# GP with sigmoid link function for time-series data

I am attempting to construct a model for the function y = coefficient * input ** exponent, where both coefficient and exponent vary with time and are assumed to follow a Gaussian Process distribution. To ensure that the exponent only takes on values between 0 and 1, I use a sigmoid link function to compress the output from the GP into this valid range.

The simulated data have circular dynamics but is quite close to periodic as the discrepancy between frequencies is not too large.

I am trying to play around with this or at least get it to work, being an beginner with GP’s I run into trouble.

Consider the code below. The output is quite far from what I would expect, seems like the scale of the coefficient is off, also the output from the GP posteriors are basically 1, can anyone see what I am doing wrong?

``````import numpy as np
import pymc3 as pm
import matplotlib.pyplot as plt
import pandas as pd

def generate_input_data(timerange):
import random
return np.array([random.uniform(0.5, 0.7) for x in range(len(timerange))]).reshape(-1, 1)

def get_coefficient_val(date, coefficientknots):
coefficientval = 0
for knot, val in coefficientknots.items():
lb, ub = map(int, knot.split("-"))
if lb <= date.day <= ub:
coefficientval = val
break
return coefficientval

def get_exponent_val(date, exponentknots):
exponentval = 1.0
for exponentknot, val in exponentknots.items():
lb, ub = map(int, exponentknot.split("-"))
if lb <= date.day <= ub:
exponentval = val
break
return exponentval

def compute_true_values(timerange, coefficientknots, exponentknots):
true_values = []
for idx, date in enumerate(timerange):
coefficientval = get_coefficient_val(date, coefficientknots)
exponentval = get_exponent_val(date, exponentknots)
if coefficientval == 0 or exponentval == 1.0:
raise ValueError("Invalid coefficient or exponent value")
val = generate_input_data([date])[0]
entry = coefficientval * val ** exponentval
true_values.append(entry)
return np.array(true_values)

def run_model(timerange, input, true_values, coefficientknots, exponentknots, exp_cov=False):
with pm.Model() as model:
if exp_cov:
l = pm.Uniform("l", 0, 10)
gpcoefficient = pm.gp.Latent(cov_func=covcoefficient)
else:
ls_coeff = pm.Gamma('lscoeff', 4.0, 0.1)
period_coeff = pm.Gamma('period', 15, 7)
gpcoefficient = pm.gp.Latent(pm.gp.cov.Periodic(input_dim=1,
period=period_coeff,
ls=ls_coeff))
gpcoefficientprior = gpcoefficient.prior("gpcoefficientprior", input)

if exp_cov:
lsat = pm.Uniform("lsat", 0, 10)
gpsat = pm.gp.Latent(cov_func=covsat)
else:
ls_sat = pm.Gamma('lssat', 4.0, 0.1)
period_sat = pm.Gamma('period_sat', 15, 1)
gpsat = pm.gp.Latent(pm.gp.cov.Periodic(input_dim=1,
period=period_sat,
ls=ls_sat))
gpsatprior = pm.math.sigmoid(gpsat.prior("gpsatprior", input))

f = gpcoefficientprior * input ** gpsatprior

sigma = pm.HalfCauchy("sigma", beta=5)
v = pm.Gamma("v", alpha=2, beta=0.1)
y_ = pm.StudentT("y", mu=f, lam=1.0 / sigma, nu=v, observed=true_values)

trace = pm.sample(1000, chains=2, cores=1, return_inferencedata=True)

coefficient_means = {}
saturation_means = {}
for knot, val in coefficientknots.items():
lb, ub = (int(x) for x in knot.split("-"))
mask = (timerange.day >= lb) & (timerange.day <= ub)
posterior = pm.sample_posterior_predictive(trace, var_names=['gpcoefficientprior'], samples=1000)

for knot, val in exponentknots.items():
lb, ub = (int(x) for x in knot.split("-"))
mask = (timerange.day >= lb) & (timerange.day <= ub)
posterior = pm.sample_posterior_predictive(trace, var_names=['gpsatprior'], samples=1000)

y_s = []
coefficients = trace.posterior.gpcoefficientprior.mean(axis=0).mean(axis=0).mean(axis=0).to_numpy()
saturations = trace.posterior.gpsatprior.mean(axis=0).mean(axis=0).mean(axis=0).to_numpy()
y_s = np.power(coefficients * input.reshape(-1), saturations)

y = np.array(y_s)

plt.plot([idx for idx, _ in enumerate(input)], true_values, label='true values')
plt.plot([idx for idx, _ in enumerate(input)], y, label='predicted values', alpha=0.3)
plt.legend(loc='best')
plt.xticks(rotation=45)
plt.show()

return True

def main():
timerange = pd.date_range(start="2023-01-01", end="2023-03-24", freq='D')
coefficientknots = {'0-15': 2.0, '15-32': 3.0}
exponentknots = {'0-15': 0.9, '15-32': 0.3}
input = generate_input_data(timerange)
true_values = compute_true_values(timerange, coefficientknots, exponentknots)
run_model(timerange, input, true_values, coefficientknots, exponentknots)

if __name__ == '__main__':
main()

``````

So no particular reason jumps out to me why this model won’t work, but with a model like this it’s going to be super touchy. Have you tried using fixed values for all the GP lengthscales? Also, don’t forget to scale the GPs overall. You’ll get very different GPs with

``````cov1 = pm.gp.cov.ExpQuad(1, lengthscale)
# versus (with scale parameter eta)
eta = 100
cov2 = eta**2 * pm.gp.cov.ExpQuad(1, lengthscale)
``````

I would try to start by get something that gives good prior predictive samples with fixed lengthscales and GP scales (eta above), and then gradually try and incorporate more uncertainty in those parameters.