use crate::kernels::{Kernel, RBF};
use crate::regression::VariationalOptimizer;
use scirs2_core::ndarray::{s, Array1, Array2, Array3};
use scirs2_core::random::{rngs::StdRng, RngExt, SeedableRng};
use sklears_core::error::{Result, SklearsError};
use std::f64::consts::PI;
#[derive(Debug, Clone)]
pub enum VariationalLikelihood {
Gaussian { noise_variance: f64 },
LearnableGaussian { initial_noise_variance: f64 },
Bernoulli,
Poisson,
Beta { alpha: f64, beta: f64 },
StudentT { degrees_of_freedom: f64, scale: f64 },
}
#[derive(Debug, Clone)]
pub struct VariationalLayerConfig {
pub input_dim: usize,
pub output_dim: usize,
pub n_inducing: usize,
pub kernel: Box<dyn Kernel>,
pub optimizer: VariationalOptimizer,
pub whiten: bool,
pub initial_variance: f64,
}
impl Default for VariationalLayerConfig {
fn default() -> Self {
Self {
input_dim: 1,
output_dim: 1,
n_inducing: 10,
kernel: Box::new(RBF::new(1.0)),
optimizer: VariationalOptimizer::Adam,
whiten: true,
initial_variance: 1.0,
}
}
}
#[derive(Debug, Clone)]
pub struct VariationalDeepGPConfig {
pub layer_configs: Vec<VariationalLayerConfig>,
pub likelihood: VariationalLikelihood,
pub n_mc_samples: usize,
pub learning_rate: f64,
pub batch_size: usize,
pub max_epochs: usize,
pub convergence_tolerance: f64,
pub use_natural_gradients: bool,
pub random_seed: Option<u64>,
}
impl Default for VariationalDeepGPConfig {
fn default() -> Self {
Self {
layer_configs: vec![VariationalLayerConfig::default()],
likelihood: VariationalLikelihood::Gaussian {
noise_variance: 0.1,
},
n_mc_samples: 10,
learning_rate: 0.01,
batch_size: 100,
max_epochs: 1000,
convergence_tolerance: 1e-6,
use_natural_gradients: false,
random_seed: None,
}
}
}
#[derive(Debug, Clone)]
pub struct VariationalLayerParameters {
pub mean: Array2<f64>,
pub chol_cov: Array3<f64>, pub inducing_points: Array2<f64>,
pub kernel_params: Array1<f64>,
}
#[derive(Debug)]
#[allow(non_snake_case)]
pub struct VariationalDeepGPState {
pub layer_parameters: Vec<VariationalLayerParameters>,
pub X_train: Array2<f64>,
pub y_train: Array2<f64>,
pub current_elbo: f64,
pub elbo_history: Vec<f64>,
pub epochs_completed: usize,
pub converged: bool,
}
#[derive(Debug)]
pub struct VariationalDeepGaussianProcess {
config: VariationalDeepGPConfig,
state: Option<VariationalDeepGPState>,
}
#[allow(non_snake_case)]
impl VariationalDeepGaussianProcess {
pub fn builder() -> VariationalDeepGPBuilder {
VariationalDeepGPBuilder::new()
}
pub fn new(config: VariationalDeepGPConfig) -> Self {
Self {
config,
state: None,
}
}
pub fn fit(&mut self, X: &Array2<f64>, y: &Array2<f64>) -> Result<()> {
if X.nrows() != y.nrows() {
return Err(SklearsError::InvalidInput(
"X and y must have the same number of samples".to_string(),
));
}
let layer_parameters = self.initialize_variational_parameters(X)?;
let mut state = VariationalDeepGPState {
layer_parameters,
X_train: X.clone(),
y_train: y.clone(),
current_elbo: f64::NEG_INFINITY,
elbo_history: Vec::new(),
epochs_completed: 0,
converged: false,
};
for epoch in 0..self.config.max_epochs {
let epoch_elbo = self.train_epoch(&mut state)?;
state.elbo_history.push(epoch_elbo);
state.current_elbo = epoch_elbo;
state.epochs_completed = epoch + 1;
if epoch > 10 {
let recent_elbos = &state.elbo_history[epoch.saturating_sub(10)..];
let elbo_improvement = recent_elbos.last().expect("collection should not be empty")
- recent_elbos
.first()
.expect("collection should not be empty");
if elbo_improvement.abs() < self.config.convergence_tolerance {
state.converged = true;
break;
}
}
}
self.state = Some(state);
Ok(())
}
pub fn predict(&self, X: &Array2<f64>) -> Result<(Array2<f64>, Array2<f64>)> {
let state = self.state.as_ref().ok_or_else(|| {
SklearsError::InvalidInput("Model must be fitted before prediction".to_string())
})?;
let (means, variances) = self.forward_with_uncertainty(X, state)?;
Ok((means, variances))
}
pub fn compute_elbo(
&self,
X: &Array2<f64>,
y: &Array2<f64>,
state: &VariationalDeepGPState,
) -> Result<f64> {
let expected_log_likelihood = self.compute_expected_log_likelihood(X, y, state)?;
let mut total_kl = 0.0;
for (layer_idx, layer_params) in state.layer_parameters.iter().enumerate() {
let kl = self.compute_layer_kl_divergence(layer_idx, layer_params)?;
total_kl += kl;
}
Ok(expected_log_likelihood - total_kl)
}
pub fn elbo(&self) -> Option<f64> {
self.state.as_ref().map(|s| s.current_elbo)
}
pub fn elbo_history(&self) -> Option<&[f64]> {
self.state.as_ref().map(|s| s.elbo_history.as_slice())
}
pub fn has_converged(&self) -> Option<bool> {
self.state.as_ref().map(|s| s.converged)
}
pub fn n_layers(&self) -> usize {
self.config.layer_configs.len()
}
pub fn predict_layer(
&self,
X: &Array2<f64>,
layer_idx: usize,
) -> Result<(Array2<f64>, Array2<f64>)> {
let state = self.state.as_ref().ok_or_else(|| {
SklearsError::InvalidInput("Model must be fitted before prediction".to_string())
})?;
if layer_idx >= self.n_layers() {
return Err(SklearsError::InvalidInput(format!(
"Layer index {} out of bounds (have {} layers)",
layer_idx,
self.n_layers()
)));
}
let (means, variances) = self.forward_to_layer(X, layer_idx, state)?;
Ok((means, variances))
}
fn initialize_variational_parameters(
&self,
X: &Array2<f64>,
) -> Result<Vec<VariationalLayerParameters>> {
let mut layer_parameters = Vec::new();
let mut rng = StdRng::seed_from_u64(self.config.random_seed.unwrap_or(42));
for (layer_idx, layer_config) in self.config.layer_configs.iter().enumerate() {
let inducing_points = if layer_idx == 0 {
self.initialize_inducing_points_from_data(X, layer_config.n_inducing, &mut rng)?
} else {
self.initialize_inducing_points_random(layer_config, &mut rng)?
};
let mean = Array2::zeros((layer_config.n_inducing, layer_config.output_dim));
let mut chol_cov = Array3::zeros((
layer_config.n_inducing,
layer_config.n_inducing,
layer_config.output_dim,
));
for d in 0..layer_config.output_dim {
for i in 0..layer_config.n_inducing {
chol_cov[[i, i, d]] = layer_config.initial_variance.sqrt();
}
}
let kernel_params = Array1::ones(2);
layer_parameters.push(VariationalLayerParameters {
mean,
chol_cov,
inducing_points,
kernel_params,
});
}
Ok(layer_parameters)
}
fn initialize_inducing_points_from_data(
&self,
X: &Array2<f64>,
n_inducing: usize,
rng: &mut StdRng,
) -> Result<Array2<f64>> {
let n_samples = X.nrows();
let n_dims = X.ncols();
if n_inducing >= n_samples {
return Ok(X.clone());
}
let mut indices: Vec<usize> = (0..n_samples).collect();
for i in 0..n_inducing {
let j = rng.random_range(i..n_samples);
indices.swap(i, j);
}
let mut inducing_points = Array2::zeros((n_inducing, n_dims));
for (i, &idx) in indices.iter().take(n_inducing).enumerate() {
inducing_points.row_mut(i).assign(&X.row(idx));
}
Ok(inducing_points)
}
fn initialize_inducing_points_random(
&self,
layer_config: &VariationalLayerConfig,
rng: &mut StdRng,
) -> Result<Array2<f64>> {
let mut inducing_points = Array2::zeros((layer_config.n_inducing, layer_config.input_dim));
for i in 0..layer_config.n_inducing {
for j in 0..layer_config.input_dim {
inducing_points[[i, j]] = rng.random_range(-1.0..1.0);
}
}
Ok(inducing_points)
}
fn train_epoch(&self, state: &mut VariationalDeepGPState) -> Result<f64> {
let n_samples = state.X_train.nrows();
let n_batches = n_samples.div_ceil(self.config.batch_size);
let mut epoch_elbo = 0.0;
for batch_idx in 0..n_batches {
let start_idx = batch_idx * self.config.batch_size;
let end_idx = (start_idx + self.config.batch_size).min(n_samples);
let X_batch = state.X_train.slice(s![start_idx..end_idx, ..]).to_owned();
let y_batch = state.y_train.slice(s![start_idx..end_idx, ..]).to_owned();
let batch_elbo = self.compute_elbo(&X_batch, &y_batch, state)?;
epoch_elbo += batch_elbo * (end_idx - start_idx) as f64;
self.update_variational_parameters(state, &X_batch, &y_batch)?;
}
Ok(epoch_elbo / n_samples as f64)
}
fn update_variational_parameters(
&self,
state: &mut VariationalDeepGPState,
_X_batch: &Array2<f64>,
_y_batch: &Array2<f64>,
) -> Result<()> {
let mut rng = StdRng::seed_from_u64(42);
let lr = self.config.learning_rate;
for layer_params in state.layer_parameters.iter_mut() {
for i in 0..layer_params.mean.nrows() {
for j in 0..layer_params.mean.ncols() {
let perturbation = rng.random_range(-0.5..0.5) * lr * 0.1;
layer_params.mean[[i, j]] += perturbation;
}
}
}
Ok(())
}
fn forward_with_uncertainty(
&self,
X: &Array2<f64>,
state: &VariationalDeepGPState,
) -> Result<(Array2<f64>, Array2<f64>)> {
let mut current_mean = X.clone();
let mut current_var = Array2::zeros(X.dim());
for (layer_idx, layer_params) in state.layer_parameters.iter().enumerate() {
let (layer_mean, layer_var) =
self.forward_layer(¤t_mean, ¤t_var, layer_idx, layer_params)?;
current_mean = layer_mean;
current_var = layer_var;
}
Ok((current_mean, current_var))
}
fn forward_to_layer(
&self,
X: &Array2<f64>,
target_layer: usize,
state: &VariationalDeepGPState,
) -> Result<(Array2<f64>, Array2<f64>)> {
let mut current_mean = X.clone();
let mut current_var = Array2::zeros(X.dim());
for layer_idx in 0..=target_layer {
let layer_params = &state.layer_parameters[layer_idx];
let (layer_mean, layer_var) =
self.forward_layer(¤t_mean, ¤t_var, layer_idx, layer_params)?;
current_mean = layer_mean;
current_var = layer_var;
}
Ok((current_mean, current_var))
}
fn forward_layer(
&self,
input_mean: &Array2<f64>,
_input_var: &Array2<f64>,
layer_idx: usize,
_layer_params: &VariationalLayerParameters,
) -> Result<(Array2<f64>, Array2<f64>)> {
let layer_config = &self.config.layer_configs[layer_idx];
let n_test = input_mean.nrows();
let output_mean = Array2::zeros((n_test, layer_config.output_dim));
let output_var = Array2::ones((n_test, layer_config.output_dim));
Ok((output_mean, output_var))
}
fn compute_expected_log_likelihood(
&self,
X: &Array2<f64>,
y: &Array2<f64>,
state: &VariationalDeepGPState,
) -> Result<f64> {
let mut total_log_likelihood = 0.0;
for _ in 0..self.config.n_mc_samples {
let (predictions, _) = self.forward_with_uncertainty(X, state)?;
let log_likelihood = self.compute_log_likelihood(&predictions, y)?;
total_log_likelihood += log_likelihood;
}
Ok(total_log_likelihood / self.config.n_mc_samples as f64)
}
fn compute_log_likelihood(
&self,
predictions: &Array2<f64>,
targets: &Array2<f64>,
) -> Result<f64> {
match &self.config.likelihood {
VariationalLikelihood::Gaussian { noise_variance } => {
let diff = predictions - targets;
let sum_squared_diff = diff.iter().map(|x| x * x).sum::<f64>();
let n = predictions.len() as f64;
Ok(-0.5 * n * (2.0 * PI * noise_variance).ln()
- 0.5 * sum_squared_diff / noise_variance)
}
VariationalLikelihood::LearnableGaussian { .. } => {
let noise_variance = 0.1; let diff = predictions - targets;
let sum_squared_diff = diff.iter().map(|x| x * x).sum::<f64>();
let n = predictions.len() as f64;
Ok(-0.5 * n * (2.0 * PI * noise_variance).ln()
- 0.5 * sum_squared_diff / noise_variance)
}
_ => {
Ok(0.0)
}
}
}
fn compute_layer_kl_divergence(
&self,
_layer_idx: usize,
layer_params: &VariationalLayerParameters,
) -> Result<f64> {
let mut kl = 0.0;
let n_inducing = layer_params.mean.nrows();
let output_dim = layer_params.mean.ncols();
for d in 0..output_dim {
for i in 0..n_inducing {
for j in 0..n_inducing {
kl += layer_params.chol_cov[[i, j, d]].powi(2);
}
}
for i in 0..n_inducing {
kl += layer_params.mean[[i, d]].powi(2);
}
kl += n_inducing as f64;
}
Ok(0.5 * kl)
}
}
#[derive(Debug)]
pub struct VariationalDeepGPBuilder {
config: VariationalDeepGPConfig,
}
impl VariationalDeepGPBuilder {
pub fn new() -> Self {
Self {
config: VariationalDeepGPConfig::default(),
}
}
pub fn layer_dims(mut self, dims: Vec<usize>) -> Self {
if dims.len() < 2 {
panic!("Must specify at least input and output dimensions");
}
self.config.layer_configs.clear();
for i in 0..(dims.len() - 1) {
let layer_config = VariationalLayerConfig {
input_dim: dims[i],
output_dim: dims[i + 1],
..Default::default()
};
self.config.layer_configs.push(layer_config);
}
self
}
pub fn n_inducing_points(mut self, n_inducing: Vec<usize>) -> Self {
for (i, &n) in n_inducing.iter().enumerate() {
if i < self.config.layer_configs.len() {
self.config.layer_configs[i].n_inducing = n;
}
}
self
}
pub fn kernels(mut self, kernels: Vec<Box<dyn Kernel>>) -> Self {
for (i, kernel) in kernels.into_iter().enumerate() {
if i < self.config.layer_configs.len() {
self.config.layer_configs[i].kernel = kernel;
}
}
self
}
pub fn likelihood(mut self, likelihood: VariationalLikelihood) -> Self {
self.config.likelihood = likelihood;
self
}
pub fn n_mc_samples(mut self, n_samples: usize) -> Self {
self.config.n_mc_samples = n_samples;
self
}
pub fn learning_rate(mut self, lr: f64) -> Self {
self.config.learning_rate = lr;
self
}
pub fn batch_size(mut self, batch_size: usize) -> Self {
self.config.batch_size = batch_size;
self
}
pub fn max_epochs(mut self, max_epochs: usize) -> Self {
self.config.max_epochs = max_epochs;
self
}
pub fn convergence_tolerance(mut self, tolerance: f64) -> Self {
self.config.convergence_tolerance = tolerance;
self
}
pub fn use_natural_gradients(mut self, use_natural: bool) -> Self {
self.config.use_natural_gradients = use_natural;
self
}
pub fn random_seed(mut self, seed: u64) -> Self {
self.config.random_seed = Some(seed);
self
}
pub fn build(self) -> VariationalDeepGaussianProcess {
VariationalDeepGaussianProcess::new(self.config)
}
}
impl Default for VariationalDeepGPBuilder {
fn default() -> Self {
Self::new()
}
}
#[allow(non_snake_case)]
#[cfg(test)]
mod tests {
use super::*;
use crate::kernels::RBF;
use scirs2_core::ndarray::array;
#[test]
fn test_variational_deep_gp_creation() {
let vdgp = VariationalDeepGaussianProcess::builder()
.layer_dims(vec![2, 5, 1])
.n_inducing_points(vec![10, 8])
.build();
assert_eq!(vdgp.n_layers(), 2);
assert_eq!(vdgp.config.layer_configs[0].input_dim, 2);
assert_eq!(vdgp.config.layer_configs[0].output_dim, 5);
assert_eq!(vdgp.config.layer_configs[1].input_dim, 5);
assert_eq!(vdgp.config.layer_configs[1].output_dim, 1);
}
#[test]
fn test_likelihood_variants() {
let likelihoods = vec![
VariationalLikelihood::Gaussian {
noise_variance: 0.1,
},
VariationalLikelihood::LearnableGaussian {
initial_noise_variance: 0.2,
},
VariationalLikelihood::Bernoulli,
VariationalLikelihood::Poisson,
VariationalLikelihood::Beta {
alpha: 1.0,
beta: 1.0,
},
VariationalLikelihood::StudentT {
degrees_of_freedom: 3.0,
scale: 1.0,
},
];
for likelihood in likelihoods {
let vdgp = VariationalDeepGaussianProcess::builder()
.layer_dims(vec![2, 1])
.likelihood(likelihood)
.build();
match vdgp.config.likelihood {
VariationalLikelihood::Gaussian { .. } => {}
VariationalLikelihood::LearnableGaussian { .. } => {}
VariationalLikelihood::Bernoulli => {}
VariationalLikelihood::Poisson => {}
VariationalLikelihood::Beta { .. } => {}
VariationalLikelihood::StudentT { .. } => {}
}
}
}
#[test]
fn test_layer_config_creation() {
let config = VariationalLayerConfig {
input_dim: 3,
output_dim: 5,
n_inducing: 15,
kernel: Box::new(RBF::new(1.5)),
optimizer: VariationalOptimizer::NaturalGradients,
whiten: false,
initial_variance: 0.5,
};
assert_eq!(config.input_dim, 3);
assert_eq!(config.output_dim, 5);
assert_eq!(config.n_inducing, 15);
assert!(!config.whiten);
assert!((config.initial_variance - 0.5).abs() < 1e-10);
}
#[test]
fn test_builder_configuration() {
let vdgp = VariationalDeepGaussianProcess::builder()
.layer_dims(vec![3, 10, 5, 2])
.n_inducing_points(vec![20, 15, 10])
.n_mc_samples(50)
.learning_rate(0.001)
.batch_size(64)
.max_epochs(500)
.convergence_tolerance(1e-8)
.use_natural_gradients(true)
.random_seed(123)
.build();
assert_eq!(vdgp.n_layers(), 3);
assert_eq!(vdgp.config.n_mc_samples, 50);
assert!((vdgp.config.learning_rate - 0.001).abs() < 1e-10);
assert_eq!(vdgp.config.batch_size, 64);
assert_eq!(vdgp.config.max_epochs, 500);
assert!((vdgp.config.convergence_tolerance - 1e-8).abs() < 1e-15);
assert!(vdgp.config.use_natural_gradients);
assert_eq!(vdgp.config.random_seed, Some(123));
}
#[test]
fn test_variational_deep_gp_config_default() {
let config = VariationalDeepGPConfig::default();
assert_eq!(config.layer_configs.len(), 1);
assert_eq!(config.n_mc_samples, 10);
assert!((config.learning_rate - 0.01).abs() < 1e-10);
assert_eq!(config.batch_size, 100);
assert_eq!(config.max_epochs, 1000);
assert!((config.convergence_tolerance - 1e-6).abs() < 1e-15);
assert!(!config.use_natural_gradients);
assert_eq!(config.random_seed, None);
}
#[test]
fn test_variational_layer_parameters_structure() {
let params = VariationalLayerParameters {
mean: Array2::zeros((10, 3)),
chol_cov: Array3::zeros((10, 10, 3)),
inducing_points: Array2::zeros((10, 2)),
kernel_params: array![1.0, 0.5],
};
assert_eq!(params.mean.shape(), &[10, 3]);
assert_eq!(params.chol_cov.shape(), &[10, 10, 3]);
assert_eq!(params.inducing_points.shape(), &[10, 2]);
assert_eq!(params.kernel_params.len(), 2);
}
#[test]
fn test_training_state_structure() {
let state = VariationalDeepGPState {
layer_parameters: vec![],
X_train: Array2::zeros((100, 3)),
y_train: Array2::zeros((100, 1)),
current_elbo: -1000.0,
elbo_history: vec![-1200.0, -1100.0, -1000.0],
epochs_completed: 3,
converged: false,
};
assert_eq!(state.layer_parameters.len(), 0);
assert_eq!(state.X_train.shape(), &[100, 3]);
assert_eq!(state.y_train.shape(), &[100, 1]);
assert!((state.current_elbo + 1000.0).abs() < 1e-10);
assert_eq!(state.elbo_history.len(), 3);
assert_eq!(state.epochs_completed, 3);
assert!(!state.converged);
}
#[test]
fn test_unfitted_model_errors() {
let vdgp = VariationalDeepGaussianProcess::builder()
.layer_dims(vec![2, 1])
.build();
let X_test = array![[1.0, 2.0], [3.0, 4.0]];
assert!(vdgp.predict(&X_test).is_err());
assert!(vdgp.elbo().is_none());
assert!(vdgp.elbo_history().is_none());
assert!(vdgp.has_converged().is_none());
}
#[test]
fn test_student_t_likelihood_configuration() {
let likelihood = VariationalLikelihood::StudentT {
degrees_of_freedom: 5.0,
scale: 2.0,
};
match likelihood {
VariationalLikelihood::StudentT {
degrees_of_freedom,
scale,
} => {
assert!((degrees_of_freedom - 5.0).abs() < 1e-10);
assert!((scale - 2.0).abs() < 1e-10);
}
_ => panic!("Wrong likelihood type"),
}
}
#[test]
fn test_beta_likelihood_configuration() {
let likelihood = VariationalLikelihood::Beta {
alpha: 2.0,
beta: 3.0,
};
match likelihood {
VariationalLikelihood::Beta { alpha, beta } => {
assert!((alpha - 2.0).abs() < 1e-10);
assert!((beta - 3.0).abs() < 1e-10);
}
_ => panic!("Wrong likelihood type"),
}
}
#[test]
fn test_multi_layer_architecture() {
let vdgp = VariationalDeepGaussianProcess::builder()
.layer_dims(vec![5, 20, 15, 10, 3]) .n_inducing_points(vec![25, 20, 15, 12])
.build();
assert_eq!(vdgp.n_layers(), 4);
assert_eq!(vdgp.config.layer_configs[0].input_dim, 5);
assert_eq!(vdgp.config.layer_configs[0].output_dim, 20);
assert_eq!(vdgp.config.layer_configs[0].n_inducing, 25);
assert_eq!(vdgp.config.layer_configs[3].input_dim, 10);
assert_eq!(vdgp.config.layer_configs[3].output_dim, 3);
assert_eq!(vdgp.config.layer_configs[3].n_inducing, 12);
}
#[test]
fn test_variational_optimizer_types() {
let optimizers = vec![
VariationalOptimizer::Adam,
VariationalOptimizer::NaturalGradients,
VariationalOptimizer::DoublyStochastic,
];
for optimizer in optimizers {
let config = VariationalLayerConfig {
optimizer: optimizer.clone(),
..Default::default()
};
match config.optimizer {
VariationalOptimizer::Adam => {}
VariationalOptimizer::NaturalGradients => {}
VariationalOptimizer::DoublyStochastic => {}
}
}
}
}