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product_kernel.diff
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4321 lines (4160 loc) · 163 KB
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diff --git a/fbcode/pytorch/botorch/botorch/sampling/pathwise/__init__.py b/fbcode/pytorch/botorch/botorch/sampling/pathwise/__init__.py
--- a/fbcode/pytorch/botorch/botorch/sampling/pathwise/__init__.py
+++ b/fbcode/pytorch/botorch/botorch/sampling/pathwise/__init__.py
@@ -6,7 +6,10 @@
from botorch.sampling.pathwise.features import (
- gen_kernel_features,
+ FeatureMap,
+ FeatureMapList,
+ FourierFeatureMap,
+ gen_kernel_feature_map,
KernelEvaluationMap,
KernelFeatureMap,
)
@@ -27,7 +30,10 @@
__all__ = [
"draw_matheron_paths",
"draw_kernel_feature_paths",
- "gen_kernel_features",
+ "FeatureMap",
+ "FeatureMapList",
+ "FourierFeatureMap",
+ "gen_kernel_feature_map",
"gaussian_update",
"GeneralizedLinearPath",
"KernelEvaluationMap",
diff --git a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/__init__.py b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/__init__.py
--- a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/__init__.py
+++ b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/__init__.py
@@ -5,16 +5,20 @@
# LICENSE file in the root directory of this source tree.
-from botorch.sampling.pathwise.features.generators import gen_kernel_features
+from botorch.sampling.pathwise.features.generators import gen_kernel_feature_map
from botorch.sampling.pathwise.features.maps import (
FeatureMap,
+ FeatureMapList,
+ FourierFeatureMap,
KernelEvaluationMap,
KernelFeatureMap,
)
__all__ = [
"FeatureMap",
- "gen_kernel_features",
+ "FeatureMapList",
+ "FourierFeatureMap",
+ "gen_kernel_feature_map",
"KernelEvaluationMap",
"KernelFeatureMap",
]
diff --git a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/generators.py b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/generators.py
--- a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/generators.py
+++ b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/generators.py
@@ -16,106 +16,270 @@
from __future__ import annotations
-from typing import Any, Callable
+from math import pi
+from typing import Any, Callable, Iterable, Optional
import torch
from botorch.exceptions.errors import UnsupportedError
-from botorch.sampling.pathwise.features.maps import KernelFeatureMap
+from botorch.sampling.pathwise.features import maps
from botorch.sampling.pathwise.utils import (
- ChainedTransform,
- FeatureSelector,
- InverseLengthscaleTransform,
- OutputscaleTransform,
- SineCosineTransform,
+ append_transform,
+ get_kernel_num_inputs,
+ is_finite_dimensional,
+ prepend_transform,
+ transforms,
)
from botorch.utils.dispatcher import Dispatcher
from botorch.utils.sampling import draw_sobol_normal_samples
+from botorch.utils.types import DEFAULT
from gpytorch import kernels
-from gpytorch.kernels.kernel import Kernel
from torch import Size, Tensor
from torch.distributions import Gamma
-TKernelFeatureMapGenerator = Callable[[Kernel, int, int], KernelFeatureMap]
-GenKernelFeatures = Dispatcher("gen_kernel_features")
+TKernelFeatureMapGenerator = Callable[[kernels.Kernel, int, int], maps.KernelFeatureMap]
+GenKernelFeatureMap = Dispatcher("gen_kernel_feature_map")
-def gen_kernel_features(
+def gen_kernel_feature_map(
kernel: kernels.Kernel,
- num_inputs: int,
- num_outputs: int,
+ num_random_features: int = 1024,
+ num_ambient_inputs: Optional[int] = None,
**kwargs: Any,
-) -> KernelFeatureMap:
+) -> maps.KernelFeatureMap:
r"""Generates a feature map :math:`\phi: \mathcal{X} \to \mathbb{R}^{n}` such that
:math:`k(x, x') ≈ \phi(x)^{T} \phi(x')`. For stationary kernels :math:`k`, defaults
to the method of random Fourier features. For more details, see [rahimi2007random]_
and [sutherland2015error]_.
Args:
- kernel: The kernel :math:`k` to be represented via a finite-dim basis.
- num_inputs: The number of input features.
- num_outputs: The number of kernel features.
+ kernel: The kernel :math:`k` to be represented via a feature map.
+ num_random_features: The number of random features used to estimate kernels
+ that cannot be exactly represented as finite-dimensional feature maps.
+ num_ambient_inputs: The number of ambient input features. Typically acts as a
+ required argument for kernels with lengthscales whose :code:`active_dims`
+ and :code:`ard_num_dims` attributes are both None.
+ **kwargs: Additional keyword arguments are passed to subroutines.
"""
- return GenKernelFeatures(
+ return GenKernelFeatureMap(
kernel,
- num_inputs=num_inputs,
- num_outputs=num_outputs,
+ num_ambient_inputs=num_ambient_inputs,
+ num_random_features=num_random_features,
**kwargs,
)
[email protected](kernels.ScaleKernel)
+def _gen_kernel_feature_map_scale(
+ kernel: kernels.ScaleKernel,
+ *,
+ num_ambient_inputs: Optional[int] = None,
+ **kwargs: Any,
+) -> maps.KernelFeatureMap:
+
+ active_dims = kernel.active_dims
+ num_scale_kernel_inputs = get_kernel_num_inputs(
+ kernel=kernel,
+ num_ambient_inputs=num_ambient_inputs,
+ default=None,
+ )
+ feature_map = gen_kernel_feature_map(
+ kernel.base_kernel, num_ambient_inputs=num_scale_kernel_inputs, **kwargs
+ )
+
+ # Maybe include a transform that extract relevant input features
+ if active_dims is not None and active_dims is not kernel.base_kernel.active_dims:
+ append_transform(
+ module=feature_map,
+ attr_name="input_transform",
+ transform=transforms.FeatureSelector(indices=active_dims),
+ )
+
+ # Include a transform that multiplies by the square root of the kernel's outputscale
+ prepend_transform(
+ module=feature_map,
+ attr_name="output_transform",
+ transform=transforms.OutputscaleTransform(kernel),
+ )
+ return feature_map
+
+
[email protected](kernels.AdditiveKernel)
+def _gen_kernel_feature_map_additive(
+ kernel: kernels.AdditiveKernel,
+ sub_kernels: Optional[Iterable[kernels.Kernel]] = None,
+ **kwargs: Any,
+) -> maps.DirectSumFeatureMap:
+ feature_maps = [
+ gen_kernel_feature_map(kernel=sub_kernel, **kwargs)
+ for sub_kernel in (kernel.kernels if sub_kernels is None else sub_kernels)
+ ]
+ # Return direct sum `concat([f(x) for f in feature_maps], -1)`
+ # Note: Direct sums only translate to concatenations for vector-valued feature maps
+ return maps.DirectSumFeatureMap(feature_maps=feature_maps)
+
+
[email protected](kernels.ProductKernel)
+def _gen_kernel_feature_map_product(
+ kernel: kernels.ProductKernel,
+ sub_kernels: Optional[Iterable[kernels.Kernel]] = None,
+ cosine_only: Optional[bool] = DEFAULT,
+ num_random_features: Optional[int] = None,
+ **kwargs: Any,
+) -> maps.OuterProductFeatureMap:
+ sub_kernels = kernel.kernels if sub_kernels is None else sub_kernels
+ if cosine_only is DEFAULT:
+ # Note: We need to set `cosine_only=True` here in order to take the element-wise
+ # product of features below. Otherwise, we would need to take the tensor product
+ # of each pair of sine and cosine features.
+ cosine_only = sum(not is_finite_dimensional(k) for k in sub_kernels) > 1
+
+ # Generate feature maps for each sub-kernel
+ sub_maps = []
+ random_maps = []
+ for sub_kernel in sub_kernels:
+ sub_map = gen_kernel_feature_map(
+ kernel=sub_kernel,
+ cosine_only=cosine_only,
+ num_random_features=num_random_features,
+ random_feature_scale=1.0, # we rescale once at the end
+ **kwargs,
+ )
+ if is_finite_dimensional(sub_kernel):
+ sub_maps.append(sub_map)
+ else:
+ random_maps.append(sub_map)
+
+ # Define element-wise product of random feature maps
+ if random_maps:
+ random_map = (
+ next(iter(random_maps))
+ if len(random_maps) == 1
+ else maps.HadamardProductFeatureMap(feature_maps=random_maps)
+ )
+ constant = torch.tensor(
+ num_random_features**-0.5, device=kernel.device, dtype=kernel.dtype
+ )
+ prepend_transform(
+ module=random_map,
+ attr_name="output_transform",
+ transform=transforms.ConstantMulTransform(constant),
+ )
+ sub_maps.append(random_map)
+
+ # Return outer product `einsum("i,j,k->ijk", ...).view(-1)`
+ return maps.OuterProductFeatureMap(feature_maps=sub_maps)
+
+
[email protected](kernels.IndexKernel)
+def _gen_kernel_feature_map_index(
+ kernel: kernels.IndexKernel, **ignore: Any
+) -> maps.IndexKernelFeatureMap:
+ return maps.IndexKernelFeatureMap(kernel=kernel)
+
+
[email protected](kernels.LinearKernel)
+def _gen_kernel_feature_map_linear(
+ kernel: kernels.LinearKernel,
+ *,
+ num_inputs: Optional[int] = None,
+ **ignore: Any,
+) -> maps.LinearKernelFeatureMap:
+ num_features = get_kernel_num_inputs(kernel=kernel, num_ambient_inputs=num_inputs)
+ return maps.LinearKernelFeatureMap(
+ kernel=kernel, raw_output_shape=Size([num_features])
+ )
+
+
[email protected](kernels.MultitaskKernel)
+def _gen_kernel_feature_map_multitask(
+ kernel: kernels.MultitaskKernel, **kwargs: Any
+) -> maps.MultitaskKernelFeatureMap:
+ # Generate a feature map for the data kernel
+ data_feature_map = gen_kernel_feature_map(kernel.data_covar_module, **kwargs)
+ if len(data_feature_map.output_shape) != 1:
+ raise NotImplementedError # TODO: Test what still works and give a hint
+
+ return maps.MultitaskKernelFeatureMap(
+ kernel=kernel, data_feature_map=data_feature_map
+ )
+
+
[email protected](kernels.LCMKernel)
+def _gen_kernel_feature_map_lcm(
+ kernel: kernels.LCMKernel, **kwargs: Any
+) -> maps.DirectSumFeatureMap:
+ return _gen_kernel_feature_map_additive(
+ kernel=kernel, sub_kernels=kernel.covar_module_list, **kwargs
+ )
+
+
def _gen_fourier_features(
kernel: kernels.Kernel,
weight_generator: Callable[[Size], Tensor],
- num_inputs: int,
- num_outputs: int,
-) -> KernelFeatureMap:
+ num_random_features: int,
+ num_inputs: Optional[int] = None,
+ random_feature_scale: Optional[float] = None,
+ cosine_only: bool = False,
+ **ignore: Any,
+) -> maps.FourierFeatureMap:
r"""Generate a feature map :math:`\phi: \mathcal{X} \to \mathbb{R}^{2l}` that
approximates a stationary kernel so that :math:`k(x, x') ≈ \phi(x)^\top \phi(x')`.
- Following [sutherland2015error]_, we represent complex exponentials by pairs of
- basis functions :math:`\phi_{i}(x) = \sin(x^\top w_{i})` and
+ Following [sutherland2015error]_, we default to representing complex exponentials
+ by pairs of basis functions :math:`\phi_{i}(x) = \sin(x^\top w_{i})` and
:math:`\phi_{i + l} = \cos(x^\top w_{i}).
Args:
kernel: A stationary kernel :math:`k(x, x') = k(x - x')`.
weight_generator: A callable used to generate weight vectors :math:`w`.
- num_inputs: The number of input features.
- num_outputs: The number of Fourier features.
+ num_inputs: The number of ambient input features.
+ num_random_features: The number of random Fourier features.
+ random_feature_scale: Multiplicative constant for the feature map :math:`\phi`.
+ Defaults to :code:`num_random_features ** -0.5` so that
+ :math:`\phi(x)^\top \phi(x') ≈ k(x, x')`.
+ cosine_only: Specifies whether or not to use cosine features with a random
+ phase instead of paired sine and cosine features.
"""
- if num_outputs % 2:
- raise UnsupportedError(
- f"Expected an even number of output features, but received {num_outputs=}."
- )
-
- input_transform = InverseLengthscaleTransform(kernel)
+ tkwargs = {"device": kernel.device, "dtype": kernel.dtype}
+ num_inputs = get_kernel_num_inputs(kernel, num_ambient_inputs=num_inputs)
+ input_transform = transforms.InverseLengthscaleTransform(kernel)
if kernel.active_dims is not None:
num_inputs = len(kernel.active_dims)
- input_transform = ChainedTransform(
- input_transform, FeatureSelector(indices=kernel.active_dims)
+
+ constant = torch.tensor(
+ 2**0.5 * (random_feature_scale or num_random_features**-0.5), **tkwargs
+ )
+ output_transforms = [transforms.ConstantMulTransform(constant)]
+ if cosine_only:
+ bias = 2 * pi * torch.rand(num_random_features, **tkwargs)
+ num_raw_features = num_random_features
+ output_transforms.append(transforms.CosineTransform())
+ elif num_random_features % 2:
+ raise UnsupportedError(
+ f"Expected an even number of random features, but {num_random_features=}."
)
+ else:
+ bias = None
+ num_raw_features = num_random_features // 2
+ output_transforms.append(transforms.SineCosineTransform())
weight = weight_generator(
- Size([kernel.batch_shape.numel() * num_outputs // 2, num_inputs])
- ).reshape(*kernel.batch_shape, num_outputs // 2, num_inputs)
+ Size([kernel.batch_shape.numel() * num_raw_features, num_inputs])
+ ).reshape(*kernel.batch_shape, num_raw_features, num_inputs)
- output_transform = SineCosineTransform(
- torch.tensor((2 / num_outputs) ** 0.5, device=kernel.device, dtype=kernel.dtype)
- )
- return KernelFeatureMap(
+ return maps.FourierFeatureMap(
kernel=kernel,
weight=weight,
+ bias=bias,
input_transform=input_transform,
- output_transform=output_transform,
+ output_transform=transforms.ChainedTransform(*output_transforms),
)
[email protected](kernels.RBFKernel)
-def _gen_kernel_features_rbf(
- kernel: kernels.RBFKernel,
- *,
- num_inputs: int,
- num_outputs: int,
-) -> KernelFeatureMap:
[email protected](kernels.RBFKernel)
+def _gen_kernel_feature_map_rbf(
+ kernel: kernels.RBFKernel, **kwargs: Any
+) -> maps.FourierFeatureMap:
def _weight_generator(shape: Size) -> Tensor:
try:
n, d = shape
@@ -127,25 +291,19 @@
return draw_sobol_normal_samples(
n=n,
d=d,
- device=kernel.lengthscale.device,
- dtype=kernel.lengthscale.dtype,
+ device=kernel.device,
+ dtype=kernel.dtype,
)
return _gen_fourier_features(
- kernel=kernel,
- weight_generator=_weight_generator,
- num_inputs=num_inputs,
- num_outputs=num_outputs,
+ kernel=kernel, weight_generator=_weight_generator, **kwargs
)
[email protected](kernels.MaternKernel)
-def _gen_kernel_features_matern(
- kernel: kernels.MaternKernel,
- *,
- num_inputs: int,
- num_outputs: int,
-) -> KernelFeatureMap:
[email protected](kernels.MaternKernel)
+def _gen_kernel_feature_map_matern(
+ kernel: kernels.MaternKernel, **kwargs: Any
+) -> maps.FourierFeatureMap:
def _weight_generator(shape: Size) -> Tensor:
try:
n, d = shape
@@ -154,40 +312,12 @@
f"Expected `shape` to be 2-dimensional, but {len(shape)=}."
)
- dtype = kernel.lengthscale.dtype
- device = kernel.lengthscale.device
+ dtype = kernel.dtype
+ device = kernel.device
nu = torch.tensor(kernel.nu, device=device, dtype=dtype)
normals = draw_sobol_normal_samples(n=n, d=d, device=device, dtype=dtype)
return Gamma(nu, nu).rsample((n, 1)).rsqrt() * normals
return _gen_fourier_features(
- kernel=kernel,
- weight_generator=_weight_generator,
- num_inputs=num_inputs,
- num_outputs=num_outputs,
- )
-
-
[email protected](kernels.ScaleKernel)
-def _gen_kernel_features_scale(
- kernel: kernels.ScaleKernel,
- *,
- num_inputs: int,
- num_outputs: int,
-) -> KernelFeatureMap:
- active_dims = kernel.active_dims
- feature_map = gen_kernel_features(
- kernel.base_kernel,
- num_inputs=num_inputs if active_dims is None else len(active_dims),
- num_outputs=num_outputs,
- )
-
- if active_dims is not None and active_dims is not kernel.base_kernel.active_dims:
- feature_map.input_transform = ChainedTransform(
- feature_map.input_transform, FeatureSelector(indices=active_dims)
- )
-
- feature_map.output_transform = ChainedTransform(
- OutputscaleTransform(kernel), feature_map.output_transform
+ kernel=kernel, weight_generator=_weight_generator, **kwargs
)
- return feature_map
diff --git a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/maps.py b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/maps.py
--- a/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/maps.py
+++ b/fbcode/pytorch/botorch/botorch/sampling/pathwise/features/maps.py
@@ -6,33 +6,284 @@
from __future__ import annotations
-from typing import Optional, Union
+from abc import abstractmethod
+from itertools import repeat
+from math import prod
+from string import ascii_letters
+from typing import Any, Iterable, List, Optional, Union
import torch
+from botorch.exceptions.errors import UnsupportedError
from botorch.sampling.pathwise.utils import (
+ ModuleListMixin,
+ sparse_block_diag,
TInputTransform,
TOutputTransform,
TransformedModuleMixin,
+ untransform_shape,
+)
+from botorch.sampling.pathwise.utils.transforms import ChainedTransform, FeatureSelector
+from gpytorch import kernels
+from linear_operator.operators import (
+ InterpolatedLinearOperator,
+ KroneckerProductLinearOperator,
+ LinearOperator,
)
-from gpytorch.kernels import Kernel
-from linear_operator.operators import LinearOperator
from torch import Size, Tensor
from torch.nn import Module
class FeatureMap(TransformedModuleMixin, Module):
- num_outputs: int
+ raw_output_shape: Size
batch_shape: Size
input_transform: Optional[TInputTransform]
output_transform: Optional[TOutputTransform]
+ device: Optional[torch.device]
+ dtype: Optional[torch.dtype]
+
+ @abstractmethod
+ def forward(self, x: Tensor, **kwargs: Any) -> Any:
+ pass
+
+ @property
+ def output_shape(self) -> Size:
+ if self.output_transform is None:
+ return self.raw_output_shape
+
+ return untransform_shape(
+ self.output_transform,
+ self.raw_output_shape,
+ device=self.device,
+ dtype=self.dtype,
+ )
+
+
+class FeatureMapList(Module, ModuleListMixin[FeatureMap]):
+ def __init__(self, feature_maps: Iterable[FeatureMap]):
+ Module.__init__(self)
+ ModuleListMixin.__init__(self, attr_name="feature_maps", modules=feature_maps)
+
+ def forward(self, x: Tensor, **kwargs: Any) -> List[Union[Tensor, LinearOperator]]:
+ return [feature_map(x, **kwargs) for feature_map in self]
+
+ @property
+ def device(self) -> Optional[torch.device]:
+ devices = {feature_map.device for feature_map in self}
+ devices.discard(None)
+ if len(devices) > 1:
+ raise UnsupportedError(f"Feature maps must be colocated, but {devices=}.")
+ return next(iter(devices)) if devices else None
+
+ @property
+ def dtype(self) -> Optional[torch.dtype]:
+ dtypes = {feature_map.dtype for feature_map in self}
+ dtypes.discard(None)
+ if len(dtypes) > 1:
+ raise UnsupportedError(
+ f"Feature maps must have the same data type, but {dtypes=}."
+ )
+ return next(iter(dtypes)) if dtypes else None
+
+
+class DirectSumFeatureMap(FeatureMap, FeatureMapList):
+ r"""Direct sums of features."""
+
+ def __init__(
+ self,
+ feature_maps: Iterable[FeatureMap],
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ):
+ FeatureMap.__init__(self)
+ FeatureMapList.__init__(self, feature_maps=feature_maps)
+ self.input_transform = input_transform
+ self.output_transform = output_transform
+
+ def forward(self, x: Tensor, **kwargs: Any) -> Tensor:
+ blocks = []
+ shape = self.raw_output_shape
+ ndim = len(shape)
+ for feature_map in self:
+ block = feature_map(x, **kwargs).to_dense()
+ block_ndim = len(feature_map.output_shape)
+ if block_ndim < ndim:
+ tile_shape = shape[-ndim:-block_ndim]
+ num_copies = prod(tile_shape)
+ if num_copies > 1:
+ block = block * (num_copies**-0.5)
+
+ multi_index = (
+ ...,
+ *repeat(None, ndim - block_ndim),
+ *repeat(slice(None), block_ndim),
+ )
+ block = block[multi_index].expand(
+ *block.shape[:-block_ndim], *tile_shape, *block.shape[-block_ndim:]
+ )
+ blocks.append(block)
+
+ return torch.concat(blocks, dim=-1)
+
+ @property
+ def raw_output_shape(self) -> Size:
+ map_iter = iter(self)
+ feature_map = next(map_iter)
+ concat_size = feature_map.output_shape[-1]
+ batch_shape = feature_map.output_shape[:-1]
+ for feature_map in map_iter:
+ concat_size += feature_map.output_shape[-1]
+ batch_shape = torch.broadcast_shapes(
+ batch_shape, feature_map.output_shape[:-1]
+ )
+ return Size((*batch_shape, concat_size))
+
+ @property
+ def batch_shape(self) -> Size:
+ batch_shapes = {feature_map.batch_shape for feature_map in self}
+ if len(batch_shapes) > 1:
+ raise ValueError(
+ f"Component maps have the same batch shapes, but {batch_shapes=}."
+ )
+ return next(iter(batch_shapes))
+
+
+class SparseDirectSumFeatureMap(DirectSumFeatureMap):
+ def forward(self, x: Tensor, **kwargs: Any) -> Tensor:
+ blocks = []
+ ndim = max(len(f.output_shape) for f in self)
+ for feature_map in self:
+ block = feature_map(x, **kwargs)
+ block_ndim = len(feature_map.output_shape)
+ if block_ndim == ndim:
+ block = block.to_dense() if isinstance(block, LinearOperator) else block
+ block = block if block.is_sparse else block.to_sparse()
+ else:
+ multi_index = (
+ ...,
+ *repeat(None, ndim - block_ndim),
+ *repeat(slice(None), block_ndim),
+ )
+ block = block.to_dense()[multi_index]
+ blocks.append(block)
+ return sparse_block_diag(blocks, base_ndim=ndim)
-class KernelEvaluationMap(FeatureMap):
+class HadamardProductFeatureMap(FeatureMap, FeatureMapList):
+ r"""Hadamard product of features."""
+
+ def __init__(
+ self,
+ feature_maps: Iterable[FeatureMap],
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ):
+ FeatureMap.__init__(self)
+ FeatureMapList.__init__(self, feature_maps=feature_maps)
+ self.input_transform = input_transform
+ self.output_transform = output_transform
+
+ def forward(self, x: Tensor, **kwargs: Any) -> Tensor:
+ return prod(feature_map(x, **kwargs) for feature_map in self)
+
+ @property
+ def raw_output_shape(self) -> Size:
+ return torch.broadcast_shapes(*(f.output_shape for f in self))
+
+ @property
+ def batch_shape(self) -> Size:
+ batch_shapes = (feature_map.batch_shape for feature_map in self)
+ return torch.broadcast_shapes(*batch_shapes)
+
+
+class OuterProductFeatureMap(FeatureMap, FeatureMapList):
+ r"""Outer product of vector-valued features."""
+
+ def __init__(
+ self,
+ feature_maps: Iterable[FeatureMap],
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ):
+ FeatureMap.__init__(self)
+ FeatureMapList.__init__(self, feature_maps=feature_maps)
+ self.input_transform = input_transform
+ self.output_transform = output_transform
+
+ def forward(self, x: Tensor, **kwargs: Any) -> Tensor:
+ num_maps = len(self)
+ lhs = (f"...{ascii_letters[i]}" for i in range(num_maps))
+ rhs = f"...{ascii_letters[:num_maps]}"
+ eqn = f"{','.join(lhs)}->{rhs}"
+
+ outputs_iter = (feature_map(x, **kwargs).to_dense() for feature_map in self)
+ output = torch.einsum(eqn, *outputs_iter)
+ return output.view(*output.shape[:-num_maps], -1)
+
+ @property
+ def raw_output_shape(self) -> Size:
+ outer_size = 1
+ batch_shapes = []
+ for feature_map in self:
+ *batch_shape, size = feature_map.output_shape
+ outer_size *= size
+ batch_shapes.append(batch_shape)
+ return Size((*torch.broadcast_shapes(*batch_shapes), outer_size))
+
+ @property
+ def batch_shape(self) -> Size:
+ batch_shapes = (feature_map.batch_shape for feature_map in self)
+ return torch.broadcast_shapes(*batch_shapes)
+
+
+class KernelFeatureMap(FeatureMap):
+ r"""Base class for FeatureMap subclasses that represent kernels."""
+
+ def __init__(
+ self,
+ kernel: kernels.Kernel,
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ignore_active_dims: bool = False,
+ ) -> None:
+ r"""Initializes a KernelFeatureMap instance.
+
+ Args:
+ kernel: The kernel :math:`k` used to define the feature map.
+ num_outputs: The number of features produced by the module.
+ input_transform: An optional input transform for the module.
+ output_transform: An optional output transform for the module.
+ """
+ if not ignore_active_dims and kernel.active_dims is not None:
+ feature_selector = FeatureSelector(kernel.active_dims)
+ if input_transform is None:
+ input_transform = feature_selector
+ else:
+ input_transform = ChainedTransform(input_transform, feature_selector)
+
+ super().__init__()
+ self.kernel = kernel
+ self.input_transform = input_transform
+ self.output_transform = output_transform
+
+ @property
+ def batch_shape(self) -> Size:
+ return self.kernel.batch_shape
+
+ @property
+ def device(self) -> Optional[torch.device]:
+ return self.kernel.device
+
+ @property
+ def dtype(self) -> Optional[torch.dtype]:
+ return self.kernel.dtype
+
+
+class KernelEvaluationMap(KernelFeatureMap):
r"""A feature map defined by centering a kernel at a set of points."""
def __init__(
self,
- kernel: Kernel,
+ kernel: kernels.Kernel,
points: Tensor,
input_transform: Optional[TInputTransform] = None,
output_transform: Optional[TOutputTransform] = None,
@@ -46,9 +297,15 @@
Args:
kernel: The kernel :math:`k` used to define the feature map.
points: A tensor passed as the kernel's second argument.
+ num_outputs: The number of features produced by the module.
input_transform: An optional input transform for the module.
output_transform: An optional output transform for the module.
"""
+ if not 1 < points.ndim < len(kernel.batch_shape) + 3:
+ raise RuntimeError(
+ f"Dimension mismatch: {points.ndim=}, but {len(kernel.batch_shape)=}."
+ )
+
try:
torch.broadcast_shapes(points.shape[:-2], kernel.batch_shape)
except RuntimeError:
@@ -56,31 +313,22 @@
f"Shape mismatch: {points.shape=}, but {kernel.batch_shape=}."
)
- super().__init__()
- self.kernel = kernel
+ super().__init__(
+ kernel=kernel,
+ input_transform=input_transform,
+ output_transform=output_transform,
+ )
self.points = points
- self.input_transform = input_transform
- self.output_transform = output_transform
def forward(self, x: Tensor) -> Union[Tensor, LinearOperator]:
return self.kernel(x, self.points)
@property
- def num_outputs(self) -> int:
- if self.output_transform is None:
- return self.points.shape[-1]
+ def raw_output_shape(self) -> Size:
+ return self.points.shape[-2:-1]
- canary = torch.empty(
- 1, self.points.shape[-1], device=self.points.device, dtype=self.points.dtype
- )
- return self.output_transform(canary).shape[-1]
-
- @property
- def batch_shape(self) -> Size:
- return self.kernel.batch_shape
-
-class KernelFeatureMap(FeatureMap):
+class FourierFeatureMap(KernelFeatureMap):
r"""Representation of a kernel :math:`k: \mathcal{X}^2 \to \mathbb{R}` as an
n-dimensional feature map :math:`\phi: \mathcal{X} \to \mathbb{R}^n` satisfying:
:math:`k(x, x') ≈ \phi(x)^\top \phi(x')`.
@@ -88,13 +336,13 @@
def __init__(
self,
- kernel: Kernel,
+ kernel: kernels.Kernel,
weight: Tensor,
bias: Optional[Tensor] = None,
input_transform: Optional[TInputTransform] = None,
output_transform: Optional[TOutputTransform] = None,
) -> None:
- r"""Initializes a KernelFeatureMap instance:
+ r"""Initializes a FourierFeatureMap instance:
.. code-block:: text
@@ -102,32 +350,170 @@
Args:
kernel: The kernel :math:`k` used to define the feature map.
+ num_outputs: The number of features produced by the module.
weight: A tensor of weights used to linearly combine the module's inputs.
bias: A tensor of biases to be added to the linearly combined inputs.
input_transform: An optional input transform for the module.
output_transform: An optional output transform for the module.
"""
- super().__init__()
- self.kernel = kernel
+ super().__init__(
+ kernel=kernel,
+ input_transform=input_transform,
+ output_transform=output_transform,
+ )
self.weight = weight
self.bias = bias
- self.input_transform = input_transform
- self.output_transform = output_transform
def forward(self, x: Tensor) -> Tensor:
out = x @ self.weight.transpose(-2, -1)
- return out if self.bias is None else out + self.bias
+ return out if self.bias is None else out + self.bias.unsqueeze(-2)
+
+ # try:
+ # out2 = out if self.bias is None else out + self.bias.unsqueeze(-2)
+ # except Exception as e:
+ # print(e)
+ # breakpoint()
+ # pass
+ # return out2
@property
- def num_outputs(self) -> int:
- if self.output_transform is None:
- return self.weight.shape[-2]
+ def raw_output_shape(self) -> Size:
+ return self.weight.shape[-2:-1]
+
+
+class IndexKernelFeatureMap(KernelFeatureMap):
+ def __init__(
+ self,
+ kernel: kernels.IndexKernel,
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ignore_active_dims: bool = False,
+ ) -> None:
+ r"""Initializes an IndexKernelFeatureMap instance:
+
+ Args:
+ kernel: IndexKernel whose features are to be returned.
+ num_outputs: The number of features produced by the module.
+ input_transform: An optional input transform for the module.
+ For kernels with `active_dims`, defaults to a FeatureSelector
+ instance that extracts the relevant input features.
+ output_transform: An optional output transform for the module.
+ """
+ if not isinstance(kernel, kernels.IndexKernel):
+ raise ValueError(f"Expected {kernels.IndexKernel}, but {type(kernel)=}.")
- canary = torch.empty(
- self.weight.shape[-2], device=self.weight.device, dtype=self.weight.dtype
+ super().__init__(
+ kernel=kernel,
+ input_transform=input_transform,
+ output_transform=output_transform,
+ ignore_active_dims=ignore_active_dims,
)
- return self.output_transform(canary).shape[-1]
+
+ def forward(self, x: Optional[Tensor]) -> LinearOperator:
+ if x is None:
+ return self.kernel.covar_matrix.cholesky()
+
+ i = x.long()
+ j = torch.arange(self.kernel.covar_factor.shape[-1], device=x.device)[..., None]
+ batch = torch.broadcast_shapes(self.batch_shape, i.shape[:-2], j.shape[:-2])
+ return InterpolatedLinearOperator(
+ base_linear_op=self.kernel.covar_matrix.cholesky(),
+ left_interp_indices=i.expand(batch + i.shape[-2:]),
+ right_interp_indices=j.expand(batch + j.shape[-2:]),
+ ).to_dense()
@property
- def batch_shape(self) -> Size:
- return self.kernel.batch_shape
+ def raw_output_shape(self) -> Size:
+ return self.kernel.raw_var.shape[-1:]
+
+
+class LinearKernelFeatureMap(KernelFeatureMap):
+ def __init__(
+ self,
+ kernel: kernels.LinearKernel,
+ raw_output_shape: Size,
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ignore_active_dims: bool = False,
+ ) -> None:
+ r"""Initializes a LinearKernelFeatureMap instance.
+
+ Args:
+ kernel: LinearKernel whose features are to be returned.
+ num_outputs: The number of features produced by the module.
+ input_transform: An optional input transform for the module.
+ For kernels with `active_dims`, defaults to a FeatureSelector
+ instance that extracts the relevant input features.
+ output_transform: An optional output transform for the module.
+ """
+ if not isinstance(kernel, kernels.LinearKernel):
+ raise ValueError(f"Expected {kernels.LinearKernel}, but {type(kernel)=}.")
+
+ super().__init__(
+ kernel=kernel,
+ input_transform=input_transform,
+ output_transform=output_transform,
+ ignore_active_dims=ignore_active_dims,
+ )
+ self.raw_output_shape = raw_output_shape
+
+ def forward(self, x: Tensor) -> Tensor:
+ return self.kernel.variance.sqrt() * x
+
+
+class MultitaskKernelFeatureMap(KernelFeatureMap):
+ r"""Representation of a MultitaskKernel as a feature map."""
+
+ def __init__(
+ self,
+ kernel: kernels.MultitaskKernel,
+ data_feature_map: FeatureMap,
+ input_transform: Optional[TInputTransform] = None,
+ output_transform: Optional[TOutputTransform] = None,
+ ignore_active_dims: bool = False,
+ ) -> None:
+ r"""Initializes a MultitaskKernelFeatureMap instance.
+
+ Args:
+ kernel: MultitaskKernel whose features are to be returned.
+ num_outputs: The number of features produced by the module.
+ data_feature_map: Representation of the multitask kernel's
+ `data_covar_module` as a FeatureMap.
+ input_transform: An optional input transform for the module.
+ For kernels with `active_dims`, defaults to a FeatureSelector
+ instance that extracts the relevant input features.
+ output_transform: An optional output transform for the module.
+ """
+ if not isinstance(kernel, kernels.MultitaskKernel):
+ raise ValueError(
+ f"Expected {kernels.MultitaskKernel}, but {type(kernel)=}."
+ )
+
+ super().__init__(
+ kernel=kernel,
+ input_transform=input_transform,
+ output_transform=output_transform,
+ ignore_active_dims=ignore_active_dims,
+ )
+ self.data_feature_map = data_feature_map
+
+ def forward(self, x: Tensor) -> Union[KroneckerProductLinearOperator, Tensor]:
+ r"""Returns the Kronecker product of the square root task covariance matrix
+ and a feature-map-based representation of :code:`data_covar_module`.
+ """
+ data_features = self.data_feature_map(x)
+ task_features = self.kernel.task_covar_module.covar_matrix.cholesky()
+ task_features = task_features.expand(
+ *data_features.shape[: max(0, data_features.ndim - task_features.ndim)],
+ *task_features.shape,
+ )
+ return KroneckerProductLinearOperator(data_features, task_features)
+
+ @property
+ def num_tasks(self) -> int:
+ return self.kernel.num_tasks
+
+ @property