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# vi: set ft=python sts=4 ts=4 sw=4 et:
### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ##
#
# Copyright (c) 2008 Emanuele Olivetti <emanuele@relativita.com>
# See COPYING file distributed along with the PyMVPA package for the
# copyright and license terms.
#
### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ### ##
"""Kernels for Gaussian Process Regression and Classification."""
_DEV__DOC__ = """
Make use of Parameter Collections to keep parameters of the
kernels. Then we would get a uniform .reset() functionality. Now reset
is provided just for parts which are failing in the unittests, but
there is many more places where they are not reset properly if
classifier gets trained on some new data of different dimensionality
"""
__docformat__ = 'restructuredtext'
import numpy as N
from mvpa.misc.exceptions import InvalidHyperparameterError
from mvpa.clfs.distance import squared_euclidean_distance
if __debug__:
from mvpa.base import debug, warning
class Kernel(object):
"""Kernel function base class.
"""
def __init__(self):
pass
def __repr__(self):
return "Kernel()"
def compute(self, data1, data2=None):
raise NotImplementedError
def reset(self):
"""Resets the kernel dropping internal variables to the original values"""
pass
def compute_gradient(self,alphaalphaTK):
raise NotImplementedError
def compute_lml_gradient(self,alphaalphaT_Kinv,data):
raise NotImplementedError
def compute_lml_gradient_logscale(self,alphaalphaT_Kinv,data):
raise NotImplementedError
pass
class KernelConstant(Kernel):
"""The constant kernel class.
"""
def __init__(self, sigma_0=1.0, **kwargs):
"""Initialize the constant kernel instance.
:Parameters:
sigma_0 : float
standard deviation of the Gaussian prior probability
N(0,sigma_0**2) of the intercept of the constant regression.
(Defaults to 1.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
self.sigma_0 = sigma_0
self.kernel_matrix = None
def __repr__(self):
return "%s(sigma_0=%s)" % (self.__class__.__name__, str(self.sigma_0))
def compute(self, data1, data2=None):
"""Compute kernel matrix.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
if data2 is None:
data2 = data1
pass
self.kernel_matrix = \
(self.sigma_0 ** 2) * N.ones((data1.shape[0], data2.shape[0]))
return self.kernel_matrix
def set_hyperparameters(self, hyperparameter):
if hyperparameter < 0:
raise InvalidHyperparameterError()
self.sigma_0 = hyperparameter
return
def compute_lml_gradient(self,alphaalphaT_Kinv,data):
K_grad_sigma_0 = 2*self.sigma_0
# self.lml_gradient = 0.5*(N.trace(N.dot(alphaalphaT_Kinv,K_grad_sigma_0*N.ones(alphaalphaT_Kinv.shape)))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
# Fastest when B is a constant: B*A.sum()
self.lml_gradient = 0.5*N.array(K_grad_sigma_0*alphaalphaT_Kinv.sum())
return self.lml_gradient
def compute_lml_gradient_logscale(self,alphaalphaT_Kinv,data):
K_grad_sigma_0 = 2*self.sigma_0**2
self.lml_gradient = 0.5*N.array(K_grad_sigma_0*alphaalphaT_Kinv.sum())
return self.lml_gradient
pass
class KernelLinear(Kernel):
"""The linear kernel class.
"""
def __init__(self, Sigma_p=None, sigma_0=1.0, **kwargs):
"""Initialize the linear kernel instance.
:Parameters:
Sigma_p : numpy.ndarray
Covariance matrix of the Gaussian prior probability N(0,Sigma_p)
on the weights of the linear regression.
(Defaults to None)
sigma_0 : float
the standard deviation of the Gaussian prior N(0,sigma_0**2)
of the intercept of the linear regression.
(Deafults to 1.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
# TODO: figure out cleaner way... probably by using KernelParameters ;-)
self.Sigma_p = Sigma_p
self.sigma_0 = sigma_0
self.kernel_matrix = None
def __repr__(self):
return "%s(Sigma_p=%s, sigma_0=%s)" \
% (self.__class__.__name__, str(self.Sigma_p), str(self.sigma_0))
def reset(self):
super(KernelLinear, self).reset()
self._Sigma_p = self._Sigma_p_orig
def compute(self, data1, data2=None):
"""Compute kernel matrix.
Set Sigma_p to correct dimensions and default value if necessary.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
if data2 is None:
data2 = data1
pass
# it is better to use separate lines of computation, to don't
# incure computation cost without need (otherwise
# N.dot(self.Sigma_p, data2.T) can take forever for relatively
# large number of features)
Sigma_p = self.Sigma_p # local binding
#if scalar - scale second term appropriately
if N.isscalar(Sigma_p):
if Sigma_p == 1.0:
data2_sc = data2.T
else:
data2_sc = Sigma_p * data2.T
# if vector use it as diagonal matrix -- ie scale each row by
# the given value
elif len(Sigma_p.shape) == 1 and \
Sigma_p.shape[0] == data1.shape[1]:
# which due to numpy broadcasting is the same as product
# with scalar above
data2_sc = (Sigma_p * data1).T
# if it is a full matrix -- full-featured and lengthy
# matrix product
else:
data2_sc = N.dot(Sigma_p, data2.T)
pass
# XXX if Sigma_p is changed a warning should be issued!
# XXX other cases of incorrect Sigma_p could be catched
self.kernel_matrix = N.dot(data1, data2_sc) + self.sigma_0 ** 2
return self.kernel_matrix
def set_hyperparameters(self, hyperparameter):
# XXX in the next line we assume that the values we want to
# assign to Sigma_p are a constant or a vector (the diagonal
# of Sigma_p actually). This is a limitation since these
# values could be in general an hermitian matrix (i.e., a
# covariance matrix)... but how to tell ModelSelector/OpenOpt
# to proved just "hermitian" set of values? So for now we skip
# the general case, which seems not to useful indeed.
if N.any(hyperparameter < 0):
raise InvalidHyperparameterError()
self.sigma_0 = N.array(hyperparameter[0])
self._Sigma_p = N.diagflat(hyperparameter[1:])
return
def compute_lml_gradient(self,alphaalphaT_Kinv,data):
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
lml_gradient = []
lml_gradient.append(2*self.sigma_0*alphaalphaT_Kinv.sum())
for i in range(self.Sigma_p.shape[0]):
# Note that Sigma_p is not squared in compute() so it
# disappears in the partial derivative:
K_grad_i = N.multiply.outer(data[:,i],data[:,i])
lml_gradient.append(lml_grad(K_grad_i))
pass
self.lml_gradient = lml_gradient = 0.5*N.array(lml_gradient)
return lml_gradient
def compute_lml_gradient_logscale(self,alphaalphaT_Kinv,data):
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
lml_gradient = []
lml_gradient.append(2*self.sigma_0**2*alphaalphaT_Kinv.sum())
Sigma_p = self.Sigma_p # local binding
for i in range(Sigma_p.shape[0]):
# Note that Sigma_p is not squared in compute() so it
# disappears in the partial derivative:
K_grad_log_i = Sigma_p[i,i]*N.multiply.outer(data[:,i],data[:,i])
lml_gradient.append(lml_grad(K_grad_log_i))
pass
self.lml_gradient = lml_gradient = 0.5*N.array(lml_gradient)
return lml_gradient
def _setSigma_p(self, v):
"""Set Sigma_p value and store _orig for reset
"""
if (v is None):
# if Sigma_p is not set use a scalar 1.0
v = 1.0
self._Sigma_p_orig = self._Sigma_p = v
Sigma_p = property(fget=lambda x:x._Sigma_p,
fset=_setSigma_p)
pass
class KernelExponential(Kernel):
"""The Exponential kernel class.
Note that it can handle a length scale for each dimension for
Automtic Relevance Determination.
"""
def __init__(self, length_scale=1.0, sigma_f = 1.0, **kwargs):
"""Initialize an Exponential kernel instance.
:Parameters:
length_scale : float OR numpy.ndarray
the characteristic length-scale (or length-scales) of the
phenomenon under investigation.
(Defaults to 1.0)
sigma_f : float
Signal standard deviation.
(Defaults to 1.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
self.length_scale = length_scale
self.sigma_f = sigma_f
self.kernel_matrix = None
def __repr__(self):
return "%s(length_scale=%s, sigma_f=%s)" \
% (self.__class__.__name__, str(self.length_scale), str(self.sigma_f))
def compute(self, data1, data2=None):
"""Compute kernel matrix.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
# XXX the following computation can be (maybe) made more
# efficient since length_scale is squared and then
# square-rooted uselessly.
# Weighted euclidean distance matrix:
self.wdm = N.sqrt(squared_euclidean_distance(
data1, data2, weight=(self.length_scale**-2)))
self.kernel_matrix = \
self.sigma_f**2 * N.exp(-self.wdm)
return self.kernel_matrix
def gradient(self, data1, data2):
"""Compute gradient of the kernel matrix. A must for fast
model selection with high-dimensional data.
"""
raise NotImplementedError
def set_hyperparameters(self, hyperparameter):
"""Set hyperaparmeters from a vector.
Used by model selection.
"""
if N.any(hyperparameter < 0):
raise InvalidHyperparameterError()
self.sigma_f = hyperparameter[0]
self.length_scale = hyperparameter[1:]
return
def compute_lml_gradient(self,alphaalphaT_Kinv,data):
"""Compute grandient of the kernel and return the portion of
log marginal likelihood gradient due to the kernel.
Shorter formula. Allows vector of lengthscales (ARD)
BUT THIS LAST OPTION SEEMS NOT TO WORK FOR (CURRENTLY)
UNKNOWN REASONS.
"""
self.lml_gradient = []
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
grad_sigma_f = 2.0/self.sigma_f*self.kernel_matrix
self.lml_gradient.append(lml_grad(grad_sigma_f))
if N.isscalar(self.length_scale) or self.length_scale.size==1:
# use the same length_scale for all dimensions:
K_grad_l = self.wdm*self.kernel_matrix*(self.length_scale**-1)
self.lml_gradient.append(lml_grad(K_grad_l))
else:
# use one length_scale for each dimension:
for i in range(self.length_scale.size):
K_grad_i = (self.length_scale[i]**-3)*(self.wdm**-1)*self.kernel_matrix*N.subtract.outer(data[:,i],data[:,i])**2
self.lml_gradient.append(lml_grad(K_grad_i))
pass
pass
self.lml_gradient = 0.5*N.array(self.lml_gradient)
return self.lml_gradient
def compute_lml_gradient_logscale(self,alphaalphaT_Kinv,data):
"""Compute grandient of the kernel and return the portion of
log marginal likelihood gradient due to the kernel.
Shorter formula. Allows vector of lengthscales (ARD).
BUT THIS LAST OPTION SEEMS NOT TO WORK FOR (CURRENTLY)
UNKNOWN REASONS.
"""
self.lml_gradient = []
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
grad_log_sigma_f = 2.0*self.kernel_matrix
self.lml_gradient.append(lml_grad(grad_log_sigma_f))
if N.isscalar(self.length_scale) or self.length_scale.size==1:
# use the same length_scale for all dimensions:
K_grad_l = self.wdm*self.kernel_matrix
self.lml_gradient.append(lml_grad(K_grad_l))
else:
# use one length_scale for each dimension:
for i in range(self.length_scale.size):
K_grad_i = (self.length_scale[i]**-2)*(self.wdm**-1)*self.kernel_matrix*N.subtract.outer(data[:,i],data[:,i])**2
self.lml_gradient.append(lml_grad(K_grad_i))
pass
pass
self.lml_gradient = 0.5*N.array(self.lml_gradient)
return self.lml_gradient
pass
class KernelSquaredExponential(Kernel):
"""The Squared Exponential kernel class.
Note that it can handle a length scale for each dimension for
Automtic Relevance Determination.
"""
def __init__(self, length_scale=1.0, sigma_f=1.0, **kwargs):
"""Initialize a Squared Exponential kernel instance.
:Parameters:
length_scale : float OR numpy.ndarray
the characteristic length-scale (or length-scales) of the
phenomenon under investigation.
(Defaults to 1.0)
sigma_f : float
Signal standard deviation.
(Defaults to 1.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
self.length_scale = length_scale
self.sigma_f = sigma_f
self.kernel_matrix = None
def reset(self):
super(KernelSquaredExponential, self).reset()
self._length_scale = self._length_scale_orig
def __repr__(self):
return "%s(length_scale=%s, sigma_f=%s)" \
% (self.__class__.__name__, str(self.length_scale), str(self.sigma_f))
def compute(self, data1, data2=None):
"""Compute kernel matrix.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
# weighted squared euclidean distance matrix:
self.wdm2 = squared_euclidean_distance(data1, data2, weight=(self.length_scale**-2))
self.kernel_matrix = self.sigma_f**2 * N.exp(-0.5*self.wdm2)
# XXX EO: old implementation:
# self.kernel_matrix = \
# self.sigma_f * N.exp(-squared_euclidean_distance(
# data1, data2, weight=0.5 / (self.length_scale ** 2)))
return self.kernel_matrix
def set_hyperparameters(self, hyperparameter):
"""Set hyperaparmeters from a vector.
Used by model selection.
"""
if N.any(hyperparameter < 0):
raise InvalidHyperparameterError()
self.sigma_f = hyperparameter[0]
self._length_scale = hyperparameter[1:]
return
def compute_lml_gradient(self,alphaalphaT_Kinv,data):
"""Compute grandient of the kernel and return the portion of
log marginal likelihood gradient due to the kernel.
Shorter formula. Allows vector of lengthscales (ARD).
"""
self.lml_gradient = []
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
grad_sigma_f = 2.0/self.sigma_f*self.kernel_matrix
self.lml_gradient.append(lml_grad(grad_sigma_f))
if N.isscalar(self.length_scale) or self.length_scale.size==1:
# use the same length_scale for all dimensions:
K_grad_l = self.wdm2*self.kernel_matrix*(1.0/self.length_scale)
self.lml_gradient.append(lml_grad(K_grad_l))
else:
# use one length_scale for each dimension:
for i in range(self.length_scale.size):
K_grad_i = 1.0/(self.length_scale[i]**3)*self.kernel_matrix*N.subtract.outer(data[:,i],data[:,i])**2
self.lml_gradient.append(lml_grad(K_grad_i))
pass
pass
self.lml_gradient = 0.5*N.array(self.lml_gradient)
return self.lml_gradient
def compute_lml_gradient_logscale(self,alphaalphaT_Kinv,data):
"""Compute grandient of the kernel and return the portion of
log marginal likelihood gradient due to the kernel.
Hyperparameters are in log scale which is sometimes more
stable. Shorter formula. Allows vector of lengthscales (ARD).
"""
self.lml_gradient = []
def lml_grad(K_grad_i):
# return N.trace(N.dot(alphaalphaT_Kinv,K_grad_i))
# Faster formula: N.trace(N.dot(A,B)) = (A*(B.T)).sum()
return (alphaalphaT_Kinv*(K_grad_i.T)).sum()
K_grad_log_sigma_f = 2.0*self.kernel_matrix
self.lml_gradient.append(lml_grad(K_grad_log_sigma_f))
if N.isscalar(self.length_scale) or self.length_scale.size==1:
# use the same length_scale for all dimensions:
K_grad_log_l = self.wdm2*self.kernel_matrix
self.lml_gradient.append(lml_grad(K_grad_log_l))
else:
# use one length_scale for each dimension:
for i in range(self.length_scale.size):
K_grad_log_l_i = 1.0/(self.length_scale[i]**2)*self.kernel_matrix*N.subtract.outer(data[:,i],data[:,i])**2
self.lml_gradient.append(lml_grad(K_grad_log_l_i))
pass
pass
self.lml_gradient = 0.5*N.array(self.lml_gradient)
return self.lml_gradient
def _setlength_scale(self, v):
"""Set value of length_scale and its _orig
"""
self._length_scale = self._length_scale_orig = v
length_scale = property(fget=lambda x:x._length_scale,
fset=_setlength_scale)
pass
class KernelMatern_3_2(Kernel):
"""The Matern kernel class for the case ni=3/2 or ni=5/2.
Note that it can handle a length scale for each dimension for
Automtic Relevance Determination.
"""
def __init__(self, length_scale=1.0, sigma_f=1.0, numerator=3.0, **kwargs):
"""Initialize a Squared Exponential kernel instance.
:Parameters:
length_scale : float OR numpy.ndarray
the characteristic length-scale (or length-scales) of the
phenomenon under investigation.
(Defaults to 1.0)
sigma_f : float
Signal standard deviation.
(Defaults to 1.0)
numerator: float
the numerator of parameter ni of Matern covariance functions.
Currently only numerator=3.0 and numerator=5.0 are implemented.
(Defaults to 3.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
self.length_scale = length_scale
self.sigma_f = sigma_f
self.kernel_matrix = None
if numerator == 3.0 or numerator == 5.0:
self.numerator = numerator
else:
raise NotImplementedError
def __repr__(self):
return "%s(length_scale=%s, ni=%d/2)" \
% (self.__class__.__name__, str(self.length_scale), self.numerator)
def compute(self, data1, data2=None):
"""Compute kernel matrix.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
tmp = squared_euclidean_distance(
data1, data2, weight=0.5 / (self.length_scale ** 2))
if self.numerator == 3.0:
tmp = N.sqrt(tmp)
self.kernel_matrix = \
self.sigma_f**2 * (1.0 + N.sqrt(3.0) * tmp) \
* N.exp(-N.sqrt(3.0) * tmp)
elif self.numerator == 5.0:
tmp2 = N.sqrt(tmp)
self.kernel_matrix = \
self.sigma_f**2 * (1.0 + N.sqrt(5.0) * tmp2 + 5.0 / 3.0 * tmp) \
* N.exp(-N.sqrt(5.0) * tmp2)
return self.kernel_matrix
def gradient(self, data1, data2):
"""Compute gradient of the kernel matrix. A must for fast
model selection with high-dimensional data.
"""
# TODO SOON
# grad = ...
# return grad
raise NotImplementedError
def set_hyperparameters(self, hyperparameter):
"""Set hyperaparmeters from a vector.
Used by model selection.
Note: 'numerator' is not considered as an hyperparameter.
"""
if N.any(hyperparameter < 0):
raise InvalidHyperparameterError()
self.sigma_f = hyperparameter[0]
self.length_scale = hyperparameter[1:]
return
pass
class KernelMatern_5_2(KernelMatern_3_2):
"""The Matern kernel class for the case ni=5/2.
This kernel is just KernelMatern_3_2(numerator=5.0).
"""
def __init__(self, **kwargs):
"""Initialize a Squared Exponential kernel instance.
:Parameters:
length_scale : float OR numpy.ndarray
the characteristic length-scale (or length-scales) of the
phenomenon under investigation.
(Defaults to 1.0)
"""
KernelMatern_3_2.__init__(self, numerator=5.0, **kwargs)
pass
class KernelRationalQuadratic(Kernel):
"""The Rational Quadratic (RQ) kernel class.
Note that it can handle a length scale for each dimension for
Automtic Relevance Determination.
"""
def __init__(self, length_scale=1.0, sigma_f=1.0, alpha=0.5, **kwargs):
"""Initialize a Squared Exponential kernel instance.
:Parameters:
length_scale : float OR numpy.ndarray
the characteristic length-scale (or length-scales) of the
phenomenon under investigation.
(Defaults to 1.0)
sigma_f : float
Signal standard deviation.
(Defaults to 1.0)
alpha: float
The parameter of the RQ functions family.
(Defaults to 2.0)
"""
# init base class first
Kernel.__init__(self, **kwargs)
self.length_scale = length_scale
self.sigma_f = sigma_f
self.kernel_matrix = None
self.alpha = alpha
def __repr__(self):
return "%s(length_scale=%s, alpha=%f)" \
% (self.__class__.__name__, str(self.length_scale), self.alpha)
def compute(self, data1, data2=None):
"""Compute kernel matrix.
:Parameters:
data1 : numpy.ndarray
data
data2 : numpy.ndarray
data
(Defaults to None)
"""
tmp = squared_euclidean_distance(
data1, data2, weight=1.0 / (self.length_scale ** 2))
self.kernel_matrix = \
self.sigma_f**2 * (1.0 + tmp / (2.0 * self.alpha)) ** -self.alpha
return self.kernel_matrix
def gradient(self, data1, data2):
"""Compute gradient of the kernel matrix. A must for fast
model selection with high-dimensional data.
"""
# TODO SOON
# grad = ...
# return grad
raise NotImplementedError
def set_hyperparameters(self, hyperparameter):
"""Set hyperaparmeters from a vector.
Used by model selection.
Note: 'alpha' is not considered as an hyperparameter.
"""
if N.any(hyperparameter < 0):
raise InvalidHyperparameterError()
self.sigma_f = hyperparameter[0]
self.length_scale = hyperparameter[1:]
return
pass
# dictionary of avalable kernels with names as keys:
kernel_dictionary = {'constant': KernelConstant,
'linear': KernelLinear,
'exponential': KernelExponential,
'squared exponential': KernelSquaredExponential,
'Matern ni=3/2': KernelMatern_3_2,
'Matern ni=5/2': KernelMatern_5_2,
'rational quadratic': KernelRationalQuadratic}
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