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commit e5a4711004
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import numpy as np
from sklearn.base import clone
from sklearn.gaussian_process.kernels import (
GenericKernelMixin,
Hyperparameter,
Kernel,
StationaryKernelMixin,
)
class MiniSeqKernel(GenericKernelMixin, StationaryKernelMixin, Kernel):
"""
A minimal (but valid) convolutional kernel for sequences of variable
length.
"""
def __init__(self, baseline_similarity=0.5, baseline_similarity_bounds=(1e-5, 1)):
self.baseline_similarity = baseline_similarity
self.baseline_similarity_bounds = baseline_similarity_bounds
@property
def hyperparameter_baseline_similarity(self):
return Hyperparameter(
"baseline_similarity", "numeric", self.baseline_similarity_bounds
)
def _f(self, s1, s2):
return sum(
[1.0 if c1 == c2 else self.baseline_similarity for c1 in s1 for c2 in s2]
)
def _g(self, s1, s2):
return sum([0.0 if c1 == c2 else 1.0 for c1 in s1 for c2 in s2])
def __call__(self, X, Y=None, eval_gradient=False):
if Y is None:
Y = X
if eval_gradient:
return (
np.array([[self._f(x, y) for y in Y] for x in X]),
np.array([[[self._g(x, y)] for y in Y] for x in X]),
)
else:
return np.array([[self._f(x, y) for y in Y] for x in X])
def diag(self, X):
return np.array([self._f(x, x) for x in X])
def clone_with_theta(self, theta):
cloned = clone(self)
cloned.theta = theta
return cloned

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"""Testing for Gaussian process classification"""
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
import warnings
import numpy as np
import pytest
from scipy.optimize import approx_fprime
from sklearn.exceptions import ConvergenceWarning
from sklearn.gaussian_process import GaussianProcessClassifier
from sklearn.gaussian_process.kernels import (
RBF,
CompoundKernel,
WhiteKernel,
)
from sklearn.gaussian_process.kernels import (
ConstantKernel as C,
)
from sklearn.gaussian_process.tests._mini_sequence_kernel import MiniSeqKernel
from sklearn.utils._testing import assert_almost_equal, assert_array_equal
def f(x):
return np.sin(x)
X = np.atleast_2d(np.linspace(0, 10, 30)).T
X2 = np.atleast_2d([2.0, 4.0, 5.5, 6.5, 7.5]).T
y = np.array(f(X).ravel() > 0, dtype=int)
fX = f(X).ravel()
y_mc = np.empty(y.shape, dtype=int) # multi-class
y_mc[fX < -0.35] = 0
y_mc[(fX >= -0.35) & (fX < 0.35)] = 1
y_mc[fX > 0.35] = 2
fixed_kernel = RBF(length_scale=1.0, length_scale_bounds="fixed")
kernels = [
RBF(length_scale=0.1),
fixed_kernel,
RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)),
C(1.0, (1e-2, 1e2)) * RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)),
]
non_fixed_kernels = [kernel for kernel in kernels if kernel != fixed_kernel]
@pytest.mark.parametrize("kernel", kernels)
def test_predict_consistent(kernel):
# Check binary predict decision has also predicted probability above 0.5.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
assert_array_equal(gpc.predict(X), gpc.predict_proba(X)[:, 1] >= 0.5)
def test_predict_consistent_structured():
# Check binary predict decision has also predicted probability above 0.5.
X = ["A", "AB", "B"]
y = np.array([True, False, True])
kernel = MiniSeqKernel(baseline_similarity_bounds="fixed")
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
assert_array_equal(gpc.predict(X), gpc.predict_proba(X)[:, 1] >= 0.5)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_lml_improving(kernel):
# Test that hyperparameter-tuning improves log-marginal likelihood.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
assert gpc.log_marginal_likelihood(gpc.kernel_.theta) > gpc.log_marginal_likelihood(
kernel.theta
)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_precomputed(kernel):
# Test that lml of optimized kernel is stored correctly.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
assert_almost_equal(
gpc.log_marginal_likelihood(gpc.kernel_.theta), gpc.log_marginal_likelihood(), 7
)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_without_cloning_kernel(kernel):
# Test that clone_kernel=False has side-effects of kernel.theta.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
input_theta = np.ones(gpc.kernel_.theta.shape, dtype=np.float64)
gpc.log_marginal_likelihood(input_theta, clone_kernel=False)
assert_almost_equal(gpc.kernel_.theta, input_theta, 7)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_converged_to_local_maximum(kernel):
# Test that we are in local maximum after hyperparameter-optimization.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
lml, lml_gradient = gpc.log_marginal_likelihood(gpc.kernel_.theta, True)
assert np.all(
(np.abs(lml_gradient) < 1e-4)
| (gpc.kernel_.theta == gpc.kernel_.bounds[:, 0])
| (gpc.kernel_.theta == gpc.kernel_.bounds[:, 1])
)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_gradient(kernel):
# Compare analytic and numeric gradient of log marginal likelihood.
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
lml, lml_gradient = gpc.log_marginal_likelihood(kernel.theta, True)
lml_gradient_approx = approx_fprime(
kernel.theta, lambda theta: gpc.log_marginal_likelihood(theta, False), 1e-10
)
assert_almost_equal(lml_gradient, lml_gradient_approx, 3)
def test_random_starts(global_random_seed):
# Test that an increasing number of random-starts of GP fitting only
# increases the log marginal likelihood of the chosen theta.
n_samples, n_features = 25, 2
rng = np.random.RandomState(global_random_seed)
X = rng.randn(n_samples, n_features) * 2 - 1
y = (np.sin(X).sum(axis=1) + np.sin(3 * X).sum(axis=1)) > 0
kernel = C(1.0, (1e-2, 1e2)) * RBF(
length_scale=[1e-3] * n_features, length_scale_bounds=[(1e-4, 1e2)] * n_features
)
last_lml = -np.inf
for n_restarts_optimizer in range(5):
gp = GaussianProcessClassifier(
kernel=kernel,
n_restarts_optimizer=n_restarts_optimizer,
random_state=global_random_seed,
).fit(X, y)
lml = gp.log_marginal_likelihood(gp.kernel_.theta)
assert lml > last_lml - np.finfo(np.float32).eps
last_lml = lml
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_custom_optimizer(kernel, global_random_seed):
# Test that GPC can use externally defined optimizers.
# Define a dummy optimizer that simply tests 10 random hyperparameters
def optimizer(obj_func, initial_theta, bounds):
rng = np.random.RandomState(global_random_seed)
theta_opt, func_min = (
initial_theta,
obj_func(initial_theta, eval_gradient=False),
)
for _ in range(10):
theta = np.atleast_1d(
rng.uniform(np.maximum(-2, bounds[:, 0]), np.minimum(1, bounds[:, 1]))
)
f = obj_func(theta, eval_gradient=False)
if f < func_min:
theta_opt, func_min = theta, f
return theta_opt, func_min
gpc = GaussianProcessClassifier(kernel=kernel, optimizer=optimizer)
gpc.fit(X, y_mc)
# Checks that optimizer improved marginal likelihood
assert gpc.log_marginal_likelihood(
gpc.kernel_.theta
) >= gpc.log_marginal_likelihood(kernel.theta)
@pytest.mark.parametrize("kernel", kernels)
def test_multi_class(kernel):
# Test GPC for multi-class classification problems.
gpc = GaussianProcessClassifier(kernel=kernel)
gpc.fit(X, y_mc)
y_prob = gpc.predict_proba(X2)
assert_almost_equal(y_prob.sum(1), 1)
y_pred = gpc.predict(X2)
assert_array_equal(np.argmax(y_prob, 1), y_pred)
@pytest.mark.parametrize("kernel", kernels)
def test_multi_class_n_jobs(kernel):
# Test that multi-class GPC produces identical results with n_jobs>1.
gpc = GaussianProcessClassifier(kernel=kernel)
gpc.fit(X, y_mc)
gpc_2 = GaussianProcessClassifier(kernel=kernel, n_jobs=2)
gpc_2.fit(X, y_mc)
y_prob = gpc.predict_proba(X2)
y_prob_2 = gpc_2.predict_proba(X2)
assert_almost_equal(y_prob, y_prob_2)
def test_warning_bounds():
kernel = RBF(length_scale_bounds=[1e-5, 1e-3])
gpc = GaussianProcessClassifier(kernel=kernel)
warning_message = (
"The optimal value found for dimension 0 of parameter "
"length_scale is close to the specified upper bound "
"0.001. Increasing the bound and calling fit again may "
"find a better value."
)
with pytest.warns(ConvergenceWarning, match=warning_message):
gpc.fit(X, y)
kernel_sum = WhiteKernel(noise_level_bounds=[1e-5, 1e-3]) + RBF(
length_scale_bounds=[1e3, 1e5]
)
gpc_sum = GaussianProcessClassifier(kernel=kernel_sum)
with warnings.catch_warnings(record=True) as record:
warnings.simplefilter("always")
gpc_sum.fit(X, y)
assert len(record) == 2
assert issubclass(record[0].category, ConvergenceWarning)
assert (
record[0].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"k1__noise_level is close to the "
"specified upper bound 0.001. "
"Increasing the bound and calling "
"fit again may find a better value."
)
assert issubclass(record[1].category, ConvergenceWarning)
assert (
record[1].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"k2__length_scale is close to the "
"specified lower bound 1000.0. "
"Decreasing the bound and calling "
"fit again may find a better value."
)
X_tile = np.tile(X, 2)
kernel_dims = RBF(length_scale=[1.0, 2.0], length_scale_bounds=[1e1, 1e2])
gpc_dims = GaussianProcessClassifier(kernel=kernel_dims)
with warnings.catch_warnings(record=True) as record:
warnings.simplefilter("always")
gpc_dims.fit(X_tile, y)
assert len(record) == 2
assert issubclass(record[0].category, ConvergenceWarning)
assert (
record[0].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"length_scale is close to the "
"specified upper bound 100.0. "
"Increasing the bound and calling "
"fit again may find a better value."
)
assert issubclass(record[1].category, ConvergenceWarning)
assert (
record[1].message.args[0] == "The optimal value found for "
"dimension 1 of parameter "
"length_scale is close to the "
"specified upper bound 100.0. "
"Increasing the bound and calling "
"fit again may find a better value."
)
@pytest.mark.parametrize(
"params, error_type, err_msg",
[
(
{"kernel": CompoundKernel(0)},
ValueError,
"kernel cannot be a CompoundKernel",
)
],
)
def test_gpc_fit_error(params, error_type, err_msg):
"""Check that expected error are raised during fit."""
gpc = GaussianProcessClassifier(**params)
with pytest.raises(error_type, match=err_msg):
gpc.fit(X, y)
@pytest.mark.parametrize("kernel", kernels)
def test_gpc_latent_mean_and_variance_shape(kernel):
"""Checks that the latent mean and variance have the right shape."""
gpc = GaussianProcessClassifier(kernel=kernel)
gpc.fit(X, y)
# Check that the latent mean and variance have the right shape
latent_mean, latent_variance = gpc.latent_mean_and_variance(X)
assert latent_mean.shape == (X.shape[0],)
assert latent_variance.shape == (X.shape[0],)
def test_gpc_latent_mean_and_variance_complain_on_more_than_2_classes():
"""Checks that the latent mean and variance have the right shape."""
gpc = GaussianProcessClassifier(kernel=RBF())
gpc.fit(X, y_mc)
# Check that the latent mean and variance have the right shape
with pytest.raises(
ValueError,
match="Returning the mean and variance of the latent function f "
"is only supported for binary classification",
):
gpc.latent_mean_and_variance(X)
def test_latent_mean_and_variance_works_on_structured_kernels():
X = ["A", "AB", "B"]
y = np.array([True, False, True])
kernel = MiniSeqKernel(baseline_similarity_bounds="fixed")
gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y)
gpc.latent_mean_and_variance(X)

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"""Testing for Gaussian process regression"""
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
import re
import sys
import warnings
import numpy as np
import pytest
from scipy.optimize import approx_fprime
from sklearn.exceptions import ConvergenceWarning
from sklearn.gaussian_process import GaussianProcessRegressor
from sklearn.gaussian_process.kernels import (
RBF,
DotProduct,
ExpSineSquared,
WhiteKernel,
)
from sklearn.gaussian_process.kernels import (
ConstantKernel as C,
)
from sklearn.gaussian_process.tests._mini_sequence_kernel import MiniSeqKernel
from sklearn.utils._testing import (
assert_allclose,
assert_almost_equal,
assert_array_almost_equal,
assert_array_less,
)
def f(x):
return x * np.sin(x)
X = np.atleast_2d([1.0, 3.0, 5.0, 6.0, 7.0, 8.0]).T
X2 = np.atleast_2d([2.0, 4.0, 5.5, 6.5, 7.5]).T
y = f(X).ravel()
fixed_kernel = RBF(length_scale=1.0, length_scale_bounds="fixed")
kernels = [
RBF(length_scale=1.0),
fixed_kernel,
RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)),
C(1.0, (1e-2, 1e2)) * RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)),
C(1.0, (1e-2, 1e2)) * RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3))
+ C(1e-5, (1e-5, 1e2)),
C(0.1, (1e-2, 1e2)) * RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3))
+ C(1e-5, (1e-5, 1e2)),
]
non_fixed_kernels = [kernel for kernel in kernels if kernel != fixed_kernel]
@pytest.mark.parametrize("kernel", kernels)
def test_gpr_interpolation(kernel):
if sys.maxsize <= 2**32:
pytest.xfail("This test may fail on 32 bit Python")
# Test the interpolating property for different kernels.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
y_pred, y_cov = gpr.predict(X, return_cov=True)
assert_almost_equal(y_pred, y)
assert_almost_equal(np.diag(y_cov), 0.0)
def test_gpr_interpolation_structured():
# Test the interpolating property for different kernels.
kernel = MiniSeqKernel(baseline_similarity_bounds="fixed")
X = ["A", "B", "C"]
y = np.array([1, 2, 3])
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
y_pred, y_cov = gpr.predict(X, return_cov=True)
assert_almost_equal(
kernel(X, eval_gradient=True)[1].ravel(), (1 - np.eye(len(X))).ravel()
)
assert_almost_equal(y_pred, y)
assert_almost_equal(np.diag(y_cov), 0.0)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_lml_improving(kernel):
if sys.maxsize <= 2**32:
pytest.xfail("This test may fail on 32 bit Python")
# Test that hyperparameter-tuning improves log-marginal likelihood.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
assert gpr.log_marginal_likelihood(gpr.kernel_.theta) > gpr.log_marginal_likelihood(
kernel.theta
)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_precomputed(kernel):
# Test that lml of optimized kernel is stored correctly.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
assert gpr.log_marginal_likelihood(gpr.kernel_.theta) == pytest.approx(
gpr.log_marginal_likelihood()
)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_without_cloning_kernel(kernel):
# Test that lml of optimized kernel is stored correctly.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
input_theta = np.ones(gpr.kernel_.theta.shape, dtype=np.float64)
gpr.log_marginal_likelihood(input_theta, clone_kernel=False)
assert_almost_equal(gpr.kernel_.theta, input_theta, 7)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_converged_to_local_maximum(kernel):
# Test that we are in local maximum after hyperparameter-optimization.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
lml, lml_gradient = gpr.log_marginal_likelihood(gpr.kernel_.theta, True)
assert np.all(
(np.abs(lml_gradient) < 1e-4)
| (gpr.kernel_.theta == gpr.kernel_.bounds[:, 0])
| (gpr.kernel_.theta == gpr.kernel_.bounds[:, 1])
)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_solution_inside_bounds(kernel):
# Test that hyperparameter-optimization remains in bounds#
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
bounds = gpr.kernel_.bounds
max_ = np.finfo(gpr.kernel_.theta.dtype).max
tiny = 1e-10
bounds[~np.isfinite(bounds[:, 1]), 1] = max_
assert_array_less(bounds[:, 0], gpr.kernel_.theta + tiny)
assert_array_less(gpr.kernel_.theta, bounds[:, 1] + tiny)
@pytest.mark.parametrize("kernel", kernels)
def test_lml_gradient(kernel):
# Compare analytic and numeric gradient of log marginal likelihood.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
lml, lml_gradient = gpr.log_marginal_likelihood(kernel.theta, True)
lml_gradient_approx = approx_fprime(
kernel.theta, lambda theta: gpr.log_marginal_likelihood(theta, False), 1e-10
)
assert_almost_equal(lml_gradient, lml_gradient_approx, 3)
@pytest.mark.parametrize("kernel", kernels)
def test_prior(kernel):
# Test that GP prior has mean 0 and identical variances.
gpr = GaussianProcessRegressor(kernel=kernel)
y_mean, y_cov = gpr.predict(X, return_cov=True)
assert_almost_equal(y_mean, 0, 5)
if len(gpr.kernel.theta) > 1:
# XXX: quite hacky, works only for current kernels
assert_almost_equal(np.diag(y_cov), np.exp(kernel.theta[0]), 5)
else:
assert_almost_equal(np.diag(y_cov), 1, 5)
@pytest.mark.parametrize("kernel", kernels)
def test_sample_statistics(kernel):
# Test that statistics of samples drawn from GP are correct.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
y_mean, y_cov = gpr.predict(X2, return_cov=True)
samples = gpr.sample_y(X2, 300000)
# More digits accuracy would require many more samples
assert_almost_equal(y_mean, np.mean(samples, 1), 1)
assert_almost_equal(
np.diag(y_cov) / np.diag(y_cov).max(),
np.var(samples, 1) / np.diag(y_cov).max(),
1,
)
def test_no_optimizer():
# Test that kernel parameters are unmodified when optimizer is None.
kernel = RBF(1.0)
gpr = GaussianProcessRegressor(kernel=kernel, optimizer=None).fit(X, y)
assert np.exp(gpr.kernel_.theta) == 1.0
@pytest.mark.parametrize("kernel", kernels)
@pytest.mark.parametrize("target", [y, np.ones(X.shape[0], dtype=np.float64)])
def test_predict_cov_vs_std(kernel, target):
if sys.maxsize <= 2**32:
pytest.xfail("This test may fail on 32 bit Python")
# Test that predicted std.-dev. is consistent with cov's diagonal.
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
y_mean, y_cov = gpr.predict(X2, return_cov=True)
y_mean, y_std = gpr.predict(X2, return_std=True)
assert_almost_equal(np.sqrt(np.diag(y_cov)), y_std)
def test_anisotropic_kernel():
# Test that GPR can identify meaningful anisotropic length-scales.
# We learn a function which varies in one dimension ten-times slower
# than in the other. The corresponding length-scales should differ by at
# least a factor 5
rng = np.random.RandomState(0)
X = rng.uniform(-1, 1, (50, 2))
y = X[:, 0] + 0.1 * X[:, 1]
kernel = RBF([1.0, 1.0])
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
assert np.exp(gpr.kernel_.theta[1]) > np.exp(gpr.kernel_.theta[0]) * 5
def test_random_starts():
# Test that an increasing number of random-starts of GP fitting only
# increases the log marginal likelihood of the chosen theta.
n_samples, n_features = 25, 2
rng = np.random.RandomState(0)
X = rng.randn(n_samples, n_features) * 2 - 1
y = (
np.sin(X).sum(axis=1)
+ np.sin(3 * X).sum(axis=1)
+ rng.normal(scale=0.1, size=n_samples)
)
kernel = C(1.0, (1e-2, 1e2)) * RBF(
length_scale=[1.0] * n_features, length_scale_bounds=[(1e-4, 1e2)] * n_features
) + WhiteKernel(noise_level=1e-5, noise_level_bounds=(1e-5, 1e1))
last_lml = -np.inf
for n_restarts_optimizer in range(5):
gp = GaussianProcessRegressor(
kernel=kernel,
n_restarts_optimizer=n_restarts_optimizer,
random_state=0,
).fit(X, y)
lml = gp.log_marginal_likelihood(gp.kernel_.theta)
assert lml > last_lml - np.finfo(np.float32).eps
last_lml = lml
@pytest.mark.parametrize("kernel", kernels)
def test_y_normalization(kernel):
"""
Test normalization of the target values in GP
Fitting non-normalizing GP on normalized y and fitting normalizing GP
on unnormalized y should yield identical results. Note that, here,
'normalized y' refers to y that has been made zero mean and unit
variance.
"""
y_mean = np.mean(y)
y_std = np.std(y)
y_norm = (y - y_mean) / y_std
# Fit non-normalizing GP on normalized y
gpr = GaussianProcessRegressor(kernel=kernel)
gpr.fit(X, y_norm)
# Fit normalizing GP on unnormalized y
gpr_norm = GaussianProcessRegressor(kernel=kernel, normalize_y=True)
gpr_norm.fit(X, y)
# Compare predicted mean, std-devs and covariances
y_pred, y_pred_std = gpr.predict(X2, return_std=True)
y_pred = y_pred * y_std + y_mean
y_pred_std = y_pred_std * y_std
y_pred_norm, y_pred_std_norm = gpr_norm.predict(X2, return_std=True)
assert_almost_equal(y_pred, y_pred_norm)
assert_almost_equal(y_pred_std, y_pred_std_norm)
_, y_cov = gpr.predict(X2, return_cov=True)
y_cov = y_cov * y_std**2
_, y_cov_norm = gpr_norm.predict(X2, return_cov=True)
assert_almost_equal(y_cov, y_cov_norm)
def test_large_variance_y():
"""
Here we test that, when noramlize_y=True, our GP can produce a
sensible fit to training data whose variance is significantly
larger than unity. This test was made in response to issue #15612.
GP predictions are verified against predictions that were made
using GPy which, here, is treated as the 'gold standard'. Note that we
only investigate the RBF kernel here, as that is what was used in the
GPy implementation.
The following code can be used to recreate the GPy data:
--------------------------------------------------------------------------
import GPy
kernel_gpy = GPy.kern.RBF(input_dim=1, lengthscale=1.)
gpy = GPy.models.GPRegression(X, np.vstack(y_large), kernel_gpy)
gpy.optimize()
y_pred_gpy, y_var_gpy = gpy.predict(X2)
y_pred_std_gpy = np.sqrt(y_var_gpy)
--------------------------------------------------------------------------
"""
# Here we utilise a larger variance version of the training data
y_large = 10 * y
# Standard GP with normalize_y=True
RBF_params = {"length_scale": 1.0}
kernel = RBF(**RBF_params)
gpr = GaussianProcessRegressor(kernel=kernel, normalize_y=True)
gpr.fit(X, y_large)
y_pred, y_pred_std = gpr.predict(X2, return_std=True)
# 'Gold standard' mean predictions from GPy
y_pred_gpy = np.array(
[15.16918303, -27.98707845, -39.31636019, 14.52605515, 69.18503589]
)
# 'Gold standard' std predictions from GPy
y_pred_std_gpy = np.array(
[7.78860962, 3.83179178, 0.63149951, 0.52745188, 0.86170042]
)
# Based on numerical experiments, it's reasonable to expect our
# GP's mean predictions to get within 7% of predictions of those
# made by GPy.
assert_allclose(y_pred, y_pred_gpy, rtol=0.07, atol=0)
# Based on numerical experiments, it's reasonable to expect our
# GP's std predictions to get within 15% of predictions of those
# made by GPy.
assert_allclose(y_pred_std, y_pred_std_gpy, rtol=0.15, atol=0)
def test_y_multioutput():
# Test that GPR can deal with multi-dimensional target values
y_2d = np.vstack((y, y * 2)).T
# Test for fixed kernel that first dimension of 2d GP equals the output
# of 1d GP and that second dimension is twice as large
kernel = RBF(length_scale=1.0)
gpr = GaussianProcessRegressor(kernel=kernel, optimizer=None, normalize_y=False)
gpr.fit(X, y)
gpr_2d = GaussianProcessRegressor(kernel=kernel, optimizer=None, normalize_y=False)
gpr_2d.fit(X, y_2d)
y_pred_1d, y_std_1d = gpr.predict(X2, return_std=True)
y_pred_2d, y_std_2d = gpr_2d.predict(X2, return_std=True)
_, y_cov_1d = gpr.predict(X2, return_cov=True)
_, y_cov_2d = gpr_2d.predict(X2, return_cov=True)
assert_almost_equal(y_pred_1d, y_pred_2d[:, 0])
assert_almost_equal(y_pred_1d, y_pred_2d[:, 1] / 2)
# Standard deviation and covariance do not depend on output
for target in range(y_2d.shape[1]):
assert_almost_equal(y_std_1d, y_std_2d[..., target])
assert_almost_equal(y_cov_1d, y_cov_2d[..., target])
y_sample_1d = gpr.sample_y(X2, n_samples=10)
y_sample_2d = gpr_2d.sample_y(X2, n_samples=10)
assert y_sample_1d.shape == (5, 10)
assert y_sample_2d.shape == (5, 2, 10)
# Only the first target will be equal
assert_almost_equal(y_sample_1d, y_sample_2d[:, 0, :])
# Test hyperparameter optimization
for kernel in kernels:
gpr = GaussianProcessRegressor(kernel=kernel, normalize_y=True)
gpr.fit(X, y)
gpr_2d = GaussianProcessRegressor(kernel=kernel, normalize_y=True)
gpr_2d.fit(X, np.vstack((y, y)).T)
assert_almost_equal(gpr.kernel_.theta, gpr_2d.kernel_.theta, 4)
@pytest.mark.parametrize("kernel", non_fixed_kernels)
def test_custom_optimizer(kernel):
# Test that GPR can use externally defined optimizers.
# Define a dummy optimizer that simply tests 50 random hyperparameters
def optimizer(obj_func, initial_theta, bounds):
rng = np.random.RandomState(0)
theta_opt, func_min = (
initial_theta,
obj_func(initial_theta, eval_gradient=False),
)
for _ in range(50):
theta = np.atleast_1d(
rng.uniform(np.maximum(-2, bounds[:, 0]), np.minimum(1, bounds[:, 1]))
)
f = obj_func(theta, eval_gradient=False)
if f < func_min:
theta_opt, func_min = theta, f
return theta_opt, func_min
gpr = GaussianProcessRegressor(kernel=kernel, optimizer=optimizer)
gpr.fit(X, y)
# Checks that optimizer improved marginal likelihood
assert gpr.log_marginal_likelihood(gpr.kernel_.theta) > gpr.log_marginal_likelihood(
gpr.kernel.theta
)
def test_gpr_correct_error_message():
X = np.arange(12).reshape(6, -1)
y = np.ones(6)
kernel = DotProduct()
gpr = GaussianProcessRegressor(kernel=kernel, alpha=0.0)
message = (
"The kernel, %s, is not returning a "
"positive definite matrix. Try gradually increasing "
"the 'alpha' parameter of your "
"GaussianProcessRegressor estimator." % kernel
)
with pytest.raises(np.linalg.LinAlgError, match=re.escape(message)):
gpr.fit(X, y)
@pytest.mark.parametrize("kernel", kernels)
def test_duplicate_input(kernel):
# Test GPR can handle two different output-values for the same input.
gpr_equal_inputs = GaussianProcessRegressor(kernel=kernel, alpha=1e-2)
gpr_similar_inputs = GaussianProcessRegressor(kernel=kernel, alpha=1e-2)
X_ = np.vstack((X, X[0]))
y_ = np.hstack((y, y[0] + 1))
gpr_equal_inputs.fit(X_, y_)
X_ = np.vstack((X, X[0] + 1e-15))
y_ = np.hstack((y, y[0] + 1))
gpr_similar_inputs.fit(X_, y_)
X_test = np.linspace(0, 10, 100)[:, None]
y_pred_equal, y_std_equal = gpr_equal_inputs.predict(X_test, return_std=True)
y_pred_similar, y_std_similar = gpr_similar_inputs.predict(X_test, return_std=True)
assert_almost_equal(y_pred_equal, y_pred_similar)
assert_almost_equal(y_std_equal, y_std_similar)
def test_no_fit_default_predict():
# Test that GPR predictions without fit does not break by default.
default_kernel = C(1.0, constant_value_bounds="fixed") * RBF(
1.0, length_scale_bounds="fixed"
)
gpr1 = GaussianProcessRegressor()
_, y_std1 = gpr1.predict(X, return_std=True)
_, y_cov1 = gpr1.predict(X, return_cov=True)
gpr2 = GaussianProcessRegressor(kernel=default_kernel)
_, y_std2 = gpr2.predict(X, return_std=True)
_, y_cov2 = gpr2.predict(X, return_cov=True)
assert_array_almost_equal(y_std1, y_std2)
assert_array_almost_equal(y_cov1, y_cov2)
def test_warning_bounds():
kernel = RBF(length_scale_bounds=[1e-5, 1e-3])
gpr = GaussianProcessRegressor(kernel=kernel)
warning_message = (
"The optimal value found for dimension 0 of parameter "
"length_scale is close to the specified upper bound "
"0.001. Increasing the bound and calling fit again may "
"find a better value."
)
with pytest.warns(ConvergenceWarning, match=warning_message):
gpr.fit(X, y)
kernel_sum = WhiteKernel(noise_level_bounds=[1e-5, 1e-3]) + RBF(
length_scale_bounds=[1e3, 1e5]
)
gpr_sum = GaussianProcessRegressor(kernel=kernel_sum)
with warnings.catch_warnings(record=True) as record:
warnings.simplefilter("always")
gpr_sum.fit(X, y)
assert len(record) == 2
assert issubclass(record[0].category, ConvergenceWarning)
assert (
record[0].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"k1__noise_level is close to the "
"specified upper bound 0.001. "
"Increasing the bound and calling "
"fit again may find a better value."
)
assert issubclass(record[1].category, ConvergenceWarning)
assert (
record[1].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"k2__length_scale is close to the "
"specified lower bound 1000.0. "
"Decreasing the bound and calling "
"fit again may find a better value."
)
X_tile = np.tile(X, 2)
kernel_dims = RBF(length_scale=[1.0, 2.0], length_scale_bounds=[1e1, 1e2])
gpr_dims = GaussianProcessRegressor(kernel=kernel_dims)
with warnings.catch_warnings(record=True) as record:
warnings.simplefilter("always")
gpr_dims.fit(X_tile, y)
assert len(record) == 2
assert issubclass(record[0].category, ConvergenceWarning)
assert (
record[0].message.args[0] == "The optimal value found for "
"dimension 0 of parameter "
"length_scale is close to the "
"specified lower bound 10.0. "
"Decreasing the bound and calling "
"fit again may find a better value."
)
assert issubclass(record[1].category, ConvergenceWarning)
assert (
record[1].message.args[0] == "The optimal value found for "
"dimension 1 of parameter "
"length_scale is close to the "
"specified lower bound 10.0. "
"Decreasing the bound and calling "
"fit again may find a better value."
)
def test_bound_check_fixed_hyperparameter():
# Regression test for issue #17943
# Check that having a hyperparameter with fixed bounds doesn't cause an
# error
k1 = 50.0**2 * RBF(length_scale=50.0) # long term smooth rising trend
k2 = ExpSineSquared(
length_scale=1.0, periodicity=1.0, periodicity_bounds="fixed"
) # seasonal component
kernel = k1 + k2
GaussianProcessRegressor(kernel=kernel).fit(X, y)
@pytest.mark.parametrize("kernel", kernels)
def test_constant_target(kernel):
"""Check that the std. dev. is affected to 1 when normalizing a constant
feature.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/18318
NaN where affected to the target when scaling due to null std. dev. with
constant target.
"""
y_constant = np.ones(X.shape[0], dtype=np.float64)
gpr = GaussianProcessRegressor(kernel=kernel, normalize_y=True)
gpr.fit(X, y_constant)
assert gpr._y_train_std == pytest.approx(1.0)
y_pred, y_cov = gpr.predict(X, return_cov=True)
assert_allclose(y_pred, y_constant)
# set atol because we compare to zero
assert_allclose(np.diag(y_cov), 0.0, atol=1e-9)
# Test multi-target data
n_samples, n_targets = X.shape[0], 2
rng = np.random.RandomState(0)
y = np.concatenate(
[
rng.normal(size=(n_samples, 1)), # non-constant target
np.full(shape=(n_samples, 1), fill_value=2), # constant target
],
axis=1,
)
gpr.fit(X, y)
Y_pred, Y_cov = gpr.predict(X, return_cov=True)
assert_allclose(Y_pred[:, 1], 2)
assert_allclose(np.diag(Y_cov[..., 1]), 0.0, atol=1e-9)
assert Y_pred.shape == (n_samples, n_targets)
assert Y_cov.shape == (n_samples, n_samples, n_targets)
def test_gpr_consistency_std_cov_non_invertible_kernel():
"""Check the consistency between the returned std. dev. and the covariance.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/19936
Inconsistencies were observed when the kernel cannot be inverted (or
numerically stable).
"""
kernel = C(8.98576054e05, (1e-12, 1e12)) * RBF(
[5.91326520e02, 1.32584051e03], (1e-12, 1e12)
) + WhiteKernel(noise_level=1e-5)
gpr = GaussianProcessRegressor(kernel=kernel, alpha=0, optimizer=None)
X_train = np.array(
[
[0.0, 0.0],
[1.54919334, -0.77459667],
[-1.54919334, 0.0],
[0.0, -1.54919334],
[0.77459667, 0.77459667],
[-0.77459667, 1.54919334],
]
)
y_train = np.array(
[
[-2.14882017e-10],
[-4.66975823e00],
[4.01823986e00],
[-1.30303674e00],
[-1.35760156e00],
[3.31215668e00],
]
)
gpr.fit(X_train, y_train)
X_test = np.array(
[
[-1.93649167, -1.93649167],
[1.93649167, -1.93649167],
[-1.93649167, 1.93649167],
[1.93649167, 1.93649167],
]
)
pred1, std = gpr.predict(X_test, return_std=True)
pred2, cov = gpr.predict(X_test, return_cov=True)
assert_allclose(std, np.sqrt(np.diagonal(cov)), rtol=1e-5)
@pytest.mark.parametrize(
"params, TypeError, err_msg",
[
(
{"alpha": np.zeros(100)},
ValueError,
"alpha must be a scalar or an array with same number of entries as y",
),
(
{
"kernel": WhiteKernel(noise_level_bounds=(-np.inf, np.inf)),
"n_restarts_optimizer": 2,
},
ValueError,
"requires that all bounds are finite",
),
],
)
def test_gpr_fit_error(params, TypeError, err_msg):
"""Check that expected error are raised during fit."""
gpr = GaussianProcessRegressor(**params)
with pytest.raises(TypeError, match=err_msg):
gpr.fit(X, y)
def test_gpr_lml_error():
"""Check that we raise the proper error in the LML method."""
gpr = GaussianProcessRegressor(kernel=RBF()).fit(X, y)
err_msg = "Gradient can only be evaluated for theta!=None"
with pytest.raises(ValueError, match=err_msg):
gpr.log_marginal_likelihood(eval_gradient=True)
def test_gpr_predict_error():
"""Check that we raise the proper error during predict."""
gpr = GaussianProcessRegressor(kernel=RBF()).fit(X, y)
err_msg = "At most one of return_std or return_cov can be requested."
with pytest.raises(RuntimeError, match=err_msg):
gpr.predict(X, return_cov=True, return_std=True)
@pytest.mark.parametrize("normalize_y", [True, False])
@pytest.mark.parametrize("n_targets", [None, 1, 10])
def test_predict_shapes(normalize_y, n_targets):
"""Check the shapes of y_mean, y_std, and y_cov in single-output
(n_targets=None) and multi-output settings, including the edge case when
n_targets=1, where the sklearn convention is to squeeze the predictions.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/17394
https://github.com/scikit-learn/scikit-learn/issues/18065
https://github.com/scikit-learn/scikit-learn/issues/22174
"""
rng = np.random.RandomState(1234)
n_features, n_samples_train, n_samples_test = 6, 9, 7
y_train_shape = (n_samples_train,)
if n_targets is not None:
y_train_shape = y_train_shape + (n_targets,)
# By convention single-output data is squeezed upon prediction
y_test_shape = (n_samples_test,)
if n_targets is not None and n_targets > 1:
y_test_shape = y_test_shape + (n_targets,)
X_train = rng.randn(n_samples_train, n_features)
X_test = rng.randn(n_samples_test, n_features)
y_train = rng.randn(*y_train_shape)
model = GaussianProcessRegressor(normalize_y=normalize_y)
model.fit(X_train, y_train)
y_pred, y_std = model.predict(X_test, return_std=True)
_, y_cov = model.predict(X_test, return_cov=True)
assert y_pred.shape == y_test_shape
assert y_std.shape == y_test_shape
assert y_cov.shape == (n_samples_test,) + y_test_shape
@pytest.mark.parametrize("normalize_y", [True, False])
@pytest.mark.parametrize("n_targets", [None, 1, 10])
def test_sample_y_shapes(normalize_y, n_targets):
"""Check the shapes of y_samples in single-output (n_targets=0) and
multi-output settings, including the edge case when n_targets=1, where the
sklearn convention is to squeeze the predictions.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/22175
"""
rng = np.random.RandomState(1234)
n_features, n_samples_train = 6, 9
# Number of spatial locations to predict at
n_samples_X_test = 7
# Number of sample predictions per test point
n_samples_y_test = 5
y_train_shape = (n_samples_train,)
if n_targets is not None:
y_train_shape = y_train_shape + (n_targets,)
# By convention single-output data is squeezed upon prediction
if n_targets is not None and n_targets > 1:
y_test_shape = (n_samples_X_test, n_targets, n_samples_y_test)
else:
y_test_shape = (n_samples_X_test, n_samples_y_test)
X_train = rng.randn(n_samples_train, n_features)
X_test = rng.randn(n_samples_X_test, n_features)
y_train = rng.randn(*y_train_shape)
model = GaussianProcessRegressor(normalize_y=normalize_y)
# FIXME: before fitting, the estimator does not have information regarding
# the number of targets and default to 1. This is inconsistent with the shape
# provided after `fit`. This assert should be made once the following issue
# is fixed:
# https://github.com/scikit-learn/scikit-learn/issues/22430
# y_samples = model.sample_y(X_test, n_samples=n_samples_y_test)
# assert y_samples.shape == y_test_shape
model.fit(X_train, y_train)
y_samples = model.sample_y(X_test, n_samples=n_samples_y_test)
assert y_samples.shape == y_test_shape
@pytest.mark.parametrize("n_targets", [None, 1, 2, 3])
@pytest.mark.parametrize("n_samples", [1, 5])
def test_sample_y_shape_with_prior(n_targets, n_samples):
"""Check the output shape of `sample_y` is consistent before and after `fit`."""
rng = np.random.RandomState(1024)
X = rng.randn(10, 3)
y = rng.randn(10, n_targets if n_targets is not None else 1)
model = GaussianProcessRegressor(n_targets=n_targets)
shape_before_fit = model.sample_y(X, n_samples=n_samples).shape
model.fit(X, y)
shape_after_fit = model.sample_y(X, n_samples=n_samples).shape
assert shape_before_fit == shape_after_fit
@pytest.mark.parametrize("n_targets", [None, 1, 2, 3])
def test_predict_shape_with_prior(n_targets):
"""Check the output shape of `predict` with prior distribution."""
rng = np.random.RandomState(1024)
n_sample = 10
X = rng.randn(n_sample, 3)
y = rng.randn(n_sample, n_targets if n_targets is not None else 1)
model = GaussianProcessRegressor(n_targets=n_targets)
mean_prior, cov_prior = model.predict(X, return_cov=True)
_, std_prior = model.predict(X, return_std=True)
model.fit(X, y)
mean_post, cov_post = model.predict(X, return_cov=True)
_, std_post = model.predict(X, return_std=True)
assert mean_prior.shape == mean_post.shape
assert cov_prior.shape == cov_post.shape
assert std_prior.shape == std_post.shape
def test_n_targets_error():
"""Check that an error is raised when the number of targets seen at fit is
inconsistent with n_targets.
"""
rng = np.random.RandomState(0)
X = rng.randn(10, 3)
y = rng.randn(10, 2)
model = GaussianProcessRegressor(n_targets=1)
with pytest.raises(ValueError, match="The number of targets seen in `y`"):
model.fit(X, y)
class CustomKernel(C):
"""
A custom kernel that has a diag method that returns the first column of the
input matrix X. This is a helper for the test to check that the input
matrix X is not mutated.
"""
def diag(self, X):
return X[:, 0]
def test_gpr_predict_input_not_modified():
"""
Check that the input X is not modified by the predict method of the
GaussianProcessRegressor when setting return_std=True.
Non-regression test for:
https://github.com/scikit-learn/scikit-learn/issues/24340
"""
gpr = GaussianProcessRegressor(kernel=CustomKernel()).fit(X, y)
X2_copy = np.copy(X2)
_, _ = gpr.predict(X2, return_std=True)
assert_allclose(X2, X2_copy)
@pytest.mark.parametrize("kernel", kernels)
def test_gpr_predict_no_cov_no_std_return(kernel):
"""
Check that only y_mean is returned when return_cov=False and
return_std=False.
"""
gpr = GaussianProcessRegressor(kernel=kernel).fit(X, y)
y_pred = gpr.predict(X, return_cov=False, return_std=False)
assert_allclose(y_pred, y)

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"""Testing for kernels for Gaussian processes."""
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
from inspect import signature
import numpy as np
import pytest
from sklearn.base import clone
from sklearn.gaussian_process.kernels import (
RBF,
CompoundKernel,
ConstantKernel,
DotProduct,
Exponentiation,
ExpSineSquared,
KernelOperator,
Matern,
PairwiseKernel,
RationalQuadratic,
WhiteKernel,
_approx_fprime,
)
from sklearn.metrics.pairwise import (
PAIRWISE_KERNEL_FUNCTIONS,
euclidean_distances,
pairwise_kernels,
)
from sklearn.utils._testing import (
assert_allclose,
assert_almost_equal,
assert_array_almost_equal,
assert_array_equal,
)
X = np.random.RandomState(0).normal(0, 1, (5, 2))
Y = np.random.RandomState(0).normal(0, 1, (6, 2))
# Set shared test data as read-only to avoid unintentional in-place
# modifications that would introduce side-effects between tests.
X.flags.writeable = False
Y.flags.writeable = False
kernel_rbf_plus_white = RBF(length_scale=2.0) + WhiteKernel(noise_level=3.0)
kernels = [
RBF(length_scale=2.0),
RBF(length_scale_bounds=(0.5, 2.0)),
ConstantKernel(constant_value=10.0),
2.0 * RBF(length_scale=0.33, length_scale_bounds="fixed"),
2.0 * RBF(length_scale=0.5),
kernel_rbf_plus_white,
2.0 * RBF(length_scale=[0.5, 2.0]),
2.0 * Matern(length_scale=0.33, length_scale_bounds="fixed"),
2.0 * Matern(length_scale=0.5, nu=0.5),
2.0 * Matern(length_scale=1.5, nu=1.5),
2.0 * Matern(length_scale=2.5, nu=2.5),
2.0 * Matern(length_scale=[0.5, 2.0], nu=0.5),
3.0 * Matern(length_scale=[2.0, 0.5], nu=1.5),
4.0 * Matern(length_scale=[0.5, 0.5], nu=2.5),
RationalQuadratic(length_scale=0.5, alpha=1.5),
ExpSineSquared(length_scale=0.5, periodicity=1.5),
DotProduct(sigma_0=2.0),
DotProduct(sigma_0=2.0) ** 2,
RBF(length_scale=[2.0]),
Matern(length_scale=[2.0]),
]
for metric in PAIRWISE_KERNEL_FUNCTIONS:
if metric in ["additive_chi2", "chi2"]:
continue
kernels.append(PairwiseKernel(gamma=1.0, metric=metric))
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_gradient(kernel):
# Compare analytic and numeric gradient of kernels.
kernel = clone(kernel) # make tests independent of one-another
K, K_gradient = kernel(X, eval_gradient=True)
assert K_gradient.shape[0] == X.shape[0]
assert K_gradient.shape[1] == X.shape[0]
assert K_gradient.shape[2] == kernel.theta.shape[0]
def eval_kernel_for_theta(theta):
kernel_clone = kernel.clone_with_theta(theta)
K = kernel_clone(X, eval_gradient=False)
return K
K_gradient_approx = _approx_fprime(kernel.theta, eval_kernel_for_theta, 1e-10)
assert_almost_equal(K_gradient, K_gradient_approx, 4)
@pytest.mark.parametrize(
"kernel",
[
kernel
for kernel in kernels
# skip non-basic kernels
if not (isinstance(kernel, (KernelOperator, Exponentiation)))
],
)
def test_kernel_theta(kernel):
# Check that parameter vector theta of kernel is set correctly.
kernel = clone(kernel) # make tests independent of one-another
theta = kernel.theta
_, K_gradient = kernel(X, eval_gradient=True)
# Determine kernel parameters that contribute to theta
init_sign = signature(kernel.__class__.__init__).parameters.values()
args = [p.name for p in init_sign if p.name != "self"]
theta_vars = map(
lambda s: s[0 : -len("_bounds")], filter(lambda s: s.endswith("_bounds"), args)
)
assert set(hyperparameter.name for hyperparameter in kernel.hyperparameters) == set(
theta_vars
)
# Check that values returned in theta are consistent with
# hyperparameter values (being their logarithms)
for i, hyperparameter in enumerate(kernel.hyperparameters):
assert theta[i] == np.log(getattr(kernel, hyperparameter.name))
# Fixed kernel parameters must be excluded from theta and gradient.
for i, hyperparameter in enumerate(kernel.hyperparameters):
# create copy with certain hyperparameter fixed
params = kernel.get_params()
params[hyperparameter.name + "_bounds"] = "fixed"
kernel_class = kernel.__class__
new_kernel = kernel_class(**params)
# Check that theta and K_gradient are identical with the fixed
# dimension left out
_, K_gradient_new = new_kernel(X, eval_gradient=True)
assert theta.shape[0] == new_kernel.theta.shape[0] + 1
assert K_gradient.shape[2] == K_gradient_new.shape[2] + 1
if i > 0:
assert theta[:i] == new_kernel.theta[:i]
assert_array_equal(K_gradient[..., :i], K_gradient_new[..., :i])
if i + 1 < len(kernel.hyperparameters):
assert theta[i + 1 :] == new_kernel.theta[i:]
assert_array_equal(K_gradient[..., i + 1 :], K_gradient_new[..., i:])
# Check that values of theta are modified correctly
for i, hyperparameter in enumerate(kernel.hyperparameters):
theta[i] = np.log(42)
kernel.theta = theta
assert_almost_equal(getattr(kernel, hyperparameter.name), 42)
setattr(kernel, hyperparameter.name, 43)
assert_almost_equal(kernel.theta[i], np.log(43))
@pytest.mark.parametrize(
"kernel",
[
kernel
for kernel in kernels
# Identity is not satisfied on diagonal
if kernel != kernel_rbf_plus_white
],
)
def test_auto_vs_cross(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Auto-correlation and cross-correlation should be consistent.
K_auto = kernel(X)
K_cross = kernel(X, X)
assert_almost_equal(K_auto, K_cross, 5)
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_diag(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Test that diag method of kernel returns consistent results.
K_call_diag = np.diag(kernel(X))
K_diag = kernel.diag(X)
assert_almost_equal(K_call_diag, K_diag, 5)
def test_kernel_operator_commutative():
# Adding kernels and multiplying kernels should be commutative.
# Check addition
assert_almost_equal((RBF(2.0) + 1.0)(X), (1.0 + RBF(2.0))(X))
# Check multiplication
assert_almost_equal((3.0 * RBF(2.0))(X), (RBF(2.0) * 3.0)(X))
def test_kernel_anisotropic():
# Anisotropic kernel should be consistent with isotropic kernels.
kernel = 3.0 * RBF([0.5, 2.0])
K = kernel(X)
X1 = X.copy()
X1[:, 0] *= 4
K1 = 3.0 * RBF(2.0)(X1)
assert_almost_equal(K, K1)
X2 = X.copy()
X2[:, 1] /= 4
K2 = 3.0 * RBF(0.5)(X2)
assert_almost_equal(K, K2)
# Check getting and setting via theta
kernel.theta = kernel.theta + np.log(2)
assert_array_equal(kernel.theta, np.log([6.0, 1.0, 4.0]))
assert_array_equal(kernel.k2.length_scale, [1.0, 4.0])
@pytest.mark.parametrize(
"kernel", [kernel for kernel in kernels if kernel.is_stationary()]
)
def test_kernel_stationary(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Test stationarity of kernels.
K = kernel(X, X + 1)
assert_almost_equal(K[0, 0], np.diag(K))
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_input_type(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Test whether kernels is for vectors or structured data
if isinstance(kernel, Exponentiation):
assert kernel.requires_vector_input == kernel.kernel.requires_vector_input
if isinstance(kernel, KernelOperator):
assert kernel.requires_vector_input == (
kernel.k1.requires_vector_input or kernel.k2.requires_vector_input
)
def test_compound_kernel_input_type():
kernel = CompoundKernel([WhiteKernel(noise_level=3.0)])
assert not kernel.requires_vector_input
kernel = CompoundKernel([WhiteKernel(noise_level=3.0), RBF(length_scale=2.0)])
assert kernel.requires_vector_input
def check_hyperparameters_equal(kernel1, kernel2):
# Check that hyperparameters of two kernels are equal
for attr in set(dir(kernel1) + dir(kernel2)):
if attr.startswith("hyperparameter_"):
attr_value1 = getattr(kernel1, attr)
attr_value2 = getattr(kernel2, attr)
assert attr_value1 == attr_value2
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_clone(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Test that sklearn's clone works correctly on kernels.
kernel_cloned = clone(kernel)
# XXX: Should this be fixed?
# This differs from the sklearn's estimators equality check.
assert kernel == kernel_cloned
assert id(kernel) != id(kernel_cloned)
# Check that all constructor parameters are equal.
assert kernel.get_params() == kernel_cloned.get_params()
# Check that all hyperparameters are equal.
check_hyperparameters_equal(kernel, kernel_cloned)
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_clone_after_set_params(kernel):
kernel = clone(kernel) # make tests independent of one-another
# This test is to verify that using set_params does not
# break clone on kernels.
# This used to break because in kernels such as the RBF, non-trivial
# logic that modified the length scale used to be in the constructor
# See https://github.com/scikit-learn/scikit-learn/issues/6961
# for more details.
bounds = (1e-5, 1e5)
kernel_cloned = clone(kernel)
params = kernel.get_params()
# RationalQuadratic kernel is isotropic.
isotropic_kernels = (ExpSineSquared, RationalQuadratic)
if "length_scale" in params and not isinstance(kernel, isotropic_kernels):
length_scale = params["length_scale"]
if np.iterable(length_scale):
# XXX unreached code as of v0.22
params["length_scale"] = length_scale[0]
params["length_scale_bounds"] = bounds
else:
params["length_scale"] = [length_scale] * 2
params["length_scale_bounds"] = bounds * 2
kernel_cloned.set_params(**params)
kernel_cloned_clone = clone(kernel_cloned)
assert kernel_cloned_clone.get_params() == kernel_cloned.get_params()
assert id(kernel_cloned_clone) != id(kernel_cloned)
check_hyperparameters_equal(kernel_cloned, kernel_cloned_clone)
def test_matern_kernel():
# Test consistency of Matern kernel for special values of nu.
K = Matern(nu=1.5, length_scale=1.0)(X)
# the diagonal elements of a matern kernel are 1
assert_array_almost_equal(np.diag(K), np.ones(X.shape[0]))
# matern kernel for coef0==0.5 is equal to absolute exponential kernel
K_absexp = np.exp(-euclidean_distances(X, X, squared=False))
K = Matern(nu=0.5, length_scale=1.0)(X)
assert_array_almost_equal(K, K_absexp)
# matern kernel with coef0==inf is equal to RBF kernel
K_rbf = RBF(length_scale=1.0)(X)
K = Matern(nu=np.inf, length_scale=1.0)(X)
assert_array_almost_equal(K, K_rbf)
assert_allclose(K, K_rbf)
# test that special cases of matern kernel (coef0 in [0.5, 1.5, 2.5])
# result in nearly identical results as the general case for coef0 in
# [0.5 + tiny, 1.5 + tiny, 2.5 + tiny]
tiny = 1e-10
for nu in [0.5, 1.5, 2.5]:
K1 = Matern(nu=nu, length_scale=1.0)(X)
K2 = Matern(nu=nu + tiny, length_scale=1.0)(X)
assert_array_almost_equal(K1, K2)
# test that coef0==large is close to RBF
large = 100
K1 = Matern(nu=large, length_scale=1.0)(X)
K2 = RBF(length_scale=1.0)(X)
assert_array_almost_equal(K1, K2, decimal=2)
@pytest.mark.parametrize("kernel", kernels)
def test_kernel_versus_pairwise(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Check that GP kernels can also be used as pairwise kernels.
# Test auto-kernel
if kernel != kernel_rbf_plus_white:
# For WhiteKernel: k(X) != k(X,X). This is assumed by
# pairwise_kernels
K1 = kernel(X)
K2 = pairwise_kernels(X, metric=kernel)
assert_array_almost_equal(K1, K2)
# Test cross-kernel
K1 = kernel(X, Y)
K2 = pairwise_kernels(X, Y, metric=kernel)
assert_array_almost_equal(K1, K2)
@pytest.mark.parametrize("kernel", kernels)
def test_set_get_params(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Check that set_params()/get_params() is consistent with kernel.theta.
# Test get_params()
index = 0
params = kernel.get_params()
for hyperparameter in kernel.hyperparameters:
if isinstance("string", type(hyperparameter.bounds)):
if hyperparameter.bounds == "fixed":
continue
size = hyperparameter.n_elements
if size > 1: # anisotropic kernels
assert_almost_equal(
np.exp(kernel.theta[index : index + size]), params[hyperparameter.name]
)
index += size
else:
assert_almost_equal(
np.exp(kernel.theta[index]), params[hyperparameter.name]
)
index += 1
# Test set_params()
index = 0
value = 10 # arbitrary value
for hyperparameter in kernel.hyperparameters:
if isinstance("string", type(hyperparameter.bounds)):
if hyperparameter.bounds == "fixed":
continue
size = hyperparameter.n_elements
if size > 1: # anisotropic kernels
kernel.set_params(**{hyperparameter.name: [value] * size})
assert_almost_equal(
np.exp(kernel.theta[index : index + size]), [value] * size
)
index += size
else:
kernel.set_params(**{hyperparameter.name: value})
assert_almost_equal(np.exp(kernel.theta[index]), value)
index += 1
@pytest.mark.parametrize("kernel", kernels)
def test_repr_kernels(kernel):
kernel = clone(kernel) # make tests independent of one-another
# Smoke-test for repr in kernels.
repr(kernel)
def test_rational_quadratic_kernel():
kernel = RationalQuadratic(length_scale=[1.0, 1.0])
message = (
"RationalQuadratic kernel only supports isotropic "
"version, please use a single "
"scalar for length_scale"
)
with pytest.raises(AttributeError, match=message):
kernel(X)