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GPy/GPy/models/gradient_checker.py
mzwiessele 568a38dfba [dir] structure preserved
2015-10-15 15:13:16 +01:00

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# ## Copyright (c) 2012, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt)
import numpy
np = numpy
from ..core.parameterization import Param
from GPy.core.model import Model
from ..util.block_matrices import get_blocks, get_block_shapes, unblock, get_blocks_3d, get_block_shapes_3d
def get_shape(x):
if isinstance(x, numpy.ndarray):
return x.shape
return ()
def at_least_one_element(x):
if isinstance(x, (list, tuple)):
return x
return [x]
def flatten_if_needed(x):
return numpy.atleast_1d(x).flatten()
class GradientChecker(Model):
def __init__(self, f, df, x0, names=None, *args, **kwargs):
"""
:param f: Function to check gradient for
:param df: Gradient of function to check
:param x0:
Initial guess for inputs x (if it has a shape (a,b) this will be reflected in the parameter names).
Can be a list of arrays, if takes a list of arrays. This list will be passed
to f and df in the same order as given here.
If only one argument, make sure not to pass a list!!!
:type x0: [array-like] | array-like | float | int
:param names:
Names to print, when performing gradcheck. If a list was passed to x0
a list of names with the same length is expected.
:param args: Arguments passed as f(x, *args, **kwargs) and df(x, *args, **kwargs)
Examples:
---------
from GPy.models import GradientChecker
N, M, Q = 10, 5, 3
Sinusoid:
X = numpy.random.rand(N, Q)
grad = GradientChecker(numpy.sin,numpy.cos,X,'x')
grad.checkgrad(verbose=1)
Using GPy:
X, Z = numpy.random.randn(N,Q), numpy.random.randn(M,Q)
kern = GPy.kern.linear(Q, ARD=True) + GPy.kern.rbf(Q, ARD=True)
grad = GradientChecker(kern.K,
lambda x: 2*kern.dK_dX(numpy.ones((1,1)), x),
x0 = X.copy(),
names='X')
grad.checkgrad(verbose=1)
grad.randomize()
grad.checkgrad(verbose=1)
"""
super(GradientChecker, self).__init__(name='GradientChecker')
if isinstance(x0, (list, tuple)) and names is None:
self.shapes = [get_shape(xi) for xi in x0]
self.names = ['X{i}'.format(i=i) for i in range(len(x0))]
elif isinstance(x0, (list, tuple)) and names is not None:
self.shapes = [get_shape(xi) for xi in x0]
self.names = names
elif names is None:
self.names = ['X']
self.shapes = [get_shape(x0)]
else:
self.names = names
self.shapes = [get_shape(x0)]
for name, xi in zip(self.names, at_least_one_element(x0)):
self.__setattr__(name, Param(name, xi))
self.link_parameter(self.__getattribute__(name))
# self._param_names = []
# for name, shape in zip(self.names, self.shapes):
# self._param_names.extend(map(lambda nameshape: ('_'.join(nameshape)).strip('_'), itertools.izip(itertools.repeat(name), itertools.imap(lambda t: '_'.join(map(str, t)), itertools.product(*map(lambda xi: range(xi), shape))))))
self.args = args
self.kwargs = kwargs
self.f = f
self.df = df
def _get_x(self):
if len(self.names) > 1:
return [self.__getattribute__(name) for name in self.names] + list(self.args)
return [self.__getattribute__(self.names[0])] + list(self.args)
def log_likelihood(self):
return float(numpy.sum(self.f(*self._get_x(), **self.kwargs)))
def _log_likelihood_gradients(self):
return numpy.atleast_1d(self.df(*self._get_x(), **self.kwargs)).flatten()
#def _get_params(self):
#return numpy.atleast_1d(numpy.hstack(map(lambda name: flatten_if_needed(self.__getattribute__(name)), self.names)))
#def _set_params(self, x):
#current_index = 0
#for name, shape in zip(self.names, self.shapes):
#current_size = numpy.prod(shape)
#self.__setattr__(name, x[current_index:current_index + current_size].reshape(shape))
#current_index += current_size
#def _get_param_names(self):
#_param_names = []
#for name, shape in zip(self.names, self.shapes):
#_param_names.extend(map(lambda nameshape: ('_'.join(nameshape)).strip('_'), itertools.izip(itertools.repeat(name), itertools.imap(lambda t: '_'.join(map(str, t)), itertools.product(*map(lambda xi: range(xi), shape))))))
#return _param_names
class HessianChecker(GradientChecker):
def __init__(self, f, df, ddf, x0, names=None, *args, **kwargs):
"""
:param f: Function (only used for numerical hessian gradient)
:param df: Gradient of function to check
:param ddf: Analytical gradient function
:param x0:
Initial guess for inputs x (if it has a shape (a,b) this will be reflected in the parameter names).
Can be a list of arrays, if takes a list of arrays. This list will be passed
to f and df in the same order as given here.
If only one argument, make sure not to pass a list!!!
:type x0: [array-like] | array-like | float | int
:param names:
Names to print, when performing gradcheck. If a list was passed to x0
a list of names with the same length is expected.
:param args: Arguments passed as f(x, *args, **kwargs) and df(x, *args, **kwargs)
"""
super(HessianChecker, self).__init__(df, ddf, x0, names=names, *args, **kwargs)
self._f = f
self._df = df
self._ddf = ddf
def checkgrad(self, target_param=None, verbose=False, step=1e-6, tolerance=1e-3, block_indices=None, plot=False):
"""
Overwrite checkgrad method to check whole block instead of looping through
Shows diagnostics using matshow instead
:param verbose: If True, print a "full" checking of each parameter
:type verbose: bool
:param step: The size of the step around which to linearise the objective
:type step: float (default 1e-6)
:param tolerance: the tolerance allowed (see note)
:type tolerance: float (default 1e-3)
Note:-
The gradient is considered correct if the ratio of the analytical
and numerical gradients is within <tolerance> of unity.
"""
try:
import numdifftools as nd
except:
raise ImportError("Don't have numdifftools package installed, it is not a GPy dependency as of yet, it is only used for hessian tests")
if target_param:
raise NotImplementedError('Only basic functionality is provided with this gradchecker')
#Repeat for each parameter, not the nicest but shouldn't be many cases where there are many
#variables
current_index = 0
for name, shape in zip(self.names, self.shapes):
current_size = numpy.prod(shape)
x = self.optimizer_array.copy()
#x = self._get_params_transformed().copy()
x = x[current_index:current_index + current_size].reshape(shape)
# Check gradients
analytic_hess = self._ddf(x)
if analytic_hess.shape[1] == 1:
analytic_hess = numpy.diagflat(analytic_hess)
#From the docs:
#x0 : vector location
#at which to differentiate fun
#If x0 is an N x M array, then fun is assumed to be a function
#of N*M variables., thus we must have it flat, not (N,1), but just (N,)
#numeric_hess_partial = nd.Hessian(self._f, vectorized=False)
numeric_hess_partial = nd.Jacobian(self._df, vectorized=False)
#numeric_hess_partial = nd.Derivative(self._df, vectorized=True)
numeric_hess = numeric_hess_partial(x)
check_passed = self.checkgrad_block(analytic_hess, numeric_hess, verbose=verbose, step=step, tolerance=tolerance, block_indices=block_indices, plot=plot)
current_index += current_size
return check_passed
def checkgrad_block(self, analytic_hess, numeric_hess, verbose=False, step=1e-6, tolerance=1e-3, block_indices=None, plot=False):
"""
Checkgrad a block matrix
"""
if analytic_hess.dtype is np.dtype('object'):
#Make numeric hessian also into a block matrix
real_size = get_block_shapes(analytic_hess)
num_elements = np.sum(real_size)
if (num_elements, num_elements) == numeric_hess.shape:
#If the sizes are the same we assume they are the same
#(we have not fixed any values so the numeric is the whole hessian)
numeric_hess = get_blocks(numeric_hess, real_size)
else:
#Make a fake empty matrix and fill out the correct block
tmp_numeric_hess = get_blocks(np.zeros((num_elements, num_elements)), real_size)
tmp_numeric_hess[block_indices] = numeric_hess.copy()
numeric_hess = tmp_numeric_hess
if block_indices is not None:
#Extract the right block
analytic_hess = analytic_hess[block_indices]
numeric_hess = numeric_hess[block_indices]
else:
#Unblock them if they are in blocks and you aren't checking a single block (checking whole hessian)
if analytic_hess.dtype is np.dtype('object'):
analytic_hess = unblock(analytic_hess)
numeric_hess = unblock(numeric_hess)
ratio = numeric_hess / (numpy.where(analytic_hess==0, 1e-10, analytic_hess))
difference = numpy.abs(analytic_hess - numeric_hess)
check_passed = numpy.all((numpy.abs(1 - ratio)) < tolerance) or numpy.allclose(numeric_hess, analytic_hess, atol = tolerance)
if verbose:
if block_indices:
print("\nBlock {}".format(block_indices))
else:
print("\nAll blocks")
header = ['Checked', 'Max-Ratio', 'Min-Ratio', 'Min-Difference', 'Max-Difference']
header_string = map(lambda x: ' | '.join(header), [header])
separator = '-' * len(header_string[0])
print('\n'.join([header_string[0], separator]))
min_r = '%.6f' % float(numpy.min(ratio))
max_r = '%.6f' % float(numpy.max(ratio))
max_d = '%.6f' % float(numpy.max(difference))
min_d = '%.6f' % float(numpy.min(difference))
cols = [max_r, min_r, min_d, max_d]
if check_passed:
checked = "\033[92m True \033[0m"
else:
checked = "\033[91m False \033[0m"
grad_string = "{} | {} | {} | {} | {} ".format(checked, cols[0], cols[1], cols[2], cols[3])
print(grad_string)
if plot:
from matplotlib import pyplot as pb
fig, axes = pb.subplots(2, 2)
max_lim = numpy.max(numpy.vstack((analytic_hess, numeric_hess)))
min_lim = numpy.min(numpy.vstack((analytic_hess, numeric_hess)))
msa = axes[0,0].matshow(analytic_hess, vmin=min_lim, vmax=max_lim)
axes[0,0].set_title('Analytic hessian')
axes[0,0].xaxis.set_ticklabels([None])
axes[0,0].yaxis.set_ticklabels([None])
axes[0,0].xaxis.set_ticks([None])
axes[0,0].yaxis.set_ticks([None])
msn = axes[0,1].matshow(numeric_hess, vmin=min_lim, vmax=max_lim)
pb.colorbar(msn, ax=axes[0,1])
axes[0,1].set_title('Numeric hessian')
axes[0,1].xaxis.set_ticklabels([None])
axes[0,1].yaxis.set_ticklabels([None])
axes[0,1].xaxis.set_ticks([None])
axes[0,1].yaxis.set_ticks([None])
msr = axes[1,0].matshow(ratio)
pb.colorbar(msr, ax=axes[1,0])
axes[1,0].set_title('Ratio')
axes[1,0].xaxis.set_ticklabels([None])
axes[1,0].yaxis.set_ticklabels([None])
axes[1,0].xaxis.set_ticks([None])
axes[1,0].yaxis.set_ticks([None])
msd = axes[1,1].matshow(difference)
pb.colorbar(msd, ax=axes[1,1])
axes[1,1].set_title('difference')
axes[1,1].xaxis.set_ticklabels([None])
axes[1,1].yaxis.set_ticklabels([None])
axes[1,1].xaxis.set_ticks([None])
axes[1,1].yaxis.set_ticks([None])
if block_indices:
fig.suptitle("Block: {}".format(block_indices))
pb.show()
return check_passed
class SkewChecker(HessianChecker):
def __init__(self, df, ddf, dddf, x0, names=None, *args, **kwargs):
"""
:param df: gradient of function
:param ddf: Gradient of function to check (hessian)
:param dddf: Analytical gradient function (third derivative)
:param x0:
Initial guess for inputs x (if it has a shape (a,b) this will be reflected in the parameter names).
Can be a list of arrays, if takes a list of arrays. This list will be passed
to f and df in the same order as given here.
If only one argument, make sure not to pass a list!!!
:type x0: [array-like] | array-like | float | int
:param names:
Names to print, when performing gradcheck. If a list was passed to x0
a list of names with the same length is expected.
:param args: Arguments passed as f(x, *args, **kwargs) and df(x, *args, **kwargs)
"""
super(SkewChecker, self).__init__(df, ddf, dddf, x0, names=names, *args, **kwargs)
def checkgrad(self, target_param=None, verbose=False, step=1e-6, tolerance=1e-3, block_indices=None, plot=False, super_plot=False):
"""
Gradient checker that just checks each hessian individually
super_plot will plot the hessian wrt every parameter, plot will just do the first one
"""
try:
import numdifftools as nd
except:
raise ImportError("Don't have numdifftools package installed, it is not a GPy dependency as of yet, it is only used for hessian tests")
if target_param:
raise NotImplementedError('Only basic functionality is provided with this gradchecker')
#Repeat for each parameter, not the nicest but shouldn't be many cases where there are many
#variables
current_index = 0
for name, n_shape in zip(self.names, self.shapes):
current_size = numpy.prod(n_shape)
x = self.optimizer_array.copy()
#x = self._get_params_transformed().copy()
x = x[current_index:current_index + current_size].reshape(n_shape)
# Check gradients
#Actually the third derivative
analytic_hess = self._ddf(x)
#Can only calculate jacobian for one variable at a time
#From the docs:
#x0 : vector location
#at which to differentiate fun
#If x0 is an N x M array, then fun is assumed to be a function
#of N*M variables., thus we must have it flat, not (N,1), but just (N,)
#numeric_hess_partial = nd.Hessian(self._f, vectorized=False)
#Actually _df is already the hessian
numeric_hess_partial = nd.Jacobian(self._df, vectorized=True)
numeric_hess = numeric_hess_partial(x)
print("Done making numerical hessian")
if analytic_hess.dtype is np.dtype('object'):
#Blockify numeric_hess aswell
blocksizes, pagesizes = get_block_shapes_3d(analytic_hess)
#HACK
real_block_size = np.sum(blocksizes)
numeric_hess = numeric_hess.reshape(real_block_size, real_block_size, pagesizes)
#numeric_hess = get_blocks_3d(numeric_hess, blocksizes)#, pagesizes)
else:
numeric_hess = numeric_hess.reshape(*analytic_hess.shape)
#Check every block individually (for ease)
check_passed = [False]*numeric_hess.shape[2]
for block_ind in range(numeric_hess.shape[2]):
#Unless super_plot is set, just plot the first one
p = True if (plot and block_ind == numeric_hess.shape[2]-1) or super_plot else False
if verbose:
print("Checking derivative of hessian wrt parameter number {}".format(block_ind))
check_passed[block_ind] = self.checkgrad_block(analytic_hess[:,:,block_ind], numeric_hess[:,:,block_ind], verbose=verbose, step=step, tolerance=tolerance, block_indices=block_indices, plot=p)
current_index += current_size
return np.all(check_passed)
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