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gp_model = ExactGPModel(train_x, train_y, likelihood)
mll = gpytorch.ExactMarginalLogLikelihood(likelihood, gp_model)
gp_model.rbf_covar_module.initialize(lengthscale=exp(1))
gp_model.mean_module.initialize(constant=0)
if cuda:
gp_model.cuda()
likelihood.cuda()
# Find optimal model hyperparameters
gp_model.train()
likelihood.train()
optimizer = optim.Adam(list(gp_model.parameters()) + list(likelihood.parameters()), lr=0.1)
optimizer.n_iter = 0
with gpytorch.settings.debug(False):
for _ in range(75):
optimizer.zero_grad()
output = gp_model(train_x)
loss = -mll(output, train_y)
loss.backward()
optimizer.n_iter += 1
optimizer.step()
for param in gp_model.parameters():
self.assertTrue(param.grad is not None)
self.assertGreater(param.grad.norm().item(), 0)
for param in likelihood.parameters():
self.assertTrue(param.grad is not None)
self.assertGreater(param.grad.norm().item(), 0)
optimizer.step()
train_x, train_y, test_x, test_y = make_data(grid, cuda=cuda)
likelihood = gpytorch.likelihoods.GaussianLikelihood()
gp_model = GridGPRegressionModel(grid, train_x, train_y, likelihood)
mll = gpytorch.mlls.ExactMarginalLogLikelihood(likelihood, gp_model)
if cuda:
gp_model.cuda()
likelihood.cuda()
# Optimize the model
gp_model.train()
likelihood.train()
optimizer = optim.Adam(list(gp_model.parameters()) + list(likelihood.parameters()), lr=0.1)
optimizer.n_iter = 0
with gpytorch.settings.debug(True):
for _ in range(20):
optimizer.zero_grad()
output = gp_model(train_x)
loss = -mll(output, train_y)
loss.backward()
optimizer.n_iter += 1
optimizer.step()
for name, param in gp_model.named_parameters():
self.assertTrue(param.grad is not None)
self.assertGreater(param.grad.norm().item(), 0)
for param in likelihood.parameters():
self.assertTrue(param.grad is not None)
self.assertGreater(param.grad.norm().item(), 0)
# Test the model
def test_posterior_latent_gp_and_likelihood_without_optimization(self, cuda=False):
train_x, test_x, train_y, test_y = self._get_data(cuda=cuda)
with gpytorch.settings.debug(False):
# We're manually going to set the hyperparameters to be ridiculous
likelihood = FixedNoiseGaussianLikelihood(torch.ones(11) * 1e-8)
gp_model = ExactGPModel(train_x, train_y, likelihood)
# Update lengthscale prior to accommodate extreme parameters
gp_model.rbf_covar_module.initialize(lengthscale=exp(-6))
gp_model.mean_module.initialize(constant=0)
if cuda:
gp_model.cuda()
likelihood.cuda()
# Compute posterior distribution
gp_model.eval()
likelihood.eval()
# Let's see how our model does, conditioned with weird hyperparams
likelihood = GaussianLikelihood()
gp_model = ExactGPModel(train_x, train_y, likelihood)
gp_model.covar_module.base_kernel.initialize(lengthscale=exp(-15))
likelihood.initialize(noise=exp(-15))
if cuda:
gp_model.cuda()
likelihood.cuda()
# Compute posterior distribution
gp_model.eval()
likelihood.eval()
# Let's see how our model does, conditioned with weird hyperparams
# The posterior should fit all the data
with gpytorch.settings.debug(False):
function_predictions = likelihood(gp_model(train_x))
self.assertAllClose(function_predictions.mean, train_y)
self.assertAllClose(function_predictions.variance, torch.zeros_like(function_predictions.variance))
# It shouldn't fit much else though
test_function_predictions = gp_model(torch.tensor([1.1]).type_as(test_x))
self.assertAllClose(test_function_predictions.mean, torch.zeros_like(test_function_predictions.mean))
self.assertAllClose(
test_function_predictions.variance,
gp_model.covar_module.outputscale.expand_as(test_function_predictions.variance)
)
gp_model = ExactGPModel(train_x, train_y, likelihood)
mll = gpytorch.ExactMarginalLogLikelihood(likelihood, gp_model)
gp_model.covar_module.base_kernel.initialize(lengthscale=exp(1))
gp_model.mean_module.initialize(constant=0)
if cuda:
gp_model.cuda()
likelihood.cuda()
# Find optimal model hyperparameters
gp_model.train()
likelihood.train()
optimizer = optim.Adam(list(gp_model.parameters()) + list(likelihood.parameters()), lr=0.15)
for _ in range(50):
optimizer.zero_grad()
with gpytorch.settings.debug(False):
output = gp_model(train_x)
loss = -mll(output, train_y)
loss.backward()
optimizer.step()
for param in gp_model.parameters():
self.assertTrue(param.grad is not None)
self.assertGreater(param.grad.norm().item(), 0)
optimizer.step()
train_x.requires_grad = True
gp_model.set_train_data(train_x, train_y)
with gpytorch.settings.fast_pred_var(), gpytorch.settings.detach_test_caches(False):
# Test the model
gp_model.eval()
likelihood.eval()
def __getitem__(self, index):
"""
Supports subindexing of the matrix this LazyTensor represents. This may return either another
:obj:`gpytorch.lazy.LazyTensor` or a :obj:`torch.tensor` depending on the exact implementation.
"""
ndimension = self.ndimension()
# Process the index
index = index if isinstance(index, tuple) else (index,)
index = tuple(torch.tensor(idx) if isinstance(idx, list) else idx for idx in index)
index = tuple(idx.item() if torch.is_tensor(idx) and not len(idx.shape) else idx for idx in index)
# Handle the ellipsis
# Find the index of the ellipsis
ellipsis_locs = tuple(index for index, item in enumerate(index) if item is Ellipsis)
if settings.debug.on():
if len(ellipsis_locs) > 1:
raise RuntimeError(
"Cannot have multiple ellipsis in a __getitem__ call. LazyTensor {} "
" received index {}.".format(self, index)
)
if len(ellipsis_locs) == 1:
ellipsis_loc = ellipsis_locs[0]
num_to_fill_in = ndimension - (len(index) - 1)
index = index[:ellipsis_loc] + tuple(_noop_index for _ in range(num_to_fill_in)) + index[ellipsis_loc + 1 :]
# Pad the index with empty indices
index = index + tuple(_noop_index for _ in range(ndimension - len(index)))
# Make the index a tuple again
*batch_indices, row_index, col_index = index
def gpt_posterior_settings():
r"""Context manager for settings used for computing model posteriors."""
with ExitStack() as es:
es.enter_context(gpt_settings.debug(False))
es.enter_context(gpt_settings.fast_pred_var())
es.enter_context(
gpt_settings.detach_test_caches(settings.propagate_grads.off())
)
yield
def _get_indices(self, left_indices, right_indices, *batch_indices):
if self.num_blocks is None:
if settings.debug.on():
assert len(batch_indices) == 0
block_size = self.base_lazy_tensor.size(-1)
left_batch_indices = left_indices.div(block_size).long()
right_batch_indices = right_indices.div(block_size).long()
left_indices = left_indices.fmod(block_size)
right_indices = right_indices.fmod(block_size)
res = self.base_lazy_tensor._get_indices(left_indices, right_indices, left_batch_indices)
res = res * torch.eq(left_batch_indices, right_batch_indices).type_as(res)
return res
else:
if settings.debug.on():
assert len(batch_indices) == 1
batch_indices = batch_indices[0]
block_size = self.base_lazy_tensor.size(-1)
left_batch_indices = left_indices.div(block_size).long()
def forward(
self,
*params: Any,
batch_shape: Optional[torch.Size] = None,
shape: Optional[torch.Size] = None,
noise: Optional[Tensor] = None,
) -> DiagLazyTensor:
if noise is not None:
return DiagLazyTensor(noise)
training = self.noise_model.training # keep track of mode
self.noise_model.eval() # we want the posterior prediction of the noise model
with settings.detach_test_caches(False), settings.debug(False):
if len(params) == 1 and not torch.is_tensor(params[0]):
output = self.noise_model(*params[0])
else:
output = self.noise_model(*params)
self.noise_model.train(training)
if not isinstance(output, MultivariateNormal):
raise NotImplementedError("Currently only noise models that return a MultivariateNormal are supported")
# note: this also works with MultitaskMultivariateNormal, where this
# will return a batched DiagLazyTensors of size n x num_tasks x num_tasks
noise_diag = output.mean if self._noise_indices is None else output.mean[..., self._noise_indices]
return DiagLazyTensor(self._noise_constraint.transform(noise_diag))