initial commit

Author: jessegrabowski

pymc_experimental/gp/pytensor_gp.py

@@ -0,0 +1,92 @@
+import numpy as np
+import pymc as pm
+import pytensor
+import pytensor.tensor as pt
+
+from pymc.logprob.abstract import MeasurableVariable, _get_measurable_outputs
+from pytensor.graph.op import Apply, Op
+
+
+class Cov(Op):
+    __props__ = ("fn",)
+
+    def __init__(self, fn):
+        self.fn = fn
+
+    def make_node(self, ls):
+        ls = pt.as_tensor(ls)
+        out = pt.matrix(shape=(None, None))
+
+        return Apply(self, [ls], [out])
+
+    def __call__(self, ls=1.0):
+        return super().__call__(ls)
+
+    def perform(self, node, inputs, output_storage):
+        raise NotImplementedError("You should convert Cov into a TensorVariable expression!")
+
+    def do_constant_folding(self, fgraph, node):
+        return False
+
+
+class GP(Op):
+    __props__ = ("approx",)
+
+    def __init__(self, approx):
+        self.approx = approx
+
+    def make_node(self, mean, cov):
+        mean = pt.as_tensor(mean)
+        cov = pt.as_tensor(cov)
+
+        if not (cov.owner and isinstance(cov.owner.op, Cov)):
+            raise ValueError("Second argument should be a Cov output.")
+
+        out = pt.vector(shape=(None,))
+
+        return Apply(self, [mean, cov], [out])
+
+    def perform(self, node, inputs, output_storage):
+        raise NotImplementedError("You cannot evaluate a GP, not enough RAM in the Universe.")
+
+    def do_constant_folding(self, fgraph, node):
+        return False
+
+
+class PriorFromGP(Op):
+    """This Op will be replaced by the right MvNormal."""
+
+    def make_node(self, gp, x, rng):
+        gp = pt.as_tensor(gp)
+        if not (gp.owner and isinstance(gp.owner.op, GP)):
+            raise ValueError("First argument should be a GP output.")
+
+        # TODO: Assert RNG has the right type
+        x = pt.as_tensor(x)
+        out = x.type()
+
+        return Apply(self, [gp, x, rng], [out])
+
+    def __call__(self, gp, x, rng=None):
+        if rng is None:
+            rng = pytensor.shared(np.random.default_rng())
+        return super().__call__(gp, x, rng)
+
+    def perform(self, node, inputs, output_storage):
+        raise NotImplementedError("You should convert PriorFromGP into a MvNormal!")
+
+    def do_constant_folding(self, fgraph, node):
+        return False
+
+
+cov_op = Cov(fn=pm.gp.cov.ExpQuad)
+gp_op = GP("vanilla")
+# SymbolicRandomVariable.register(type(gp_op))
+prior_from_gp = PriorFromGP()
+
+MeasurableVariable.register(type(prior_from_gp))
+
+
+@_get_measurable_outputs.register(type(prior_from_gp))
+def gp_measurable_outputs(op, node):
+    return node.outputs