Kernels / Covariance functions

The following are a series of examples covering each available covariance function, and demonstrating allowed operations. The API will be familiar to users of GPy or GPflow, though ours is simplified. All covariance function parameters can be assigned prior distributions or hardcoded. MCMC methods or optimization methods can be used for inference.



In [1]:

    
import matplotlib.pyplot as plt
import matplotlib.cm as cmap
%matplotlib inline

import numpy as np
np.random.seed(206)
import theano
import theano.tensor as tt
import pymc3 as pm



In [2]:

    
X = np.linspace(0,2,200)[:,None]

# function to display covariance matrices
def plot_cov(X, K, stationary=True):
    K = K + 1e-8*np.eye(X.shape[0])
    x = X.flatten()
    fig = plt.figure(figsize=(14,5))
    ax1 = fig.add_subplot(121)
    m = ax1.imshow(K, cmap="inferno", 
                   interpolation='none', 
                   extent=(np.min(X), np.max(X), np.max(X), np.min(X))); 
    plt.colorbar(m);
    ax1.set_title("Covariance Matrix")
    ax1.set_xlabel("X")
    ax1.set_ylabel("X")
    
    ax2 = fig.add_subplot(122)
    if not stationary:
        ax2.plot(x, np.diag(K), "k", lw=2, alpha=0.8)
        ax2.set_title("The Diagonal of K")
        ax2.set_ylabel("k(x,x)")
    else:
        ax2.plot(x, K[:,0], "k", lw=2, alpha=0.8)
        ax2.set_title("K as a function of x - x'")
        ax2.set_ylabel("k(x,x')")
    ax2.set_xlabel("X")

    fig = plt.figure(figsize=(14,4))
    ax = fig.add_subplot(111)
    samples = np.random.multivariate_normal(np.zeros(200), K, 5).T;
    for i in range(samples.shape[1]):
        ax.plot(x, samples[:,i], color=cmap.inferno(i*0.2), lw=2);
    ax.set_title("Samples from GP Prior")
    ax.set_xlabel("X")

Exponentiated Quadratic

The lengthscale $l$, overall scaling $\tau$, and constant bias term $b$ can be scalars or PyMC3 random variables.



In [3]:

    
with pm.Model() as model:
    l = 0.2 
    tau = 2.0
    b = 0.5
    cov = b + tau * pm.gp.cov.ExpQuad(1, l)

K = theano.function([], cov(X))()
plot_cov(X, K)

Two (and higher) Dimensional Inputs

Both dimensions active

It is easy to define kernels with higher dimensional inputs. Notice that the lengthscales parameter is an array of length 2. Lists of PyMC3 random variables can be used for automatic relevance determination (ARD).



In [5]:

    
x1, x2 = np.meshgrid(np.linspace(0,1,10), np.arange(1,4))
X2 = np.concatenate((x1.reshape((30,1)), x2.reshape((30,1))), axis=1)

with pm.Model() as model:
    l = np.array([0.2, 1.0])
    cov = pm.gp.cov.ExpQuad(input_dim=2, lengthscales=l)
K = theano.function([], cov(X2))()
m = plt.imshow(K, cmap="inferno", interpolation='none'); plt.colorbar(m);

One dimension active



In [6]:

    
with pm.Model() as model:
    l = 0.2
    cov = pm.gp.cov.ExpQuad(input_dim=2, lengthscales=l, 
                            active_dims=[True, False])
K = theano.function([], cov(X2))()
m = plt.imshow(K, cmap="inferno", interpolation='none'); plt.colorbar(m);

Product of two covariances, active over each dimension



In [7]:

    
with pm.Model() as model:
    l1 = 0.2
    l2 = 1.0
    cov1 = pm.gp.cov.ExpQuad(2, l1, active_dims=[True, False])
    cov2 = pm.gp.cov.ExpQuad(2, l2, active_dims=[False, True])
    cov = cov1 * cov2
K = theano.function([], cov(X2))()
m = plt.imshow(K, cmap="inferno", interpolation='none'); plt.colorbar(m);

White Noise

In our design, there is no need for a white noise kernel. This case can be handled with Theano. The following is a covariance function that is 5% white noise.



In [8]:

    
with pm.Model() as model:
    l = 0.2
    sigma2 = 0.05
    tau = 0.95
    cov_latent = tau * pm.gp.cov.ExpQuad(1, l)
    cov_noise = sigma2 * tt.eye(200)
    
K = theano.function([], cov_latent(X) + cov_noise)()
plot_cov(X, K)

Rational Quadratic



In [9]:

    
with pm.Model() as model:
    alpha = 0.1
    l = 0.2
    tau = 2.0
    cov = tau * pm.gp.cov.RatQuad(1, l, alpha)

K = theano.function([], cov(X))()

plot_cov(X, K)

Exponential



In [10]:

    
with pm.Model() as model:
    l = 0.2
    tau = 2.0
    cov = tau * pm.gp.cov.Exponential(1, l)

K = theano.function([], cov(X))()

plot_cov(X, K)

Matern 5/2



In [11]:

    
with pm.Model() as model:
    l = 0.2
    tau = 2.0
    cov = tau * pm.gp.cov.Matern52(1, l)

K = theano.function([], cov(X))()

plot_cov(X, K)

Matern 3/2



In [12]:

    
with pm.Model() as model:
    l = 0.2
    tau = 2.0
    cov = tau * pm.gp.cov.Matern32(1, l)

K = theano.function([], cov(X))()

plot_cov(X, K)

Cosine



In [13]:

    
with pm.Model() as model:
    l = 0.2
    tau = 2.0
    cov = tau * pm.gp.cov.Cosine(1, l)

K = theano.function([], cov(X))()

plot_cov(X, K)