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A highly efficient implementation of Gaussian Processes in PyTorch

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Quick Overview

GPyTorch is a highly efficient and modular Gaussian Process library implemented in PyTorch. It provides a flexible framework for scalable Gaussian Processes, allowing users to combine GP models with deep learning techniques and leverage GPU acceleration for faster computations.

Pros

  • Seamless integration with PyTorch, enabling easy combination of GPs with deep learning models
  • Highly scalable, capable of handling large datasets through various approximation methods
  • Supports GPU acceleration for faster computations
  • Extensive documentation and examples for various use cases

Cons

  • Steeper learning curve compared to some simpler GP libraries
  • Requires familiarity with PyTorch
  • May be overkill for small-scale or simple GP tasks
  • Documentation can be overwhelming for beginners

Code Examples

  1. Simple GP Regression:
import torch
import gpytorch

class ExactGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super(ExactGPModel, self).__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        return gpytorch.distributions.MultivariateNormal(mean_x, covar_x)

# Train the model
model = ExactGPModel(train_x, train_y, likelihood)
model.train()
optimizer = torch.optim.Adam(model.parameters(), lr=0.1)
  1. Multi-task GP:
class MultitaskGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super(MultitaskGPModel, self).__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.MultitaskMean(
            gpytorch.means.ConstantMean(), num_tasks=2
        )
        self.covar_module = gpytorch.kernels.MultitaskKernel(
            gpytorch.kernels.RBFKernel(), num_tasks=2, rank=1
        )

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        return gpytorch.distributions.MultitaskMultivariateNormal(mean_x, covar_x)
  1. Deep Kernel Learning:
class DeepGPHiddenLayer(gpytorch.models.deep_gps.DeepGPLayer):
    def __init__(self, input_dims, output_dims, num_inducing=128, mean_type='constant'):
        inducing_points = torch.randn(num_inducing, input_dims)
        batch_shape = torch.Size([])

        variational_distribution = gpytorch.variational.CholeskyVariationalDistribution(
            num_inducing_points=num_inducing,
            batch_shape=batch_shape
        )

        variational_strategy = gpytorch.variational.VariationalStrategy(
            self,
            inducing_points,
            variational_distribution,
            learn_inducing_locations=True
        )

        super().__init__(variational_strategy, input_dims, output_dims)

        if mean_type == 'constant':
            self.mean_module = gpytorch.means.ConstantMean(batch_shape=batch_shape)
        else:
            self.mean_module = gpytorch.means.LinearMean(input_dims)

        self.covar_module = gpytorch.kernels.ScaleKernel(
            gpytorch.kernels.RBFKernel(batch_shape=batch_shape, ard_num_dims

Competitor Comparisons

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Pros of PyTorch

  • Broader scope and functionality for general deep learning tasks
  • Larger community and more extensive documentation
  • More frequent updates and active development

Cons of PyTorch

  • Steeper learning curve for beginners
  • Larger codebase and installation size
  • Not specialized for Gaussian Processes like GPyTorch

Code Comparison

PyTorch (general neural network):

import torch
import torch.nn as nn

model = nn.Sequential(
    nn.Linear(10, 20),
    nn.ReLU(),
    nn.Linear(20, 1)
)

GPyTorch (Gaussian Process model):

import gpytorch

class GPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

PyTorch is a more general-purpose deep learning framework, while GPyTorch is specifically designed for Gaussian Process models. PyTorch offers a wider range of tools for various machine learning tasks, whereas GPyTorch provides specialized functionality for GP-based models, building on top of PyTorch's infrastructure.

scikit-learn: machine learning in Python

Pros of scikit-learn

  • Comprehensive machine learning library with a wide range of algorithms
  • Well-established, mature project with extensive documentation and community support
  • Seamless integration with other scientific Python libraries (NumPy, SciPy, Pandas)

Cons of scikit-learn

  • Limited support for GPU acceleration and distributed computing
  • Less specialized in Gaussian Processes compared to GPyTorch
  • May be slower for certain large-scale machine learning tasks

Code Comparison

scikit-learn (Gaussian Process Regression):

from sklearn.gaussian_process import GaussianProcessRegressor
from sklearn.gaussian_process.kernels import RBF

gpr = GaussianProcessRegressor(kernel=RBF())
gpr.fit(X_train, y_train)
y_pred, sigma = gpr.predict(X_test, return_std=True)

GPyTorch (Gaussian Process Regression):

import gpytorch

class GPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        return gpytorch.distributions.MultivariateNormal(mean_x, covar_x)
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An Open Source Machine Learning Framework for Everyone

Pros of TensorFlow

  • Broader scope and functionality for general machine learning tasks
  • Larger community and ecosystem with more resources and third-party libraries
  • Better support for deployment across various platforms (mobile, web, cloud)

Cons of TensorFlow

  • Steeper learning curve, especially for those new to deep learning
  • Can be more complex and verbose for specific Gaussian Process tasks
  • Slower development cycle for new features compared to GPyTorch

Code Comparison

GPyTorch (for Gaussian Process regression):

class ExactGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

TensorFlow (for Gaussian Process regression):

import tensorflow_probability as tfp

kernel = tfp.math.psd_kernels.ExponentiatedQuadratic()
gp = tfp.distributions.GaussianProcess(kernel, index_points=X)

While both libraries can handle Gaussian Processes, GPyTorch is more specialized and concise for this task, whereas TensorFlow requires additional modules and potentially more setup for the same functionality.

1,830

Gaussian processes in TensorFlow

Pros of GPflow

  • Built on TensorFlow, leveraging its powerful computational graph and GPU acceleration
  • Supports a wider range of GP models, including variational GPs and multi-output GPs
  • More extensive documentation and tutorials for beginners

Cons of GPflow

  • Steeper learning curve due to TensorFlow backend
  • Less flexible for custom kernel implementations
  • Slower development cycle compared to PyTorch-based libraries

Code Comparison

GPflow example:

import gpflow
import tensorflow as tf

X = tf.random.uniform((100, 1))
Y = tf.sin(X) + 0.1 * tf.random.normal((100, 1))

kernel = gpflow.kernels.SquaredExponential()
model = gpflow.models.GPR(data=(X, Y), kernel=kernel)

GPyTorch example:

import gpytorch
import torch

class ExactGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        return gpytorch.distributions.MultivariateNormal(mean_x, covar_x)
8,493

Deep universal probabilistic programming with Python and PyTorch

Pros of Pyro

  • Broader scope: Pyro is a general-purpose probabilistic programming framework, offering more flexibility for various statistical models beyond just Gaussian Processes
  • Deep learning integration: Seamlessly integrates with PyTorch, allowing for easy combination of deep learning and probabilistic models
  • Active community: Larger user base and more frequent updates, potentially leading to better support and resources

Cons of Pyro

  • Learning curve: Due to its broader scope, Pyro may have a steeper learning curve for users specifically interested in Gaussian Processes
  • Performance: GPyTorch is optimized specifically for Gaussian Processes, potentially offering better performance for GP-related tasks

Code Comparison

Pyro (defining a simple Gaussian Process):

import pyro
import pyro.distributions as dist

def model(X, y):
    lengthscale = pyro.sample("lengthscale", dist.LogNormal(0.0, 1.0))
    variance = pyro.sample("variance", dist.LogNormal(0.0, 1.0))
    kernel = RBFKernel(lengthscale)
    f = pyro.sample("f", dist.GaussianProcess(kernel, X))
    pyro.sample("y", dist.Normal(f, variance), obs=y)

GPyTorch (defining a similar Gaussian Process):

import gpytorch

class GPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

    def forward(self, x):
        mean_x = self.mean_module(x)
        covar_x = self.covar_module(x)
        return gpytorch.distributions.MultivariateNormal(mean_x, covar_x)
61,580

Deep Learning for humans

Pros of Keras

  • Broader scope: Keras is a high-level neural networks API, supporting multiple backend engines (TensorFlow, Theano, etc.)
  • Larger community and ecosystem: More resources, tutorials, and third-party extensions available
  • User-friendly: Designed for ease of use and rapid prototyping of deep learning models

Cons of Keras

  • Less specialized: Not specifically designed for Gaussian Processes like GPyTorch
  • Lower flexibility: May offer less control over low-level operations compared to GPyTorch
  • Performance: Potentially slower for specific GP tasks compared to GPyTorch's optimized implementation

Code Comparison

Keras (creating a simple neural network):

from keras.models import Sequential
from keras.layers import Dense

model = Sequential([
    Dense(64, activation='relu', input_shape=(10,)),
    Dense(1, activation='sigmoid')
])

GPyTorch (creating a simple GP model):

import gpytorch

class ExactGPModel(gpytorch.models.ExactGP):
    def __init__(self, train_x, train_y, likelihood):
        super().__init__(train_x, train_y, likelihood)
        self.mean_module = gpytorch.means.ConstantMean()
        self.covar_module = gpytorch.kernels.ScaleKernel(gpytorch.kernels.RBFKernel())

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README

GPyTorch


Test Suite Documentation Status License

Python Version Conda PyPI

GPyTorch is a Gaussian process library implemented using PyTorch. GPyTorch is designed for creating scalable, flexible, and modular Gaussian process models with ease.

Internally, GPyTorch differs from many existing approaches to GP inference by performing most inference operations using numerical linear algebra techniques like preconditioned conjugate gradients. Implementing a scalable GP method is as simple as providing a matrix multiplication routine with the kernel matrix and its derivative via our LinearOperator interface, or by composing many of our already existing LinearOperators. This allows not only for easy implementation of popular scalable GP techniques, but often also for significantly improved utilization of GPU computing compared to solvers based on the Cholesky decomposition.

GPyTorch provides (1) significant GPU acceleration (through MVM based inference); (2) state-of-the-art implementations of the latest algorithmic advances for scalability and flexibility (SKI/KISS-GP, stochastic Lanczos expansions, LOVE, SKIP, stochastic variational deep kernel learning, ...); (3) easy integration with deep learning frameworks.

Examples, Tutorials, and Documentation

See our documentation, examples, tutorials on how to construct all sorts of models in GPyTorch.

Installation

Requirements:

  • Python >= 3.8
  • PyTorch >= 2.0

Install GPyTorch using pip or conda:

pip install gpytorch
conda install gpytorch -c gpytorch

(To use packages globally but install GPyTorch as a user-only package, use pip install --user above.)

Latest (Unstable) Version

To upgrade to the latest (unstable) version, run

pip install --upgrade git+https://github.com/cornellius-gp/linear_operator.git
pip install --upgrade git+https://github.com/cornellius-gp/gpytorch.git

Development version

If you are contributing a pull request, it is best to perform a manual installation:

git clone https://github.com/cornellius-gp/gpytorch.git
cd gpytorch
pip install -e .[dev,docs,examples,keops,pyro,test]  # keops and pyro are optional

ArchLinux Package

Note: Experimental AUR package. For most users, we recommend installation by conda or pip.

GPyTorch is also available on the ArchLinux User Repository (AUR). You can install it with an AUR helper, like yay, as follows:

yay -S python-gpytorch

To discuss any issues related to this AUR package refer to the comments section of python-gpytorch.

Citing Us

If you use GPyTorch, please cite the following papers:

Gardner, Jacob R., Geoff Pleiss, David Bindel, Kilian Q. Weinberger, and Andrew Gordon Wilson. "GPyTorch: Blackbox Matrix-Matrix Gaussian Process Inference with GPU Acceleration." In Advances in Neural Information Processing Systems (2018).

@inproceedings{gardner2018gpytorch,
  title={GPyTorch: Blackbox Matrix-Matrix Gaussian Process Inference with GPU Acceleration},
  author={Gardner, Jacob R and Pleiss, Geoff and Bindel, David and Weinberger, Kilian Q and Wilson, Andrew Gordon},
  booktitle={Advances in Neural Information Processing Systems},
  year={2018}
}

Contributing

See the contributing guidelines CONTRIBUTING.md for information on submitting issues and pull requests.

The Team

GPyTorch is primarily maintained by:

We would like to thank our other contributors including (but not limited to) Eytan Bakshy, Wesley Maddox, Ke Alexander Wang, Ruihan Wu, Sait Cakmak, David Eriksson, Sam Daulton, Martin Jankowiak, Sam Stanton, Zitong Zhou, David Arbour, Karthik Rajkumar, Bram Wallace, Jared Frank, and many more!

Acknowledgements

Development of GPyTorch is supported by funding from the Bill and Melinda Gates Foundation, the National Science Foundation, SAP, the Simons Foundation, and the Gatsby Charitable Trust.

License

GPyTorch is MIT licensed.