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GPy/GPy/examples/regression.py
mzwiessele f8835d0179 fix: return model on example
2019-07-22 14:29:03 +01:00

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# Copyright (c) 2012-2014, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt)
"""
Gaussian Processes regression examples
"""
try:
from matplotlib import pyplot as pb
except:
pass
import numpy as np
import GPy
def olympic_marathon_men(optimize=True, plot=True):
"""Run a standard Gaussian process regression on the Olympic marathon data."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.olympic_marathon_men()
# create simple GP Model
m = GPy.models.GPRegression(data['X'], data['Y'])
# set the lengthscale to be something sensible (defaults to 1)
m.kern.lengthscale = 10.
if optimize:
m.optimize('bfgs', max_iters=200)
if plot:
m.plot(plot_limits=(1850, 2050))
return m
def coregionalization_toy(optimize=True, plot=True):
"""
A simple demonstration of coregionalization on two sinusoidal functions.
"""
#build a design matrix with a column of integers indicating the output
X1 = np.random.rand(50, 1) * 8
X2 = np.random.rand(30, 1) * 5
#build a suitable set of observed variables
Y1 = np.sin(X1) + np.random.randn(*X1.shape) * 0.05
Y2 = np.sin(X2) + np.random.randn(*X2.shape) * 0.05 + 2.
m = GPy.models.GPCoregionalizedRegression(X_list=[X1,X2], Y_list=[Y1,Y2])
if optimize:
m.optimize('bfgs', max_iters=100)
if plot:
slices = GPy.util.multioutput.get_slices([X1,X2])
m.plot(fixed_inputs=[(1,0)],which_data_rows=slices[0],Y_metadata={'output_index':0})
m.plot(fixed_inputs=[(1,1)],which_data_rows=slices[1],Y_metadata={'output_index':1},ax=pb.gca())
return m
def coregionalization_sparse(optimize=True, plot=True):
"""
A simple demonstration of coregionalization on two sinusoidal functions using sparse approximations.
"""
#build a design matrix with a column of integers indicating the output
X1 = np.random.rand(50, 1) * 8
X2 = np.random.rand(30, 1) * 5
#build a suitable set of observed variables
Y1 = np.sin(X1) + np.random.randn(*X1.shape) * 0.05
Y2 = np.sin(X2) + np.random.randn(*X2.shape) * 0.05 + 2.
m = GPy.models.SparseGPCoregionalizedRegression(X_list=[X1,X2], Y_list=[Y1,Y2])
if optimize:
m.optimize('bfgs', max_iters=100)
if plot:
slices = GPy.util.multioutput.get_slices([X1,X2])
m.plot(fixed_inputs=[(1,0)],which_data_rows=slices[0],Y_metadata={'output_index':0})
m.plot(fixed_inputs=[(1,1)],which_data_rows=slices[1],Y_metadata={'output_index':1},ax=pb.gca())
pb.ylim(-3,)
return m
def epomeo_gpx(max_iters=200, optimize=True, plot=True):
"""
Perform Gaussian process regression on the latitude and longitude data
from the Mount Epomeo runs. Requires gpxpy to be installed on your system
to load in the data.
"""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.epomeo_gpx()
num_data_list = []
for Xpart in data['X']:
num_data_list.append(Xpart.shape[0])
num_data_array = np.array(num_data_list)
num_data = num_data_array.sum()
Y = np.zeros((num_data, 2))
t = np.zeros((num_data, 2))
start = 0
for Xpart, index in zip(data['X'], range(len(data['X']))):
end = start+Xpart.shape[0]
t[start:end, :] = np.hstack((Xpart[:, 0:1],
index*np.ones((Xpart.shape[0], 1))))
Y[start:end, :] = Xpart[:, 1:3]
num_inducing = 200
Z = np.hstack((np.linspace(t[:,0].min(), t[:, 0].max(), num_inducing)[:, None],
np.random.randint(0, 4, num_inducing)[:, None]))
k1 = GPy.kern.RBF(1)
k2 = GPy.kern.Coregionalize(output_dim=5, rank=5)
k = k1**k2
m = GPy.models.SparseGPRegression(t, Y, kernel=k, Z=Z, normalize_Y=True)
m.constrain_fixed('.*variance', 1.)
m.inducing_inputs.constrain_fixed()
m.Gaussian_noise.variance.constrain_bounded(1e-3, 1e-1)
m.optimize(max_iters=max_iters,messages=True)
return m
def multiple_optima(gene_number=937, resolution=80, model_restarts=10, seed=10000, max_iters=300, optimize=True, plot=True):
"""
Show an example of a multimodal error surface for Gaussian process
regression. Gene 939 has bimodal behaviour where the noisy mode is
higher.
"""
# Contour over a range of length scales and signal/noise ratios.
length_scales = np.linspace(0.1, 60., resolution)
log_SNRs = np.linspace(-3., 4., resolution)
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.della_gatta_TRP63_gene_expression(data_set='della_gatta',gene_number=gene_number)
# data['Y'] = data['Y'][0::2, :]
# data['X'] = data['X'][0::2, :]
data['Y'] = data['Y'] - np.mean(data['Y'])
lls = GPy.examples.regression._contour_data(data, length_scales, log_SNRs, GPy.kern.RBF)
if plot:
pb.contour(length_scales, log_SNRs, np.exp(lls), 20, cmap=pb.cm.jet)
ax = pb.gca()
pb.xlabel('length scale')
pb.ylabel('log_10 SNR')
xlim = ax.get_xlim()
ylim = ax.get_ylim()
# Now run a few optimizations
models = []
optim_point_x = np.empty(2)
optim_point_y = np.empty(2)
np.random.seed(seed=seed)
for i in range(0, model_restarts):
# kern = GPy.kern.RBF(1, variance=np.random.exponential(1.), lengthscale=np.random.exponential(50.))
kern = GPy.kern.RBF(1, variance=np.random.uniform(1e-3, 1), lengthscale=np.random.uniform(5, 50))
m = GPy.models.GPRegression(data['X'], data['Y'], kernel=kern)
m.likelihood.variance = np.random.uniform(1e-3, 1)
optim_point_x[0] = m.rbf.lengthscale
optim_point_y[0] = np.log10(m.rbf.variance) - np.log10(m.likelihood.variance);
# optimize
if optimize:
m.optimize('scg', xtol=1e-6, ftol=1e-6, max_iters=max_iters)
optim_point_x[1] = m.rbf.lengthscale
optim_point_y[1] = np.log10(m.rbf.variance) - np.log10(m.likelihood.variance);
if plot:
pb.arrow(optim_point_x[0], optim_point_y[0], optim_point_x[1] - optim_point_x[0], optim_point_y[1] - optim_point_y[0], label=str(i), head_length=1, head_width=0.5, fc='k', ec='k')
models.append(m)
if plot:
ax.set_xlim(xlim)
ax.set_ylim(ylim)
return m # (models, lls)
def _contour_data(data, length_scales, log_SNRs, kernel_call=GPy.kern.RBF):
"""
Evaluate the GP objective function for a given data set for a range of
signal to noise ratios and a range of lengthscales.
:data_set: A data set from the utils.datasets director.
:length_scales: a list of length scales to explore for the contour plot.
:log_SNRs: a list of base 10 logarithm signal to noise ratios to explore for the contour plot.
:kernel: a kernel to use for the 'signal' portion of the data.
"""
lls = []
total_var = np.var(data['Y'])
kernel = kernel_call(1, variance=1., lengthscale=1.)
model = GPy.models.GPRegression(data['X'], data['Y'], kernel=kernel)
for log_SNR in log_SNRs:
SNR = 10.**log_SNR
noise_var = total_var / (1. + SNR)
signal_var = total_var - noise_var
model.kern['.*variance'] = signal_var
model.likelihood.variance = noise_var
length_scale_lls = []
for length_scale in length_scales:
model['.*lengthscale'] = length_scale
length_scale_lls.append(model.log_likelihood())
lls.append(length_scale_lls)
return np.array(lls)
def olympic_100m_men(optimize=True, plot=True):
"""Run a standard Gaussian process regression on the Rogers and Girolami olympics data."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.olympic_100m_men()
# create simple GP Model
m = GPy.models.GPRegression(data['X'], data['Y'])
# set the lengthscale to be something sensible (defaults to 1)
m.rbf.lengthscale = 10
if optimize:
m.optimize('bfgs', max_iters=200)
if plot:
m.plot(plot_limits=(1850, 2050))
return m
def toy_rbf_1d(optimize=True, plot=True):
"""Run a simple demonstration of a standard Gaussian process fitting it to data sampled from an RBF covariance."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.toy_rbf_1d()
# create simple GP Model
m = GPy.models.GPRegression(data['X'], data['Y'])
if optimize:
m.optimize('bfgs')
if plot:
m.plot()
return m
def toy_rbf_1d_50(optimize=True, plot=True):
"""Run a simple demonstration of a standard Gaussian process fitting it to data sampled from an RBF covariance."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.toy_rbf_1d_50()
# create simple GP Model
m = GPy.models.GPRegression(data['X'], data['Y'])
if optimize:
m.optimize('bfgs')
if plot:
m.plot()
return m
def toy_poisson_rbf_1d_laplace(optimize=True, plot=True):
"""Run a simple demonstration of a standard Gaussian process fitting it to data sampled from an RBF covariance."""
optimizer='scg'
x_len = 100
X = np.linspace(0, 10, x_len)[:, None]
f_true = np.random.multivariate_normal(np.zeros(x_len), GPy.kern.RBF(1).K(X))
Y = np.array([np.random.poisson(np.exp(f)) for f in f_true])[:,None]
kern = GPy.kern.RBF(1)
poisson_lik = GPy.likelihoods.Poisson()
laplace_inf = GPy.inference.latent_function_inference.Laplace()
# create simple GP Model
m = GPy.core.GP(X, Y, kernel=kern, likelihood=poisson_lik, inference_method=laplace_inf)
if optimize:
m.optimize(optimizer)
if plot:
m.plot()
# plot the real underlying rate function
pb.plot(X, np.exp(f_true), '--k', linewidth=2)
return m
def toy_ARD(max_iters=1000, kernel_type='linear', num_samples=300, D=4, optimize=True, plot=True):
# Create an artificial dataset where the values in the targets (Y)
# only depend in dimensions 1 and 3 of the inputs (X). Run ARD to
# see if this dependency can be recovered
X1 = np.sin(np.sort(np.random.rand(num_samples, 1) * 10, 0))
X2 = np.cos(np.sort(np.random.rand(num_samples, 1) * 10, 0))
X3 = np.exp(np.sort(np.random.rand(num_samples, 1), 0))
X4 = np.log(np.sort(np.random.rand(num_samples, 1), 0))
X = np.hstack((X1, X2, X3, X4))
Y1 = np.asarray(2 * X[:, 0] + 3).reshape(-1, 1)
Y2 = np.asarray(4 * (X[:, 2] - 1.5 * X[:, 0])).reshape(-1, 1)
Y = np.hstack((Y1, Y2))
Y = np.dot(Y, np.random.rand(2, D));
Y = Y + 0.2 * np.random.randn(Y.shape[0], Y.shape[1])
Y -= Y.mean()
Y /= Y.std()
if kernel_type == 'linear':
kernel = GPy.kern.Linear(X.shape[1], ARD=1)
elif kernel_type == 'rbf_inv':
kernel = GPy.kern.RBF_inv(X.shape[1], ARD=1)
else:
kernel = GPy.kern.RBF(X.shape[1], ARD=1)
kernel += GPy.kern.White(X.shape[1]) + GPy.kern.Bias(X.shape[1])
m = GPy.models.GPRegression(X, Y, kernel)
# len_prior = GPy.priors.inverse_gamma(1,18) # 1, 25
# m.set_prior('.*lengthscale',len_prior)
if optimize:
m.optimize(optimizer='scg', max_iters=max_iters)
if plot:
m.kern.plot_ARD()
return m
def toy_ARD_sparse(max_iters=1000, kernel_type='linear', num_samples=300, D=4, optimize=True, plot=True):
# Create an artificial dataset where the values in the targets (Y)
# only depend in dimensions 1 and 3 of the inputs (X). Run ARD to
# see if this dependency can be recovered
X1 = np.sin(np.sort(np.random.rand(num_samples, 1) * 10, 0))
X2 = np.cos(np.sort(np.random.rand(num_samples, 1) * 10, 0))
X3 = np.exp(np.sort(np.random.rand(num_samples, 1), 0))
X4 = np.log(np.sort(np.random.rand(num_samples, 1), 0))
X = np.hstack((X1, X2, X3, X4))
Y1 = np.asarray(2 * X[:, 0] + 3)[:, None]
Y2 = np.asarray(4 * (X[:, 2] - 1.5 * X[:, 0]))[:, None]
Y = np.hstack((Y1, Y2))
Y = np.dot(Y, np.random.rand(2, D));
Y = Y + 0.2 * np.random.randn(Y.shape[0], Y.shape[1])
Y -= Y.mean()
Y /= Y.std()
if kernel_type == 'linear':
kernel = GPy.kern.Linear(X.shape[1], ARD=1)
elif kernel_type == 'rbf_inv':
kernel = GPy.kern.RBF_inv(X.shape[1], ARD=1)
else:
kernel = GPy.kern.RBF(X.shape[1], ARD=1)
#kernel += GPy.kern.Bias(X.shape[1])
X_variance = np.ones(X.shape) * 0.5
m = GPy.models.SparseGPRegression(X, Y, kernel, X_variance=X_variance)
# len_prior = GPy.priors.inverse_gamma(1,18) # 1, 25
# m.set_prior('.*lengthscale',len_prior)
if optimize:
m.optimize(optimizer='scg', max_iters=max_iters)
if plot:
m.kern.plot_ARD()
return m
def robot_wireless(max_iters=100, kernel=None, optimize=True, plot=True):
"""Predict the location of a robot given wirelss signal strength readings."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.robot_wireless()
# create simple GP Model
m = GPy.models.GPRegression(data['Y'], data['X'], kernel=kernel)
# optimize
if optimize:
m.optimize(max_iters=max_iters)
Xpredict = m.predict(data['Ytest'])[0]
if plot:
pb.plot(data['Xtest'][:, 0], data['Xtest'][:, 1], 'r-')
pb.plot(Xpredict[:, 0], Xpredict[:, 1], 'b-')
pb.axis('equal')
pb.title('WiFi Localization with Gaussian Processes')
pb.legend(('True Location', 'Predicted Location'))
sse = ((data['Xtest'] - Xpredict)**2).sum()
print(('Sum of squares error on test data: ' + str(sse)))
return m
def silhouette(max_iters=100, optimize=True, plot=True):
"""Predict the pose of a figure given a silhouette. This is a task from Agarwal and Triggs 2004 ICML paper."""
try:import pods
except ImportError:
print('pods unavailable, see https://github.com/sods/ods for example datasets')
return
data = pods.datasets.silhouette()
# create simple GP Model
m = GPy.models.GPRegression(data['X'], data['Y'])
# optimize
if optimize:
m.optimize(messages=True, max_iters=max_iters)
print(m)
return m
def sparse_GP_regression_1D(num_samples=400, num_inducing=5, max_iters=100, optimize=True, plot=True, checkgrad=False):
"""Run a 1D example of a sparse GP regression."""
# sample inputs and outputs
X = np.random.uniform(-3., 3., (num_samples, 1))
Y = np.sin(X) + np.random.randn(num_samples, 1) * 0.05
# construct kernel
rbf = GPy.kern.RBF(1)
# create simple GP Model
m = GPy.models.SparseGPRegression(X, Y, kernel=rbf, num_inducing=num_inducing)
if checkgrad:
m.checkgrad()
if optimize:
m.optimize('tnc', max_iters=max_iters)
if plot:
m.plot()
return m
def sparse_GP_regression_2D(num_samples=400, num_inducing=50, max_iters=100, optimize=True, plot=True, nan=False):
"""Run a 2D example of a sparse GP regression."""
np.random.seed(1234)
X = np.random.uniform(-3., 3., (num_samples, 2))
Y = np.sin(X[:, 0:1]) * np.sin(X[:, 1:2]) + np.random.randn(num_samples, 1) * 0.05
if nan:
inan = np.random.binomial(1,.2,size=Y.shape)
Y[inan] = np.nan
# construct kernel
rbf = GPy.kern.RBF(2)
# create simple GP Model
m = GPy.models.SparseGPRegression(X, Y, kernel=rbf, num_inducing=num_inducing)
# contrain all parameters to be positive (but not inducing inputs)
m['.*len'] = 2.
m.checkgrad()
# optimize
if optimize:
m.optimize('tnc', messages=1, max_iters=max_iters)
# plot
if plot:
m.plot()
print(m)
return m
def uncertain_inputs_sparse_regression(max_iters=200, optimize=True, plot=True):
"""Run a 1D example of a sparse GP regression with uncertain inputs."""
fig, axes = pb.subplots(1, 2, figsize=(12, 5), sharex=True, sharey=True)
# sample inputs and outputs
S = np.ones((20, 1))
X = np.random.uniform(-3., 3., (20, 1))
Y = np.sin(X) + np.random.randn(20, 1) * 0.05
# likelihood = GPy.likelihoods.Gaussian(Y)
Z = np.random.uniform(-3., 3., (7, 1))
k = GPy.kern.RBF(1)
# create simple GP Model - no input uncertainty on this one
m = GPy.models.SparseGPRegression(X, Y, kernel=k, Z=Z)
if optimize:
m.optimize('scg', messages=1, max_iters=max_iters)
if plot:
m.plot(ax=axes[0])
axes[0].set_title('no input uncertainty')
print(m)
# the same Model with uncertainty
m = GPy.models.SparseGPRegression(X, Y, kernel=GPy.kern.RBF(1), Z=Z, X_variance=S)
if optimize:
m.optimize('scg', messages=1, max_iters=max_iters)
if plot:
m.plot(ax=axes[1])
axes[1].set_title('with input uncertainty')
fig.canvas.draw()
print(m)
return m
def simple_mean_function(max_iters=100, optimize=True, plot=True):
"""
The simplest possible mean function. No parameters, just a simple Sinusoid.
"""
#create simple mean function
mf = GPy.core.Mapping(1,1)
mf.f = np.sin
mf.update_gradients = lambda a,b: None
X = np.linspace(0,10,50).reshape(-1,1)
Y = np.sin(X) + 0.5*np.cos(3*X) + 0.1*np.random.randn(*X.shape)
k =GPy.kern.RBF(1)
lik = GPy.likelihoods.Gaussian()
m = GPy.core.GP(X, Y, kernel=k, likelihood=lik, mean_function=mf)
if optimize:
m.optimize(max_iters=max_iters)
if plot:
m.plot(plot_limits=(-10,15))
return m
def parametric_mean_function(max_iters=100, optimize=True, plot=True):
"""
A linear mean function with parameters that we'll learn alongside the kernel
"""
#create simple mean function
mf = GPy.core.Mapping(1,1)
mf.f = np.sin
X = np.linspace(0,10,50).reshape(-1,1)
Y = np.sin(X) + 0.5*np.cos(3*X) + 0.1*np.random.randn(*X.shape) + 3*X
mf = GPy.mappings.Linear(1,1)
k =GPy.kern.RBF(1)
lik = GPy.likelihoods.Gaussian()
m = GPy.core.GP(X, Y, kernel=k, likelihood=lik, mean_function=mf)
if optimize:
m.optimize(max_iters=max_iters)
if plot:
m.plot()
return m
def warped_gp_cubic_sine(max_iters=100):
"""
A test replicating the cubic sine regression problem from
Snelson's paper.
"""
X = (2 * np.pi) * np.random.random(151) - np.pi
Y = np.sin(X) + np.random.normal(0,0.2,151)
Y = np.array([np.power(abs(y),float(1)/3) * (1,-1)[y<0] for y in Y])
X = X[:, None]
Y = Y[:, None]
warp_k = GPy.kern.RBF(1)
warp_f = GPy.util.warping_functions.TanhFunction(n_terms=2)
warp_m = GPy.models.WarpedGP(X, Y, kernel=warp_k, warping_function=warp_f)
warp_m['.*\.d'].constrain_fixed(1.0)
m = GPy.models.GPRegression(X, Y)
m.optimize_restarts(parallel=False, robust=True, num_restarts=5, max_iters=max_iters)
warp_m.optimize_restarts(parallel=False, robust=True, num_restarts=5, max_iters=max_iters)
#m.optimize(max_iters=max_iters)
#warp_m.optimize(max_iters=max_iters)
print(warp_m)
print(warp_m['.*warp.*'])
warp_m.predict_in_warped_space = False
warp_m.plot(title="Warped GP - Latent space")
warp_m.predict_in_warped_space = True
warp_m.plot(title="Warped GP - Warped space")
m.plot(title="Standard GP")
warp_m.plot_warping()
pb.show()
return warp_m
def multioutput_gp_with_derivative_observations():
def plot_gp_vs_real(m, x, yreal, size_inputs, title, fixed_input=1, xlim=[0,11], ylim=[-1.5,3]):
fig, ax = pb.subplots()
ax.set_title(title)
pb.plot(x, yreal, "r", label='Real function')
rows = slice(0, size_inputs[0]) if fixed_input == 0 else slice(size_inputs[0], size_inputs[0]+size_inputs[1])
m.plot(fixed_inputs=[(1, fixed_input)], which_data_rows=rows, xlim=xlim, ylim=ylim, ax=ax)
f = lambda x: np.sin(x)+0.1*(x-2.)**2-0.005*x**3
fd = lambda x: np.cos(x)+0.2*(x-2.)-0.015*x**2
N=10 # Number of observations
M=10 # Number of derivative observations
Npred=100 # Number of prediction points
sigma = 0.05 # Noise of observations
sigma_der = 0.05 # Noise of derivative observations
x = np.array([np.linspace(1,10,N)]).T
y = f(x) + np.array(sigma*np.random.normal(0,1,(N,1)))
xd = np.array([np.linspace(2,8,M)]).T
yd = fd(xd) + np.array(sigma_der*np.random.normal(0,1,(M,1)))
xpred = np.array([np.linspace(0,11,Npred)]).T
ypred_true = f(xpred)
ydpred_true = fd(xpred)
# squared exponential kernel:
se = GPy.kern.RBF(input_dim = 1, lengthscale=1.5, variance=0.2)
# We need to generate separate kernel for the derivative observations and give the created kernel as an input:
se_der = GPy.kern.DiffKern(se, 0)
#Then
gauss = GPy.likelihoods.Gaussian(variance=sigma**2)
gauss_der = GPy.likelihoods.Gaussian(variance=sigma_der**2)
# Then create the model, we give everything in lists, the order of the inputs indicates the order of the outputs
# Now we have the regular observations first and derivative observations second, meaning that the kernels and
# the likelihoods must follow the same order. Crosscovariances are automatically taken car of
m = GPy.models.MultioutputGP(X_list=[x, xd], Y_list=[y, yd], kernel_list=[se, se_der], likelihood_list = [gauss, gauss])
# Optimize the model
m.optimize(messages=0, ipython_notebook=False)
#Plot the model, the syntax is same as for multioutput models:
plot_gp_vs_real(m, xpred, ydpred_true, [x.shape[0], xd.shape[0]], title='Latent function derivatives', fixed_input=1, xlim=[0,11], ylim=[-1.5,3])
plot_gp_vs_real(m, xpred, ypred_true, [x.shape[0], xd.shape[0]], title='Latent function', fixed_input=0, xlim=[0,11], ylim=[-1.5,3])
#making predictions for the values:
mu, var = m.predict_noiseless(Xnew=[xpred, np.empty((0,1))])
return m
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