"""Testing for Gaussian process classification """ # Author: Jan Hendrik Metzen # License: BSD 3 clause import warnings import numpy as np from scipy.optimize import approx_fprime import pytest from sklearn.gaussian_process import GaussianProcessClassifier from sklearn.gaussian_process.kernels import ( RBF, CompoundKernel, ConstantKernel as C, WhiteKernel, ) from sklearn.gaussian_process.tests._mini_sequence_kernel import MiniSeqKernel from sklearn.exceptions import ConvergenceWarning from sklearn.utils._testing import assert_almost_equal, assert_array_equal def f(x): return np.sin(x) X = np.atleast_2d(np.linspace(0, 10, 30)).T X2 = np.atleast_2d([2.0, 4.0, 5.5, 6.5, 7.5]).T y = np.array(f(X).ravel() > 0, dtype=int) fX = f(X).ravel() y_mc = np.empty(y.shape, dtype=int) # multi-class y_mc[fX < -0.35] = 0 y_mc[(fX >= -0.35) & (fX < 0.35)] = 1 y_mc[fX > 0.35] = 2 fixed_kernel = RBF(length_scale=1.0, length_scale_bounds="fixed") kernels = [ RBF(length_scale=0.1), fixed_kernel, RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)), C(1.0, (1e-2, 1e2)) * RBF(length_scale=1.0, length_scale_bounds=(1e-3, 1e3)), ] non_fixed_kernels = [kernel for kernel in kernels if kernel != fixed_kernel] @pytest.mark.parametrize("kernel", kernels) def test_predict_consistent(kernel): # Check binary predict decision has also predicted probability above 0.5. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) assert_array_equal(gpc.predict(X), gpc.predict_proba(X)[:, 1] >= 0.5) def test_predict_consistent_structured(): # Check binary predict decision has also predicted probability above 0.5. X = ["A", "AB", "B"] y = np.array([True, False, True]) kernel = MiniSeqKernel(baseline_similarity_bounds="fixed") gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) assert_array_equal(gpc.predict(X), gpc.predict_proba(X)[:, 1] >= 0.5) @pytest.mark.parametrize("kernel", non_fixed_kernels) def test_lml_improving(kernel): # Test that hyperparameter-tuning improves log-marginal likelihood. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) assert gpc.log_marginal_likelihood(gpc.kernel_.theta) > gpc.log_marginal_likelihood( kernel.theta ) @pytest.mark.parametrize("kernel", kernels) def test_lml_precomputed(kernel): # Test that lml of optimized kernel is stored correctly. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) assert_almost_equal( gpc.log_marginal_likelihood(gpc.kernel_.theta), gpc.log_marginal_likelihood(), 7 ) @pytest.mark.parametrize("kernel", kernels) def test_lml_without_cloning_kernel(kernel): # Test that clone_kernel=False has side-effects of kernel.theta. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) input_theta = np.ones(gpc.kernel_.theta.shape, dtype=np.float64) gpc.log_marginal_likelihood(input_theta, clone_kernel=False) assert_almost_equal(gpc.kernel_.theta, input_theta, 7) @pytest.mark.parametrize("kernel", non_fixed_kernels) def test_converged_to_local_maximum(kernel): # Test that we are in local maximum after hyperparameter-optimization. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) lml, lml_gradient = gpc.log_marginal_likelihood(gpc.kernel_.theta, True) assert np.all( (np.abs(lml_gradient) < 1e-4) | (gpc.kernel_.theta == gpc.kernel_.bounds[:, 0]) | (gpc.kernel_.theta == gpc.kernel_.bounds[:, 1]) ) @pytest.mark.parametrize("kernel", kernels) def test_lml_gradient(kernel): # Compare analytic and numeric gradient of log marginal likelihood. gpc = GaussianProcessClassifier(kernel=kernel).fit(X, y) lml, lml_gradient = gpc.log_marginal_likelihood(kernel.theta, True) lml_gradient_approx = approx_fprime( kernel.theta, lambda theta: gpc.log_marginal_likelihood(theta, False), 1e-10 ) assert_almost_equal(lml_gradient, lml_gradient_approx, 3) def test_random_starts(): # Test that an increasing number of random-starts of GP fitting only # increases the log marginal likelihood of the chosen theta. n_samples, n_features = 25, 2 rng = np.random.RandomState(0) X = rng.randn(n_samples, n_features) * 2 - 1 y = (np.sin(X).sum(axis=1) + np.sin(3 * X).sum(axis=1)) > 0 kernel = C(1.0, (1e-2, 1e2)) * RBF( length_scale=[1e-3] * n_features, length_scale_bounds=[(1e-4, 1e2)] * n_features ) last_lml = -np.inf for n_restarts_optimizer in range(5): gp = GaussianProcessClassifier( kernel=kernel, n_restarts_optimizer=n_restarts_optimizer, random_state=0 ).fit(X, y) lml = gp.log_marginal_likelihood(gp.kernel_.theta) assert lml > last_lml - np.finfo(np.float32).eps last_lml = lml @pytest.mark.parametrize("kernel", non_fixed_kernels) def test_custom_optimizer(kernel): # Test that GPC can use externally defined optimizers. # Define a dummy optimizer that simply tests 10 random hyperparameters def optimizer(obj_func, initial_theta, bounds): rng = np.random.RandomState(0) theta_opt, func_min = initial_theta, obj_func( initial_theta, eval_gradient=False ) for _ in range(10): theta = np.atleast_1d( rng.uniform(np.maximum(-2, bounds[:, 0]), np.minimum(1, bounds[:, 1])) ) f = obj_func(theta, eval_gradient=False) if f < func_min: theta_opt, func_min = theta, f return theta_opt, func_min gpc = GaussianProcessClassifier(kernel=kernel, optimizer=optimizer) gpc.fit(X, y_mc) # Checks that optimizer improved marginal likelihood assert gpc.log_marginal_likelihood(gpc.kernel_.theta) > gpc.log_marginal_likelihood( kernel.theta ) @pytest.mark.parametrize("kernel", kernels) def test_multi_class(kernel): # Test GPC for multi-class classification problems. gpc = GaussianProcessClassifier(kernel=kernel) gpc.fit(X, y_mc) y_prob = gpc.predict_proba(X2) assert_almost_equal(y_prob.sum(1), 1) y_pred = gpc.predict(X2) assert_array_equal(np.argmax(y_prob, 1), y_pred) @pytest.mark.parametrize("kernel", kernels) def test_multi_class_n_jobs(kernel): # Test that multi-class GPC produces identical results with n_jobs>1. gpc = GaussianProcessClassifier(kernel=kernel) gpc.fit(X, y_mc) gpc_2 = GaussianProcessClassifier(kernel=kernel, n_jobs=2) gpc_2.fit(X, y_mc) y_prob = gpc.predict_proba(X2) y_prob_2 = gpc_2.predict_proba(X2) assert_almost_equal(y_prob, y_prob_2) def test_warning_bounds(): kernel = RBF(length_scale_bounds=[1e-5, 1e-3]) gpc = GaussianProcessClassifier(kernel=kernel) warning_message = ( "The optimal value found for dimension 0 of parameter " "length_scale is close to the specified upper bound " "0.001. Increasing the bound and calling fit again may " "find a better value." ) with pytest.warns(ConvergenceWarning, match=warning_message): gpc.fit(X, y) kernel_sum = WhiteKernel(noise_level_bounds=[1e-5, 1e-3]) + RBF( length_scale_bounds=[1e3, 1e5] ) gpc_sum = GaussianProcessClassifier(kernel=kernel_sum) with warnings.catch_warnings(record=True) as record: warnings.simplefilter("always") gpc_sum.fit(X, y) assert len(record) == 2 assert issubclass(record[0].category, ConvergenceWarning) assert ( record[0].message.args[0] == "The optimal value found for " "dimension 0 of parameter " "k1__noise_level is close to the " "specified upper bound 0.001. " "Increasing the bound and calling " "fit again may find a better value." ) assert issubclass(record[1].category, ConvergenceWarning) assert ( record[1].message.args[0] == "The optimal value found for " "dimension 0 of parameter " "k2__length_scale is close to the " "specified lower bound 1000.0. " "Decreasing the bound and calling " "fit again may find a better value." ) X_tile = np.tile(X, 2) kernel_dims = RBF(length_scale=[1.0, 2.0], length_scale_bounds=[1e1, 1e2]) gpc_dims = GaussianProcessClassifier(kernel=kernel_dims) with warnings.catch_warnings(record=True) as record: warnings.simplefilter("always") gpc_dims.fit(X_tile, y) assert len(record) == 2 assert issubclass(record[0].category, ConvergenceWarning) assert ( record[0].message.args[0] == "The optimal value found for " "dimension 0 of parameter " "length_scale is close to the " "specified upper bound 100.0. " "Increasing the bound and calling " "fit again may find a better value." ) assert issubclass(record[1].category, ConvergenceWarning) assert ( record[1].message.args[0] == "The optimal value found for " "dimension 1 of parameter " "length_scale is close to the " "specified upper bound 100.0. " "Increasing the bound and calling " "fit again may find a better value." ) @pytest.mark.parametrize( "params, error_type, err_msg", [ ( {"kernel": CompoundKernel(0)}, ValueError, "kernel cannot be a CompoundKernel", ) ], ) def test_gpc_fit_error(params, error_type, err_msg): """Check that expected error are raised during fit.""" gpc = GaussianProcessClassifier(**params) with pytest.raises(error_type, match=err_msg): gpc.fit(X, y)