Basic classification using the SPEP model¶

This notebook explains how to use Markovflow to build and optimise a variational GP regression model (VGP) for a time series. Here, we perform binary classification with time as the input.

As with GPR, the observations do not have to be regularly spaced. However, they do need to be sequential. We denote the input/output tuples as \((x_i, y_i)_{1 \leq i \leq n}\), where \(x_i\) is a scalar value and \(y_i \in \{0, 1\}\).

Our probabilistic model for this data is:

\[\begin{split}\begin{align} f \sim \mathcal{GP}(0, k(., .)) \\ y_i \sim \mathcal{B}(\Phi(f(x_i))) \end{align}\end{split}\]

where \(\Phi\) is a function that maps \(f(x_i)\) to \([0, 1]\), the probability that \(y_i=1\). In practice, we choose \(\Phi\) to be the standard normal cumulative distribution function (also known as the probit function) which maps to \([0, 1]\).

NOTE: If you have difficulty running this notebook, consider clearing the output and then restarting the kernel.

[1]:

# Setup

import warnings

# Turn off warnings
warnings.simplefilter('ignore')


import matplotlib.pyplot as plt
import numpy as np
import tensorflow as tf

from gpflow import default_float
from gpflow.ci_utils import ci_niter
from gpflow.likelihoods import Bernoulli


from markovflow.likelihoods import PEPScalarLikelihood
from markovflow.models.sparse_pep import SparsePowerExpectationPropagation
from markovflow.kernels import Matern52


np.random.seed(0)
FLOAT_TYPE = default_float()

# uncomment in notebook
# try:
#     from IPython import get_ipython
#     get_ipython().run_line_magic('matplotlib', 'inline')
# except AttributeError:
#     print('Magic function can only be used in IPython environment')
#     matplotlib.use('Agg')

plt.rcParams["figure.figsize"] = [15, 8]

2022-09-17 14:53:10.991103: W tensorflow/stream_executor/platform/default/dso_loader.cc:60] Could not load dynamic library 'libcudart.so.11.0'; dlerror: libcudart.so.11.0: cannot open shared object file: No such file or directory; LD_LIBRARY_PATH: /opt/hostedtoolcache/Python/3.7.13/x64/lib
2022-09-17 14:53:10.991141: I tensorflow/stream_executor/cuda/cudart_stub.cc:29] Ignore above cudart dlerror if you do not have a GPU set up on your machine.

Step 1: Generate training data¶

First, let’s generate some binary data \(X = (x_1, \dots, x_n)\) and \(Y = (y_1, \dots, y_n)^T\).

[2]:

# Generate some observations
num_data = 300
num_inducing = 30
time_points = np.linspace(0 , 1, num_data)
F = np.cos(time_points * 20).reshape(-1, 1)
observations = (F + np.random.randn(*F.shape) > 0).astype(float)
data = (time_points, observations)
inducing_points = np.linspace(0 , 1, num_inducing)

[3]:

matern_kernel = Matern52(lengthscale=.05, variance=1.0)
# Because we are multiplying them together, we need to train only one kernel variance parameter

kernel = matern_kernel

# We see Matern12 has only two dimensions (therefore there is less risk of overparameterising)
print(kernel.state_dim)

2022-09-17 14:53:12.465443: I tensorflow/compiler/jit/xla_cpu_device.cc:41] Not creating XLA devices, tf_xla_enable_xla_devices not set
2022-09-17 14:53:12.465640: W tensorflow/stream_executor/platform/default/dso_loader.cc:60] Could not load dynamic library 'libcuda.so.1'; dlerror: libcuda.so.1: cannot open shared object file: No such file or directory; LD_LIBRARY_PATH: /opt/hostedtoolcache/Python/3.7.13/x64/lib
2022-09-17 14:53:12.465650: W tensorflow/stream_executor/cuda/cuda_driver.cc:326] failed call to cuInit: UNKNOWN ERROR (303)
2022-09-17 14:53:12.465673: I tensorflow/stream_executor/cuda/cuda_diagnostics.cc:156] kernel driver does not appear to be running on this host (fv-az178-774): /proc/driver/nvidia/version does not exist
2022-09-17 14:53:12.465923: I tensorflow/core/platform/cpu_feature_guard.cc:142] This TensorFlow binary is optimized with oneAPI Deep Neural Network Library (oneDNN) to use the following CPU instructions in performance-critical operations:  AVX2 AVX512F FMA
To enable them in other operations, rebuild TensorFlow with the appropriate compiler flags.
2022-09-17 14:53:12.466040: I tensorflow/compiler/jit/xla_gpu_device.cc:99] Not creating XLA devices, tf_xla_enable_xla_devices not set

Step 3: Build and optimise a model¶

This is a classification problem with outputs between [0,1], so we create a variational GP model using a Bernoulli likelihood.

[4]:

# Create a likelihood object
variance = 1.
alpha = 1.
base_likelihood = Bernoulli()
likelihood = PEPScalarLikelihood(base=base_likelihood)
spep = SparsePowerExpectationPropagation(kernel=kernel,
                                         inducing_points=tf.constant(inducing_points),
                                         likelihood=likelihood,
                                         learning_rate=.5,
                                         alpha=alpha)


def plot_model(model):

    f_mu, f_var = model.posterior().predict_f(time_points)
    f_mu = f_mu.numpy()
    f_std = np.sqrt(f_var)

    plt.figure(figsize=(10, 6))
    plt.vlines(inducing_points, ymin=observations.min(), ymax=observations.max(), color='r')
    plt.plot(time_points, observations, 'C0x', ms=8, mew=2)
    plt.plot(time_points, F, 'C0', ms=8, mew=2)
    plt.plot(time_points, f_mu, 'C1', ms=8, mew=2)
    plt.fill_between(
        time_points,
        y1 = (f_mu - 2 * f_std).reshape(-1,),
        y2 = (f_mu + 2 * f_std).reshape(-1,),
        alpha=.2
    )
    plt.xlabel("Time")
    plt.ylabel("Label")
    plt.show()


trainable_vars = (spep._kernel.trainable_variables) \

opt_adam = tf.optimizers.Adam(0.01)

#@tf.function
def adam_step():
    opt_adam.minimize(lambda: -spep.energy(data), trainable_vars)

#@tf.function
def natgrad_step(input_data):
    spep.update_sites(input_data)

plot_model(spep)


input_data = (time_points, observations)

batch_size = num_data // 10
max_iter = ci_niter(1000)
for rep in range(max_iter):
    time_points, observations = input_data

    indices = np.random.permutation(num_data)[:batch_size]
    sub_input_data = (time_points[indices], observations[indices])

    natgrad_step(sub_input_data)
    #adam_step()
    print(rep, -spep.energy(input_data).numpy())

    if rep % 10 == 0:
        plot_model(spep)

2022-09-17 14:53:12.503686: W tensorflow/python/util/util.cc:348] Sets are not currently considered sequences, but this may change in the future, so consider avoiding using them.

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