Source code for pyro.contrib.gp.kernels.brownian

from __future__ import absolute_import, division, print_function

import torch
from torch.distributions import constraints
from torch.nn import Parameter

from .kernel import Kernel


[docs]class Brownian(Kernel): r""" This kernel correponds to a two-sided Brownion motion (Wiener process): :math:`k(x,z)=\begin{cases}\sigma^2\min(|x|,|z|),& \text{if } x\cdot z\ge 0\\ 0, & \text{otherwise}. \end{cases}` Note that the input dimension of this kernel must be 1. Reference: [1] `Theory and Statistical Applications of Stochastic Processes`, Yuliya Mishura, Georgiy Shevchenko """ def __init__(self, input_dim, variance=None, active_dims=None, name="Brownian"): if input_dim != 1: raise ValueError("Input dimensional for Brownian kernel must be 1.") super(Brownian, self).__init__(input_dim, active_dims, name) if variance is None: variance = torch.tensor(1.) self.variance = Parameter(variance) self.set_constraint("variance", constraints.positive)
[docs] def forward(self, X, Z=None, diag=False): variance = self.get_param("variance") if Z is None: Z = X X = self._slice_input(X) if diag: return variance * X.abs().squeeze(1) Z = self._slice_input(Z) if X.shape[1] != Z.shape[1]: raise ValueError("Inputs must have the same number of features.") Zt = Z.t() return torch.where(X.sign() == Zt.sign(), variance * torch.min(X.abs(), Zt.abs()), X.data.new_zeros(X.shape[0], Z.shape[0]))