Source code for botorch.cross_validation

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

r"""
Cross-validation utilities using batch evaluation mode.
"""

from __future__ import annotations

from typing import Any, Dict, NamedTuple, Optional, Type

import torch
from gpytorch.mlls.marginal_log_likelihood import MarginalLogLikelihood
from torch import Tensor

from .fit import fit_gpytorch_model
from .models.gpytorch import GPyTorchModel
from .optim.utils import _filter_kwargs
from .posteriors.gpytorch import GPyTorchPosterior


[docs]class CVFolds(NamedTuple): train_X: Tensor test_X: Tensor train_Y: Tensor test_Y: Tensor train_Yvar: Optional[Tensor] = None test_Yvar: Optional[Tensor] = None
[docs]class CVResults(NamedTuple): model: GPyTorchModel posterior: GPyTorchPosterior observed_Y: Tensor observed_Yvar: Optional[Tensor] = None
[docs]def gen_loo_cv_folds( train_X: Tensor, train_Y: Tensor, train_Yvar: Optional[Tensor] = None ) -> CVFolds: r"""Generate LOO CV folds w.r.t. to `n`. Args: train_X: A `n x d` or `batch_shape x n x d` (batch mode) tensor of training features. train_Y: A `n x (m)` or `batch_shape x n x (m)` (batch mode) tensor of training observations. train_Yvar: A `batch_shape x n x (m)` or `batch_shape x n x (m)` (batch mode) tensor of observed measurement noise. Returns: CVFolds tuple with the following fields - train_X: A `n x (n-1) x d` or `batch_shape x n x (n-1) x d` tensor of training features. - test_X: A `n x 1 x d` or `batch_shape x n x 1 x d` tensor of test features. - train_Y: A `n x (n-1) x m` or `batch_shape x n x (n-1) x m` tensor of training observations. - test_Y: A `n x 1 x m` or `batch_shape x n x 1 x m` tensor of test observations. - train_Yvar: A `n x (n-1) x m` or `batch_shape x n x (n-1) x m` tensor of observed measurement noise. - test_Yvar: A `n x 1 x m` or `batch_shape x n x 1 x m` tensor of observed measurement noise. Example: >>> train_X = torch.rand(10, 1) >>> train_Y = torch.sin(6 * train_X) + 0.2 * torch.rand_like(train_X) >>> cv_folds = gen_loo_cv_folds(train_X, train_Y) """ masks = torch.eye(train_X.shape[-2], dtype=torch.uint8, device=train_X.device) masks = masks.to(dtype=torch.bool) if train_Y.dim() < train_X.dim(): # add output dimension train_Y = train_Y.unsqueeze(-1) if train_Yvar is not None: train_Yvar = train_Yvar.unsqueeze(-1) train_X_cv = torch.cat( [train_X[..., ~m, :].unsqueeze(dim=-3) for m in masks], dim=-3 ) test_X_cv = torch.cat([train_X[..., m, :].unsqueeze(dim=-3) for m in masks], dim=-3) train_Y_cv = torch.cat( [train_Y[..., ~m, :].unsqueeze(dim=-3) for m in masks], dim=-3 ) test_Y_cv = torch.cat([train_Y[..., m, :].unsqueeze(dim=-3) for m in masks], dim=-3) if train_Yvar is None: train_Yvar_cv = None test_Yvar_cv = None else: train_Yvar_cv = torch.cat( [train_Yvar[..., ~m, :].unsqueeze(dim=-3) for m in masks], dim=-3 ) test_Yvar_cv = torch.cat( [train_Yvar[..., m, :].unsqueeze(dim=-3) for m in masks], dim=-3 ) return CVFolds( train_X=train_X_cv, test_X=test_X_cv, train_Y=train_Y_cv, test_Y=test_Y_cv, train_Yvar=train_Yvar_cv, test_Yvar=test_Yvar_cv, )
[docs]def batch_cross_validation( model_cls: Type[GPyTorchModel], mll_cls: Type[MarginalLogLikelihood], cv_folds: CVFolds, fit_args: Optional[Dict[str, Any]] = None, observation_noise: bool = False, ) -> CVResults: r"""Perform cross validation by using gpytorch batch mode. Args: model_cls: A GPyTorchModel class. This class must initialize the likelihood internally. Note: Multi-task GPs are not currently supported. mll_cls: A MarginalLogLikelihood class. cv_folds: A CVFolds tuple. fit_args: Arguments passed along to fit_gpytorch_model Returns: A CVResults tuple with the following fields - model: GPyTorchModel for batched cross validation - posterior: GPyTorchPosterior where the mean has shape `n x 1 x m` or `batch_shape x n x 1 x m` - observed_Y: A `n x 1 x m` or `batch_shape x n x 1 x m` tensor of observations. - observed_Yvar: A `n x 1 x m` or `batch_shape x n x 1 x m` tensor of observed measurement noise. Example: >>> train_X = torch.rand(10, 1) >>> train_Y = torch.sin(6 * train_X) + 0.2 * torch.rand_like(train_X) >>> cv_folds = gen_loo_cv_folds(train_X, train_Y) >>> cv_results = batch_cross_validation( >>> SingleTaskGP, >>> ExactMarginalLogLikelihood, >>> cv_folds, >>> ) WARNING: This function is currently very memory inefficient, use it only for problems of small size. """ fit_args = fit_args or {} kwargs = { "train_X": cv_folds.train_X, "train_Y": cv_folds.train_Y, "train_Yvar": cv_folds.train_Yvar, } model_cv = model_cls(**_filter_kwargs(model_cls, **kwargs)) mll_cv = mll_cls(model_cv.likelihood, model_cv) mll_cv.to(cv_folds.train_X) mll_cv = fit_gpytorch_model(mll_cv, **fit_args) # Evaluate on the hold-out set in batch mode with torch.no_grad(): posterior = model_cv.posterior( cv_folds.test_X, observation_noise=observation_noise ) return CVResults( model=model_cv, posterior=posterior, observed_Y=cv_folds.test_Y, observed_Yvar=cv_folds.test_Yvar, )