apunkt/GPy
1
0
Fork 0
mirror of https://github.com/SheffieldML/GPy.git synced 2026-06-08 15:05:15 +02:00
Code Issues Projects Releases Packages Wiki Activity Actions

Merge pull request #364 from SheffieldML/state_space

Browse source 
State space
This commit is contained in:
Max Zwiessele 2016-04-07 13:48:11 +01:00
commit e5cdc06520
4 changed files with 172 additions and 162 deletions
Download patch file Download diff file Expand all files Collapse all files

4
GPy/kern/src/stationary.py
View file

@ -315,10 +315,10 @@ class Exponential(Stationary):
super(Exponential, self).__init__(input_dim, variance, lengthscale, ARD, active_dims, name)
def K_of_r(self, r):
return self.variance * np.exp(-0.5 * r)
return self.variance * np.exp(-r)
def dK_dr(self, r):
return -0.5*self.K_of_r(r)
return -self.K_of_r(r)
# def sde(self):
# """

8
GPy/models/state_space_main.py
View file

@ -3237,6 +3237,7 @@ class ContDescrStateSpace(DescreteStateSpace):
AB = np.dot(AB, np.vstack((np.zeros((n,n)),np.eye(n))))
Q_noise_1 = linalg.solve(AB[n:,:].T,AB[:n,:].T)
Q_noise_2 = P_inf - A.dot(P_inf).dot(A.T)
# The covariance matrix Q by matrix fraction decomposition <-
if compute_derivatives:
@ -3276,8 +3277,9 @@ class ContDescrStateSpace(DescreteStateSpace):
else:
dA = None
dQ = None
Q_noise = Q_noise_1
Q_noise = Q_noise_2
# Innacuracies have been observed when Q_noise_1 was used.
#Q_noise = Q_noise_1
# Return
@ -3484,4 +3486,4 @@ def balance_ss_model(F,L,Qc,H,Pinf,P0,dF=None,dQc=None,dPinf=None,dP0=None):
# (F,L,Qc,H,Pinf,P0,dF,dQc,dPinf,dP0)
return bF, bL, bQc, bH, bPinf, bP0, bdF, bdQc, bdPinf, bdP0, T
return bF, bL, bQc, bH, bPinf, bP0, bdF, bdQc, bdPinf, bdP0, T

BIN
GPy/testing/baseline/coverage_3d_plot.png
View file

Binary file not shown.
Side by side Swipe Overlay

Before

Width:  |  Height:  |  Size: 51 KiB

After

Width:  |  Height:  |  Size: 50 KiB

Before After
Before After

322
GPy/testing/gpy_kernels_state_space_tests.py
View file

@ -17,326 +17,334 @@ from .state_space_main_tests import generate_x_points, generate_sine_data, \
class StateSpaceKernelsTests(np.testing.TestCase):
def setUp(self):
pass
def run_for_model(self, X, Y, ss_kernel, kalman_filter_type = 'regular',
use_cython=False, check_gradients=True,
optimize=True, optimize_max_iters=1000,predict_X=None,
compare_with_GP=True, gp_kernel=None,
use_cython=False, check_gradients=True,
optimize=True, optimize_max_iters=250, predict_X=None,
compare_with_GP=True, gp_kernel=None,
mean_compare_decimal=10, var_compare_decimal=7):
m1 = SS_model.StateSpace(X,Y, ss_kernel,
m1 = SS_model.StateSpace(X,Y, ss_kernel,
kalman_filter_type=kalman_filter_type,
use_cython=use_cython)
m1.likelihood[:] = Y.var()/100.
if check_gradients:
self.assertTrue(m1.checkgrad())
if optimize:
m1.optimize(optimizer='lbfgsb',max_iters=optimize_max_iters)
if 1:#optimize:
m1.optimize(optimizer='lbfgsb', max_iters=1)
if compare_with_GP and (predict_X is None):
predict_X = X
if (predict_X is not None):
x_pred_reg_1 = m1.predict(predict_X)
x_quant_reg_1 = m1.predict_quantiles(predict_X)
self.assertTrue(compare_with_GP)
if compare_with_GP:
m2 = GPy.models.GPRegression(X,Y, gp_kernel)
m2.optimize(optimizer='lbfgsb', max_iters=optimize_max_iters)
#print(m2)
m2[:] = m1[:]
if (predict_X is not None):
x_pred_reg_1 = m1.predict(predict_X)
x_quant_reg_1 = m1.predict_quantiles(predict_X)
x_pred_reg_2 = m2.predict(predict_X)
x_quant_reg_2 = m2.predict_quantiles(predict_X)
# Test values
#print np.max(np.abs(x_pred_reg_1[0]-x_pred_reg_2[0]))
np.testing.assert_almost_equal(np.max(np.abs(x_pred_reg_1[0]- \
x_pred_reg_2[0])), 0, decimal=mean_compare_decimal)
# Test variances
#print np.max(np.abs(x_pred_reg_1[1]-x_pred_reg_2[1]))
np.testing.assert_almost_equal(np.max(np.abs(x_pred_reg_1[1]- \
x_pred_reg_2[1])), 0, decimal=var_compare_decimal)
np.testing.assert_array_almost_equal(x_pred_reg_1[0], x_pred_reg_2[0], mean_compare_decimal)
np.testing.assert_array_almost_equal(x_pred_reg_1[1], x_pred_reg_2[1], var_compare_decimal)
np.testing.assert_array_almost_equal(x_quant_reg_1[0], x_quant_reg_2[0], mean_compare_decimal)
np.testing.assert_array_almost_equal(x_quant_reg_1[1], x_quant_reg_2[1], mean_compare_decimal)
np.testing.assert_array_almost_equal(m1.gradient, m2.gradient, var_compare_decimal)
np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), var_compare_decimal)
def test_Matern32_kernel(self,):
np.random.seed(234) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Matern32(1,active_dims=[0,])
gp_kernel = GPy.kern.Matern32(1,active_dims=[0,])
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
compare_with_GP=True,
gp_kernel=gp_kernel,
mean_compare_decimal=10, var_compare_decimal=7)
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
def test_Matern52_kernel(self,):
np.random.seed(234) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Matern52(1,active_dims=[0,])
gp_kernel = GPy.kern.Matern52(1,active_dims=[0,])
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
optimize = True, predict_X=X,
compare_with_GP=True, gp_kernel=gp_kernel,
mean_compare_decimal=8, var_compare_decimal=7)
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
optimize = True, predict_X=X,
compare_with_GP=True, gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
def test_RBF_kernel(self,):
np.random.seed(234) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_RBF(1,active_dims=[0,])
gp_kernel = GPy.kern.RBF(1,active_dims=[0,])
ss_kernel = GPy.kern.sde_RBF(1, 110., 1.5, active_dims=[0,])
gp_kernel = GPy.kern.RBF(1, 110., 1.5, active_dims=[0,])
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=1, var_compare_decimal=1)
predict_X=X,
gp_kernel=gp_kernel,
optimize_max_iters=1000,
mean_compare_decimal=2, var_compare_decimal=1)
def test_periodic_kernel(self,):
np.random.seed(322) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_StdPeriodic(1,active_dims=[0,])
ss_kernel.lengthscale.constrain_bounded(0.27, 1000)
ss_kernel.period.constrain_bounded(0.17, 100)
gp_kernel = GPy.kern.StdPeriodic(1,active_dims=[0,])
gp_kernel.lengthscale.constrain_bounded(0.27, 1000)
gp_kernel.period.constrain_bounded(0.17, 100)
gp_kernel.period.constrain_bounded(0.17, 100)
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=3, var_compare_decimal=3)
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=3, var_compare_decimal=3)
def test_quasi_periodic_kernel(self,):
np.random.seed(329) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Matern32(1)*GPy.kern.sde_StdPeriodic(1,active_dims=[0,])
ss_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
ss_kernel.std_periodic.period.constrain_bounded(0.15, 100)
gp_kernel = GPy.kern.Matern32(1)*GPy.kern.StdPeriodic(1,active_dims=[0,])
gp_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
gp_kernel.std_periodic.period.constrain_bounded(0.15, 100)
gp_kernel.std_periodic.period.constrain_bounded(0.15, 100)
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=1, var_compare_decimal=2)
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=1, var_compare_decimal=2)
def test_linear_kernel(self,):
np.random.seed(234) # seed the random number generator
(X,Y) = generate_linear_data(x_points=None, tangent=2.0, add_term=20.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Linear(1,X,active_dims=[0,]) + GPy.kern.sde_Bias(1, active_dims=[0,])
gp_kernel = GPy.kern.Linear(1, active_dims=[0,]) + GPy.kern.Bias(1, active_dims=[0,])
self.run_for_model(X, Y, ss_kernel, check_gradients= False,
predict_X=X,
gp_kernel=gp_kernel,
self.run_for_model(X, Y, ss_kernel, check_gradients= False,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
def test_brownian_kernel(self,):
np.random.seed(234) # seed the random number generator
(X,Y) = generate_brownian_data(x_points=None, kernel_var=2.0, noise_var = 0.1,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Brownian()
gp_kernel = GPy.kern.Brownian()
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=10, var_compare_decimal=7)
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=4, var_compare_decimal=4)
def test_exponential_kernel(self,):
np.random.seed(234) # seed the random number generator
np.random.seed(12345) # seed the random number generator
(X,Y) = generate_linear_data(x_points=None, tangent=1.0, add_term=20.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
plot = False, points_num=10, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
ss_kernel = GPy.kern.sde_Exponential(1, active_dims=[0,])
gp_kernel = GPy.kern.Exponential(1, active_dims=[0,])
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=6)
ss_kernel = GPy.kern.sde_Exponential(1, Y.var(), X.ptp()/2., active_dims=[0,])
gp_kernel = GPy.kern.Exponential(1, Y.var(), X.ptp()/2., active_dims=[0,])
Y -= Y.mean()
self.run_for_model(X, Y, ss_kernel, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
optimize_max_iters=1000,
mean_compare_decimal=2, var_compare_decimal=2)
def test_kernel_addition(self,):
#np.random.seed(329) # seed the random number generator
np.random.seed(333)
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=5.0, noise_var=2.0,
plot = False, points_num=100, x_interval = (0, 40), random=True)
(X1,Y1) = generate_linear_data(x_points=X, tangent=1.0, add_term=20.0, noise_var=0.0,
plot = False, points_num=100, x_interval = (0, 40), random=True)
# Sine data <-
Y = Y + Y1
Y -= Y.mean()
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
def get_new_kernels():
ss_kernel = GPy.kern.sde_Linear(1,X) + GPy.kern.sde_StdPeriodic(1,active_dims=[0,])
ss_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
ss_kernel.std_periodic.period.constrain_bounded(3, 8)
gp_kernel = GPy.kern.Linear(1) + GPy.kern.StdPeriodic(1,active_dims=[0,])
gp_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
gp_kernel.std_periodic.period.constrain_bounded(3, 8)
ss_kernel = GPy.kern.sde_Linear(1,X,variances=1) + GPy.kern.sde_StdPeriodic(1,period=5.0, variance=300, lengthscale=3., active_dims=[0,])
#ss_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
#ss_kernel.std_periodic.period.constrain_bounded(3, 8)
gp_kernel = GPy.kern.Linear(1,variances=1) + GPy.kern.StdPeriodic(1,period=5.0, variance=300, lengthscale=3., active_dims=[0,])
#gp_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
#gp_kernel.std_periodic.period.constrain_bounded(3, 8)
return ss_kernel, gp_kernel
# Cython is available only with svd.
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'svd',
use_cython=True, optimize_max_iters=10, check_gradients=False,
predict_X=X,
gp_kernel=gp_kernel,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'regular',
use_cython=False, optimize_max_iters=10, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'svd',
use_cython=False, optimize_max_iters=10, check_gradients=False,
predict_X=X,
gp_kernel=gp_kernel,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=5, var_compare_decimal=5)
def test_kernel_multiplication(self,):
np.random.seed(329) # seed the random number generator
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=10.0, noise_var=2.0,
plot = False, points_num=50, x_interval = (0, 20), random=True)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
def get_new_kernels():
ss_kernel = GPy.kern.sde_Matern32(1)*GPy.kern.sde_Matern52(1)
gp_kernel = GPy.kern.Matern32(1)*GPy.kern.sde_Matern52(1)
return ss_kernel, gp_kernel
ss_kernel, gp_kernel = get_new_kernels()
#import ipdb;ipdb.set_trace()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'svd',
use_cython=True, optimize_max_iters=10, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=-1, var_compare_decimal=-1)
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'regular',
use_cython=False, optimize_max_iters=10, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=-1, var_compare_decimal=-1)
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X, Y, ss_kernel, kalman_filter_type = 'svd',
use_cython=False, optimize_max_iters=10, check_gradients=True,
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=-1, var_compare_decimal=0)
predict_X=X,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
def test_forecast(self,):
"""
Test time-series forecasting.
"""
# Generate data ->
np.random.seed(339) # seed the random number generator
#import pdb; pdb.set_trace()
(X,Y) = generate_sine_data(x_points=None, sin_period=5.0, sin_ampl=5.0, noise_var=2.0,
plot = False, points_num=100, x_interval = (0, 40), random=True)
(X1,Y1) = generate_linear_data(x_points=X, tangent=1.0, add_term=20.0, noise_var=0.0,
plot = False, points_num=100, x_interval = (0, 40), random=True)
Y = Y + Y1
X_train = X[X <= 20]
Y_train = Y[X <= 20]
Y_train = Y[X <= 20]
X_test = X[X > 20]
Y_test = Y[X > 20]
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
X_train.shape = (X_train.shape[0],1); Y_train.shape = (Y_train.shape[0],1)
X_test.shape = (X_test.shape[0],1); Y_test.shape = (Y_test.shape[0],1)
X.shape = (X.shape[0],1); Y.shape = (Y.shape[0],1)
X_train.shape = (X_train.shape[0],1); Y_train.shape = (Y_train.shape[0],1)
X_test.shape = (X_test.shape[0],1); Y_test.shape = (Y_test.shape[0],1)
# Generate data <-
#import pdb; pdb.set_trace()
def get_new_kernels():
periodic_kernel = GPy.kern.StdPeriodic(1,active_dims=[0,])
gp_kernel = GPy.kern.Linear(1, active_dims=[0,]) + GPy.kern.Bias(1, active_dims=[0,]) + periodic_kernel
gp_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
gp_kernel.std_periodic.period.constrain_bounded(0.15, 100)
periodic_kernel = GPy.kern.sde_StdPeriodic(1,active_dims=[0,])
ss_kernel = GPy.kern.sde_Linear(1,X,active_dims=[0,]) + \
GPy.kern.sde_Bias(1, active_dims=[0,]) + periodic_kernel
ss_kernel.std_periodic.lengthscale.constrain_bounded(0.25, 1000)
ss_kernel.std_periodic.period.constrain_bounded(0.15, 100)
return ss_kernel, gp_kernel
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X_train, Y_train, ss_kernel, kalman_filter_type = 'regular',
use_cython=False, optimize_max_iters=30, check_gradients=True,
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=0, var_compare_decimal=-1)
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X_train, Y_train, ss_kernel, kalman_filter_type = 'svd',
use_cython=False, optimize_max_iters=30, check_gradients=False,
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=-1, var_compare_decimal=-1)
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
ss_kernel, gp_kernel = get_new_kernels()
self.run_for_model(X_train, Y_train, ss_kernel, kalman_filter_type = 'svd',
use_cython=True, optimize_max_iters=30, check_gradients=False,
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=-1, var_compare_decimal=-1)
predict_X=X_test,
gp_kernel=gp_kernel,
mean_compare_decimal=2, var_compare_decimal=2)
if __name__ == "__main__":
print("Running state-space inference tests...")
unittest.main()
#tt = StateSpaceKernelsTests('test_periodic_kernel')
#import pdb; pdb.set_trace()
#tt.test_Matern32_kernel()
@ -350,4 +358,4 @@ if __name__ == "__main__":
#tt.test_kernel_addition()
#tt.test_kernel_multiplication()
#tt.test_forecast()