#!/usr/bin/env python3
# Copyright (c) Facebook, Inc. and its affiliates.
# All rights reserved.
# This source code is licensed under the license found in the
# LICENSE file in the root directory of this source tree.
from __future__ import annotations
from typing import Optional
import gpytorch
import torch
from aepsych.models import GPRegressionModel
[docs]class MultitaskGPRModel(GPRegressionModel):
"""
Multitask (multi-output) GP regression, using a kronecker-separable model
where [a] each output is observed at each input, and [b] the kernel between
two outputs at two points is given by k_x(x, x') * k_t[i, j] where k(x, x')
is the usual GP kernel and k_t[i, j] is indexing into a freeform covariance
of potentially low rank.
This essentially implements / wraps the GPyTorch multitask GPR tutorial
in https://docs.gpytorch.ai/en/stable/examples/03_Multitask_Exact_GPs/Multitask_GP_Regression.html
with AEPsych API and convenience fitting / prediction methods.
"""
_num_outputs = 1
_batch_size = 1
stimuli_per_trial = 1
outcome_type = "continuous"
def __init__(
self,
num_outputs: int = 2,
rank: int = 1,
mean_module: Optional[gpytorch.means.Mean] = None,
covar_module: Optional[gpytorch.kernels.Kernel] = None,
likelihood: Optional[gpytorch.likelihoods.Likelihood] = None,
*args,
**kwargs,
):
"""Initialize multitask GPR model.
Args:
num_outputs (int, optional): Number of tasks (outputs). Defaults to 2.
rank (int, optional): Rank of cross-task covariance. Lower rank is a simpler model.
Should be less than or equal to num_outputs. Defaults to 1.
mean_module (Optional[gpytorch.means.Mean], optional): GP mean. Defaults to a constant mean.
covar_module (Optional[gpytorch.kernels.Kernel], optional): GP kernel module.
Defaults to scaled RBF kernel.
likelihood (Optional[gpytorch.likelihoods.Likelihood], optional): Likelihood
(should be a multitask-compatible likelihood). Defaults to multitask Gaussian likelihood.
"""
self._num_outputs = num_outputs
self.rank = rank
likelihood = likelihood or gpytorch.likelihoods.MultitaskGaussianLikelihood(
num_tasks=self._num_outputs
)
super().__init__(
mean_module=mean_module,
covar_module=covar_module,
likelihood=likelihood,
*args,
**kwargs,
) # type: ignore # mypy issue 4335
self.mean_module = gpytorch.means.MultitaskMean(
self.mean_module, num_tasks=num_outputs
)
self.covar_module = gpytorch.kernels.MultitaskKernel(
self.covar_module, num_tasks=num_outputs, rank=rank
)
[docs] def forward(self, x):
transformed_x = self.normalize_inputs(x)
mean_x = self.mean_module(transformed_x)
covar_x = self.covar_module(transformed_x)
return gpytorch.distributions.MultitaskMultivariateNormal(mean_x, covar_x)
[docs]class IndependentMultitaskGPRModel(GPRegressionModel):
"""Independent multitask GP regression. This is a convenience wrapper for
fitting a batch of independent GPRegression models. It wraps the GPyTorch tutorial here
https://docs.gpytorch.ai/en/stable/examples/03_Multitask_Exact_GPs/Batch_Independent_Multioutput_GP.html
with AEPsych API and convenience fitting / prediction methods.
"""
_num_outputs = 1
_batch_size = 1
stimuli_per_trial = 1
outcome_type = "continuous"
def __init__(
self,
num_outputs: int = 2,
mean_module: Optional[gpytorch.means.Mean] = None,
covar_module: Optional[gpytorch.kernels.Kernel] = None,
likelihood: Optional[gpytorch.likelihoods.Likelihood] = None,
*args,
**kwargs,
):
"""Initialize independent multitask GPR model.
Args:
num_outputs (int, optional): Number of tasks (outputs). Defaults to 2.
mean_module (Optional[gpytorch.means.Mean], optional): GP mean. Defaults to a constant mean.
covar_module (Optional[gpytorch.kernels.Kernel], optional): GP kernel module.
Defaults to scaled RBF kernel.
likelihood (Optional[gpytorch.likelihoods.Likelihood], optional): Likelihood
(should be a multitask-compatible likelihood). Defaults to multitask Gaussian likelihood.
"""
self._num_outputs = num_outputs
self._batch_size = num_outputs
self._batch_shape = torch.Size([num_outputs])
mean_module = mean_module or gpytorch.means.ConstantMean(
batch_shape=self._batch_shape
)
covar_module = covar_module or gpytorch.kernels.ScaleKernel(
gpytorch.kernels.RBFKernel(batch_shape=self._batch_shape),
batch_shape=self._batch_shape,
)
likelihood = likelihood or gpytorch.likelihoods.MultitaskGaussianLikelihood(
num_tasks=self._batch_shape[0]
)
super().__init__(
mean_module=mean_module,
covar_module=covar_module,
likelihood=likelihood,
*args,
**kwargs,
) # type: ignore # mypy issue 4335
[docs] def forward(self, x):
base_mvn = super().forward(x) # do transforms
return gpytorch.distributions.MultitaskMultivariateNormal.from_batch_mvn(
base_mvn
)
[docs] @classmethod
def get_config_args(cls, config):
classname = cls.__name__
args = super().get_config_args(config)
args["num_outputs"] = config.getint(classname, "num_outputs", 2)
return args
