`Stheno `__ ============================================== |CI| |Coverage Status| |Latest Docs| |Code style: black| Stheno is an implementation of Gaussian process modelling in Python. See also `Stheno.jl `__. `Check out our post about linear models with Stheno and JAX. `__ Contents: - `Nonlinear Regression in 20 Seconds <#nonlinear-regression-in-20-seconds>`__ - `Installation <#installation>`__ - `Manual <#manual>`__ - `AutoGrad, TensorFlow, PyTorch, or JAX? Your Choice! <#autograd-tensorflow-pytorch-or-jax-your-choice>`__ - `Model Design <#model-design>`__ - `Finite-Dimensional Distributions <#finite-dimensional-distributions>`__ - `Prior and Posterior Measures <#prior-and-posterior-measures>`__ - `Inducing Points <#inducing-points>`__ - `Kernels and Means <#kernels-and-means>`__ - `Important Remarks <#important-remarks>`__ - `Examples <#examples>`__ - `Simple Regression <#simple-regression>`__ - `Decomposition of Prediction <#decomposition-of-prediction>`__ - `Learn a Function, Incorporating Prior Knowledge About Its Form <#learn-a-function-incorporating-prior-knowledge-about-its-form>`__ - `Multi-Output Regression <#multi-output-regression>`__ - `Approximate Integration <#approximate-integration>`__ - `Bayesian Linear Regression <#bayesian-linear-regression>`__ - `GPAR <#gpar>`__ - `A GP-RNN Model <#a-gp-rnn-model>`__ - `Approximate Multiplication Between GPs <#approximate-multiplication-between-gps>`__ - `Sparse Regression <#sparse-regression>`__ - `Smoothing with Nonparametric Basis Functions <#smoothing-with-nonparametric-basis-functions>`__ **Breaking change:** ``f(x).marginals()`` now returns the marginals means and variances, rather than the marginal means and lower and upper 95% central credible region bounds. For the credible bounds, use ``f(x).marginal_credible_bounds()`` instead. Nonlinear Regression in 20 Seconds ---------------------------------- .. code:: python >>> import numpy as np >>> from stheno import GP, EQ >>> x = np.linspace(0, 2, 10) # Some points to predict at >>> y = x ** 2 # Some observations >>> f = GP(EQ()) # Construct Gaussian process. >>> f_post = f | (f(x), y) # Compute the posterior. >>> f_post.mean(np.array([1, 2, 3])) # Predict! Moar?! Then read on! Installation ------------ See `the instructions here `__. Then simply :: pip install stheno Manual ------ Note: `here `__ is a nicely rendered and more readable version of the docs. AutoGrad, TensorFlow, PyTorch, or JAX? Your Choice! ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ .. code:: python from stheno.autograd import GP, EQ .. code:: python from stheno.tensorflow import GP, EQ .. code:: python from stheno.torch import GP, EQ .. code:: python from stheno.jax import GP, EQ Model Design ~~~~~~~~~~~~ The basic building block is a ``f = GP(mean=0, kernel, measure=prior)``, which takes in `a *mean*, a *kernel* <#kernels-and-means>`__, and a *measure*. The mean and kernel of a GP can be extracted with ``f.mean`` and ``f.kernel``. The measure should be thought of as a big joint distribution that assigns a mean and a kernel to every variable ``f``. A measure can be created with ``prior = Measure()``. A GP ``f`` can have different means and kernels under different measures. For example, under some *prior* measure, ``f`` can have an ``EQ()`` kernel; but, under some *posterior* measure, ``f`` has a kernel that is determined by the posterior distribution of a GP. `We will see later how posterior measures can be constructed. <#prior-and-posterior-measures>`__ The measure with which a ``f = GP(kernel, measure=prior)`` is constructed can be extracted with ``f.measure == prior``. If the keyword argument ``measure`` is not set, then automatically a new measure is created, which afterwards can be extracted with ``f.measure``. Definition, where ``prior = Measure()``: .. code:: python f = GP(kernel) f = GP(mean, kernel) f = GP(kernel, measure=prior) f = GP(mean, kernel, measure=prior) GPs that are associated to the same measure can be combined into new GPs, which is the primary mechanism used to build cool models. Here's an example model: .. code:: python >>> prior = Measure() >>> f1 = GP(lambda x: x ** 2, EQ(), measure=prior) >>> f1 GP(, EQ()) >>> f2 = GP(Linear(), measure=prior) >>> f2 GP(0, Linear()) >>> f_sum = f1 + f2 >>> f_sum GP(, EQ() + Linear()) >>> f_sum + GP(EQ()) # Not valid: `GP(EQ())` belongs to a new measure! AssertionError: Processes GP(, EQ() + Linear()) and GP(0, EQ()) are associated to different measures. To avoid setting the keyword ``measure`` for every ``GP`` that you create, you can enter a measure as a context: .. code:: python >>> with Measure() as prior: f1 = GP(lambda x: x ** 2, EQ()) f2 = GP(Linear()) f_sum = f1 + f2 >>> prior == f1.measure == f2.measure == f_sum.measure True Compositional Design ^^^^^^^^^^^^^^^^^^^^ - Add and subtract GPs and other objects. Example: .. code:: python >>> GP(EQ(), measure=prior) + GP(Exp(), measure=prior) GP(0, EQ() + Exp()) >>> GP(EQ(), measure=prior) + GP(EQ(), measure=prior) GP(0, 2 * EQ()) >>> GP(EQ()) + 1 GP(1, EQ()) >>> GP(EQ()) + 0 GP(0, EQ()) >>> GP(EQ()) + (lambda x: x ** 2) GP(, EQ()) >>> GP(2, EQ(), measure=prior) - GP(1, EQ(), measure=prior) GP(1, 2 * EQ()) - Multiply GPs and other objects. *Warning:* The product of two GPs it *not* a Gaussian process. Stheno approximates the resulting process by moment matching. Example: .. code:: python >>> GP(1, EQ(), measure=prior) * GP(1, Exp(), measure=prior) GP( + + -1 * 1, * Exp() + * EQ() + EQ() * Exp()) >>> 2 * GP(EQ()) GP(2, 2 * EQ()) >>> 0 * GP(EQ()) GP(0, 0) >>> (lambda x: x) * GP(EQ()) GP(0, * EQ()) - Shift GPs. Example: .. code:: python >>> GP(EQ()).shift(1) GP(0, EQ() shift 1) - Stretch GPs. Example: .. code:: python >>> GP(EQ()).stretch(2) GP(0, EQ() > 2) - Select particular input dimensions. Example: .. code:: python >>> GP(EQ()).select(1, 3) GP(0, EQ() : [1, 3]) - Transform the input. Example: .. code:: python >>> GP(EQ()).transform(f) GP(0, EQ() transform f) - Numerically take the derivative of a GP. The argument specifies which dimension to take the derivative with respect to. Example: .. code:: python >>> GP(EQ()).diff(1) GP(0, d(1) EQ()) - Construct a finite difference estimate of the derivative of a GP. See ``Measure.diff_approx`` for a description of the arguments. Example: .. code:: python >>> GP(EQ()).diff_approx(deriv=1, order=2) GP(50000000.0 * (0.5 * EQ() + 0.5 * ((-0.5 * (EQ() shift (0.0001414213562373095, 0))) shift (0, -0.0001414213562373095)) + 0.5 * ((-0.5 * (EQ() shift (0, 0.0001414213562373095))) shift (-0.0001414213562373095, 0))), 0) - Construct the Cartesian product of a collection of GPs. Example: .. code:: python >>> prior = Measure() >>> f1, f2 = GP(EQ(), measure=prior), GP(EQ(), measure=prior) >>> cross(f1, f2) GP(MultiOutputMean(0, 0), MultiOutputKernel(EQ(), EQ())) Displaying GPs ^^^^^^^^^^^^^^ Like means and kernels, GPs have a ``display`` method that accepts a formatter. Example: .. code:: python >>> print(GP(2.12345 * EQ()).display(lambda x: '{:.2f}'.format(x))) GP(2.12 * EQ(), 0) Properties of GPs ^^^^^^^^^^^^^^^^^ `Properties of kernels `__ can be queried on GPs directly. Example: .. code:: python >>> GP(EQ()).stationary True Naming GPs ^^^^^^^^^^ It is possible to give a name to a GP. Names must be strings. A measure then behaves like a two-way dictionary between GPs and their names. Example: .. code:: python >>> prior = Measure() >>> p = GP(EQ(), name='name', measure=prior) >>> p.name 'name' >>> p.name = 'alternative_name' >>> prior['alternative_name'] GP(0, EQ()) >>> prior[p] 'alternative_name' Finite-Dimensional Distributions ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Simply call a GP to construct a finite-dimensional distribution at some inputs. You can give a second argument, which specifies the variance of additional additive noise. After constructing a finite-dimensional distribution, you can compute the mean, the variance, sample, or compute a logpdf. Definition, where ``f`` is a ``GP``: .. code:: python f(x) # No additional noise f(x, noise) # Additional noise with variance `noise` Things you can do with a finite-dimensional distribution: - Use ``f(x).mean`` to compute the mean. - Use ``f(x).var`` to compute the variance. - Use ``Normal.sample`` to sample. Definition: .. code:: python f(x).sample() # Produce one sample. f(x).sample(n) # Produce `n` samples. f(x).sample(noise=noise) # Produce one samples with additional noise variance `noise`. f(x).sample(n, noise=noise) # Produce `n` samples with additional noise variance `noise`. - Use ``f(x).logpdf(y)`` to compute the logpdf of some data ``y``. - Use ``means, variances = f(x).marginals()`` to efficiently compute the marginal means and marginal variances. Example: .. code:: python >>> f(x).marginals() (array([0., 0., 0.]), np.array([1., 1., 1.])) - Use ``means, lowers, uppers = f(x).marginal_credible_bounds()`` to efficiently compute the means and the marginal lower and upper 95% central credible region bounds. Example: .. code:: python >>> f(x).marginal_credible_bounds() (array([0., 0., 0.]), array([-1.96, -1.96, -1.96]), array([1.96, 1.96, 1.96])) - Use ``Measure.logpdf`` to compute the joint logpdf of multiple observations. Definition: .. code:: python prior.logpdf(f(x), y) prior.logpdf((f1(x1), y1), (f2(x2), y2), ...) - Use ``Measure.sample`` to jointly sample multiple observations. Definition, where ``prior = Measure()``: .. code:: python sample = prior.sample(f(x)) sample1, sample2, ... = prior.sample(f1(x1), f2(x2), ...) Example: .. code:: python >>> prior = Measure() >>> f = GP(EQ(), measure=prior) >>> x = np.array([0., 1., 2.]) >>> f(x) # FDD without noise. >>> f(x, 0.1) # FDD with noise. > >>> f(x).mean array([[0.], [0.], [0.]]) >>> f(x).var >>> y1 = f(x).sample() >>> y1 array([[-0.45172746], [ 0.46581948], [ 0.78929767]]) >>> f(x).logpdf(y1) -2.811609567720761 >>> y2 = f(x).sample(2) array([[-0.43771276, -2.36741858], [ 0.86080043, -1.22503079], [ 2.15779126, -0.75319405]] >>> f(x).logpdf(y2) array([-4.82949038, -5.40084225]) Prior and Posterior Measures ~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Conditioning a *prior* measure on observations gives a *posterior* measure. To condition a measure on observations, use ``Measure.__or__``. Definition, where ``prior = Measure()`` and ``f*`` are ``GP``\ s: .. code:: python post = prior | (f(x, [noise]), y) post = prior | ((f1(x1, [noise1]), y1), (f2(x2, [noise2]), y2), ...) You can then obtain a posterior process with ``post(f)`` and a finite-dimensional distribution under the posterior with ``post(f(x))``. Alternatively, the posterior of a process ``f`` can be obtained by conditioning ``f`` directly. Definition, where and ``f*`` are ``GP``\ s: .. code:: python f_post = f | (f(x, [noise]), y) f_post = f | ((f1(x1, [noise1]), y1), (f2(x2, [noise2]), y2), ...) Let's consider an example. First, build a model and sample some values. .. code:: python >>> prior = Measure() >>> f = GP(EQ(), measure=prior) >>> x = np.array([0., 1., 2.]) >>> y = f(x).sample() Then compute the posterior measure. .. code:: python >>> post = prior | (f(x), y) >>> post(f) GP(PosteriorMean(), PosteriorKernel()) >>> post(f).mean(x) >>> post(f).kernel(x) >>> post(f(x)) > >>> post(f(x)).mean >>> post(f(x)).var We can also obtain the posterior by conditioning ``f`` directly: .. code:: python >>> f_post = f | (f(x), y) >>> f_post GP(PosteriorMean(), PosteriorKernel()) >>> f_post.mean(x) >>> f_post.kernel(x) >>> f_post(x) > >>> f_post(x).mean >>> f_post(x).var We can further extend our model by building on the posterior. .. code:: python >>> g = GP(Linear(), measure=post) >>> f_sum = post(f) + g >>> f_sum GP(PosteriorMean(), PosteriorKernel() + Linear()) However, what we cannot do is mixing the prior and posterior. .. code:: python >>> f + g AssertionError: Processes GP(0, EQ()) and GP(0, Linear()) are associated to different measures. Inducing Points ~~~~~~~~~~~~~~~ Stheno supports pseudo-point approximations of posterior distributions. To construct a pseudo-point approximation, use ``PseudoObs``. Definition: .. code:: python obs = PseudoObs( u(z), # FDD of inducing points (f(x, [noise]), y) # Observed data ) obs = PseudoObs(u(z), f(x, [noise]), y) obs = PseudoObs(u(z), (f1(x1, [noise1]), y1), (f2(x2, [noise2]), y2), ...) obs = PseudoObs((u1(z1), u2(z2), ...), f(x, [noise]), y) obs = PseudoObs((u1(z1), u2(z2), ...), (f1(x1, [noise1]), y1), (f2(x2, [noise2]), y2), ...) The approximate posterior measure can be constructed with ``prior | obs`` where ``prior = Measure()`` is the measure of your model. To quantify the quality of the approximation, you can compute the ELBO with ``obs.elbo(prior)``. Let's consider an example. First, build a model and sample some noisy observations. .. code:: python >>> prior = Measure() >>> f = GP(EQ(), measure=prior) >>> x_obs = np.linspace(0, 10, 2000) >>> y_obs = f(x_obs, 1).sample() Ouch, computing the logpdf is quite slow: .. code:: python >>> %timeit f(x_obs, 1).logpdf(y_obs) 219 ms ± 35.7 ms per loop (mean ± std. dev. of 7 runs, 10 loops each) Let's try to use inducing points to speed this up. .. code:: python >>> x_ind = np.linspace(0, 10, 100) >>> u = f(x_ind) # FDD of inducing points. >>> %timeit PseudoObs(u, f(x_obs, 1), y_obs).elbo(prior) 9.8 ms ± 181 µs per loop (mean ± std. dev. of 7 runs, 100 loops each) Much better. And the approximation is good: .. code:: python >>> PseudoObs(u, f(x_obs, 1), y_obs).elbo(prior) - f(x_obs, 1).logpdf(y_obs) -3.537934389896691e-10 We finally construct the approximate posterior measure: .. code:: python >>> post_approx = prior | PseudoObs(u, f(x_obs, 1), y_obs) >>> post_approx(f(x_obs)).mean Kernels and Means ~~~~~~~~~~~~~~~~~ See `MLKernels `__. Important Remarks ~~~~~~~~~~~~~~~~~ Stheno uses `LAB `__ to provide an implementation that is backend agnostic. Moreover, Stheno uses `an extension of LAB `__ to accelerate linear algebra with structured linear algebra primitives. You will encounter these primitives: .. code:: python >>> k = 2 * Delta() >>> x = np.linspace(0, 5, 10) >>> k(x) If you're using `LAB `__ to further process these matrices, then there is absolutely no need to worry: these structured matrix types know how to add, multiply, and do other linear algebra operations. .. code:: python >>> import lab as B >>> B.matmul(k(x), k(x)) If you're not using `LAB `__, you can convert these structured primitives to regular NumPy/TensorFlow/PyTorch/JAX arrays by calling ``B.dense`` (``B`` is from `LAB `__): .. code:: python >>> import lab as B >>> B.dense(k(x)) array([[2., 0., 0., 0., 0., 0., 0., 0., 0., 0.], [0., 2., 0., 0., 0., 0., 0., 0., 0., 0.], [0., 0., 2., 0., 0., 0., 0., 0., 0., 0.], [0., 0., 0., 2., 0., 0., 0., 0., 0., 0.], [0., 0., 0., 0., 2., 0., 0., 0., 0., 0.], [0., 0., 0., 0., 0., 2., 0., 0., 0., 0.], [0., 0., 0., 0., 0., 0., 2., 0., 0., 0.], [0., 0., 0., 0., 0., 0., 0., 2., 0., 0.], [0., 0., 0., 0., 0., 0., 0., 0., 2., 0.], [0., 0., 0., 0., 0., 0., 0., 0., 0., 2.]]) Furthermore, before computing a Cholesky decomposition, Stheno always adds a minuscule diagonal to prevent the Cholesky decomposition from failing due to positive indefiniteness caused by numerical noise. You can change the magnitude of this diagonal by changing ``B.epsilon``: .. code:: python >>> import lab as B >>> B.epsilon = 1e-12 # Default regularisation >>> B.epsilon = 1e-8 # Strong regularisation Examples -------- The examples make use of `Varz `__ and some utility from `WBML `__. Simple Regression ~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example1_simple_regression.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt from wbml.plot import tweak from stheno import B, GP, EQ # Define points to predict at. x = B.linspace(0, 10, 100) x_obs = B.linspace(0, 7, 20) # Construct a prior. f = GP(EQ().periodic(5.0)) # Sample a true, underlying function and noisy observations. f_true, y_obs = f.measure.sample(f(x), f(x_obs, 0.5)) # Now condition on the observations to make predictions. f_post = f | (f(x_obs, 0.5), y_obs) mean, lower, upper = f_post(x).marginal_credible_bounds() # Plot result. plt.plot(x, f_true, label="True", style="test") plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example1_simple_regression.png") plt.show() Decomposition of Prediction ~~~~~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example2_decomposition.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt from wbml.plot import tweak from stheno import Measure, GP, EQ, RQ, Linear, Delta, Exp, B B.epsilon = 1e-10 # Define points to predict at. x = B.linspace(0, 10, 200) x_obs = B.linspace(0, 7, 50) with Measure() as prior: # Construct a latent function consisting of four different components. f_smooth = GP(EQ()) f_wiggly = GP(RQ(1e-1).stretch(0.5)) f_periodic = GP(EQ().periodic(1.0)) f_linear = GP(Linear()) f = f_smooth + f_wiggly + f_periodic + 0.2 * f_linear # Let the observation noise consist of a bit of exponential noise. e_indep = GP(Delta()) e_exp = GP(Exp()) e = e_indep + 0.3 * e_exp # Sum the latent function and observation noise to get a model for the observations. y = f + 0.5 * e # Sample a true, underlying function and observations. ( f_true_smooth, f_true_wiggly, f_true_periodic, f_true_linear, f_true, y_obs, ) = prior.sample(f_smooth(x), f_wiggly(x), f_periodic(x), f_linear(x), f(x), y(x_obs)) # Now condition on the observations and make predictions for the latent function and # its various components. post = prior | (y(x_obs), y_obs) pred_smooth = post(f_smooth(x)) pred_wiggly = post(f_wiggly(x)) pred_periodic = post(f_periodic(x)) pred_linear = post(f_linear(x)) pred_f = post(f(x)) # Plot results. def plot_prediction(x, f, pred, x_obs=None, y_obs=None): plt.plot(x, f, label="True", style="test") if x_obs is not None: plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) mean, lower, upper = pred.marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.figure(figsize=(10, 6)) plt.subplot(3, 1, 1) plt.title("Prediction") plot_prediction(x, f_true, pred_f, x_obs, y_obs) plt.subplot(3, 2, 3) plt.title("Smooth Component") plot_prediction(x, f_true_smooth, pred_smooth) plt.subplot(3, 2, 4) plt.title("Wiggly Component") plot_prediction(x, f_true_wiggly, pred_wiggly) plt.subplot(3, 2, 5) plt.title("Periodic Component") plot_prediction(x, f_true_periodic, pred_periodic) plt.subplot(3, 2, 6) plt.title("Linear Component") plot_prediction(x, f_true_linear, pred_linear) plt.savefig("readme_example2_decomposition.png") plt.show() Learn a Function, Incorporating Prior Knowledge About Its Form ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example3_parametric.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import tensorflow as tf import wbml.out as out from varz.spec import parametrised, Positive from varz.tensorflow import Vars, minimise_l_bfgs_b from wbml.plot import tweak from stheno.tensorflow import B, Measure, GP, EQ, Delta # Define points to predict at. x = B.linspace(tf.float64, 0, 5, 100) x_obs = B.linspace(tf.float64, 0, 3, 20) @parametrised def model( vs, u_var: Positive = 0.5, u_scale: Positive = 0.5, noise: Positive = 0.5, alpha: Positive = 1.2, ): with Measure(): # Random fluctuation: u = GP(u_var * EQ().stretch(u_scale)) # Construct model. f = u + (lambda x: x ** alpha) return f, noise # Sample a true, underlying function and observations. vs = Vars(tf.float64) f_true = x ** 1.8 + B.sin(2 * B.pi * x) f, y = model(vs) post = f.measure | (f(x), f_true) y_obs = post(f(x_obs)).sample() def objective(vs): f, noise = model(vs) evidence = f(x_obs, noise).logpdf(y_obs) return -evidence # Learn hyperparameters. minimise_l_bfgs_b(objective, vs, jit=True) f, noise = model(vs) # Print the learned parameters. out.kv("Prior", f.display(out.format)) vs.print() # Condition on the observations to make predictions. f_post = f | (f(x_obs, noise), y_obs) mean, lower, upper = f_post(x).marginal_credible_bounds() # Plot result. plt.plot(x, B.squeeze(f_true), label="True", style="test") plt.scatter(x_obs, B.squeeze(y_obs), label="Observations", style="train", s=20) plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example3_parametric.png") plt.show() Multi-Output Regression ~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example4_multi-output.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt from wbml.plot import tweak from stheno import B, Measure, GP, EQ, Delta class VGP: """A vector-valued GP.""" def __init__(self, ps): self.ps = ps def __add__(self, other): return VGP([f + g for f, g in zip(self.ps, other.ps)]) def lmatmul(self, A): m, n = A.shape ps = [0 for _ in range(m)] for i in range(m): for j in range(n): ps[i] += A[i, j] * self.ps[j] return VGP(ps) # Define points to predict at. x = B.linspace(0, 10, 100) x_obs = B.linspace(0, 10, 10) # Model parameters: m = 2 p = 4 H = B.randn(p, m) with Measure() as prior: # Construct latent functions. us = VGP([GP(EQ()) for _ in range(m)]) # Construct multi-output prior. fs = us.lmatmul(H) # Construct noise. e = VGP([GP(0.5 * Delta()) for _ in range(p)]) # Construct observation model. ys = e + fs # Sample a true, underlying function and observations. samples = prior.sample(*(p(x) for p in fs.ps), *(p(x_obs) for p in ys.ps)) fs_true, ys_obs = samples[:p], samples[p:] # Compute the posterior and make predictions. post = prior.condition(*((p(x_obs), y_obs) for p, y_obs in zip(ys.ps, ys_obs))) preds = [post(p(x)) for p in fs.ps] # Plot results. def plot_prediction(x, f, pred, x_obs=None, y_obs=None): plt.plot(x, f, label="True", style="test") if x_obs is not None: plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) mean, lower, upper = pred.marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.figure(figsize=(10, 6)) for i in range(4): plt.subplot(2, 2, i + 1) plt.title(f"Output {i + 1}") plot_prediction(x, fs_true[i], preds[i], x_obs, ys_obs[i]) plt.savefig("readme_example4_multi-output.png") plt.show() Approximate Integration ~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example5_integration.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import numpy as np import tensorflow as tf import wbml.plot from stheno.tensorflow import B, Measure, GP, EQ, Delta # Define points to predict at. x = B.linspace(tf.float64, 0, 10, 200) x_obs = B.linspace(tf.float64, 0, 10, 10) with Measure() as prior: # Construct a model. f = 0.7 * GP(EQ()).stretch(1.5) e = 0.2 * GP(Delta()) # Construct derivatives. df = f.diff() ddf = df.diff() dddf = ddf.diff() + e # Fix the integration constants. zero = B.cast(tf.float64, 0) one = B.cast(tf.float64, 1) prior = prior | ((f(zero), one), (df(zero), zero), (ddf(zero), -one)) # Sample observations. y_obs = B.sin(x_obs) + 0.2 * B.randn(*x_obs.shape) # Condition on the observations to make predictions. post = prior | (dddf(x_obs), y_obs) # And make predictions. pred_iiif = post(f)(x) pred_iif = post(df)(x) pred_if = post(ddf)(x) pred_f = post(dddf)(x) # Plot result. def plot_prediction(x, f, pred, x_obs=None, y_obs=None): plt.plot(x, f, label="True", style="test") if x_obs is not None: plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) mean, lower, upper = pred.marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") wbml.plot.tweak() plt.figure(figsize=(10, 6)) plt.subplot(2, 2, 1) plt.title("Function") plot_prediction(x, np.sin(x), pred_f, x_obs=x_obs, y_obs=y_obs) plt.subplot(2, 2, 2) plt.title("Integral of Function") plot_prediction(x, -np.cos(x), pred_if) plt.subplot(2, 2, 3) plt.title("Second Integral of Function") plot_prediction(x, -np.sin(x), pred_iif) plt.subplot(2, 2, 4) plt.title("Third Integral of Function") plot_prediction(x, np.cos(x), pred_iiif) plt.savefig("readme_example5_integration.png") plt.show() Bayesian Linear Regression ~~~~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example6_blr.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import wbml.out as out from wbml.plot import tweak from stheno import B, Measure, GP B.epsilon = 1e-10 # Very slightly regularise. # Define points to predict at. x = B.linspace(0, 10, 200) x_obs = B.linspace(0, 10, 10) with Measure() as prior: # Construct a linear model. slope = GP(1) intercept = GP(5) f = slope * (lambda x: x) + intercept # Sample a slope, intercept, underlying function, and observations. true_slope, true_intercept, f_true, y_obs = prior.sample( slope(0), intercept(0), f(x), f(x_obs, 0.2) ) # Condition on the observations to make predictions. post = prior | (f(x_obs, 0.2), y_obs) mean, lower, upper = post(f(x)).marginal_credible_bounds() out.kv("True slope", true_slope[0, 0]) out.kv("Predicted slope", post(slope(0)).mean[0, 0]) out.kv("True intercept", true_intercept[0, 0]) out.kv("Predicted intercept", post(intercept(0)).mean[0, 0]) # Plot result. plt.plot(x, f_true, label="True", style="test") plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example6_blr.png") plt.show() GPAR ~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example7_gpar.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import numpy as np import tensorflow as tf from varz.spec import parametrised, Positive from varz.tensorflow import Vars, minimise_l_bfgs_b from wbml.plot import tweak from stheno.tensorflow import B, GP, EQ # Define points to predict at. x = B.linspace(tf.float64, 0, 10, 200) x_obs1 = B.linspace(tf.float64, 0, 10, 30) inds2 = np.random.permutation(len(x_obs1))[:10] x_obs2 = B.take(x_obs1, inds2) # Construction functions to predict and observations. f1_true = B.sin(x) f2_true = B.sin(x) ** 2 y1_obs = B.sin(x_obs1) + 0.1 * B.randn(*x_obs1.shape) y2_obs = B.sin(x_obs2) ** 2 + 0.1 * B.randn(*x_obs2.shape) @parametrised def model( vs, var1: Positive = 1, scale1: Positive = 1, noise1: Positive = 0.1, var2: Positive = 1, scale2: Positive = 1, noise2: Positive = 0.1, ): # Build layers: f1 = GP(var1 * EQ().stretch(scale1)) f2 = GP(var2 * EQ().stretch(scale2)) return (f1, noise1), (f2, noise2) def objective(vs): (f1, noise1), (f2, noise2) = model(vs) x1 = x_obs1 x2 = B.stack(x_obs2, B.take(y1_obs, inds2), axis=1) evidence = f1(x1, noise1).logpdf(y1_obs) + f2(x2, noise2).logpdf(y2_obs) return -evidence # Learn hyperparameters. vs = Vars(tf.float64) minimise_l_bfgs_b(objective, vs) # Compute posteriors. (f1, noise1), (f2, noise2) = model(vs) x1 = x_obs1 x2 = B.stack(x_obs2, B.take(y1_obs, inds2), axis=1) f1_post = f1 | (f1(x1, noise1), y1_obs) f2_post = f2 | (f2(x2, noise2), y2_obs) # Predict first output. mean1, lower1, upper1 = f1_post(x).marginal_credible_bounds() # Predict second output with Monte Carlo. samples = [ f2_post(B.stack(x, f1_post(x).sample()[:, 0], axis=1)).sample()[:, 0] for _ in range(100) ] mean2 = np.mean(samples, axis=0) lower2 = np.percentile(samples, 2.5, axis=0) upper2 = np.percentile(samples, 100 - 2.5, axis=0) # Plot result. plt.figure() plt.subplot(2, 1, 1) plt.title("Output 1") plt.plot(x, f1_true, label="True", style="test") plt.scatter(x_obs1, y1_obs, label="Observations", style="train", s=20) plt.plot(x, mean1, label="Prediction", style="pred") plt.fill_between(x, lower1, upper1, style="pred") tweak() plt.subplot(2, 1, 2) plt.title("Output 2") plt.plot(x, f2_true, label="True", style="test") plt.scatter(x_obs2, y2_obs, label="Observations", style="train", s=20) plt.plot(x, mean2, label="Prediction", style="pred") plt.fill_between(x, lower2, upper2, style="pred") tweak() plt.savefig("readme_example7_gpar.png") plt.show() A GP-RNN Model ~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example8_gp-rnn.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import numpy as np import tensorflow as tf from varz.spec import parametrised, Positive from varz.tensorflow import Vars, minimise_adam from wbml.net import rnn as rnn_constructor from wbml.plot import tweak from stheno.tensorflow import B, Measure, GP, EQ # Increase regularisation because we are dealing with `tf.float32`s. B.epsilon = 1e-6 # Construct points which to predict at. x = B.linspace(tf.float32, 0, 1, 100)[:, None] inds_obs = B.range(0, int(0.75 * len(x))) # Train on the first 75% only. x_obs = B.take(x, inds_obs) # Construct function and observations. # Draw random modulation functions. a_true = GP(1e-2 * EQ().stretch(0.1))(x).sample() b_true = GP(1e-2 * EQ().stretch(0.1))(x).sample() # Construct the true, underlying function. f_true = (1 + a_true) * B.sin(2 * np.pi * 7 * x) + b_true # Add noise. y_true = f_true + 0.1 * B.randn(*f_true.shape) # Normalise and split. f_true = (f_true - B.mean(y_true)) / B.std(y_true) y_true = (y_true - B.mean(y_true)) / B.std(y_true) y_obs = B.take(y_true, inds_obs) @parametrised def model(vs, a_scale: Positive = 0.1, b_scale: Positive = 0.1, noise: Positive = 0.01): # Construct an RNN. f_rnn = rnn_constructor( output_size=1, widths=(10,), nonlinearity=B.tanh, final_dense=True ) # Set the weights for the RNN. num_weights = f_rnn.num_weights(input_size=1) weights = Vars(tf.float32, source=vs.get(shape=(num_weights,), name="rnn")) f_rnn.initialise(input_size=1, vs=weights) with Measure(): # Construct GPs that modulate the RNN. a = GP(1e-2 * EQ().stretch(a_scale)) b = GP(1e-2 * EQ().stretch(b_scale)) # GP-RNN model: f_gp_rnn = (1 + a) * (lambda x: f_rnn(x)) + b return f_rnn, f_gp_rnn, noise, a, b def objective_rnn(vs): f_rnn, _, _, _, _ = model(vs) return B.mean((f_rnn(x_obs) - y_obs) ** 2) def objective_gp_rnn(vs): _, f_gp_rnn, noise, _, _ = model(vs) evidence = f_gp_rnn(x_obs, noise).logpdf(y_obs) return -evidence # Pretrain the RNN. vs = Vars(tf.float32) minimise_adam(objective_rnn, vs, rate=5e-3, iters=1000, trace=True, jit=True) # Jointly train the RNN and GPs. minimise_adam(objective_gp_rnn, vs, rate=1e-3, iters=1000, trace=True, jit=True) _, f_gp_rnn, noise, a, b = model(vs) # Condition. post = f_gp_rnn.measure | (f_gp_rnn(x_obs, noise), y_obs) # Predict and plot results. plt.figure(figsize=(10, 6)) plt.subplot(2, 1, 1) plt.title("$(1 + a)\\cdot {}$RNN${} + b$") plt.plot(x, f_true, label="True", style="test") plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) mean, lower, upper = post(f_gp_rnn(x)).marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.subplot(2, 2, 3) plt.title("$a$") mean, lower, upper = post(a(x)).marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.subplot(2, 2, 4) plt.title("$b$") mean, lower, upper = post(b(x)).marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig(f"readme_example8_gp-rnn.png") plt.show() Approximate Multiplication Between GPs ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example9_product.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt from wbml.plot import tweak from stheno import B, Measure, GP, EQ # Define points to predict at. x = B.linspace(0, 10, 100) with Measure() as prior: f1 = GP(3, EQ()) f2 = GP(3, EQ()) # Compute the approximate product. f_prod = f1 * f2 # Sample two functions. s1, s2 = prior.sample(f1(x), f2(x)) # Predict. f_prod_post = f_prod | ((f1(x), s1), (f2(x), s2)) mean, lower, upper = f_prod_post(x).marginal_credible_bounds() # Plot result. plt.plot(x, s1, label="Sample 1", style="train") plt.plot(x, s2, label="Sample 2", style="train", ls="--") plt.plot(x, s1 * s2, label="True product", style="test") plt.plot(x, mean, label="Approximate posterior", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example9_product.png") plt.show() Sparse Regression ~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example10_sparse.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt import wbml.out as out from wbml.plot import tweak from stheno import B, GP, EQ, PseudoObs # Define points to predict at. x = B.linspace(0, 10, 100) x_obs = B.linspace(0, 7, 50_000) x_ind = B.linspace(0, 10, 20) # Construct a prior. f = GP(EQ().periodic(2 * B.pi)) # Sample a true, underlying function and observations. f_true = B.sin(x) y_obs = B.sin(x_obs) + B.sqrt(0.5) * B.randn(*x_obs.shape) # Compute a pseudo-point approximation of the posterior. obs = PseudoObs(f(x_ind), (f(x_obs, 0.5), y_obs)) # Compute the ELBO. out.kv("ELBO", obs.elbo(f.measure)) # Compute the approximate posterior. f_post = f | obs # Make predictions with the approximate posterior. mean, lower, upper = f_post(x).marginal_credible_bounds() # Plot result. plt.plot(x, f_true, label="True", style="test") plt.scatter( x_obs, y_obs, label="Observations", style="train", c="tab:green", alpha=0.35, ) plt.scatter( x_ind, obs.mu(f.measure)[:, 0], label="Inducing Points", style="train", s=20, ) plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example10_sparse.png") plt.show() Smoothing with Nonparametric Basis Functions ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ .. figure:: https://raw.githubusercontent.com/wesselb/stheno/master/readme_example11_nonparametric_basis.png :alt: Prediction Prediction .. code:: python import matplotlib.pyplot as plt from wbml.plot import tweak from stheno import B, Measure, GP, EQ # Define points to predict at. x = B.linspace(0, 10, 100) x_obs = B.linspace(0, 10, 20) with Measure() as prior: w = lambda x: B.exp(-(x ** 2) / 0.5) # Basis function b = [(w * GP(EQ())).shift(xi) for xi in x_obs] # Weighted basis functions f = sum(b) # Sample a true, underlying function and observations. f_true, y_obs = prior.sample(f(x), f(x_obs, 0.2)) # Condition on the observations to make predictions. post = prior | (f(x_obs, 0.2), y_obs) # Plot result. for i, bi in enumerate(b): mean, lower, upper = post(bi(x)).marginal_credible_bounds() kw_args = {"label": "Basis functions"} if i == 0 else {} plt.plot(x, mean, style="pred2", **kw_args) plt.plot(x, f_true, label="True", style="test") plt.scatter(x_obs, y_obs, label="Observations", style="train", s=20) mean, lower, upper = post(f(x)).marginal_credible_bounds() plt.plot(x, mean, label="Prediction", style="pred") plt.fill_between(x, lower, upper, style="pred") tweak() plt.savefig("readme_example11_nonparametric_basis.png") plt.show() .. |CI| image:: https://github.com/wesselb/stheno/workflows/CI/badge.svg?branch=master :target: https://github.com/wesselb/stheno/actions?query=workflow%3ACI .. |Coverage Status| image:: https://coveralls.io/repos/github/wesselb/stheno/badge.svg?branch=master :target: https://coveralls.io/github/wesselb/stheno?branch=master .. |Latest Docs| image:: https://img.shields.io/badge/docs-latest-blue.svg :target: https://wesselb.github.io/stheno .. |Code style: black| image:: https://img.shields.io/badge/code%20style-black-000000.svg :target: https://github.com/psf/black