white=True)
mean1, var1 = sess.run([Fstar_w_mean, Fstar_w_var], feed_dict=feed_dict)
mean2, var2 = sess.run([Fstar_mean, Fstar_var], feed_dict=feed_dict)
# TODO: should tolerance be type dependent?
assert_allclose(mean1, mean2)
assert_allclose(var1, var2)
class WhitenTestGaussian(WhitenTest):
def test_whiten(self):
"""
make sure that predicting using the whitened representation is the
sameas the non-whitened one.
"""
with self.test_context() as sess:
rng = np.random.RandomState(0)
Xs, X, F, k, num_data, feed_dict = self.prepare()
k.compile(session=sess)
F_sqrt = tf.placeholder(settings.float_type, [num_data, 1])
F_sqrt_data = rng.rand(num_data, 1)
feed_dict[F_sqrt] = F_sqrt_data
K = k.K(X)
L = tf.cholesky(K)
V = tf.matrix_triangular_solve(L, F, lower=True)
V_sqrt = tf.matrix_triangular_solve(L, tf.diag(F_sqrt[:, 0]), lower=True)[None, :, :]
Fstar_mean, Fstar_var = gpflow.conditionals.conditional(
Xs, X, k, F, q_sqrt=F_sqrt)
Fstar_w_mean, Fstar_w_var = gpflow.conditionals.conditional(
Xs, X, k, V, q_sqrt=V_sqrt, white=True)
mean_difference = sess.run(Fstar_w_mean - Fstar_mean, feed_dict=feed_dict)
var_difference = sess.run(Fstar_w_var - Fstar_var, feed_dict=feed_dict)
assert_allclose(mean_difference, 0, atol=4)
assert_allclose(var_difference, 0, atol=4)
if __name__ == '__main__':
tf.test.main()