Source code for gpytorch.metrics.metrics

from math import pi

import torch

from ..distributions import MultitaskMultivariateNormal, MultivariateNormal

pi = torch.tensor(pi)


def mean_absolute_error(
    pred_dist: MultivariateNormal,
    test_y: torch.Tensor,
):
    """
    Mean Absolute Error.
    """
    combine_dim = -2 if isinstance(pred_dist, MultitaskMultivariateNormal) else -1
    return torch.abs(pred_dist.mean - test_y).mean(dim=combine_dim)


def mean_squared_error(
    pred_dist: MultivariateNormal,
    test_y: torch.Tensor,
    squared: bool = True,
):
    """
    Mean Squared Error.
    """
    combine_dim = -2 if isinstance(pred_dist, MultitaskMultivariateNormal) else -1
    res = torch.square(pred_dist.mean - test_y).mean(dim=combine_dim)
    if not squared:
        return res**0.5
    return res


def negative_log_predictive_density(
    pred_dist: MultivariateNormal,
    test_y: torch.Tensor,
):
    combine_dim = -2 if isinstance(pred_dist, MultitaskMultivariateNormal) else -1
    return -pred_dist.log_prob(test_y) / test_y.shape[combine_dim]


def mean_standardized_log_loss(
    pred_dist: MultivariateNormal,
    test_y: torch.Tensor,
):
    """
    Mean Standardized Log Loss.
    Reference: Page No. 23,
    Gaussian Processes for Machine Learning,
    Carl Edward Rasmussen and Christopher K. I. Williams,
    The MIT Press, 2006. ISBN 0-262-18253-X
    """
    combine_dim = -2 if isinstance(pred_dist, MultitaskMultivariateNormal) else -1
    f_mean = pred_dist.mean
    f_var = pred_dist.variance
    return 0.5 * (torch.log(2 * pi * f_var) + torch.square(test_y - f_mean) / (2 * f_var)).mean(dim=combine_dim)


def quantile_coverage_error(
    pred_dist: MultivariateNormal,
    test_y: torch.Tensor,
    quantile: float = 95.0,
):
    """
    Quantile coverage error.
    """
    if quantile <= 0 or quantile >= 100:
        raise NotImplementedError("Quantile must be between 0 and 100")
    combine_dim = -2 if isinstance(pred_dist, MultitaskMultivariateNormal) else -1
    standard_normal = torch.distributions.Normal(loc=0.0, scale=1.0)
    deviation = standard_normal.icdf(torch.as_tensor(0.5 + 0.5 * (quantile / 100)))
    lower = pred_dist.mean - deviation * pred_dist.stddev
    upper = pred_dist.mean + deviation * pred_dist.stddev
    n_samples_within_bounds = ((test_y > lower) * (test_y < upper)).sum(combine_dim)
    fraction = n_samples_within_bounds / test_y.shape[combine_dim]
    return torch.abs(fraction - quantile / 100)