gpflux.sampling

This module enables you to sample from (Deep) GPs efficiently and consistently.

Submodules

• gpflux.sampling.kernel_with_feature_decomposition
• gpflux.sampling.sample
• gpflux.sampling.utils

Package Contents

class KernelWithFeatureDecomposition(kernel: gpflow.kernels.Kernel | NoneType, feature_functions: tf.keras.layers.Layer, feature_coefficients: gpflow.base.TensorType)

Bases: gpflow.kernels.Kernel

This class represents a kernel together with its finite feature decomposition:

\[k(x, x') = \sum_{i=0}^L \lambda_i \phi_i(x) \phi_i(x'),\]

where \(\lambda_i\) and \(\phi_i(\cdot)\) are the coefficients and features, respectively.

The decomposition can be derived from Mercer or Bochner’s theorem. For example, feature-coefficient pairs could be eigenfunction-eigenvalue pairs (Mercer) or Fourier features with constant coefficients (Bochner).

In some cases (e.g., [1] and [2]) the left-hand side (that is, the covariance function \(k(\cdot, \cdot)\)) is unknown and the kernel can only be approximated using its feature decomposition. In other cases (e.g., [3] and [4]), both the covariance function and feature decomposition are available in closed form.

[1]

Solin, Arno, and Simo Särkkä. “Hilbert space methods for reduced-rank Gaussian process regression.” Statistics and Computing (2020).

[2]

Borovitskiy, Viacheslav, et al. “Matérn Gaussian processes on Riemannian manifolds.” In Advances in Neural Information Processing Systems (2020).

[3]

Ali Rahimi and Benjamin Recht. Random features for large-scale kernel machines. In Advances in Neural Information Processing Systems (2007).

[4]

Dutordoir, Vincent, Nicolas Durrande, and James Hensman. “Sparse Gaussian processes with spherical harmonic features.” In International Conference on Machine Learning (2020).

Parameters:

• kernel –

  The kernel corresponding to the feature decomposition. If None, there is no analytical expression associated with the infinite sum and we approximate the kernel based on the feature decomposition.

  Note

  In certain cases, the analytical expression for the kernel is not available. In this case, passing None is allowed, and K() and K_diag() will be computed using the approximation provided by the feature decomposition.

• feature_functions – A Keras layer for which the call evaluates the L features of the kernel \(\phi_i(\cdot)\). For X with the shape [N, D], feature_functions(X) returns a tensor with the shape [N, L].

• feature_coefficients – A tensor with the shape [L, 1] with coefficients associated with the features, \(\lambda_i\).

property feature_functions: tf.keras.layers.Layer

Return the kernel’s features \(\phi_i(\cdot)\).

property feature_coefficients: tf.Tensor

Return the kernel’s coefficients \(\lambda_i\).

efficient_sample

A function that returns a Sample of a GP posterior.