Equivalent GP models, different results


I modelled my 2-dimensional data (one being a continuous value and one being the category the datapoint stems from) with gaussian processes in 2 ways that should actually be equivalent but somehow I yield different prediction results (the posterior seems fine). The only difference is basically that one time I create a fit model from scratch and a predict model by using copy.deepcopy() and then adding the prediction variables while the other time I explicitely create two separate (though equal apart from the prediction part) models.

So this is what I did regarding the first approach:

    'index_train': df_train.index,
    'index_predict': df_predict.index,
    'category': df_train['CATEGORY'].cat.categories,
    'input_dim': ['ANGLE', 'CAT_ID'],
    'output_dim': ['FORCE'],

def warp_periodic(x, period=360):
    alpha = 2*np.pi/period*x[:,0]
    return at.stack((at.sin(alpha), at.cos(alpha)), axis=1)

with pm.Model(coords=coords) as model_train:
    # Data
    x_train = pm.ConstantData('x_train', df_train[['ANGLE', 'CAT_ID']], dims=('index_train', 'input_dim'))
    y_train = pm.ConstantData('y_train', df_train['FORCE'], dims='index_train')

    # Hyperparameter Priors
    sigma_mu = pm.ConstantData('sigma_mu', [20, 2, 0.2, 0.2, 0.2, 0.02], dims='category')
    sigma_sigma = pm.ConstantData('sigma_sigma', [10, 1, 0.1, 0.1, 0.1, 0.01], dims='category')
    sigma = pm.InverseGamma('sigma', mu=sigma_mu, sigma=sigma_sigma, dims='category')

    eta_mu = pm.ConstantData('eta_mu', 25)
    eta_sigma = pm.ConstantData('eta_sigma', 20)
    eta = pm.InverseGamma('eta', mu=eta_mu, sigma=eta_sigma)

    ls_mu = pm.ConstantData('ls_mu', 0.6)
    ls_sigma = pm.ConstantData('ls_sigma', 0.3)
    ls = pm.InverseGamma('ls', mu=ls_mu, sigma=ls_sigma)

    lsn_mu = pm.ConstantData('lsn_mu', 0.15)
    lsn_sigma = pm.ConstantData('lsn_sigma', 0.1)
    lsn = pm.InverseGamma('lsn', mu=lsn_mu, sigma=lsn_sigma)
    noise_mu = pm.ConstantData('noise_mu', 1e-1)
    noise_sigma = pm.ConstantData('noise_sigma', 8e-2)
    noise = pm.InverseGamma('noise', mu=noise_mu, sigma=noise_sigma) + 1e-4
    # Mean & Covariance Functions
    cov = (eta**2
        * pm.gp.cov.WarpedInput(input_dim=2, cov_func=pm.gp.cov.ExpQuad(2, ls=ls), warp_func=warp_periodic, active_dims=[0])
        + pm.gp.cov.Coregion(input_dim=2, W=at.zeros_like(sigma), kappa=sigma, active_dims=[1])**2
        * pm.gp.cov.WarpedInput(input_dim=2, cov_func=pm.gp.cov.Matern52(2, ls=lsn), warp_func=warp_periodic, active_dims=[0]))
    mean = pm.gp.mean.Zero()

    # Marginal GP Likelihood
    gp = pm.gp.Marginal(mean_func=mean, cov_func=cov)
    force_obs = gp.marginal_likelihood('force_obs', X=x_train, y=y_train, sigma=noise, dims='index_train')

with deepcopy(model_train) as model_predict:
    # Conditional GP Prediction
    x_predict = pm.ConstantData('x_predict', df_predict[['ANGLE', 'CAT_ID']], dims=('index_predict', 'input_dim'))
    force_predict = gp.conditional('force_predict', Xnew=x_predict, pred_noise=True, dims='index_predict')

The other time I didn’t use the deepcopy() but just created another model including the prediction part from scratch.

with pm.Model(coords=coords) as model_predict:
   ... # full model definition

The results were surprisingly quite different. Here are 2 plots (I confirmed that the plots are actually correct according to the prediction results) for the category where it was most visible:
First approach (using deepcopy):

Second approach (separate models from scratch):

It almost appears like the length scales of the Matern52 would be different. Does anyone have an idea what caused this behavior? Thanks in advance!

Hmm, nothing obvious jumps out. It does look like both should be equivalent. When are you calling pm.sample?

Maybe one prediction includes the likelihood noise and the other doesn’t?

In both cases I’m calling it just after calling sample_prior_predictive. I wrapped them both in a function:

idata = az.InferenceData()
with model_train:
     idata.extend(sample_prior_predictive(**kwargs_prior), join='right')
     idata.extend(sample(**kwargs_posterior), join='right')

Could it be that deepcopy is making problems by not copying the tensors properly?

Maybe, I wouldn’t be surprised. Cloning a PyMC model is not trivial and I don’t expect deepcopy to do a good job. This is specially relevant for GPs, as they hold references to old variables in the instances.

PyMC has a clone_model utility, but for similar reasons that won’t work properly with GP objects.

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It seems that deepcopy is indeed the problem. This time I used only one model for both fitting and prediction and got the same results as in the approach with 2 separate models created from scratch.

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