gpytorch-mogp 0.1.1

A package which extends GPyTorch with correlated multi-output GPs

gpytorch-mogp

gpytorch-mogp is a Python package that extends GPyTorch to support Multiple-Output Gaussian processes where the correlation between the outputs is known.

Note: The package is currently in an early stage of development. Expect bugs and breaking changes in future versions. Please create an issue if you encounter any problems or have any suggestions.

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Table of Contents

• Installation
• Usage
• Known Issues
• Glossary
• TODO
• Contributing
• License

Installation

pip install gpytorch-mogp

Note: If you want to use GPU acceleration, you should manually install PyTorch with CUDA support before running the above command.

If you want to run the examples, you should install the package from source instead. First, clone the repository:

git clone https://github.com/magkri/gpytorch-mogp.git

Then install the package with the examples dependencies:

pip install .[examples]

To run the comparison notebook, you also need to install rapid-models from source.

Note: The version of rapid-modles linked to above is private at the time of writing, so you may not be able to install it.

Usage

The package provides a custom MultiOutputKernel module that wraps one or more base kernels, producing a

import gpytorch
from gpytorch_mogp import MultiOutputKernel, FixedNoiseMultiOutputGaussianLikelihood

# Define a multi-output GP model
class MultiOutputGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        # Reuse the `MultitaskMean` module from `gpytorch`
        self.mean_module = gpytorch.means.MultitaskMean(gpytorch.means.ConstantMean(), num_tasks=2)
        # Use the custom `MultiOutputKernel` module
        self.covar_module = MultiOutputKernel(gpytorch.kernels.MaternKernel(), num_outputs=2)

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        # Reuse the `MultitaskMultivariateNormal` distribution from `gpytorch`
        return gpytorch.distributions.MultitaskMultivariateNormal(mean_x, covar_x)

# Training data
train_x = ... # (n,) or (n, num_inputs)
train_y = ... # (n, num_outputs)
train_noise = ...  # (n, num_outputs, num_outputs)

# Initialize the model
likelihood = FixedNoiseMultiOutputGaussianLikelihood(noise=train_noise, num_tasks=2)
model = MultiOutputGPModel(train_x, train_y, likelihood)

# Training
model.train()
...

# Testing
model.eval()
test_x = ... # (m,) or (m, num_inputs)
test_noise = ...  # (m, num_outputs, num_outputs)
f_preds = model(test_x)
y_preds = likelihood(model(test_x), noise=test_noise)

Note: MultiOutputKernel currently uses num_outputs, while MultitaskMean and FixedNoiseMultiOutputGaussianLikelihood use num_tasks. In this example, they mean the same thing. However, multi-output and multi-task can have different meanings in other contexts. The reason for this inconsistency is that the num_tasks argument comes from gpytorch, while the num_outputs argument comes from gpytorch-mogp (FixedNoiseMultiOutputGaussianLikelihood inherits it from gpytorch). This inconsistency may be addressed in future versions of the package.

Note: The MultiOutputKernel produces an interleaved block diagonal covariance matrix by default, as that is the convention used in gpytorch. If you want to produce a non-interleaved block diagonal covariance matrix, you can pass interleaved=False to the MultiOutputKernel constructor.

MultitaskMultivariateNormal expects an interleaved block diagonal covariance matrix by default. If you want to use a non-interleaved block diagonal covariance matrix, you can pass interleaved=False to the MultitaskMultivariateNormal constructor.

FixedNoiseMultiOutputGaussianLikelihood expects the same noise structure regardless of interleaving, but will internally apply interleaving to the noise before adding it to the covariance matrix. Interleaving is applied by default. If you want to avoid this, you can pass interleaved=False to the FixedNoiseMultiOutputGaussianLikelihood constructor. The likelihood should always use the same interleaving setting as the kernel.

WARNING: The interleaved=False option is not working as expected at the moment. Avoid using it for now.

See also the example notebooks/scripts for more usage examples.

See the comparison notebook for a comparison between the gpytorch-mogp package and the rapid-models package (demonstrating that the two packages produce the same results for one example).

Known Issues

• Constructing a GP with interleaved=False in MultiOutputKernel, MultitaskMultivariateNormal, and FixedNoiseMultiOutputGaussianLikelihood does not work as expected. Avoid using interleaved=False for now.
• Most issues are probably unknown at this point. Please create an issue if you encounter any problems ...

Glossary

• Multi-output GP model: A Gaussian process model that produces multiple outputs for a given input. I.e. a model that predicts a vector-valued output for a given input.

• Multi-output kernel: A kernel that wraps one or more base kernels, producing a joint covariance matrix for the outputs. The joint covariance matrix is typically block diagonal, with each block corresponding to the output of a single base kernel.

• Block matrix: A matrix that is partitioned into blocks. E.g. a block matrix with $2$ blocks per side of size $3$ is structured like:

\begin{bmatrix}
A & B \\
C & D
\end{bmatrix} = \begin{bmatrix}
a_{11} & a_{12} & a_{13} & b_{11} & b_{12} & b_{13} \\
a_{21} & a_{22} & a_{23} & b_{21} & b_{22} & b_{23} \\
a_{31} & a_{32} & a_{33} & b_{31} & b_{32} & b_{33} \\
c_{11} & c_{12} & c_{13} & d_{11} & d_{12} & d_{13} \\
c_{21} & c_{22} & c_{23} & d_{21} & d_{22} & d_{23} \\
c_{31} & c_{32} & c_{33} & d_{31} & d_{32} & d_{33}
\end{bmatrix}

• Interleaved block matrix: A block matrix where the blocks are interleaved. E.g. a block matrix with $2$ blocks per side of size $3$ is structured like:

\begin{bmatrix}
a_{11} & b_{11} & a_{12} & b_{12} & a_{13} & b_{13} \\
c_{11} & d_{11} & c_{12} & d_{12} & c_{13} & d_{13} \\
a_{21} & b_{21} & a_{22} & b_{22} & a_{23} & b_{23} \\
c_{21} & d_{21} & c_{22} & d_{22} & c_{23} & d_{23} \\
a_{31} & b_{31} & a_{32} & b_{32} & a_{33} & b_{33} \\
c_{31} & d_{31} & c_{32} & d_{32} & c_{33} & d_{33}
\end{bmatrix}

• (Non-interleaved) block diagonal covariance matrix: A joint covariance matrix that is block diagonal, with each block corresponding to the output of a single base kernel. E.g. for a multi-output kernel with two base kernels, $K_{\alpha}$ and $K_{\beta}$, the joint covariance matrix is given by:

K(\mathbf{X}, \mathbf{X}^*) = \begin{bmatrix}
K_{\alpha}(\mathbf{X}, \mathbf{X}^*) & \mathbf{0} \\
\mathbf{0} & K_{\beta}(\mathbf{X}, \mathbf{X}^*)
\end{bmatrix} = \begin{bmatrix}
K_{\alpha}(\mathbf{x}_1, \mathbf{x}_1^*) & \cdots & K_{\alpha}(\mathbf{x}_1, \mathbf{x}_n^*)\\
\vdots & \ddots & \vdots & & \mathbf{0} & \\
K_{\alpha}(\mathbf{x}_N, \mathbf{x}_1^*) & \cdots & K_{\alpha}(\mathbf{x}_N, \mathbf{x}_n^*) & & &\\
& & & K_{\beta}(\mathbf{x}_1, \mathbf{x}_1^*) & \cdots & K_{\beta}(\mathbf{x}_1, \mathbf{x}_n^*)\\
& \mathbf{0} & & \vdots & \ddots & \vdots\\
& & & K_{\beta}(\mathbf{x}_N, \mathbf{x}_1^*) & \cdots & K_{\beta}(\mathbf{x}_N, \mathbf{x}_n^*)
\end{bmatrix}

• Interleaved block diagonal covariance matrix: Similar to a block diagonal covariance matrix, but with the blocks interleaved:

K(\mathbf{X}, \mathbf{X}^*) = \begin{bmatrix}
K_{\alpha}(\mathbf{x}_1, \mathbf{x}_1^*) & \mathbf{0} & \cdots & K_{\alpha}(\mathbf{x}_1, \mathbf{x}_n^*) & \mathbf{0} \\
\mathbf{0} & K_{\beta}(\mathbf{x}_1, \mathbf{x}_1^*) & \cdots & \mathbf{0} & K_{\beta}(\mathbf{x}_1, \mathbf{x}_n^*) \\
\vdots & \vdots & \ddots & \vdots & \vdots \\
K_{\alpha}(\mathbf{x}_N, \mathbf{x}_1^*) & \mathbf{0} & \cdots & K_{\alpha}(\mathbf{x}_N, \mathbf{x}_n^*) & \mathbf{0} \\
\mathbf{0} & K_{\beta}(\mathbf{x}_N, \mathbf{x}_1^*) & \cdots & \mathbf{0} & K_{\beta}(\mathbf{x}_N, \mathbf{x}_n^*)
\end{bmatrix}

Contributing

Contributions are welcome! Please create an issue or a pull request if you have any suggestions or improvements.

To get started contributing, clone the repository:

git clone https://github.com/magkri/gpytorch-mogp.git

Then install the package in editable mode with all dependencies:

pip install -e .[all]

License

gpytorch-mogp is distributed under the terms of the MIT license.