Package mogptk

MOGPTK is a Python toolkit for multi output Gaussian processes. It contains data handling classes and different multi output models to facilitate the training and prediction of multi channel data sets. It provides a complete toolkit to improve the training of MOGPs, where it allows for easy detrending or transformation of the data (such as taking the natural logarithm), functions that aid in adding gaps to the data or specifying which range should be predicted, and more.

The following four MOGP models have been implemented:

  • Multi Output Spectral Mixture (MOSM) as proposed by [1]
  • Cross Spectral Mixture (CSM) as proposed by [2]
  • Convolutional Gaussian (CONV) as proposed by [3]
  • Spectral Mixture - Linear Model of Coregionalization (SM-LMC) as proposed by combining SM [4] and LMC [5]

Each model has specialized methods for parameter estimation to improve training. For example, the MOSM model can estimate its parameters using the training of spectral mixture kernels for each of the channels individually. It can also estimate its parameters using Bayesian Nonparametric Spectral Estimation (BNSE) [6]. After parameter estimation, the training of the model will converge more rapidly and there is a higher chance it will converge at all. Additionally, some models allow the interpretation of the parameters by investigating the cross-correlation parameters between the channels to better interpret what the learned parameters actually mean.

  • [1] G. Parra and F. Tobar, "Spectral Mixture Kernels for Multi-Output Gaussian Processes", Advances in Neural Information Processing Systems 31, 2017
  • [2] K.R. Ulrich et al, "GP Kernels for Cross-Spectrum Analysis", Advances in Neural Information Processing Systems 28, 2015
  • [3] M.A. Álvarez and N.D. Lawrence, "Sparse Convolved Multiple Output Gaussian Processes", Advances in Neural Information Processing Systems 21, 2009
  • [4] A.G. Wilson and R.P. Adams, "Gaussian Process Kernels for Pattern Discovery and Extrapolation", International Conference on Machine Learning 30, 2013
  • [5] P. Goovaerts, "Geostatistics for Natural Resource Evaluation", Oxford University Press, 1997
  • [6] F. Tobar, "Bayesian Nonparametric Spectral Estimation", Advances in Neural Information Processing Systems 32, 2018

Installation

Make sure you have at least Python 3.6 and pip installed, and run the following command:

pip install mogptk

Glossary

Using the GPU

If a GPU is available through CUDA it will be automatically used in tensor calculations and may speed up training significantly. To get more information about whether CUDA is supported or which GPU is used, as well as more control over which CPU or GPU to use, see mogptk.gpr.config. For example, you can force CPU or GPU training:

mogptk.gpr.use_cpu(0)  # use the first CPU

mogptk.gpr.use_gpu(1)  # use the second GPU

mogptk.gpr.use_single_precision()  # higher performance and lower energy usage

mogptk.gpr.use_half_precision()  # even higher performance and lower energy usage

Advice on training

Training is not converging

This could be a host of causes, including:

  • Data can not be fitted by kernel
    • Did you remove the bias? Either set data.transform(mogptk.TransformDetrend(degree=1)) or add a mean function to the model
    • Range of X axis may be very large, causing the kernel parameters to be orders of magnitude off their optimum
    • Kernel does not fit the data, i.e. change the kernel
    • Add more components to mixture kernels
  • Kernel parameters are not properly initialized and training is stuck in a local minimum
  • High learning rate, e.g. set model.train(..., lr=0.1, ...)
  • Low learning rate or low amount of iterations

Loss over iterations has big jumps

The default learning rate for LBFGS is 1.0 and for Adam 0.001. Indications that your learning rate may be too high can be visualized after training by calling

model.plot_losses()

which will show the loss over iterations. When big jumps occur, especially upwards, you should probably lower your learning rate.

model.train('lbfgs', iters=500, lr=0.01)

Slow training performance

There are many ways to speed up the training of Gaussian processes, but we can divide the solutions into two groups: technical and theoretical solutions.

Technical

  • Use a bigger computer
  • Use less data points for training with data.remove_randomly(pct=0.5)
  • Use a simpler kernel with less parameters (e.g. less mixture components)
  • Use the GPU instead of the CPU with mogptk.gpr.use_gpu()
  • Use lower precision such as mogptk.gpr.use_single_precision() or mogptk.gpr.use_half_precision()

Theoretical

  • Use a sparse model such as mogptk.Titsias(inducing_points=20) with 20 inducing points and pass it to the model as inference
  • Use stochastic gradient descent as `mogptk.train(method='SGD') (WIP)

Mixture kernels have equal parameter values

When all subkernels of a mixture kernel are initialized with the same parameter values, training for each mixture kernel will perform similarly. This results in equal parameters values after optimization. To fix this, you should initialize parameter values, for example

Q = 10
input_dims = 1
kernel = mogptk.gpr.MixtureKernel(mogptk.gpr.SquaredExponentialKernel(), Q=Q)
for i in range(Q):
    kernel[i].magnitude.assign(torch.rand(1))
    kernel[i].l.assign(torch.rand(input_dims))

Unstable training: NaNs and Infs

Due to numerical issues this is unfortunately quite frequent in Gaussian process optimization, but there are several ways to mitigate this: - Increase the jitter with mogptk.gpr.Kernel(..., jitter=1e-3), be aware that the jitter is multiplied by the average value on the diagonal before being added to the diagonal - Make sure all kernel and model parameters are in their valid range and there are no NaNs or Infs - Make sure your data has no NaNs or Infs - Make sure your data X and Y value ranges are not extremely small or big

Expand source code Browse git 
"""
.. include:: ./documentation.md
"""
from .gpr.config import *
from .util import *

from .transformer import *
from .data import *
from .dataset import *
from .init import *
from .model import *
from .models.sm import *
from .models.mosm import *
from .models.csm import *
from .models.sm_lmc import *
from .models.conv import *
from .models.mohsm import *

Sub-modules

mogptk.data
mogptk.dataset
mogptk.gpr
mogptk.init
mogptk.model
mogptk.models
mogptk.transformer
mogptk.util