GPy/GPy/util/multioutput.py

import numpy as np
import warnings
import GPy


def index_to_slices(index):
    """
    take a numpy array of integers (index) and return a  nested list of slices such that the slices describe the start, stop points for each integer in the index.

    e.g.
    >>> index = np.asarray([0,0,0,1,1,1,2,2,2])
    returns
    >>> [[slice(0,3,None)],[slice(3,6,None)],[slice(6,9,None)]]

    or, a more complicated example
    >>> index = np.asarray([0,0,1,1,0,2,2,2,1,1])
    returns
    >>> [[slice(0,2,None),slice(4,5,None)],[slice(2,4,None),slice(8,10,None)],[slice(5,8,None)]]
    """
    if len(index) == 0:
        return []

    # contruct the return structure
    ind = np.asarray(index, dtype=int)
    ret = [[] for i in range(ind.max() + 1)]

    # find the switchpoints
    ind_ = np.hstack((ind, ind[0] + ind[-1] + 1))
    switchpoints = np.nonzero(ind_ - np.roll(ind_, +1))[0]

    [
        ret[ind_i].append(slice(*indexes_i))
        for ind_i, indexes_i in zip(
            ind[switchpoints[:-1]], zip(switchpoints, switchpoints[1:])
        )
    ]
    return ret


def get_slices(input_list):
    num_outputs = len(input_list)
    _s = [0] + [_x.shape[0] for _x in input_list]
    _s = np.cumsum(_s)
    slices = [slice(a, b) for a, b in zip(_s[:-1], _s[1:])]
    return slices


def build_XY(input_list, output_list=None, index=None):
    num_outputs = len(input_list)
    if output_list is not None:
        assert num_outputs == len(output_list)
        Y = np.vstack(output_list)
    else:
        Y = None

    if index is not None:
        assert len(index) == num_outputs
        I = np.hstack([np.repeat(j, _x.shape[0]) for _x, j in zip(input_list, index)])
    else:
        I = np.hstack(
            [np.repeat(j, _x.shape[0]) for _x, j in zip(input_list, range(num_outputs))]
        )

    X = np.vstack(input_list)
    X = np.hstack([X, I[:, None]])

    return X, Y, I[:, None]  # slices


def build_likelihood(Y_list, noise_index, likelihoods_list=None):
    Ny = len(Y_list)
    if likelihoods_list is None:
        likelihoods_list = [
            GPy.likelihoods.Gaussian(name="Gaussian_noise_%s" % j)
            for y, j in zip(Y_list, range(Ny))
        ]
    else:
        assert len(likelihoods_list) == Ny
    # likelihood = GPy.likelihoods.mixed_noise.MixedNoise(likelihoods_list=likelihoods_list, noise_index=noise_index)
    likelihood = GPy.likelihoods.mixed_noise.MixedNoise(
        likelihoods_list=likelihoods_list
    )
    return likelihood


def ICM(input_dim, num_outputs, kernel, W_rank=1, W=None, kappa=None, name="ICM"):
    """
    Builds a kernel for an Intrinsic Coregionalization Model

    :input_dim: Input dimensionality (does not include dimension of indices)
    :num_outputs: Number of outputs
    :param kernel: kernel that will be multiplied by the coregionalize kernel (matrix B).
    :type kernel: a GPy kernel
    :param W_rank: number tuples of the corregionalization parameters 'W'
    :type W_rank: integer
    """
    if kernel.input_dim != input_dim:
        kernel.input_dim = input_dim
        warnings.warn(
            "kernel's input dimension overwritten to fit input_dim parameter."
        )

    K = kernel.prod(
        GPy.kern.Coregionalize(
            1,
            num_outputs,
            active_dims=[input_dim],
            rank=W_rank,
            W=W,
            kappa=kappa,
            name="B",
        ),
        name=name,
    )
    return K


def LCM(input_dim, num_outputs, kernels_list, W_rank=1, name="ICM"):
    """
    Builds a kernel for an Linear Coregionalization Model

    :input_dim: Input dimensionality (does not include dimension of indices)
    :num_outputs: Number of outputs
    :param kernel: kernel that will be multiplied by the coregionalize kernel (matrix B).
    :type kernel: a GPy kernel
    :param W_rank: number tuples of the corregionalization parameters 'W'
    :type W_rank: integer
    """
    Nk = len(kernels_list)
    K = ICM(input_dim, num_outputs, kernels_list[0], W_rank, name="%s%s" % (name, 0))
    j = 1
    for kernel in kernels_list[1:]:
        K += ICM(input_dim, num_outputs, kernel, W_rank, name="%s%s" % (name, j))
        j += 1
    return K


def Private(input_dim, num_outputs, kernel, output, kappa=None, name="X"):
    """
    Builds a kernel for an Intrinsic Coregionalization Model

    :input_dim: Input dimensionality
    :num_outputs: Number of outputs
    :param kernel: kernel that will be multiplied by the coregionalize kernel (matrix B).
    :type kernel: a GPy kernel
    :param W_rank: number tuples of the corregionalization parameters 'W'
    :type W_rank: integer
    """
    K = ICM(input_dim, num_outputs, kernel, W_rank=1, kappa=kappa, name=name)
    K.B.W.fix(0)
    _range = range(num_outputs)
    _range.pop(output)
    for j in _range:
        K.B.kappa[j] = 0
        K.B.kappa[j].fix()
    return K