Source code for torch_openreml.covariance.scalar_matrix
"""
Scalar covariance matrix.
This module provides a scaled identity covariance matrix with a single
shared variance parameter, for use in linear mixed-effects models.
Classes:
ScalarMatrix:
A scaled identity covariance matrix :math:`V = \\sigma^2 I_n`.
"""
from torch_openreml.covariance.matrix import Matrix
from torch_openreml.covariance.transform import TransformExpPow2
import torch
[docs]
class ScalarMatrix(Matrix):
r"""
Scaled identity covariance matrix with a single shared variance parameter.
.. math::
\symbf{V} = \sigma^2 \symbf{I}_n
A single unconstrained scalar parameter is transformed to a positive
variance via :class:`~torch_openreml.covariance.transform.TransformExpPow2`
by default and then broadcast across all diagonal entries. This
structure assumes equal, independent variances across all observations.
"""
def __init__(self, n, param_specs=None):
"""
Initialize a scaled identity covariance matrix of size ``n x n``.
Args:
n (int): Matrix dimension.
param_specs (dict): Parameter specifications. Keys should be strings
representing parameter names. Values should be dictionaries
containing the specification for each parameter. Each specification
dictionary should contain the keys ``"fixed"``, ``"default"``, and ``"trans"``,
representing whether the parameter is fixed or free (bool), the
default value (1D torch.Tensor), and the transform (:class:`~torch_openreml.covariance.transform.Transform`),
respectively.
Example:
.. jupyter-execute::
import torch
from torch_openreml.covariance import ScalarMatrix
mat = ScalarMatrix(3)
mat
.. jupyter-execute::
free_params = torch.tensor([0.5])
mat(free_params)
.. jupyter-execute::
mat.grad(free_params)
"""
param_specs = param_specs or {
"sigma^2": {
"fixed": False,
"default": torch.tensor([0.0]),
"trans": TransformExpPow2()
}
}
super().__init__((n, n), param_specs)
[docs]
def __call__(self, free_params=None):
if free_params is None:
free_params = self.free_param_defaults
sigma2 = self.build_params(free_params)
device = sigma2.device
dtype = sigma2.dtype
i_n = torch.eye(self.shape[0], device=device, dtype=dtype)
v = sigma2 * i_n
return v
[docs]
def manual_grad(self, free_params=None):
"""
Compute the Jacobian of :meth:`__call__` with respect to trainable
parameters using a closed-form analytic expression.
Args:
free_params (torch.Tensor or dict): Flat 1D parameter tensor or
parameter dictionary. If omitted, default values are used.
Default: ``None``.
Returns:
tuple: ``(grad, grad_names)``, where ``grad`` is a 3D tensor of
shape ``(num_free_params, *shape)`` and
``grad_names`` is a list of the corresponding parameter names.
Returns ``(None, [])`` if all parameters are fixed.
"""
if free_params is None:
free_params = self.free_param_defaults
if len(free_params) == 0:
return None, []
free_params = self.build_params(free_params, include_fixed=False, trans=False, out_format="tensor")
device = free_params.device
dtype = free_params.dtype
i_n = torch.eye(self.shape[0], device=device, dtype=dtype)
grad = (self.trans_grad(free_params) * i_n).unsqueeze(0)
return grad, self.free_param_names