# Kernel¶

class probnum.randprocs.kernels.Kernel(input_shape, output_shape=())

Bases: abc.ABC

(Cross-)covariance function(s)

Abstract base class representing one or multiple (cross-)covariance function(s), also known as kernels. A cross-covariance function

$$k_{fg} \colon \mathcal{X}^{d_\text{in}} \times \mathcal{X}^{d_\text{in}} \to \mathbb{R}$$

is a function of two arguments $$x_0$$ and $$x_1$$, which represents the covariance between two evaluations $$f(x_0)$$ and $$g(x_1)$$ of two scalar-valued random processes $$f$$ and $$g$$ on a common probability space (or, equivalently, two outputs $$h_i(x_0)$$ and $$h_j(x_1)$$ of a vector-valued random process $$h$$). If $$f = g$$, then the cross-covariance function is also referred to as a covariance function, in which case it must be symmetric and positive (semi-)definite.

An instance of a Kernel can compute multiple different (cross-)covariance functions on the same pair of inputs simultaneously. For instance, it can be used to compute the full covariance matrix

$$C^f \colon \mathcal{X}^{d_\text{in}} \times \mathcal{X}^{d_\text{in}} \to \mathbb{R}^{d_\text{out} \times d_\text{out}}, C^f_{i j}(x_0, x_1) := k_{f_i f_j}(x_0, x_1)$$

of the vector-valued random process $$f$$. To this end, we understand any Kernel as a tensor whose shape is given by output_shape, which contains different (cross-)covariance functions as its entries.

Parameters

Examples

>>> D = 3
>>> k = pn.randprocs.kernels.Linear(input_shape=D)
>>> k.input_shape
(3,)
>>> k.output_shape
()


Generate some input data.

>>> N = 4
>>> xs = np.linspace(0, 1, N * D).reshape(N, D)
>>> xs.shape
(4, 3)
>>> xs
array([[0.        , 0.09090909, 0.18181818],
[0.27272727, 0.36363636, 0.45454545],
[0.54545455, 0.63636364, 0.72727273],
[0.81818182, 0.90909091, 1.        ]])


We can compute kernel matrices like so.

>>> k.matrix(xs)
array([[0.04132231, 0.11570248, 0.19008264, 0.26446281],
[0.11570248, 0.41322314, 0.7107438 , 1.00826446],
[0.19008264, 0.7107438 , 1.23140496, 1.75206612],
[0.26446281, 1.00826446, 1.75206612, 2.49586777]])


The Kernel.__call__() evaluations are vectorized over the “batch shapes” of the inputs, applying standard NumPy broadcasting.

>>> k(xs[:, None], xs[None, :])  # same as .matrix
array([[0.04132231, 0.11570248, 0.19008264, 0.26446281],
[0.11570248, 0.41322314, 0.7107438 , 1.00826446],
[0.19008264, 0.7107438 , 1.23140496, 1.75206612],
[0.26446281, 1.00826446, 1.75206612, 2.49586777]])


No broadcasting is applied if both inputs have the same shape. For instance, one can efficiently compute just the diagonal of the kernel matrix via

>>> k(xs, xs)
array([0.04132231, 0.41322314, 1.23140496, 2.49586777])
>>> k(xs, None)  # x1 = None is an efficient way to set x1 == x0
array([0.04132231, 0.41322314, 1.23140496, 2.49586777])


and the diagonal above the main diagonal of the kernel matrix is retrieved through

>>> k(xs[:-1, :], xs[1:, :])
array([0.11570248, 0.7107438 , 1.75206612])


Attributes Summary

 input_ndim Syntactic sugar for len(input_shape). input_shape Shape of single, i.e. non-batched, arguments of the covariance function. output_ndim Syntactic sugar for len(output_shape). output_shape Shape of single, i.e. non-batched, return values of the covariance function.

Methods Summary

 __call__(x0, x1) Evaluate the (cross-)covariance function(s). matrix(x0[, x1]) A convenience function for computing a kernel matrix for two sets of inputs.

Attributes Documentation

input_ndim

Syntactic sugar for len(input_shape).

Return type

int

input_shape

Shape of single, i.e. non-batched, arguments of the covariance function.

Return type
output_ndim

Syntactic sugar for len(output_shape).

Return type

int

output_shape

Shape of single, i.e. non-batched, return values of the covariance function.

If output_shape is (), the Kernel instance represents a single (cross-)covariance function. Otherwise, i.e. if output_shape is non-empty, the Kernel instance represents a tensor of (cross-)covariance functions whose shape is given by output_shape.

Return type

Methods Documentation

__call__(x0, x1)[source]

Evaluate the (cross-)covariance function(s).

The evaluation of the (cross-covariance) function(s) is vectorized over the batch shapes of the arguments, applying standard NumPy broadcasting.

Parameters
Returns

shape= bcast_batch_shape + output_shape – The (cross-)covariance function(s) evaluated at (x0, x1). Since the function is vectorized over the batch shapes of the inputs, the output array contains the following entries:

k_x0_x1[batch_idx + output_idx] = k[output_idx](
x0[batch_idx, ...],
x1[batch_idx, ...],
)


where we assume that x0 and x1 have been broadcast to a common shape bcast_batch_shape + input_shape, and where output_idx and batch_idx are indices compatible with output_shape and bcast_batch_shape, respectively. By k[output_idx] we refer to the covariance function at index output_idx in the tensor of covariance functions represented by the Kernel instance.

Return type

k_x0_x1

Raises

matrix

Convenience function to compute a kernel matrix, i.e. a matrix of pairwise evaluations of the kernel on two sets of points.

Examples

See documentation of class Kernel.

matrix(x0, x1=None)[source]

A convenience function for computing a kernel matrix for two sets of inputs.

This is syntactic sugar for k(x0[:, None], x1[None, :]). Hence, it computes the matrix (stack) of pairwise covariances between two sets of input points. If k represents a single covariance function, then the resulting matrix will be symmetric positive-(semi)definite for x0 == x1.

Parameters
Returns

shape= batch_shape + output_shape – The matrix / stack of matrices containing the pairwise evaluations of the (cross-)covariance function(s) on x0 and x1. Depending on the shape of the inputs, batch_shape is either (M, N), (M,), (N,), or ().

Return type

kernmat

Raises

ValueError – If the shapes of the inputs don’t match the specification.

__call__
See documentation of class Kernel.