Source code for gpytorch.kernels.inducing_point_kernel

#!/usr/bin/env python3

import copy
import math

import torch

from .. import settings
from ..distributions import MultivariateNormal
from ..lazy import DiagLazyTensor, LowRankRootAddedDiagLazyTensor, LowRankRootLazyTensor, MatmulLazyTensor, delazify
from ..mlls import InducingPointKernelAddedLossTerm
from ..models import exact_prediction_strategies
from ..utils.cholesky import psd_safe_cholesky
from .kernel import Kernel


class InducingPointKernel(Kernel):
    def __init__(self, base_kernel, inducing_points, likelihood, active_dims=None):
        super(InducingPointKernel, self).__init__(active_dims=active_dims)
        self.base_kernel = base_kernel
        self.likelihood = likelihood

        if inducing_points.ndimension() == 1:
            inducing_points = inducing_points.unsqueeze(-1)

        self.register_parameter(name="inducing_points", parameter=torch.nn.Parameter(inducing_points))
        self.register_added_loss_term("inducing_point_loss_term")

    def _clear_cache(self):
        if hasattr(self, "_cached_kernel_mat"):
            del self._cached_kernel_mat
        if hasattr(self, "_cached_kernel_inv_root"):
            del self._cached_kernel_inv_root

    @property
    def _inducing_mat(self):
        if not self.training and hasattr(self, "_cached_kernel_mat"):
            return self._cached_kernel_mat
        else:
            res = delazify(self.base_kernel(self.inducing_points, self.inducing_points))
            if not self.training:
                self._cached_kernel_mat = res
            return res

    @property
    def _inducing_inv_root(self):
        if not self.training and hasattr(self, "_cached_kernel_inv_root"):
            return self._cached_kernel_inv_root
        else:
            chol = psd_safe_cholesky(self._inducing_mat, upper=True)
            eye = torch.eye(chol.size(-1), device=chol.device, dtype=chol.dtype)
            inv_root = torch.triangular_solve(eye, chol)[0]

            res = inv_root
            if not self.training:
                self._cached_kernel_inv_root = res
            return res

    def _get_covariance(self, x1, x2):
        k_ux1 = delazify(self.base_kernel(x1, self.inducing_points))
        if torch.equal(x1, x2):
            covar = LowRankRootLazyTensor(k_ux1.matmul(self._inducing_inv_root))

            # Diagonal correction for predictive posterior
            if not self.training and settings.sgpr_diagonal_correction.on():
                correction = (self.base_kernel(x1, x2, diag=True) - covar.diag()).clamp(0, math.inf)
                covar = LowRankRootAddedDiagLazyTensor(covar, DiagLazyTensor(correction))
        else:
            k_ux2 = delazify(self.base_kernel(x2, self.inducing_points))
            covar = MatmulLazyTensor(
                k_ux1.matmul(self._inducing_inv_root), k_ux2.matmul(self._inducing_inv_root).transpose(-1, -2)
            )

        return covar

    def _covar_diag(self, inputs):
        if inputs.ndimension() == 1:
            inputs = inputs.unsqueeze(1)

        # Get diagonal of covar
        covar_diag = delazify(self.base_kernel(inputs, diag=True))
        return DiagLazyTensor(covar_diag)

    def forward(self, x1, x2, diag=False, **kwargs):
        covar = self._get_covariance(x1, x2)

        if self.training:
            if not torch.equal(x1, x2):
                raise RuntimeError("x1 should equal x2 in training mode")
            zero_mean = torch.zeros_like(x1.select(-1, 0))
            new_added_loss_term = InducingPointKernelAddedLossTerm(
                MultivariateNormal(zero_mean, self._covar_diag(x1)),
                MultivariateNormal(zero_mean, covar),
                self.likelihood,
            )
            self.update_added_loss_term("inducing_point_loss_term", new_added_loss_term)

        if diag:
            return covar.diag()
        else:
            return covar

    def num_outputs_per_input(self, x1, x2):
        return self.base_kernel.num_outputs_per_input(x1, x2)

    def __deepcopy__(self, memo):
        replace_inv_root = False
        replace_kernel_mat = False

        if hasattr(self, "_cached_kernel_inv_root"):
            replace_inv_root = True
            kernel_inv_root = self._cached_kernel_inv_root
        if hasattr(self, "_cached_kernel_mat"):
            replace_kernel_mat = True
            kernel_mat = self._cached_kernel_mat

        cp = self.__class__(
            base_kernel=copy.deepcopy(self.base_kernel),
            inducing_points=copy.deepcopy(self.inducing_points),
            likelihood=self.likelihood,
            active_dims=self.active_dims,
        )

        if replace_inv_root:
            cp._cached_kernel_inv_root = kernel_inv_root

        if replace_kernel_mat:
            cp._cached_kernel_mat = kernel_mat

        return cp

    def prediction_strategy(self, train_inputs, train_prior_dist, train_labels, likelihood):
        # Allow for fast variances
        return exact_prediction_strategies.SGPRPredictionStrategy(
            train_inputs, train_prior_dist, train_labels, likelihood
        )