fvGP#

class fvgp.fvGP(x_data, y_data, init_hyperparameters=None, noise_variances=None, compute_device='cpu', kernel_function=None, kernel_function_grad=None, noise_function=None, noise_function_grad=None, prior_mean_function=None, prior_mean_function_grad=None, gp2Scale=False, dask_client=None, gp2Scale_batch_size=10000, linalg_mode=None, ram_economy=False, args=None)[source]#

This class provides all the tools for a multi-task Gaussian Process (GP). After initialization, this class provides all the methods described for the fvgp.GP class, including full HPC support via the hgdl package and large-scale sparse GPs via gp2Scale.

V … number of input points

Di… input space dimensionality

No… number of outputs

N … arbitrary integers (N1, N2,…)

The main logic of fvGP is that any multi-task GP is just a single-task GP over a Cartesian product space of input and output space, as long as the kernel is flexible enough, so prepare to work on your kernel. This is the best way to give the user optimal control and power. At various instances, for example prior-mean function, noise function, and kernel function definitions, you will see that the input x is defined over this combined space. For example, if your input space is a Euclidean 2d space and your output is labelled [0,1], the input to the mean, kernel, and noise functions might be

x =

[[0.2, 0.3,0],[0.9,0.6,0],

[0.2, 0.3,1],[0.9,0.6,1]]

This has to be understood and taken into account when customizing fvGP for multi-task use. The examples will provide deeper insights.

Parameters:

  • x_data (np.ndarray | list) – The input point positions. Shape (V x Di), where Di is the fvgp.fvGP.input_set_dim. For multi-task GPs, the index set dimension = input space dimension + 1. If dealing with non-Euclidean inputs x_data should be a list, not a numpy array. In this case, both the index set and the input space dim are set to 1.

  • y_data (np.ndarray) – The values of the data points. Shape (V,No). It is possible that not every entry in x_data has all corresponding tasks available. In that case y_data may have np.nan as the corresponding entries.

  • init_hyperparameters (np.ndarray, optional) – Vector of hyperparameters used to initiate the GP. The default is an array of ones with the right length for the anisotropic Matern kernel with automatic relevance determination (ARD). The task direction is simply considered a separate dimension. If gp2Scale is enabled, the default kernel changes to the anisotropic Wendland kernel. The full hyperparameter vector is passed to the kernel, mean, and noise callables, but the index ranges used by each callable are disjoint and user-defined. Each callable must only read the indices reserved for it. The gradient computation relies on this: when a hyperparameter index belongs to the mean function its kernel derivative is assumed zero, and vice versa.

  • noise_variances (np.ndarray, optional) – A numpy array defining the uncertainties/noise in the y_data in form of a point-wise variance. Shape (V, No). If y_data has np.nan entries, the corresponding noise_variances have to be np.nan. Note: if no noise_variances are provided here, the noise_function callable will be used; if the callable is not provided, the noise variances will be set to abs(np.mean(y_data)) / 100.0. If noise covariances are required (correlated noise), make use of the noise_function. Only provide a noise function OR noise_variances, not both.

  • compute_device (str, optional) – One of cpu or gpu, determines how linear algebra computations are executed. The default is cpu. For gpu, pytorch or cupy has to be installed manually. For advanced options see args. If gp2Scale is enabled but no kernel is provided, the choice of the compute_device will be particularly important. In that case, the default Wendland kernel will be computed on the cpu or the gpu which will significantly change the compute time depending on the compute architecture.

  • kernel_function (Callable, optional) – A symmetric positive definite covariance function (a kernel) that calculates the covariance between data points. It is a function of the form k(x1,x2,hyperparameters, [args]). args is optional and is used to make fvgp.GP.args available. The input x1 is a N1 x Di+1 array of positions, x2 is a N2 x Di+1 array of positions, the hyperparameters argument is a 1d array of length N depending on how many hyperparameters are initialized. The default is a stationary anisotropic kernel (fvgp.GP.default_kernel()) which performs automatic relevance determination (ARD). The task direction is simply considered an additional dimension. This kernel should only be used for tests and in the simplest of cases. The output is a matrix, an N1 x N2 numpy array. This callable receives the full hyperparameter vector but must only use the indices reserved for the kernel (disjoint from mean and noise indices).

  • kernel_function_grad (Callable, optional) – A function that calculates the derivative of the kernel_function with respect to the hyperparameters. If provided, it will be used for local training (optimization) and can speed up the calculations. It accepts as input x1 (a N1 x Di + 1 array of positions), x2 (a N2 x Di + 1 array of positions) and hyperparameters (a 1d array of length Di+2 for the default kernel). The default is an analytical gradient for the default kernel or a finite difference calculation otherwise. If ram_economy is True, the function’s input is x1, x2, hyperparameters (numpy array), and a direction (int). The output is a numpy array of shape (len(hps) x N). If ram_economy is False, the function’s input is x1, x2, and hyperparameters. The output is a numpy array of shape (len(hyperparameters) x N1 x N2). See ram_economy.

  • prior_mean_function (Callable, optional) – A function f(x, hyperparameters, [args]) that evaluates the prior mean at a set of input position. It accepts as input an array of positions (of shape N1 x Di+1) and hyperparameters (a 1d array of length Di+2 for the default kernel). Optionally, the third argument args can be defined. The return value is a 1d array of length N1. If None is provided, fvgp.GP._default_mean_function() is used, which is the average of the y_data. This callable receives the full hyperparameter vector but must only use the indices reserved for the mean function (disjoint from kernel and noise indices).

  • prior_mean_function_grad (Callable, optional) – A function that evaluates the gradient of the prior_mean_function at a set of input positions with respect to the hyperparameters. It accepts as input an array of positions (of size N1 x Di+1) and hyperparameters (a 1d array of length Di+2 for the default kernel). The return value is a 2d array of shape (len(hyperparameters) x N1). If None is provided, either zeros are returned since the default mean function does not depend on hyperparameters, or a finite-difference approximation is used if prior_mean_function is provided.

  • noise_function (Callable, optional) – The noise function is a callable f(x,hyperparameters, [args]) that returns a vector (1d np.ndarray) of len(x), a matrix of shape (length(x),length(x)) or a sparse matrix of the same shape. The third argument args is optional. The input x is a numpy array of shape (N x Di+1). The hyperparameter array is the same that is communicated to mean and kernel functions. Only provide a noise function OR a noise variance vector, not both. This callable receives the full hyperparameter vector but must only use the indices reserved for the noise function (disjoint from kernel and mean indices).

  • noise_function_grad (Callable, optional) – A function that evaluates the gradient of the noise_function at an input position with respect to the hyperparameters. It accepts as input an array of positions (of size N x Di+1) and hyperparameters (a 1d array of length Di+1 for the default kernel). The return value is a 2d np.ndarray of shape (len(hyperparameters) x N) or a 3d np.ndarray of shape (len(hyperparameters) x N x N). If None is provided, either zeros are returned since the default noise function does not depend on hyperparameters, or, if noise_function is provided but no noise function gradient, a finite-difference approximation will be used. The same rules regarding ram_economy as for the kernel definition apply here. That means the function will have an additional direction parameter.

  • gp2Scale (bool, optional) – Turns on gp2Scale. This will distribute the covariance computations across multiple workers. This is an advanced feature for HPC GPs up to 10 million data points. If gp2Scale is used, the default kernel is an anisotropic Wendland kernel which is compactly supported. There are a few things to consider (read on); this is an advanced option. If no kernel is provided, the compute_device option should be revisited. The default kernel will use the specified device to compute covariances. The default is False.

  • gp2Scale_batch_size (int, optional) – Matrix batch size for distributed computing in gp2Scale. The default is 10000.

  • dask_client (dask.distributed.Client, optional) – A dask client for gp2Scale, asynchronous training,a nd certain linear algebra operations. On HPC architecture, this client is provided by the job script. Please have a look at the examples. A local client is used as the default.

  • linalg_mode (str, optional) –

    Controls the linear-algebra backend used to solve (K+V)x=b and compute log|K+V|. The default is None, which selects "Chol" for standard GPs and automatically picks the best sparse mode for gp2Scale GPs.

    Recommended for standard (non-gp2Scale) GPs:

    • "Chol" (default) — Cholesky factorization; numerically stable and memory-efficient.

    • "CholInv" — Cholesky factorization, then explicitly stores the inverse; speeds up posterior covariance evaluation 3–10×. Avoid for datasets larger than ~5 000 points due to memory and numerical cost. Training always uses the Cholesky factor for stability.

    • "Inv" — computes and stores the explicit inverse directly (no Cholesky). Only suitable for very small datasets where posterior covariance is computed many times.

    Specialized for gp2Scale (sparse covariance matrices):

    • "sparseLU" — sparse LU factorization; good default for sparse systems up to ~50 000 points.

    • "sparseCG" — sparse conjugate-gradient iterative solver.

    • "sparseMINRES" — sparse MINRES iterative solver.

    • "sparseSolve" — direct sparse solve via scipy.

    • "sparseCGpre" — preconditioned conjugate-gradient. The preconditioner type is selected by args["sparse_preconditioner_type"] (default "ilu"; also "ic"/"incomplete_cholesky", "block_jacobi", "schwarz"/"additive_schwarz", or "amg" (requires pyamg)).

    • "sparseMINRESpre" — preconditioned MINRES; same preconditioner choices.

    • "sparseCGpre_<type>" / "sparseMINRESpre_<type>" — shortcut that sets args["sparse_preconditioner_type"] to <type> (e.g. "sparseCGpre_amg").

    Custom solver (any GP):

    Pass an iterable of three callables [f_factor, f_solve, f_logdet]:

    • f_factor(K) — receives the covariance matrix and returns a factorization object (or the matrix itself if no factorization is needed).

    • f_solve(obj, b) — solves the linear system and returns the solution vector.

    • f_logdet(obj) — returns the log-determinant as a scalar.

  • ram_economy (bool, optional) – Only of interest if the gradient and/or Hessian of the log marginal likelihood is/are used for the training. If True, components of the derivative of the log marginal likelihood are calculated sequentially, leading to a slow-down but much less RAM usage. If the derivative of the kernel (and noise function) with respect to the hyperparameters (kernel_function_grad) is going to be provided, it has to be tailored: for ram_economy=True it should be of the form f(x, hyperparameters, direction) and return a 2d numpy array of shape len(x1) x len(x2). If ram_economy=False, the function should be of the form f(x, hyperparameters) and return a numpy array of shape H x len(x1) x len(x2), where H is the number of hyperparameters. CAUTION: This array will be stored and is very large.

  • args (dict, optional) –

    Advanced options. Recognized keys are:

    Stochastic-Lanczos logdet (sparse modes):

    • ”random_logdet_lanczos_degree” : int; default = 20

    • ”random_logdet_error_rtol” : float; default = 0.01

    • ”random_logdet_verbose” : True/False; default = False

    • ”random_logdet_print_info” : True/False; default = False

    • ”random_logdet_lanczos_compute_device” : str; default = “cpu”/”gpu”

    Sparse iterative solver tolerances and iteration limits:

    • ”sparse_cg_tol” : float; default = 1e-5

    • ”sparse_minres_tol” : float; default = 1e-5

    • ”sparse_cg_maxiter” : int; default = None (use scipy default)

    • ”sparse_minres_maxiter” : int; default = None (use scipy default)

    • ”sparse_krylov_maxiter” : int; default = None (applies to both if the solver-specific key is not set)

    • ”sparse_block_krylov” : True/False; default = False — use a block CG variant when there are multiple RHS columns

    • ”sparse_krylov_mode” : “single”/”block”; equivalent toggle

    • ”sparse_krylov_block_size” : int — RHS block size for block CG

    Iterative-solver acceleration (sparseCG/sparseMINRES and the *pre variants):

    • ”sparse_krylov_warm_start” : True/False; default = False — feed the previous training iteration’s KVinvY as x0 to the next solve

    • ”sparse_preconditioner_type” : str; default = “ilu”. One of “ilu”, “ic”/”ichol”/”incomplete_cholesky”, “block_jacobi”, “schwarz”/ “additive_schwarz”, “amg” (requires pyamg)

    • ”sparse_preconditioner_refresh_interval” : int; default = 1 — reuse the cached preconditioner for up to N consecutive solves before rebuilding. set_KV always force-refreshes.

    • ”sparse_preconditioner_block_size” : int — block size for block_jacobi and additive_schwarz partitions

    • ”sparse_preconditioner_schwarz_overlap” : int — overlap layers for additive Schwarz

    • ”sparse_preconditioner_drop_tol” / “sparse_preconditioner_fill_factor” — forwarded to scipy spilu for “ilu”

    • ”sparse_preconditioner_amg_*” — forwarded to pyamg (max_levels, max_coarse, strength, cycle, etc.)

    • ”sparse_preconditioner_shift” / “_growth” / “_attempts” — diagonal shift retry knobs for “ic” / “block_jacobi” / “additive_schwarz” when a local Cholesky encounters a non-PD block

    Cholesky compute-device routing:

    • ”Chol_factor_compute_device” : str; default = “cpu”/”gpu”

    • ”update_Chol_factor_compute_device”: str; default = “cpu”/”gpu”

    • ”Chol_solve_compute_device” : str; default = “cpu”/”gpu”

    • ”Chol_logdet_compute_device” : str; default = “cpu”/”gpu”

    GPU backend:

    • ”GPU_engine” : “torch”/”cupy”; default = first available

    • ”GPU_device” : str; e.g. “cuda:1” or “mps”

    • ”GPU_device_index” : int — explicit CUDA device index

    All other keys will be stored and are available as part of the object instance and in kernel, mean, and noise functions.

x_data#

Datapoint positions.

Type:

np.ndarray or list

y_data#

Datapoint values.

Type:

np.ndarray

noise_variances#

Datapoint observation variances.

Type:

np.ndarray

hyperparameters#

Current hyperparameters in use.

Type:

np.ndarray

K#

Current prior covariance matrix of the GP.

Type:

np.ndarray

m#

Current prior mean vector.

Type:

np.ndarray

V#

the noise covariance matrix or a vector.

Type:

np.ndarray

This class inherits all capabilities from fvgp.GP. Check there for a full list of capabilities. Here are the most important.

Base-GP Methods:

fvgp.GP.train()

fvgp.GP.stop_training()

fvgp.GP.kill_client()

fvgp.GP.update_hyperparameters()

fvgp.GP.set_hyperparameters()

fvgp.GP.hyperparameters()

Posterior Evaluations:

fvgp.GP.posterior_mean()

fvgp.GP.posterior_covariance()

fvgp.GP.posterior_mean_grad()

fvgp.GP.posterior_covariance_grad()

fvgp.GP.joint_gp_prior()

fvgp.GP.joint_gp_prior_grad()

fvgp.GP.gp_entropy()

fvgp.GP.gp_entropy_grad()

fvgp.GP.gp_kl_div()

fvgp.GP.gp_mutual_information()

fvgp.GP.gp_total_correlation()

fvgp.GP.gp_relative_information_entropy()

fvgp.GP.gp_relative_information_entropy_set()

fvgp.GP.posterior_probability()

Validation Methods:

fvgp.GP.crps()

fvgp.GP.rmse()

fvgp.GP.make_2d_x_pred()

fvgp.GP.make_1d_x_pred()

fvgp.GP.log_likelihood()

fvgp.GP.test_log_likelihood_gradient()

property fvgp_x_data#

Multi-task input data including the output-index column, shape (N, D+1).

property fvgp_y_data#

Observed values in the multi-task (output-index-augmented) space, shape (N,).

property fvgp_noise_variances#

Point-wise noise variances in the multi-task space, shape (N,), or None.

update_gp_data(x_new, y_new, noise_variances_new=None, append=True, rank_n_update=None)[source]#

This function updates the data in the gp object instance. The data will only be overwritten if append=False, otherwise the data will be appended. This is a change from earlier versions. Now, the default is not to overwrite the existing data.

Parameters:

  • x_new (np.ndarray or list) – The input point positions. Shape (V x Di), where Di is the fvgp.fvGP.input_set_dim. For multi-task GPs, the index set dimension = input space dimension + 1. If dealing with non-Euclidean inputs x_new should be a list, not a numpy array.

  • y_new (np.ndarray) – The values of the data points. Shape (V,No). It is possible that not every entry in x_new has all corresponding tasks available. In that case y_new may contain np.nan entries.

  • noise_variances_new (np.ndarray, optional) – A numpy array or list defining the uncertainties/noise in the y_data in form of a point-wise variance. Shape (V, No). If y_data has np.nan entries, the corresponding noise_variances have to be np.nan. Note: if no noise_variances are provided here, the noise_function callable will be used; if the callable is not provided, the noise variances will be set to abs(np.mean(y_data)) / 100.0. If noise covariances are required (correlated noise), make use of the noise_function. Only provide a noise function OR noise_variances, not both.

  • append (bool, optional) – Indication whether to append to or overwrite the existing dataset. Default = True. In the default case, data will be appended.

  • rank_n_update (bool, optional) – Indicates whether the GP marginal likelihood should be rank-n updated or recomputed. The default is rank_n_update=append, meaning if data is only appended, the rank_n_update will be performed.