Textbook implementation of Gaussian Processes in Python

gp

So I was looking for a textbook implementation of Gaussian Processes, and disappointingly I couldn’t find any. Things like Spearmint or GPy are way complicated and very often implement some specific use-cases of GPs like regression and so on.

For educational purpose, here is a 10 line implementation of Gaussian Process:

<pre>import numpy as np


class Kernel(object):

    def compute(self, a, b):
        raise None


class SquaredDistanceKernel(Kernel):

    def __init__(self, kernel_param=0.1):
        self.kernel_parameter = kernel_param

    def compute(self, a, b):
        sq_dist = np.sum(a ** 2, 1).reshape(-1, 1) + np.sum(b ** 2, 1) - 2 * np.dot(a, b.T)
        return np.exp(-.5 * (1/self.kernel_parameter) * sq_dist)


class GaussianProcess(object):
    """
    Implements a GP with mean zero and a custom kernel
    """
    def __init__(self, kernel=SquaredDistanceKernel(), noise_variance=0.00005, x=None, y=None):
        """
        Initialize the GP with the given kernel and a noise parameter for the variance
        Optionally initialize this GP with given X and Y

        :param kernel: kernel function, has to be an instance of Kernel
        :param noise_variance:
        :param x: given input data
        :param y: given input label
        :return:
        """
        self.X = x
        self.Y = y
        self.kernel = kernel
        self.noise_variance = noise_variance
        self.cov = None if self.X is None else kernel.compute(self.X, self.X)

    def predict(self, x, y=None):
        """
        Given data in x, give the mean and covariance of the posterior predictive distribution p(f*|X*, X, f)
        If y is given, the function gives the predicts, as well as update the GP internally

        x should have size N x d1, y of size N x d2, where N is the number of samples

        :param x: the input data
        :param y: optional. If given, the GP parameters will be updated
        :return: a tuple (mu, cov, s):
            - mu: the mean of the posterior predictive distribution, of size N x d1
            - cov: the covariance matrix of the posterior predictive distribution, of size N x N
            - s: the standard deviation vector, convenient for plotting. Of size N x 1
        """
        # covariance of the new data
        k_2star = self.kernel.compute(x, x)

        if self.cov is None:
            # if there is no data in this GP, this is equivalent to the prior distribution (zero mean, unit covariance)
            mu = np.zeros(x.shape)
            cov_posterior = k_2star + (self.noise_variance * np.eye(k_2star.shape[0]))

            if y is not None:
                self.X = x
                self.Y = y
                self.cov = k_2star
        else:
            l = np.linalg.cholesky(self.cov + self.noise_variance * np.eye(self.cov.shape[0]))
            k_star = self.kernel.compute(self.X, x)
            l_div_k_star = np.linalg.solve(l, k_star)

            mu = np.dot(l_div_k_star.T, np.linalg.solve(l, self.Y))
            cov_posterior = k_2star + self.noise_variance * np.eye(k_2star.shape[0]) - np.dot(l_div_k_star.T,
                                                                                              l_div_k_star)
            if y is not None:
                self.X = np.vstack((self.X, x))
                self.Y = np.vstack((self.Y, y))
                self.cov = np.hstack((self.cov, k_star))
                self.cov = np.vstack((self.cov, np.hstack((k_star.T, k_2star))))

        return mu, cov_posterior, np.sqrt(np.diag(cov_posterior))</pre>

For educational purposes, I removed all the checks to make the code really concise.

As usual, the code can be found on github. In the same folder, you might find interative.py interesting.

In the next posts, I am going to explain all this.

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