import torch import gpytorch from gpytorch.kernels import MaternKernel, ScaleKernel from gpytorch.priors import GammaPrior from gpytorch.constraints import GreaterThan import numpy as np tkwargs = { "dtype": torch.double, "device": torch.device("cpu"), } def build_and_optimize_model(train_x, train_y): """ Builds surrogate model and optimizes it.""" gp_options = { 'ls_prior1': 2.0, 'ls_prior2': 0.2, 'ls_prior3': 5.0, 'out_prior1': 5.0, 'out_prior2': 0.5, 'out_prior3': 8.0, 'noise_prior1': 1.5, 'noise_prior2': 0.1, 'noise_prior3': 5.0, 'noise_constraint': 1e-5, } n_features = np.shape(train_x)[1] class ExactGPModel(gpytorch.models.ExactGP): def __init__(self, train_x, train_y, likelihood): super(ExactGPModel, self).__init__(train_x, train_y, likelihood) self.mean_module = gpytorch.means.ConstantMean() kernels = MaternKernel( ard_num_dims=n_features, lengthscale_prior=GammaPrior(gp_options['ls_prior1'], gp_options['ls_prior2']) ) self.covar_module = ScaleKernel( kernels, outputscale_prior=GammaPrior(gp_options['out_prior1'], gp_options['out_prior2'])) try: ls_init = gp_options['ls_prior3'] self.covar_module.base_kernel.lengthscale = ls_init except: uniform = gp_options['ls_prior3'] ls_init = torch.ones(n_features).to(**tkwargs) * uniform self.covar_module.base_kernel.lengthscale = ls_init def forward(self, x): mean_x = self.mean_module(x) covar_x = self.covar_module(x) return gpytorch.distributions.MultivariateNormal(mean_x, covar_x) # initialize likelihood and model likelihood = gpytorch.likelihoods.GaussianLikelihood( GammaPrior(gp_options['noise_prior1'], gp_options['noise_prior2']) ) likelihood.noise = gp_options['noise_prior3'] model = ExactGPModel(train_x, train_y, likelihood).to(**tkwargs) model.likelihood.noise_covar.register_constraint( "raw_noise", GreaterThan(gp_options['noise_constraint']) ) model.train() likelihood.train() optimizer = torch.optim.Adam([ {'params': model.parameters()}, ], lr=0.1) # "Loss" for GPs - the marginal log likelihood mll = gpytorch.mlls.ExactMarginalLogLikelihood(likelihood, model) training_iter = 1000 for i in range(training_iter): # Zero gradients from previous iteration optimizer.zero_grad() # Output from model output = model(train_x) # Calc loss and backprop gradients loss = -mll(output, train_y.squeeze(-1).to(**tkwargs)) loss.backward() optimizer.step() model.eval() likelihood.eval() return model, likelihood # Optimized model def get_covar_matrix(train_x): """ Section of the build_and_optimize_model function above to just get the covariance matrix of the prior (needed for the Vendi score). ------------------------------------------------------------------------------------------------------ train_x: tensor tensor of data points for which the covariance matrix is calculated. """ gp_options = { 'ls_prior1': 2.0, 'ls_prior2': 0.2, 'ls_prior3': 5.0, 'out_prior1': 5.0, 'out_prior2': 0.5, 'out_prior3': 8.0, 'noise_prior1': 1.5, 'noise_prior2': 0.1, 'noise_prior3': 5.0, 'noise_constraint': 1e-5, } n_features = np.shape(train_x)[1] kernels = MaternKernel( ard_num_dims=n_features, lengthscale_prior=GammaPrior(gp_options['ls_prior1'], gp_options['ls_prior2']) ) covar_module = ScaleKernel( kernels, outputscale_prior=GammaPrior(gp_options['out_prior1'], gp_options['out_prior2'])) try: ls_init = gp_options['ls_prior3'] covar_module.base_kernel.lengthscale = ls_init except: uniform = gp_options['ls_prior3'] ls_init = torch.ones(n_features).to(**tkwargs) * uniform covar_module.base_kernel.lengthscale = ls_init covar_matrix = covar_module(train_x) return covar_matrix