Source code for botorch.models.multitask

#!/usr/bin/env python3
# Copyright (c) Meta Platforms, Inc. and affiliates.
# This source code is licensed under the MIT license found in the
# LICENSE file in the root directory of this source tree.

Multi-Task GP models.


.. [Bonilla2007MTGP]
    E. Bonilla, K. Chai and C. Williams. Multi-task Gaussian Process Prediction.
    Advances in Neural Information Processing Systems 20, NeurIPS 2007.

.. [Swersky2013MTBO]
    K. Swersky, J. Snoek and R. Adams. Multi-Task Bayesian Optimization.
    Advances in Neural Information Processing Systems 26, NeurIPS 2013.

.. [Doucet2010sampl]
    A. Doucet. A Note on Efficient Conditional Simulation of Gaussian Distributions.,
    Apr 2010.

.. [Maddox2021bohdo]
    W. Maddox, M. Balandat, A. Wilson, and E. Bakshy. Bayesian Optimization with
    High-Dimensional Outputs., Jun 2021.

from __future__ import annotations

import math
from typing import Any, Dict, List, Optional, Tuple, Union

import torch
from botorch.acquisition.objective import PosteriorTransform
from botorch.exceptions.errors import UnsupportedError
from botorch.models.gpytorch import GPyTorchModel, MultiTaskGPyTorchModel
from botorch.models.model import FantasizeMixin
from botorch.models.transforms.input import InputTransform
from botorch.models.transforms.outcome import OutcomeTransform
from botorch.models.utils.gpytorch_modules import (
from botorch.posteriors.multitask import MultitaskGPPosterior
from botorch.utils.datasets import MultiTaskDataset, SupervisedDataset
from gpytorch.constraints import GreaterThan
from gpytorch.distributions.multitask_multivariate_normal import (
from gpytorch.distributions.multivariate_normal import MultivariateNormal
from gpytorch.kernels.index_kernel import IndexKernel
from gpytorch.kernels.matern_kernel import MaternKernel
from gpytorch.kernels.multitask_kernel import MultitaskKernel
from gpytorch.likelihoods.gaussian_likelihood import (
from gpytorch.likelihoods.likelihood import Likelihood
from gpytorch.likelihoods.multitask_gaussian_likelihood import (
from gpytorch.means import MultitaskMean
from gpytorch.means.constant_mean import ConstantMean
from gpytorch.models.exact_gp import ExactGP
from gpytorch.module import Module
from gpytorch.priors.lkj_prior import LKJCovariancePrior
from gpytorch.priors.prior import Prior
from gpytorch.priors.smoothed_box_prior import SmoothedBoxPrior
from gpytorch.priors.torch_priors import GammaPrior
from gpytorch.settings import detach_test_caches
from gpytorch.utils.errors import CachingError
from gpytorch.utils.memoize import cached, pop_from_cache
from linear_operator.operators import (
from torch import Tensor

[docs] def get_task_value_remapping( task_values: Tensor, dtype: torch.dtype ) -> Optional[Tensor]: """Construct an mapping of discrete task values to contiguous int-valued floats. Args: task_values: A sorted long-valued tensor of task values. dtype: The dtype of the model inputs (e.g. `X`), which the new task values should have mapped to (e.g. float, double). Returns: A tensor of shape `task_values.max() + 1` that maps task values to new task values. The indexing operation `mapper[task_value]` will produce a tensor of new task values, of the same shape as the original. The elements of the `mapper` tensor that do not appear in the original `task_values` are mapped to `nan`. The return value will be `None`, when the task values are contiguous integers starting from zero. """ task_range = torch.arange( len(task_values), dtype=task_values.dtype, device=task_values.device ) mapper = None if not torch.equal(task_values, task_range): # Create a tensor that maps task values to new task values. # The number of tasks should be small, so this should be quite efficient. mapper = torch.full( (task_values.max().item() + 1,), float("nan"), dtype=dtype, device=task_values.device, ) mapper[task_values] = return mapper
[docs] class MultiTaskGP(ExactGP, MultiTaskGPyTorchModel, FantasizeMixin): r"""Multi-Task exact GP model using an ICM (intrinsic co-regionalization model) kernel. See [Bonilla2007MTGP]_ and [Swersky2013MTBO]_ for a reference on the model and its use in Bayesian optimization. The model can be single-output or multi-output, determined by the `output_tasks`. This model uses relatively strong priors on the base Kernel hyperparameters, which work best when covariates are normalized to the unit cube and outcomes are standardized (zero mean, unit variance). If the `train_Yvar` is None, this model infers the noise level. If you have known observation noise, you can set `train_Yvar` to a tensor containing the noise variance measurements. WARNING: This currently does not support different noise levels for the different tasks. """ def __init__( self, train_X: Tensor, train_Y: Tensor, task_feature: int, train_Yvar: Optional[Tensor] = None, mean_module: Optional[Module] = None, covar_module: Optional[Module] = None, likelihood: Optional[Likelihood] = None, task_covar_prior: Optional[Prior] = None, output_tasks: Optional[List[int]] = None, rank: Optional[int] = None, all_tasks: Optional[List[int]] = None, input_transform: Optional[InputTransform] = None, outcome_transform: Optional[OutcomeTransform] = None, ) -> None: r"""Multi-Task GP model using an ICM kernel. Args: train_X: A `n x (d + 1)` or `b x n x (d + 1)` (batch mode) tensor of training data. One of the columns should contain the task features (see `task_feature` argument). train_Y: A `n x 1` or `b x n x 1` (batch mode) tensor of training observations. task_feature: The index of the task feature (`-d <= task_feature <= d`). train_Yvar: An optional `n` or `b x n` (batch mode) tensor of observed measurement noise. If None, we infer the noise. Note that the inferred noise is common across all tasks. mean_module: The mean function to be used. Defaults to `ConstantMean`. covar_module: The module for computing the covariance matrix between the non-task features. Defaults to `MaternKernel`. likelihood: A likelihood. The default is selected based on `train_Yvar`. If `train_Yvar` is None, a standard `GaussianLikelihood` with inferred noise level is used. Otherwise, a FixedNoiseGaussianLikelihood is used. output_tasks: A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices. rank: The rank to be used for the index kernel. If omitted, use a full rank (i.e. number of tasks) kernel. task_covar_prior : A Prior on the task covariance matrix. Must operate on p.s.d. matrices. A common prior for this is the `LKJ` prior. all_tasks: By default, multi-task GPs infer the list of all tasks from the task features in `train_X`. This is an experimental feature that enables creation of multi-task GPs with tasks that don't appear in the training data. Note that when a task is not observed, the corresponding task covariance will heavily depend on random initialization and may behave unexpectedly. input_transform: An input transform that is applied in the model's forward pass. outcome_transform: An outcome transform that is applied to the training data during instantiation and to the posterior during inference (that is, the `Posterior` obtained by calling `.posterior` on the model will be on the original scale). Example: >>> X1, X2 = torch.rand(10, 2), torch.rand(20, 2) >>> i1, i2 = torch.zeros(10, 1), torch.ones(20, 1) >>> train_X =[ >>>[X1, i1], -1),[X2, i2], -1), >>> ]) >>> train_Y =, f2(X2)).unsqueeze(-1) >>> model = MultiTaskGP(train_X, train_Y, task_feature=-1) """ with torch.no_grad(): transformed_X = self.transform_inputs( X=train_X, input_transform=input_transform ) self._validate_tensor_args(X=transformed_X, Y=train_Y, Yvar=train_Yvar) ( all_tasks_inferred, task_feature, self.num_non_task_features, ) = self.get_all_tasks(transformed_X, task_feature, output_tasks) if all_tasks is not None and not set(all_tasks_inferred).issubset(all_tasks): raise UnsupportedError( f"The provided {all_tasks=} does not contain all the task features " f"inferred from the training data {all_tasks_inferred=}. " "This is not allowed as it will lead to errors during model training." ) all_tasks = all_tasks or all_tasks_inferred self.num_tasks = len(all_tasks) if outcome_transform is not None: train_Y, train_Yvar = outcome_transform(Y=train_Y, Yvar=train_Yvar) # squeeze output dim train_Y = train_Y.squeeze(-1) if output_tasks is None: output_tasks = all_tasks else: if set(output_tasks) - set(all_tasks): raise RuntimeError("All output tasks must be present in input data.") self._output_tasks = output_tasks self._num_outputs = len(output_tasks) # TODO (T41270962): Support task-specific noise levels in likelihood if likelihood is None: if train_Yvar is None: likelihood = GaussianLikelihood(noise_prior=GammaPrior(1.1, 0.05)) else: likelihood = FixedNoiseGaussianLikelihood(noise=train_Yvar.squeeze(-1)) # construct indexer to be used in forward self._task_feature = task_feature self._base_idxr = torch.arange(self.num_non_task_features) self._base_idxr[task_feature:] += 1 # exclude task feature super().__init__( train_inputs=train_X, train_targets=train_Y, likelihood=likelihood ) self.mean_module = mean_module or ConstantMean() if covar_module is None: self.covar_module = get_matern_kernel_with_gamma_prior( ard_num_dims=self.num_non_task_features ) else: self.covar_module = covar_module self._rank = rank if rank is not None else self.num_tasks self.task_covar_module = IndexKernel( num_tasks=self.num_tasks, rank=self._rank, prior=task_covar_prior ) task_mapper = get_task_value_remapping( task_values=torch.tensor( all_tasks, dtype=torch.long, device=train_X.device ), dtype=train_X.dtype, ) self.register_buffer("_task_mapper", task_mapper) self._expected_task_values = set(all_tasks) if input_transform is not None: self.input_transform = input_transform if outcome_transform is not None: self.outcome_transform = outcome_transform def _split_inputs(self, x: Tensor) -> Tuple[Tensor, Tensor]: r"""Extracts base features and task indices from input data. Args: x: The full input tensor with trailing dimension of size `d + 1`. Should be of float/double data type. Returns: 2-element tuple containing - A `q x d` or `b x q x d` (batch mode) tensor with trailing dimension made up of the `d` non-task-index columns of `x`, arranged in the order as specified by the indexer generated during model instantiation. - A `q` or `b x q` (batch mode) tensor of long data type containing the task indices. """ batch_shape, d = x.shape[:-2], x.shape[-1] x_basic = x[..., self._base_idxr].view(batch_shape + torch.Size([-1, d - 1])) task_idcs = ( x[..., self._task_feature] .view(batch_shape + torch.Size([-1, 1])) .to(dtype=torch.long) ) task_idcs = self._map_tasks(task_values=task_idcs) return x_basic, task_idcs
[docs] def forward(self, x: Tensor) -> MultivariateNormal: if x = self.transform_inputs(x) x_basic, task_idcs = self._split_inputs(x) # Compute base mean and covariance mean_x = self.mean_module(x_basic) covar_x = self.covar_module(x_basic) # Compute task covariances covar_i = self.task_covar_module(task_idcs) # Combine the two in an ICM fashion covar = covar_x.mul(covar_i) return MultivariateNormal(mean_x, covar)
[docs] @classmethod def get_all_tasks( cls, train_X: Tensor, task_feature: int, output_tasks: Optional[List[int]] = None, ) -> Tuple[List[int], int, int]: if train_X.ndim != 2: # Currently, batch mode MTGPs are blocked upstream in GPyTorch raise ValueError(f"Unsupported shape {train_X.shape} for train_X.") d = train_X.shape[-1] - 1 if not (-d <= task_feature <= d): raise ValueError(f"Must have that -{d} <= task_feature <= {d}") task_feature = task_feature % (d + 1) all_tasks = ( train_X[..., task_feature].unique(sorted=True).to(dtype=torch.long).tolist() ) return all_tasks, task_feature, d
[docs] @classmethod def construct_inputs( cls, training_data: Union[SupervisedDataset, MultiTaskDataset], task_feature: int, output_tasks: Optional[List[int]] = None, task_covar_prior: Optional[Prior] = None, prior_config: Optional[dict] = None, rank: Optional[int] = None, ) -> Dict[str, Any]: r"""Construct `Model` keyword arguments from a dataset and other args. Args: training_data: A `SupervisedDataset` or a `MultiTaskDataset`. task_feature: Column index of embedded task indicator features. output_tasks: A list of task indices for which to compute model outputs for. If omitted, return outputs for all task indices. task_covar_prior: A GPyTorch `Prior` object to use as prior on the cross-task covariance matrix, prior_config: Configuration for inter-task covariance prior. Should only be used if `task_covar_prior` is not passed directly. Must contain `use_LKJ_prior` indicator and should contain float value `eta`. rank: The rank of the cross-task covariance matrix. """ if task_covar_prior is not None and prior_config is not None: raise ValueError( "Only one of `task_covar_prior` and `prior_config` arguments expected." ) if prior_config is not None: if not prior_config.get("use_LKJ_prior"): raise ValueError("Currently only config for LKJ prior is supported.") num_tasks = training_data.X[task_feature].unique().numel() sd_prior = GammaPrior(1.0, 0.15) sd_prior._event_shape = torch.Size([num_tasks]) eta = prior_config.get("eta", 0.5) if not isinstance(eta, float) and not isinstance(eta, int): raise ValueError(f"eta must be a real number, your eta was {eta}.") task_covar_prior = LKJCovariancePrior(num_tasks, eta, sd_prior) # Call Model.construct_inputs to parse training data base_inputs = super().construct_inputs(training_data=training_data) if ( isinstance(training_data, MultiTaskDataset) # If task features are included in the data, all tasks will have # some observations and they may have different task features. and training_data.task_feature_index is None ): all_tasks = list(range(len(training_data.datasets))) base_inputs["all_tasks"] = all_tasks if task_covar_prior is not None: base_inputs["task_covar_prior"] = task_covar_prior if rank is not None: base_inputs["rank"] = rank base_inputs["task_feature"] = task_feature base_inputs["output_tasks"] = output_tasks return base_inputs
[docs] class KroneckerMultiTaskGP(ExactGP, GPyTorchModel, FantasizeMixin): """Multi-task GP with Kronecker structure, using an ICM kernel. This model assumes the "block design" case, i.e., it requires that all tasks are observed at all data points. For posterior sampling, this model uses Matheron's rule [Doucet2010sampl] to compute the posterior over all tasks as in [Maddox2021bohdo] by exploiting Kronecker structure. When a multi-fidelity model has Kronecker structure, this means there is one covariance kernel over the fidelity features (call it `K_f`) and another over the rest of the input parameters (call it `K_i`), and the resulting covariance across inputs and fidelities is given by the Kronecker product of the two covariance matrices. This is equivalent to saying the covariance between two input and feature pairs is given by K((parameter_1, fidelity_1), (parameter_2, fidelity_2)) = K_f(fidelity_1, fidelity_2) * K_i(parameter_1, parameter_2). Then the covariance matrix of `n_i` parameters and `n_f` fidelities can be codified as a Kronecker product of an `n_i x n_i` matrix and an `n_f x n_f` matrix, which is far more parsimonious than specifying the whole `(n_i * n_f) x (n_i * n_f)` covariance matrix. Example: >>> train_X = torch.rand(10, 2) >>> train_Y =[f_1(X), f_2(X)], dim=-1) >>> model = KroneckerMultiTaskGP(train_X, train_Y) """ def __init__( self, train_X: Tensor, train_Y: Tensor, likelihood: Optional[MultitaskGaussianLikelihood] = None, data_covar_module: Optional[Module] = None, task_covar_prior: Optional[Prior] = None, rank: Optional[int] = None, input_transform: Optional[InputTransform] = None, outcome_transform: Optional[OutcomeTransform] = None, **kwargs: Any, ) -> None: r""" Args: train_X: A `batch_shape x n x d` tensor of training features. train_Y: A `batch_shape x n x m` tensor of training observations. likelihood: A `MultitaskGaussianLikelihood`. If omitted, uses a `MultitaskGaussianLikelihood` with a `GammaPrior(1.1, 0.05)` noise prior. data_covar_module: The module computing the covariance (Kernel) matrix in data space. If omitted, use a `MaternKernel`. task_covar_prior : A Prior on the task covariance matrix. Must operate on p.s.d. matrices. A common prior for this is the `LKJ` prior. If omitted, uses `LKJCovariancePrior` with `eta` parameter as specified in the keyword arguments (if not specified, use `eta=1.5`). rank: The rank of the ICM kernel. If omitted, use a full rank kernel. kwargs: Additional arguments to override default settings of priors, including: - eta: The eta parameter on the default LKJ task_covar_prior. A value of 1.0 is uninformative, values <1.0 favor stronger correlations (in magnitude), correlations vanish as eta -> inf. - sd_prior: A scalar prior over nonnegative numbers, which is used for the default LKJCovariancePrior task_covar_prior. - likelihood_rank: The rank of the task covariance matrix to fit. Defaults to 0 (which corresponds to a diagonal covariance matrix). """ with torch.no_grad(): transformed_X = self.transform_inputs( X=train_X, input_transform=input_transform ) if outcome_transform is not None: train_Y, _ = outcome_transform(train_Y) self._validate_tensor_args(X=transformed_X, Y=train_Y) self._num_outputs = train_Y.shape[-1] batch_shape, ard_num_dims = train_X.shape[:-2], train_X.shape[-1] num_tasks = train_Y.shape[-1] if rank is None: rank = num_tasks if likelihood is None: noise_prior = GammaPrior(1.1, 0.05) noise_prior_mode = (noise_prior.concentration - 1) / noise_prior.rate likelihood = MultitaskGaussianLikelihood( num_tasks=num_tasks, batch_shape=batch_shape, noise_prior=noise_prior, noise_constraint=GreaterThan( MIN_INFERRED_NOISE_LEVEL, transform=None, initial_value=noise_prior_mode, ), rank=kwargs.get("likelihood_rank", 0), ) if task_covar_prior is None: task_covar_prior = LKJCovariancePrior( n=num_tasks, eta=torch.tensor(kwargs.get("eta", 1.5)).to(train_X), sd_prior=kwargs.get( "sd_prior", SmoothedBoxPrior(math.exp(-6), math.exp(1.25), 0.05), ), ) super().__init__(train_X, train_Y, likelihood) self.mean_module = MultitaskMean( base_means=ConstantMean(batch_shape=batch_shape), num_tasks=num_tasks ) if data_covar_module is None: data_covar_module = MaternKernel( nu=2.5, ard_num_dims=ard_num_dims, lengthscale_prior=GammaPrior(3.0, 6.0), batch_shape=batch_shape, ) else: data_covar_module = data_covar_module self.covar_module = MultitaskKernel( data_covar_module=data_covar_module, num_tasks=num_tasks, rank=rank, batch_shape=batch_shape, task_covar_prior=task_covar_prior, ) if outcome_transform is not None: self.outcome_transform = outcome_transform if input_transform is not None: self.input_transform = input_transform
[docs] def forward(self, X: Tensor) -> MultitaskMultivariateNormal: if X = self.transform_inputs(X) mean_x = self.mean_module(X) covar_x = self.covar_module(X) return MultitaskMultivariateNormal(mean_x, covar_x)
@property def _task_covar_matrix(self): res = self.covar_module.task_covar_module.covar_matrix if detach_test_caches.on(): res = res.detach() return res @property @cached(name="train_full_covar") def train_full_covar(self): train_x = self.transform_inputs(self.train_inputs[0]) # construct Kxx \otimes Ktt train_full_covar = self.covar_module(train_x).evaluate_kernel() if detach_test_caches.on(): train_full_covar = train_full_covar.detach() return train_full_covar @property @cached(name="predictive_mean_cache") def predictive_mean_cache(self): train_x = self.transform_inputs(self.train_inputs[0]) train_noise = self.likelihood._shaped_noise_covar(train_x.shape) if detach_test_caches.on(): train_noise = train_noise.detach() train_diff = self.train_targets - self.mean_module(train_x) train_solve = (self.train_full_covar + train_noise).solve( train_diff.reshape(*train_diff.shape[:-2], -1) ) if detach_test_caches.on(): train_solve = train_solve.detach() return train_solve
[docs] def posterior( self, X: Tensor, output_indices: Optional[List[int]] = None, observation_noise: Union[bool, Tensor] = False, posterior_transform: Optional[PosteriorTransform] = None, ) -> MultitaskGPPosterior: self.eval() if posterior_transform is not None: # this could be very costly, disallow for now raise NotImplementedError( "Posterior transforms currently not supported for " f"{self.__class__.__name__}" ) X = self.transform_inputs(X) train_x = self.transform_inputs(self.train_inputs[0]) # construct Ktt task_covar = self._task_covar_matrix task_rootlt = self._task_covar_matrix.root_decomposition( method="diagonalization" ) task_root = task_rootlt.root if task_covar.batch_shape != X.shape[:-2]: task_covar = BatchRepeatLinearOperator( task_covar, batch_repeat=X.shape[:-2] ) task_root = BatchRepeatLinearOperator( to_linear_operator(task_root), batch_repeat=X.shape[:-2] ) task_covar_rootlt = RootLinearOperator(task_root) # construct RR' \approx Kxx data_data_covar = self.train_full_covar.linear_ops[0] # populate the diagonalziation caches for the root and inverse root # decomposition data_data_evals, data_data_evecs = data_data_covar.diagonalization() # pad the eigenvalue and eigenvectors with zeros if we are using lanczos if data_data_evecs.shape[-1] < data_data_evecs.shape[-2]: cols_to_add = data_data_evecs.shape[-2] - data_data_evecs.shape[-1] zero_evecs = torch.zeros( *data_data_evecs.shape[:-1], cols_to_add, dtype=data_data_evals.dtype, device=data_data_evals.device, ) zero_evals = torch.zeros( *data_data_evecs.shape[:-2], cols_to_add, dtype=data_data_evals.dtype, device=data_data_evals.device, ) data_data_evecs = CatLinearOperator( data_data_evecs, to_linear_operator(zero_evecs), dim=-1, output_device=data_data_evals.device, ) data_data_evals =, zero_evals), dim=-1) # construct K_{xt, x} test_data_covar = self.covar_module.data_covar_module(X, train_x) # construct K_{xt, xt} test_test_covar = self.covar_module.data_covar_module(X) # now update root so that \tilde{R}\tilde{R}' \approx K_{(x,xt), (x,xt)} # cloning preserves the gradient history updated_linear_op = data_data_covar.cat_rows( cross_mat=test_data_covar.clone(), new_mat=test_test_covar, method="diagonalization", ) updated_root = updated_linear_op.root_decomposition().root # occasionally, there's device errors so enforce this comes out right updated_root = # build a root decomposition of the joint train/test covariance matrix # construct (\tilde{R} \otimes M)(\tilde{R} \otimes M)' \approx # (K_{(x,xt), (x,xt)} \otimes Ktt) joint_covar = RootLinearOperator( KroneckerProductLinearOperator( updated_root, task_covar_rootlt.root.detach() ) ) # construct K_{xt, x} \otimes Ktt test_obs_kernel = KroneckerProductLinearOperator(test_data_covar, task_covar) # collect y - \mu(x) and \mu(X) train_diff = self.train_targets - self.mean_module(train_x) if detach_test_caches.on(): train_diff = train_diff.detach() test_mean = self.mean_module(X) train_noise = self.likelihood._shaped_noise_covar(train_x.shape) diagonal_noise = isinstance(train_noise, DiagLinearOperator) if detach_test_caches.on(): train_noise = train_noise.detach() test_noise = ( self.likelihood._shaped_noise_covar(X.shape) if observation_noise else None ) # predictive mean and variance for the mvn # first the predictive mean pred_mean = ( test_obs_kernel.matmul(self.predictive_mean_cache).reshape_as(test_mean) + test_mean ) # next the predictive variance, assume diagonal noise test_var_term = KroneckerProductLinearOperator( test_test_covar, task_covar ).diagonal() if diagonal_noise: task_evals, task_evecs = self._task_covar_matrix.diagonalization() # TODO: make this be the default KPMatmulLT diagonal method in gpytorch full_data_inv_evals = ( KroneckerProductDiagLinearOperator( DiagLinearOperator(data_data_evals), DiagLinearOperator(task_evals) ) + train_noise ).inverse() test_train_hadamard = KroneckerProductLinearOperator( test_data_covar.matmul(data_data_evecs).to_dense() ** 2, task_covar.matmul(task_evecs).to_dense() ** 2, ) data_var_term = test_train_hadamard.matmul(full_data_inv_evals).sum(dim=-1) else: # if non-diagonal noise (but still kronecker structured), we have to pull # across the noise because the inverse is not closed form # should be a kronecker lt, R = \Sigma_X^{-1/2} \kron \Sigma_T^{-1/2} # TODO: enforce the diagonalization to return a KPLT for all shapes in # gpytorch or dense linear algebra for small shapes data_noise, task_noise = train_noise.linear_ops data_noise_root = data_noise.root_inv_decomposition( method="diagonalization" ) task_noise_root = task_noise.root_inv_decomposition( method="diagonalization" ) # ultimately we need to compute the diagonal of # (K_{x* X} \kron K_T)(K_{XX} \kron K_T + \Sigma_X \kron \Sigma_T)^{-1} # (K_{x* X} \kron K_T)^T # = (K_{x* X} \Sigma_X^{-1/2} Q_R)(\Lambda_R + I)^{-1} # (K_{x* X} \Sigma_X^{-1/2} Q_R)^T # where R = (\Sigma_X^{-1/2T}K_{XX}\Sigma_X^{-1/2} \kron # \Sigma_T^{-1/2T}K_{T}\Sigma_T^{-1/2}) # first we construct the components of R's eigen-decomposition # TODO: make this be the default KPMatmulLT diagonal method in gpytorch whitened_data_covar = ( data_noise_root.transpose(-1, -2) .matmul(data_data_covar) .matmul(data_noise_root) ) w_data_evals, w_data_evecs = whitened_data_covar.diagonalization() whitened_task_covar = ( task_noise_root.transpose(-1, -2) .matmul(self._task_covar_matrix) .matmul(task_noise_root) ) w_task_evals, w_task_evecs = whitened_task_covar.diagonalization() # we add one to the eigenvalues as above (not just for stability) full_data_inv_evals = ( KroneckerProductDiagLinearOperator( DiagLinearOperator(w_data_evals), DiagLinearOperator(w_task_evals) ) .add_jitter(1.0) .inverse() ) test_data_comp = ( test_data_covar.matmul(data_noise_root).matmul(w_data_evecs).to_dense() ** 2 ) task_comp = ( task_covar.matmul(task_noise_root).matmul(w_task_evecs).to_dense() ** 2 ) test_train_hadamard = KroneckerProductLinearOperator( test_data_comp, task_comp ) data_var_term = test_train_hadamard.matmul(full_data_inv_evals).sum(dim=-1) pred_variance = test_var_term - data_var_term specialized_mvn = MultitaskMultivariateNormal( pred_mean, DiagLinearOperator(pred_variance) ) if observation_noise: specialized_mvn = self.likelihood(specialized_mvn) posterior = MultitaskGPPosterior( distribution=specialized_mvn, joint_covariance_matrix=joint_covar, test_train_covar=test_obs_kernel, train_diff=train_diff, test_mean=test_mean, train_train_covar=self.train_full_covar, train_noise=train_noise, test_noise=test_noise, ) if hasattr(self, "outcome_transform"): posterior = self.outcome_transform.untransform_posterior(posterior) return posterior
[docs] def train(self, val=True, *args, **kwargs): if val: fixed_cache_names = ["data_data_roots", "train_full_covar", "task_root"] for name in fixed_cache_names: try: pop_from_cache(self, name) except CachingError: pass return super().train(val, *args, **kwargs)