先附上开源程序：
"""Gaussian processes regression."""
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
import warnings
from numbers import Integral, Real
from operator import itemgetter
import numpy as np
import scipy.optimize
from scipy.linalg import cho_solve, cholesky, solve_triangular
from ..base import BaseEstimator, MultiOutputMixin, RegressorMixin, _fit_context, clone
from ..preprocessing._data import _handle_zeros_in_scale
from ..utils import check_random_state
from ..utils._param_validation import Interval, StrOptions
from ..utils.optimize import _check_optimize_result
from ..utils.validation import validate_data
from .kernels import RBF, Kernel
from .kernels import ConstantKernel as C
GPR_CHOLESKY_LOWER = True
class GaussianProcessRegressor(MultiOutputMixin, RegressorMixin, BaseEstimator):
"""Gaussian process regression (GPR).
The implementation is based on Algorithm 2.1 of [RW2006]_.
In addition to standard scikit-learn estimator API,
:class:`GaussianProcessRegressor`:
* allows prediction without prior fitting (based on the GP prior)
* provides an additional method `sample_y(X)`, which evaluates samples
drawn from the GPR (prior or posterior) at given inputs
* exposes a method `log_marginal_likelihood(theta)`, which can be used
externally for other ways of selecting hyperparameters, e.g., via
Markov chain Monte Carlo.
To learn the difference between a point-estimate approach vs. a more
Bayesian modelling approach, refer to the example entitled
:ref:`sphx_glr_auto_examples_gaussian_process_plot_compare_gpr_krr.py`.
Read more in the :ref:`User Guide <gaussian_process>`.
.. versionadded:: 0.18
Parameters
----------
kernel : kernel instance, default=None
The kernel specifying the covariance function of the GP. If None is
passed, the kernel ``ConstantKernel(1.0, constant_value_bounds="fixed")
* RBF(1.0, length_scale_bounds="fixed")`` is used as default. Note that
the kernel hyperparameters are optimized during fitting unless the
bounds are marked as "fixed".
alpha : float or ndarray of shape (n_samples,), default=1e-10
Value added to the diagonal of the kernel matrix during fitting.
This can prevent a potential numerical issue during fitting, by
ensuring that the calculated values form a positive definite matrix.
It can also be interpreted as the variance of additional Gaussian
measurement noise on the training observations. Note that this is
different from using a `WhiteKernel`. If an array is passed, it must
have the same number of entries as the data used for fitting and is
used as datapoint-dependent noise level. Allowing to specify the
noise level directly as a parameter is mainly for convenience and
for consistency with :class:`~sklearn.linear_model.Ridge`.
optimizer : "fmin_l_bfgs_b", callable or None, default="fmin_l_bfgs_b"
Can either be one of the internally supported optimizers for optimizing
the kernel's parameters, specified by a string, or an externally
defined optimizer passed as a callable. If a callable is passed, it
must have the signature::
def optimizer(obj_func, initial_theta, bounds):
# * 'obj_func': the objective function to be minimized, which
# takes the hyperparameters theta as a parameter and an
# optional flag eval_gradient, which determines if the
# gradient is returned additionally to the function value
# * 'initial_theta': the initial value for theta, which can be
# used by local optimizers
# * 'bounds': the bounds on the values of theta
....
# Returned are the best found hyperparameters theta and
# the corresponding value of the target function.
return theta_opt, func_min
Per default, the L-BFGS-B algorithm from `scipy.optimize.minimize`
is used. If None is passed, the kernel's parameters are kept fixed.
Available internal optimizers are: `{'fmin_l_bfgs_b'}`.
n_restarts_optimizer : int, default=0
The number of restarts of the optimizer for finding the kernel's
parameters which maximize the log-marginal likelihood. The first run
of the optimizer is performed from the kernel's initial parameters,
the remaining ones (if any) from thetas sampled log-uniform randomly
from the space of allowed theta-values. If greater than 0, all bounds
must be finite. Note that `n_restarts_optimizer == 0` implies that one
run is performed.
normalize_y : bool, default=False
Whether or not to normalize the target values `y` by removing the mean
and scaling to unit-variance. This is recommended for cases where
zero-mean, unit-variance priors are used. Note that, in this
implementation, the normalisation is reversed before the GP predictions
are reported.
.. versionchanged:: 0.23
copy_X_train : bool, default=True
If True, a persistent copy of the training data is stored in the
object. Otherwise, just a reference to the training data is stored,
which might cause predictions to change if the data is modified
externally.
n_targets : int, default=None
The number of dimensions of the target values. Used to decide the number
of outputs when sampling from the prior distributions (i.e. calling
:meth:`sample_y` before :meth:`fit`). This parameter is ignored once
:meth:`fit` has been called.
.. versionadded:: 1.3
random_state : int, RandomState instance or None, default=None
Determines random number generation used to initialize the centers.
Pass an int for reproducible results across multiple function calls.
See :term:`Glossary <random_state>`.
Attributes
----------
X_train_ : array-like of shape (n_samples, n_features) or list of object
Feature vectors or other representations of training data (also
required for prediction).
y_train_ : array-like of shape (n_samples,) or (n_samples, n_targets)
Target values in training data (also required for prediction).
kernel_ : kernel instance
The kernel used for prediction. The structure of the kernel is the
same as the one passed as parameter but with optimized hyperparameters.
L_ : array-like of shape (n_samples, n_samples)
Lower-triangular Cholesky decomposition of the kernel in ``X_train_``.
alpha_ : array-like of shape (n_samples,)
Dual coefficients of training data points in kernel space.
log_marginal_likelihood_value_ : float
The log-marginal-likelihood of ``self.kernel_.theta``.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
GaussianProcessClassifier : Gaussian process classification (GPC)
based on Laplace approximation.
References
----------
.. [RW2006] `Carl E. Rasmussen and Christopher K.I. Williams,
"Gaussian Processes for Machine Learning",
MIT Press 2006 <https://www.gaussianprocess.org/gpml/chapters/RW.pdf>`_
Examples
--------
>>> from sklearn.datasets import make_friedman2
>>> from sklearn.gaussian_process import GaussianProcessRegressor
>>> from sklearn.gaussian_process.kernels import DotProduct, WhiteKernel
>>> X, y = make_friedman2(n_samples=500, noise=0, random_state=0)
>>> kernel = DotProduct() + WhiteKernel()
>>> gpr = GaussianProcessRegressor(kernel=kernel,
... random_state=0).fit(X, y)
>>> gpr.score(X, y)
0.3680...
>>> gpr.predict(X[:2,:], return_std=True)
(array([653.0..., 592.1...]), array([316.6..., 316.6...]))
"""
_parameter_constraints: dict = {
"kernel": [None, Kernel],
"alpha": [Interval(Real, 0, None, closed="left"), np.ndarray],
"optimizer": [StrOptions({"fmin_l_bfgs_b"}), callable, None],
"n_restarts_optimizer": [Interval(Integral, 0, None, closed="left")],
"normalize_y": ["boolean"],
"copy_X_train": ["boolean"],
"n_targets": [Interval(Integral, 1, None, closed="left"), None],
"random_state": ["random_state"],
}
def __init__(
self,
kernel=None,
*,
alpha=1e-10,
optimizer="fmin_l_bfgs_b",
n_restarts_optimizer=0,
normalize_y=False,
copy_X_train=True,
n_targets=None,
random_state=None,
):
self.kernel = kernel
self.alpha = alpha
self.optimizer = optimizer
self.n_restarts_optimizer = n_restarts_optimizer
self.normalize_y = normalize_y
self.copy_X_train = copy_X_train
self.n_targets = n_targets
self.random_state = random_state
@_fit_context(prefer_skip_nested_validation=True)
def fit(self, X, y):
"""Fit Gaussian process regression model.
Parameters
----------
X : array-like of shape (n_samples, n_features) or list of object
Feature vectors or other representations of training data.
y : array-like of shape (n_samples,) or (n_samples, n_targets)
Target values.
Returns
-------
self : object
GaussianProcessRegressor class instance.
"""
if self.kernel is None: # Use an RBF kernel as default
self.kernel_ = C(1.0, constant_value_bounds="fixed") * RBF(
1.0, length_scale_bounds="fixed"
)
else:
self.kernel_ = clone(self.kernel)
self._rng = check_random_state(self.random_state)
if self.kernel_.requires_vector_input:
dtype, ensure_2d = "numeric", True
else:
dtype, ensure_2d = None, False
X, y = validate_data(
self,
X,
y,
multi_output=True,
y_numeric=True,
ensure_2d=ensure_2d,
dtype=dtype,
)
n_targets_seen = y.shape[1] if y.ndim > 1 else 1
if self.n_targets is not None and n_targets_seen != self.n_targets:
raise ValueError(
"The number of targets seen in `y` is different from the parameter "
f"`n_targets`. Got {n_targets_seen} != {self.n_targets}."
)
# Normalize target value
if self.normalize_y:
self._y_train_mean = np.mean(y, axis=0)
self._y_train_std = _handle_zeros_in_scale(np.std(y, axis=0), copy=False)
# Remove mean and make unit variance
y = (y - self._y_train_mean) / self._y_train_std
else:
shape_y_stats = (y.shape[1],) if y.ndim == 2 else 1
self._y_train_mean = np.zeros(shape=shape_y_stats)
self._y_train_std = np.ones(shape=shape_y_stats)
if np.iterable(self.alpha) and self.alpha.shape[0] != y.shape[0]:
if self.alpha.shape[0] == 1:
self.alpha = self.alpha[0]
else:
raise ValueError(
"alpha must be a scalar or an array with same number of "
f"entries as y. ({self.alpha.shape[0]} != {y.shape[0]})"
)
self.X_train_ = np.copy(X) if self.copy_X_train else X
self.y_train_ = np.copy(y) if self.copy_X_train else y
if self.optimizer is not None and self.kernel_.n_dims > 0:
# Choose hyperparameters based on maximizing the log-marginal
# likelihood (potentially starting from several initial values)
def obj_func(theta, eval_gradient=True):
if eval_gradient:
lml, grad = self.log_marginal_likelihood(
theta, eval_gradient=True, clone_kernel=False
)
return -lml, -grad
else:
return -self.log_marginal_likelihood(theta, clone_kernel=False)
# First optimize starting from theta specified in kernel
optima = [
(
self._constrained_optimization(
obj_func, self.kernel_.theta, self.kernel_.bounds
)
)
]
# Additional runs are performed from log-uniform chosen initial
# theta
if self.n_restarts_optimizer > 0:
if not np.isfinite(self.kernel_.bounds).all():
raise ValueError(
"Multiple optimizer restarts (n_restarts_optimizer>0) "
"requires that all bounds are finite."
)
bounds = self.kernel_.bounds
for iteration in range(self.n_restarts_optimizer):
theta_initial = self._rng.uniform(bounds[:, 0], bounds[:, 1])
optima.append(
self._constrained_optimization(obj_func, theta_initial, bounds)
)
# Select result from run with minimal (negative) log-marginal
# likelihood
lml_values = list(map(itemgetter(1), optima))
self.kernel_.theta = optima[np.argmin(lml_values)][0]
self.kernel_._check_bounds_params()
self.log_marginal_likelihood_value_ = -np.min(lml_values)
else:
self.log_marginal_likelihood_value_ = self.log_marginal_likelihood(
self.kernel_.theta, clone_kernel=False
)
# Precompute quantities required for predictions which are independent
# of actual query points
# Alg. 2.1, page 19, line 2 -> L = cholesky(K + sigma^2 I)
K = self.kernel_(self.X_train_)
K[np.diag_indices_from(K)] += self.alpha
try:
self.L_ = cholesky(K, lower=GPR_CHOLESKY_LOWER, check_finite=False)
except np.linalg.LinAlgError as exc:
exc.args = (
(
f"The kernel, {self.kernel_}, is not returning a positive "
"definite matrix. Try gradually increasing the 'alpha' "
"parameter of your GaussianProcessRegressor estimator."
),
) + exc.args
raise
# Alg 2.1, page 19, line 3 -> alpha = L^T \ (L \ y)
self.alpha_ = cho_solve(
(self.L_, GPR_CHOLESKY_LOWER),
self.y_train_,
check_finite=False,
)
return self
def predict(self, X, return_std=False, return_cov=False):
"""Predict using the Gaussian process regression model.
We can also predict based on an unfitted model by using the GP prior.
In addition to the mean of the predictive distribution, optionally also
returns its standard deviation (`return_std=True`) or covariance
(`return_cov=True`). Note that at most one of the two can be requested.
Parameters
----------
X : array-like of shape (n_samples, n_features) or list of object
Query points where the GP is evaluated.
return_std : bool, default=False
If True, the standard-deviation of the predictive distribution at
the query points is returned along with the mean.
return_cov : bool, default=False
If True, the covariance of the joint predictive distribution at
the query points is returned along with the mean.
Returns
-------
y_mean : ndarray of shape (n_samples,) or (n_samples, n_targets)
Mean of predictive distribution at query points.
y_std : ndarray of shape (n_samples,) or (n_samples, n_targets), optional
Standard deviation of predictive distribution at query points.
Only returned when `return_std` is True.
y_cov : ndarray of shape (n_samples, n_samples) or \
(n_samples, n_samples, n_targets), optional
Covariance of joint predictive distribution at query points.
Only returned when `return_cov` is True.
"""
if return_std and return_cov:
raise RuntimeError(
"At most one of return_std or return_cov can be requested."
)
if self.kernel is None or self.kernel.requires_vector_input:
dtype, ensure_2d = "numeric", True
else:
dtype, ensure_2d = None, False
X = validate_data(self, X, ensure_2d=ensure_2d, dtype=dtype, reset=False)
if not hasattr(self, "X_train_"): # Unfitted;predict based on GP prior
if self.kernel is None:
kernel = C(1.0, constant_value_bounds="fixed") * RBF(
1.0, length_scale_bounds="fixed"
)
else:
kernel = self.kernel
n_targets = self.n_targets if self.n_targets is not None else 1
y_mean = np.zeros(shape=(X.shape[0], n_targets)).squeeze()
if return_cov:
y_cov = kernel(X)
if n_targets > 1:
y_cov = np.repeat(
np.expand_dims(y_cov, -1), repeats=n_targets, axis=-1
)
return y_mean, y_cov
elif return_std:
y_var = kernel.diag(X)
if n_targets > 1:
y_var = np.repeat(
np.expand_dims(y_var, -1), repeats=n_targets, axis=-1
)
return y_mean, np.sqrt(y_var)
else:
return y_mean
else: # Predict based on GP posterior
# Alg 2.1, page 19, line 4 -> f*_bar = K(X_test, X_train) . alpha
K_trans = self.kernel_(X, self.X_train_)
y_mean = K_trans @ self.alpha_
# undo normalisation
y_mean = self._y_train_std * y_mean + self._y_train_mean
# if y_mean has shape (n_samples, 1), reshape to (n_samples,)
if y_mean.ndim > 1 and y_mean.shape[1] == 1:
y_mean = np.squeeze(y_mean, axis=1)
# Alg 2.1, page 19, line 5 -> v = L \ K(X_test, X_train)^T
V = solve_triangular(
self.L_, K_trans.T, lower=GPR_CHOLESKY_LOWER, check_finite=False
)
if return_cov:
# Alg 2.1, page 19, line 6 -> K(X_test, X_test) - v^T. v
y_cov = self.kernel_(X) - V.T @ V
# undo normalisation
y_cov = np.outer(y_cov, self._y_train_std**2).reshape(*y_cov.shape, -1)
# if y_cov has shape (n_samples, n_samples, 1), reshape to
# (n_samples, n_samples)
if y_cov.shape[2] == 1:
y_cov = np.squeeze(y_cov, axis=2)
return y_mean, y_cov
elif return_std:
# Compute variance of predictive distribution
# Use einsum to avoid explicitly forming the large matrix
# V^T @ V just to extract its diagonal afterward.
y_var = self.kernel_.diag(X).copy()
y_var -= np.einsum("ij,ji->i", V.T, V)
# Check if any of the variances is negative because of
# numerical issues. If yes: set the variance to 0.
y_var_negative = y_var < 0
if np.any(y_var_negative):
warnings.warn(
"Predicted variances smaller than 0. "
"Setting those variances to 0."
)
y_var[y_var_negative] = 0.0
# undo normalisation
y_var = np.outer(y_var, self._y_train_std**2).reshape(*y_var.shape, -1)
# if y_var has shape (n_samples, 1), reshape to (n_samples,)
if y_var.shape[1] == 1:
y_var = np.squeeze(y_var, axis=1)
return y_mean, np.sqrt(y_var)
else:
return y_mean
def sample_y(self, X, n_samples=1, random_state=0):
"""Draw samples from Gaussian process and evaluate at X.
Parameters
----------
X : array-like of shape (n_samples_X, n_features) or list of object
Query points where the GP is evaluated.
n_samples : int, default=1
Number of samples drawn from the Gaussian process per query point.
random_state : int, RandomState instance or None, default=0
Determines random number generation to randomly draw samples.
Pass an int for reproducible results across multiple function
calls.
See :term:`Glossary <random_state>`.
Returns
-------
y_samples : ndarray of shape (n_samples_X, n_samples), or \
(n_samples_X, n_targets, n_samples)
Values of n_samples samples drawn from Gaussian process and
evaluated at query points.
"""
rng = check_random_state(random_state)
y_mean, y_cov = self.predict(X, return_cov=True)
if y_mean.ndim == 1:
y_samples = rng.multivariate_normal(y_mean, y_cov, n_samples).T
else:
y_samples = [
rng.multivariate_normal(
y_mean[:, target], y_cov[..., target], n_samples
).T[:, np.newaxis]
for target in range(y_mean.shape[1])
]
y_samples = np.hstack(y_samples)
return y_samples
def log_marginal_likelihood(
self, theta=None, eval_gradient=False, clone_kernel=True
):
"""Return log-marginal likelihood of theta for training data.
Parameters
----------
theta : array-like of shape (n_kernel_params,) default=None
Kernel hyperparameters for which the log-marginal likelihood is
evaluated. If None, the precomputed log_marginal_likelihood
of ``self.kernel_.theta`` is returned.
eval_gradient : bool, default=False
If True, the gradient of the log-marginal likelihood with respect
to the kernel hyperparameters at position theta is returned
additionally. If True, theta must not be None.
clone_kernel : bool, default=True
If True, the kernel attribute is copied. If False, the kernel
attribute is modified, but may result in a performance improvement.
Returns
-------
log_likelihood : float
Log-marginal likelihood of theta for training data.
log_likelihood_gradient : ndarray of shape (n_kernel_params,), optional
Gradient of the log-marginal likelihood with respect to the kernel
hyperparameters at position theta.
Only returned when eval_gradient is True.
"""
if theta is None:
if eval_gradient:
raise ValueError("Gradient can only be evaluated for theta!=None")
return self.log_marginal_likelihood_value_
if clone_kernel:
kernel = self.kernel_.clone_with_theta(theta)
else:
kernel = self.kernel_
kernel.theta = theta
if eval_gradient:
K, K_gradient = kernel(self.X_train_, eval_gradient=True)
else:
K = kernel(self.X_train_)
# Alg. 2.1, page 19, line 2 -> L = cholesky(K + sigma^2 I)
K[np.diag_indices_from(K)] += self.alpha
try:
L = cholesky(K, lower=GPR_CHOLESKY_LOWER, check_finite=False)
except np.linalg.LinAlgError:
return (-np.inf, np.zeros_like(theta)) if eval_gradient else -np.inf
# Support multi-dimensional output of self.y_train_
y_train = self.y_train_
if y_train.ndim == 1:
y_train = y_train[:, np.newaxis]
# Alg 2.1, page 19, line 3 -> alpha = L^T \ (L \ y)
alpha = cho_solve((L, GPR_CHOLESKY_LOWER), y_train, check_finite=False)
# Alg 2.1, page 19, line 7
# -0.5 . y^T . alpha - sum(log(diag(L))) - n_samples / 2 log(2*pi)
# y is originally thought to be a (1, n_samples) row vector. However,
# in multioutputs, y is of shape (n_samples, 2) and we need to compute
# y^T . alpha for each output, independently using einsum. Thus, it
# is equivalent to:
# for output_idx in range(n_outputs):
# log_likelihood_dims[output_idx] = (
# y_train[:, [output_idx]] @ alpha[:, [output_idx]]
# )
log_likelihood_dims = -0.5 * np.einsum("ik,ik->k", y_train, alpha)
log_likelihood_dims -= np.log(np.diag(L)).sum()
log_likelihood_dims -= K.shape[0] / 2 * np.log(2 * np.pi)
# the log likehood is sum-up across the outputs
log_likelihood = log_likelihood_dims.sum(axis=-1)
if eval_gradient:
# Eq. 5.9, p. 114, and footnote 5 in p. 114
# 0.5 * trace((alpha . alpha^T - K^-1) . K_gradient)
# alpha is supposed to be a vector of (n_samples,) elements. With
# multioutputs, alpha is a matrix of size (n_samples, n_outputs).
# Therefore, we want to construct a matrix of
# (n_samples, n_samples, n_outputs) equivalent to
# for output_idx in range(n_outputs):
# output_alpha = alpha[:, [output_idx]]
# inner_term[..., output_idx] = output_alpha @ output_alpha.T
inner_term = np.einsum("ik,jk->ijk", alpha, alpha)
# compute K^-1 of shape (n_samples, n_samples)
K_inv = cho_solve(
(L, GPR_CHOLESKY_LOWER), np.eye(K.shape[0]), check_finite=False
)
# create a new axis to use broadcasting between inner_term and
# K_inv
inner_term -= K_inv[..., np.newaxis]
# Since we are interested about the trace of
# inner_term @ K_gradient, we don't explicitly compute the
# matrix-by-matrix operation and instead use an einsum. Therefore
# it is equivalent to:
# for param_idx in range(n_kernel_params):
# for output_idx in range(n_output):
# log_likehood_gradient_dims[param_idx, output_idx] = (
# inner_term[..., output_idx] @
# K_gradient[..., param_idx]
# )
log_likelihood_gradient_dims = 0.5 * np.einsum(
"ijl,jik->kl", inner_term, K_gradient
)
# the log likehood gradient is the sum-up across the outputs
log_likelihood_gradient = log_likelihood_gradient_dims.sum(axis=-1)
if eval_gradient:
return log_likelihood, log_likelihood_gradient
else:
return log_likelihood
def _constrained_optimization(self, obj_func, initial_theta, bounds):
if self.optimizer == "fmin_l_bfgs_b":
opt_res = scipy.optimize.minimize(
obj_func,
initial_theta,
method="L-BFGS-B",
jac=True,
bounds=bounds,
)
_check_optimize_result("lbfgs", opt_res)
theta_opt, func_min = opt_res.x, opt_res.fun
elif callable(self.optimizer):
theta_opt, func_min = self.optimizer(obj_func, initial_theta, bounds=bounds)
else:
raise ValueError(f"Unknown optimizer {self.optimizer}.")
return theta_opt, func_min
def __sklearn_tags__(self):
tags = super().__sklearn_tags__()
tags.requires_fit = False
return tags
1. predict 方法核心逻辑
predict 方法基于训练后的模型计算测试点的后验分布，支持返回均值、标准差或协方差。
(1) 输入校验
X = validate_data(X) # 确保测试数据为二维数组(2) 核矩阵计算
K_trans = self.kernel_(X, X_train_) # 测试-训练点核矩阵 (n_test, n_train)(3) 后验均值计算
y_mean = K_trans @ self.alpha_ # 后验均值
y_mean = _y_train_std * y_mean + _y_train_mean # 逆标准化(4) 后验方差计算
V = solve_triangular(self.L_, K_trans.T) # 解三角方程：V = L^{-1} K_trans^T
y_var = self.kernel_.diag(X) - np.sum(V**2, axis=0) # 方差计算
y_var = np.maximum(y_var, 0) # 处理负方差（数值误差）
y_std = np.sqrt(y_var * _y_train_std**2) # 逆标准化标准差2. fit方法核心逻辑
fit 方法负责训练高斯过程模型，主要步骤包括：核函数初始化、数据校验、目标值标准化、超参数优化、协方差矩阵分解。
(1) 核函数初始化
if self.kernel is None:
self.kernel_ = C(1.0) * RBF(1.0) # 默认核：常数核 * RBF核
else:
self.kernel_ = clone(self.kernel) # 克隆用户自定义核作用：若未指定核函数，默认使用常数核（C）和径向基核（RBF）的组合，两者超参数固定。
(2) 数据校验与标准化
校验内容：
- 确保
X为二维数组（(n_samples, n_features)）。 - 多目标输出时
y需为二维（(n_samples, n_targets)）。
3) 目标值标准化
if self.normalize_y:
self._y_train_mean = np.mean(y, axis=0)
self._y_train_std = np.std(y, axis=0)
y = (y - self._y_train_mean) / self._y_train_std # 标准化- 目的：将目标值缩放至零均值和单位方差，提升数值稳定性。
- 逆标准化：预测时通过
y_mean = _y_train_std * y_pred + _y_train_mean还原。
(4) 超参数优化
if self.optimizer is not None:
# 定义目标函数（负对数边际似然）
def obj_func(theta):
return -self.log_marginal_likelihood(theta)
# 多轮优化（避免局部最优）
optima = [self._constrained_optimization(obj_func, initial_theta)]
for _ in range(self.n_restarts_optimizer):
theta_initial = random_uniform(bounds) # 随机初始点
optima.append(self._constrained_optimization(obj_func, theta_initial))
# 选择最优超参数
self.kernel_.theta = optima[np.argmin(lml_values)]关键步骤：
- 对数边际似然：通过最大化边际似然优化核超参数。
- 多轮重启：从不同初始点优化，避免陷入局部最优。
- 边界检查：确保超参数在合理范围内
(5) 协方差矩阵分解
K = self.kernel_(X_train_) + self.alpha * np.eye(n_samples) # 添加噪声
self.L_ = cholesky(K, lower=True) # Cholesky分解下三角阵
self.alpha_ = cho_solve(self.L_, y_train_) # 解线性方程组- 作用：分解协方差矩阵，为后续预测高效计算。
3. 使用要点
首先，我们只知道x的范围 一个点都不知道的情况下
(1) 先调用predict函数
if not hasattr(self, "X_train_"): # Unfitted;predict based on GP prior代码解释：if not hasattr(self, "X_train_"): 的作用
核心逻辑
-
目的：判断模型是否已经拟合（训练）过。
-
条件：若
self对象没有X_train_属性（即hasattr(self, "X_train_")返回False），说明模型未经过fit方法训练。 -
行为：此时调用
predict方法时，基于高斯过程的先验分布（GP prior）进行预测，而非使用训练后的后验分布。
因为没有X_train_变量，所以计算的y_mean和y_std是用下边的代码
if self.kernel is None:
kernel = C(1.0, constant_value_bounds="fixed") * RBF(
1.0, length_scale_bounds="fixed"
)
else:
kernel = self.kernel
n_targets = self.n_targets if self.n_targets is not None else 1
y_mean = np.zeros(shape=(X.shape[0], n_targets)).squeeze()
if return_cov:
y_cov = kernel(X)
if n_targets > 1:
y_cov = np.repeat(
np.expand_dims(y_cov, -1), repeats=n_targets, axis=-1
)
return y_mean, y_cov
elif return_std:
y_var = kernel.diag(X)
if n_targets > 1:
y_var = np.repeat(
np.expand_dims(y_var, -1), repeats=n_targets, axis=-1
)
return y_mean, np.sqrt(y_var)
else:
return y_mean(2) 再调用fit函数
有了X_train_之后
(3) 再调用predict函数
else: # Predict based on GP posterior
# Alg 2.1, page 19, line 4 -> f*_bar = K(X_test, X_train) . alpha
K_trans = self.kernel_(X, self.X_train_)
y_mean = K_trans @ self.alpha_
# undo normalisation
y_mean = self._y_train_std * y_mean + self._y_train_mean
# if y_mean has shape (n_samples, 1), reshape to (n_samples,)
if y_mean.ndim > 1 and y_mean.shape[1] == 1:
y_mean = np.squeeze(y_mean, axis=1)
# Alg 2.1, page 19, line 5 -> v = L \ K(X_test, X_train)^T
V = solve_triangular(
self.L_, K_trans.T, lower=GPR_CHOLESKY_LOWER, check_finite=False
)
if return_cov:
# Alg 2.1, page 19, line 6 -> K(X_test, X_test) - v^T. v
y_cov = self.kernel_(X) - V.T @ V
# undo normalisation
y_cov = np.outer(y_cov, self._y_train_std**2).reshape(*y_cov.shape, -1)
# if y_cov has shape (n_samples, n_samples, 1), reshape to
# (n_samples, n_samples)
if y_cov.shape[2] == 1:
y_cov = np.squeeze(y_cov, axis=2)
return y_mean, y_cov
elif return_std:
# Compute variance of predictive distribution
# Use einsum to avoid explicitly forming the large matrix
# V^T @ V just to extract its diagonal afterward.
y_var = self.kernel_.diag(X).copy()
y_var -= np.einsum("ij,ji->i", V.T, V)
# Check if any of the variances is negative because of
# numerical issues. If yes: set the variance to 0.
y_var_negative = y_var < 0
if np.any(y_var_negative):
warnings.warn(
"Predicted variances smaller than 0. "
"Setting those variances to 0."
)
y_var[y_var_negative] = 0.0
# undo normalisation
y_var = np.outer(y_var, self._y_train_std**2).reshape(*y_var.shape, -1)
# if y_var has shape (n_samples, 1), reshape to (n_samples,)
if y_var.shape[1] == 1:
y_var = np.squeeze(y_var, axis=1)
return y_mean, np.sqrt(y_var)
else:
return y_mean
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