import time import random import numpy as np import torch from torch import nn from sklearn.gaussian_process import GaussianProcessRegressor from sklearn.gaussian_process.kernels import RBF, DotProduct, WhiteKernel from .utils import get_batch_to_dataloader length_scale_sampling_gp = .6 def get_gp(length_scale=None): return GaussianProcessRegressor( kernel=RBF(length_scale=length_scale or length_scale_sampling_gp, length_scale_bounds='fixed'), random_state=0, optimizer=None) def get_batch(batch_size, seq_len, num_features, noisy_std=None): # m = torch.normal(0.,.1,size=(batch_size,num_features)) # m2 = torch.rand(batch_size,num_features) # b = 0 # torch.rand(batch_size) x_t = torch.rand(batch_size, seq_len, num_features) # gp_b = TensorGP(kernel=TensorRBF(noisy_std)) # y_t = gp_b.sample_from_GP_prior(x_t).detach() gpr = get_gp(noisy_std) y_t = torch.zeros(batch_size, seq_len) for i in range(len(y_t)): y_t[i] += gpr.sample_y(x_t[i], random_state=random.randint(0, 2 ** 32)).squeeze() x, y = x_t.transpose(0, 1), y_t.transpose(0, 1) # x, _ = torch.sort(x,dim=0) return x, y, y DataLoader = get_batch_to_dataloader(get_batch) DataLoader.num_outputs = 1 def evaluate(x, y, y_non_noisy, use_mse=False, length_scale=length_scale_sampling_gp): start_time = time.time() losses_after_t = [.0] for t in range(1, len(x)): loss_sum = 0. for b_i in range(x.shape[1]): gpr = get_gp(length_scale).fit(x[:t, b_i], y[:t, b_i]) means, stds = gpr.predict(x[t, b_i].unsqueeze(0), return_std=True) assert len(means) == 1 == len(stds) if use_mse: c = nn.MSELoss() l = c(torch.tensor(means), y[t, b_i].unsqueeze(-1)) else: c = nn.GaussianNLLLoss(full=True) l = c(torch.tensor(means), y[t, b_i].unsqueeze(-1), var=torch.tensor(stds) ** 2) loss_sum += l losses_after_t.append(loss_sum / x.shape[1]) return torch.tensor(losses_after_t), time.time()-start_time if __name__ == '__main__': ls = .1 for alpha in set([ls, ls * 1.1, ls * .9]): print(alpha) for redo_idx in range(1): print( evaluate(*get_batch(1000, 10, noisy_std=ls, num_features=10), use_mse=False, length_scale=alpha))