Merge pull request #350 from SheffieldML/fixed_inputs

Fixed inputs and BGPLVM prediction tests

GPy/plotting/gpy_plot/gp_plots.py

@@ -235,8 +235,6 @@ def plot_density(self, plot_limits=None, fixed_inputs=None,
 
     Give the Y_metadata in the predict_kw if you need it.
 
-
-
     :param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
     :type plot_limits: np.array
     :param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input dimension i should be set to value v.

GPy/plotting/matplot_dep/util.py

@@ -1,5 +1,5 @@
 #===============================================================================
-# Copyright (c) 2015, Max Zwiessele
+# Copyright (c) 2016, Max Zwiessele, Alan saul
 # All rights reserved.
 # 
 # Redistribution and use in source and binary forms, with or without
@@ -117,3 +117,42 @@ def align_subplot_array(axes,xlim=None, ylim=None):
             ax.set_xticks([])
         else:
             removeUpperTicks(ax)
+
+def fixed_inputs(model, non_fixed_inputs, fix_routine='median', as_list=True, X_all=False):
+    """
+    Convenience function for returning back fixed_inputs where the other inputs
+    are fixed using fix_routine
+    :param model: model
+    :type model: Model
+    :param non_fixed_inputs: dimensions of non fixed inputs
+    :type non_fixed_inputs: list
+    :param fix_routine: fixing routine to use, 'mean', 'median', 'zero'
+    :type fix_routine: string
+    :param as_list: if true, will return a list of tuples with (dimension, fixed_val) otherwise it will create the corresponding X matrix
+    :type as_list: boolean
+    """
+    from ...inference.latent_function_inference.posterior import VariationalPosterior
+    f_inputs = []
+    if hasattr(model, 'has_uncertain_inputs') and model.has_uncertain_inputs():
+        X = model.X.mean.values.copy()
+    elif isinstance(model.X, VariationalPosterior):
+        X = model.X.values.copy()
+    else:
+        if X_all:
+            X = model.X_all.copy()
+        else:
+            X = model.X.copy()
+    for i in range(X.shape[1]):
+        if i not in non_fixed_inputs:
+            if fix_routine == 'mean':
+                f_inputs.append( (i, np.mean(X[:,i])) )
+            if fix_routine == 'median':
+                f_inputs.append( (i, np.median(X[:,i])) )
+            else: # set to zero zero
+                f_inputs.append( (i, 0) )
+            if not as_list:
+                X[:,i] = f_inputs[-1][1]
+    if as_list:
+        return f_inputs
+    else:
+        return X

GPy/testing/model_tests.py

@@ -148,6 +148,28 @@ class MiscTests(unittest.TestCase):
         assert(gc.checkgrad())
         assert(gc2.checkgrad())
 
+    def test_predict_uncertain_inputs(self):
+        """ Projection of Gaussian through a linear function is still gaussian, and moments are analytical to compute, so we can check this case for predictions easily """
+        X = np.linspace(-5,5, 10)[:, None]
+        Y = 2*X + np.random.randn(*X.shape)*1e-3
+        m = GPy.models.BayesianGPLVM(Y, 1, X=X, kernel=GPy.kern.Linear(1), num_inducing=1)
+        m.Gaussian_noise[:] = 1e-4
+        m.X.mean[:] = X[:]
+        m.X.variance[:] = 1e-5
+        m.X.fix()
+        m.optimize()
+        X_pred_mu = np.random.randn(5, 1)
+        X_pred_var = np.random.rand(5, 1) + 1e-5
+        from GPy.core.parameterization.variational import NormalPosterior
+        X_pred = NormalPosterior(X_pred_mu, X_pred_var)
+        # mu = \int f(x)q(x|mu,S) dx = \int 2x.q(x|mu,S) dx = 2.mu
+        # S = \int (f(x) - m)^2q(x|mu,S) dx = \int f(x)^2 q(x) dx - mu**2 = 4(mu^2 + S) - (2.mu)^2 = 4S
+        Y_mu_true = 2*X_pred_mu
+        Y_var_true = 4*X_pred_var
+        Y_mu_pred, Y_var_pred = m._raw_predict(X_pred)
+        np.testing.assert_allclose(Y_mu_true, Y_mu_pred, rtol=1e-4)
+        np.testing.assert_allclose(Y_var_true, Y_var_pred, rtol=1e-4)
+
     def test_sparse_raw_predict(self):
         k = GPy.kern.RBF(1)
         m = GPy.models.SparseGPRegression(self.X, self.Y, kernel=k)

GPy/testing/util_tests.py

@@ -1,5 +1,5 @@
 #===============================================================================
-# Copyright (c) 2016, Max Zwiessele
+# Copyright (c) 2016, Max Zwiessele, Alan Saul
 # All rights reserved.
 # 
 # Redistribution and use in source and binary forms, with or without
@@ -47,3 +47,52 @@ class TestDebug(unittest.TestCase):
         
         array = np.random.normal(0, 1, (25,25))
         self.assertTrue(checkFullRank(tdot(array)))
+    
+    def test_fixed_inputs_median(self):
+        """ test fixed_inputs convenience function """
+        from GPy.plotting.matplot_dep.util import fixed_inputs
+        import GPy
+        X = np.random.randn(10, 3)
+        Y = np.sin(X) + np.random.randn(10, 3)*1e-3
+        m = GPy.models.GPRegression(X, Y)
+        fixed = fixed_inputs(m, [1], fix_routine='median', as_list=True, X_all=False)
+        self.assertTrue((0, np.median(X[:,0])) in fixed)
+        self.assertTrue((2, np.median(X[:,2])) in fixed)
+        self.assertTrue(len([t for t in fixed if t[0] == 1]) == 0) # Unfixed input should not be in fixed
+
+    def test_fixed_inputs_mean(self):
+        from GPy.plotting.matplot_dep.util import fixed_inputs
+        import GPy
+        X = np.random.randn(10, 3)
+        Y = np.sin(X) + np.random.randn(10, 3)*1e-3
+        m = GPy.models.GPRegression(X, Y)
+        fixed = fixed_inputs(m, [1], fix_routine='mean', as_list=True, X_all=False)
+        self.assertTrue((0, np.mean(X[:,0])) in fixed)
+        self.assertTrue((2, np.mean(X[:,2])) in fixed)
+        self.assertTrue(len([t for t in fixed if t[0] == 1]) == 0) # Unfixed input should not be in fixed
+
+    def test_fixed_inputs_zero(self):
+        from GPy.plotting.matplot_dep.util import fixed_inputs
+        import GPy
+        X = np.random.randn(10, 3)
+        Y = np.sin(X) + np.random.randn(10, 3)*1e-3
+        m = GPy.models.GPRegression(X, Y)
+        fixed = fixed_inputs(m, [1], fix_routine='zero', as_list=True, X_all=False)
+        self.assertTrue((0, 0.0) in fixed)
+        self.assertTrue((2, 0.0) in fixed)
+        self.assertTrue(len([t for t in fixed if t[0] == 1]) == 0) # Unfixed input should not be in fixed
+
+    def test_fixed_inputs_uncertain(self):
+        from GPy.plotting.matplot_dep.util import fixed_inputs
+        import GPy
+        from GPy.core.parameterization.variational import NormalPosterior
+        X_mu = np.random.randn(10, 3)
+        X_var = np.random.randn(10, 3)
+        X = NormalPosterior(X_mu, X_var)
+        Y = np.sin(X_mu) + np.random.randn(10, 3)*1e-3
+        m = GPy.models.BayesianGPLVM(Y, X=X_mu, X_variance=X_var, input_dim=3)
+        fixed = fixed_inputs(m, [1], fix_routine='median', as_list=True, X_all=False)
+        self.assertTrue((0, np.median(X.mean.values[:,0])) in fixed)
+        self.assertTrue((2, np.median(X.mean.values[:,2])) in fixed)
+        self.assertTrue(len([t for t in fixed if t[0] == 1]) == 0) # Unfixed input should not be in fixed
+