gtsam/gtsam/hybrid/tests/testGaussianMixtureFactor.cpp

649 lines
22 KiB
C++

/* ----------------------------------------------------------------------------
* GTSAM Copyright 2010, Georgia Tech Research Corporation,
* Atlanta, Georgia 30332-0415
* All Rights Reserved
* Authors: Frank Dellaert, et al. (see THANKS for the full author list)
* See LICENSE for the license information
* -------------------------------------------------------------------------- */
/**
* @file testGaussianMixtureFactor.cpp
* @brief Unit tests for GaussianMixtureFactor
* @author Varun Agrawal
* @author Fan Jiang
* @author Frank Dellaert
* @date December 2021
*/
#include <gtsam/base/Testable.h>
#include <gtsam/base/TestableAssertions.h>
#include <gtsam/discrete/DiscreteConditional.h>
#include <gtsam/discrete/DiscreteValues.h>
#include <gtsam/hybrid/GaussianMixture.h>
#include <gtsam/hybrid/GaussianMixtureFactor.h>
#include <gtsam/hybrid/HybridBayesNet.h>
#include <gtsam/hybrid/HybridGaussianFactorGraph.h>
#include <gtsam/hybrid/HybridValues.h>
#include <gtsam/inference/Symbol.h>
#include <gtsam/linear/GaussianFactorGraph.h>
#include <gtsam/linear/VectorValues.h>
#include <gtsam/nonlinear/PriorFactor.h>
#include <gtsam/slam/BetweenFactor.h>
// Include for test suite
#include <CppUnitLite/TestHarness.h>
#include <memory>
using namespace std;
using namespace gtsam;
using symbol_shorthand::M;
using symbol_shorthand::X;
using symbol_shorthand::Z;
/* ************************************************************************* */
// Check iterators of empty mixture.
TEST(GaussianMixtureFactor, Constructor) {
GaussianMixtureFactor factor;
GaussianMixtureFactor::const_iterator const_it = factor.begin();
CHECK(const_it == factor.end());
GaussianMixtureFactor::iterator it = factor.begin();
CHECK(it == factor.end());
}
/* ************************************************************************* */
// "Add" two mixture factors together.
TEST(GaussianMixtureFactor, Sum) {
DiscreteKey m1(1, 2), m2(2, 3);
auto A1 = Matrix::Zero(2, 1);
auto A2 = Matrix::Zero(2, 2);
auto A3 = Matrix::Zero(2, 3);
auto b = Matrix::Zero(2, 1);
Vector2 sigmas;
sigmas << 1, 2;
auto f10 = std::make_shared<JacobianFactor>(X(1), A1, X(2), A2, b);
auto f11 = std::make_shared<JacobianFactor>(X(1), A1, X(2), A2, b);
auto f20 = std::make_shared<JacobianFactor>(X(1), A1, X(3), A3, b);
auto f21 = std::make_shared<JacobianFactor>(X(1), A1, X(3), A3, b);
auto f22 = std::make_shared<JacobianFactor>(X(1), A1, X(3), A3, b);
std::vector<GaussianFactor::shared_ptr> factorsA{f10, f11};
std::vector<GaussianFactor::shared_ptr> factorsB{f20, f21, f22};
// TODO(Frank): why specify keys at all? And: keys in factor should be *all*
// keys, deviating from Kevin's scheme. Should we index DT on DiscreteKey?
// Design review!
GaussianMixtureFactor mixtureFactorA({X(1), X(2)}, {m1}, factorsA);
GaussianMixtureFactor mixtureFactorB({X(1), X(3)}, {m2}, factorsB);
// Check that number of keys is 3
EXPECT_LONGS_EQUAL(3, mixtureFactorA.keys().size());
// Check that number of discrete keys is 1
EXPECT_LONGS_EQUAL(1, mixtureFactorA.discreteKeys().size());
// Create sum of two mixture factors: it will be a decision tree now on both
// discrete variables m1 and m2:
GaussianFactorGraphTree sum;
sum += mixtureFactorA;
sum += mixtureFactorB;
// Let's check that this worked:
Assignment<Key> mode;
mode[m1.first] = 1;
mode[m2.first] = 2;
auto actual = sum(mode);
EXPECT(actual.at(0) == f11);
EXPECT(actual.at(1) == f22);
}
/* ************************************************************************* */
TEST(GaussianMixtureFactor, Printing) {
DiscreteKey m1(1, 2);
auto A1 = Matrix::Zero(2, 1);
auto A2 = Matrix::Zero(2, 2);
auto b = Matrix::Zero(2, 1);
auto f10 = std::make_shared<JacobianFactor>(X(1), A1, X(2), A2, b);
auto f11 = std::make_shared<JacobianFactor>(X(1), A1, X(2), A2, b);
std::vector<GaussianFactor::shared_ptr> factors{f10, f11};
GaussianMixtureFactor mixtureFactor({X(1), X(2)}, {m1}, factors);
std::string expected =
R"(GaussianMixtureFactor
Hybrid [x1 x2; 1]{
Choice(1)
0 Leaf :
A[x1] = [
0;
0
]
A[x2] = [
0, 0;
0, 0
]
b = [ 0 0 ]
No noise model
1 Leaf :
A[x1] = [
0;
0
]
A[x2] = [
0, 0;
0, 0
]
b = [ 0 0 ]
No noise model
}
)";
EXPECT(assert_print_equal(expected, mixtureFactor));
}
/* ************************************************************************* */
TEST(GaussianMixtureFactor, GaussianMixture) {
KeyVector keys;
keys.push_back(X(0));
keys.push_back(X(1));
DiscreteKeys dKeys;
dKeys.emplace_back(M(0), 2);
dKeys.emplace_back(M(1), 2);
auto gaussians = std::make_shared<GaussianConditional>();
GaussianMixture::Conditionals conditionals(gaussians);
GaussianMixture gm({}, keys, dKeys, conditionals);
EXPECT_LONGS_EQUAL(2, gm.discreteKeys().size());
}
/* ************************************************************************* */
// Test the error of the GaussianMixtureFactor
TEST(GaussianMixtureFactor, Error) {
DiscreteKey m1(1, 2);
auto A01 = Matrix2::Identity();
auto A02 = Matrix2::Identity();
auto A11 = Matrix2::Identity();
auto A12 = Matrix2::Identity() * 2;
auto b = Vector2::Zero();
auto f0 = std::make_shared<JacobianFactor>(X(1), A01, X(2), A02, b);
auto f1 = std::make_shared<JacobianFactor>(X(1), A11, X(2), A12, b);
std::vector<GaussianFactor::shared_ptr> factors{f0, f1};
GaussianMixtureFactor mixtureFactor({X(1), X(2)}, {m1}, factors);
VectorValues continuousValues;
continuousValues.insert(X(1), Vector2(0, 0));
continuousValues.insert(X(2), Vector2(1, 1));
// error should return a tree of errors, with nodes for each discrete value.
AlgebraicDecisionTree<Key> error_tree =
mixtureFactor.errorTree(continuousValues);
std::vector<DiscreteKey> discrete_keys = {m1};
// Error values for regression test
std::vector<double> errors = {1, 4};
AlgebraicDecisionTree<Key> expected_error(discrete_keys, errors);
EXPECT(assert_equal(expected_error, error_tree));
// Test for single leaf given discrete assignment P(X|M,Z).
DiscreteValues discreteValues;
discreteValues[m1.first] = 1;
EXPECT_DOUBLES_EQUAL(
4.0, mixtureFactor.error({continuousValues, discreteValues}), 1e-9);
}
namespace test_gmm {
/**
* Function to compute P(m=1|z). For P(m=0|z), swap mus and sigmas.
* If sigma0 == sigma1, it simplifies to a sigmoid function.
*
* Follows equation 7.108 since it is more generic.
*/
double prob_m_z(double mu0, double mu1, double sigma0, double sigma1,
double z) {
double x1 = ((z - mu0) / sigma0), x2 = ((z - mu1) / sigma1);
double d = sigma1 / sigma0;
double e = d * std::exp(-0.5 * (x1 * x1 - x2 * x2));
return 1 / (1 + e);
};
static HybridBayesNet GetGaussianMixtureModel(double mu0, double mu1,
double sigma0, double sigma1) {
DiscreteKey m(M(0), 2);
Key z = Z(0);
auto model0 = noiseModel::Isotropic::Sigma(1, sigma0);
auto model1 = noiseModel::Isotropic::Sigma(1, sigma1);
auto c0 = make_shared<GaussianConditional>(z, Vector1(mu0), I_1x1, model0),
c1 = make_shared<GaussianConditional>(z, Vector1(mu1), I_1x1, model1);
HybridBayesNet hbn;
hbn.emplace_shared<GaussianMixture>(KeyVector{z}, KeyVector{},
DiscreteKeys{m}, std::vector{c0, c1});
auto mixing = make_shared<DiscreteConditional>(m, "0.5/0.5");
hbn.push_back(mixing);
return hbn;
}
} // namespace test_gmm
/* ************************************************************************* */
/**
* Test a simple Gaussian Mixture Model represented as P(m)P(z|m)
* where m is a discrete variable and z is a continuous variable.
* m is binary and depending on m, we have 2 different means
* μ1 and μ2 for the Gaussian distribution around which we sample z.
*
* The resulting factor graph should eliminate to a Bayes net
* which represents a sigmoid function.
*/
TEST(GaussianMixtureFactor, GaussianMixtureModel) {
using namespace test_gmm;
double mu0 = 1.0, mu1 = 3.0;
double sigma = 2.0;
DiscreteKey m(M(0), 2);
Key z = Z(0);
auto hbn = GetGaussianMixtureModel(mu0, mu1, sigma, sigma);
// The result should be a sigmoid.
// So should be P(m=1|z) = 0.5 at z=3.0 - 1.0=2.0
double midway = mu1 - mu0, lambda = 4;
{
VectorValues given;
given.insert(z, Vector1(midway));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma, sigma, midway),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{m.first, 1}}),
1e-8);
// At the halfway point between the means, we should get P(m|z)=0.5
HybridBayesNet expected;
expected.emplace_shared<DiscreteConditional>(m, "0.5/0.5");
EXPECT(assert_equal(expected, *bn));
}
{
// Shift by -lambda
VectorValues given;
given.insert(z, Vector1(midway - lambda));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma, sigma, midway - lambda),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{m.first, 1}}),
1e-8);
}
{
// Shift by lambda
VectorValues given;
given.insert(z, Vector1(midway + lambda));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma, sigma, midway + lambda),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{m.first, 1}}),
1e-8);
}
}
/* ************************************************************************* */
/**
* Test a simple Gaussian Mixture Model represented as P(m)P(z|m)
* where m is a discrete variable and z is a continuous variable.
* m is binary and depending on m, we have 2 different means
* and covariances each for the
* Gaussian distribution around which we sample z.
*
* The resulting factor graph should eliminate to a Bayes net
* which represents a Gaussian-like function
* where m1>m0 close to 3.1333.
*/
TEST(GaussianMixtureFactor, GaussianMixtureModel2) {
using namespace test_gmm;
double mu0 = 1.0, mu1 = 3.0;
double sigma0 = 8.0, sigma1 = 4.0;
DiscreteKey m(M(0), 2);
Key z = Z(0);
auto hbn = GetGaussianMixtureModel(mu0, mu1, sigma0, sigma1);
double m1_high = 3.133, lambda = 4;
{
// The result should be a bell curve like function
// with m1 > m0 close to 3.1333.
// We get 3.1333 by finding the maximum value of the function.
VectorValues given;
given.insert(z, Vector1(3.133));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma0, sigma1, m1_high),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{M(0), 1}}), 1e-8);
// At the halfway point between the means
HybridBayesNet expected;
expected.emplace_shared<DiscreteConditional>(
m, DiscreteKeys{},
vector<double>{prob_m_z(mu1, mu0, sigma1, sigma0, m1_high),
prob_m_z(mu0, mu1, sigma0, sigma1, m1_high)});
EXPECT(assert_equal(expected, *bn));
}
{
// Shift by -lambda
VectorValues given;
given.insert(z, Vector1(m1_high - lambda));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma0, sigma1, m1_high - lambda),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{m.first, 1}}),
1e-8);
}
{
// Shift by lambda
VectorValues given;
given.insert(z, Vector1(m1_high + lambda));
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
EXPECT_DOUBLES_EQUAL(
prob_m_z(mu0, mu1, sigma0, sigma1, m1_high + lambda),
bn->at(0)->asDiscrete()->operator()(DiscreteValues{{m.first, 1}}),
1e-8);
}
}
namespace test_two_state_estimation {
DiscreteKey m1(M(1), 2);
/// Create hybrid motion model p(x1 | x0, m1)
static GaussianMixture::shared_ptr CreateHybridMotionModel(double mu0,
double mu1,
double sigma0,
double sigma1) {
auto model0 = noiseModel::Isotropic::Sigma(1, sigma0);
auto model1 = noiseModel::Isotropic::Sigma(1, sigma1);
auto c0 = make_shared<GaussianConditional>(X(1), Vector1(mu0), I_1x1, X(0),
-I_1x1, model0),
c1 = make_shared<GaussianConditional>(X(1), Vector1(mu1), I_1x1, X(0),
-I_1x1, model1);
return std::make_shared<GaussianMixture>(
KeyVector{X(1)}, KeyVector{X(0)}, DiscreteKeys{m1}, std::vector{c0, c1});
}
/// Create two state Bayes network with 1 or two measurement models
HybridBayesNet CreateBayesNet(
const GaussianMixture::shared_ptr& hybridMotionModel,
bool add_second_measurement = false) {
HybridBayesNet hbn;
// Add measurement model p(z0 | x0)
const double measurement_sigma = 3.0;
auto measurement_model = noiseModel::Isotropic::Sigma(1, measurement_sigma);
hbn.emplace_shared<GaussianConditional>(Z(0), Vector1(0.0), I_1x1, X(0),
-I_1x1, measurement_model);
// Optionally add second measurement model p(z1 | x1)
if (add_second_measurement) {
hbn.emplace_shared<GaussianConditional>(Z(1), Vector1(0.0), I_1x1, X(1),
-I_1x1, measurement_model);
}
// Add hybrid motion model
hbn.push_back(hybridMotionModel);
// Discrete uniform prior.
hbn.emplace_shared<DiscreteConditional>(m1, "0.5/0.5");
return hbn;
}
/// Create importance sampling network q(x0,x1,m) = p(x1|x0,m1) q(x0) P(m1),
/// using q(x0) = N(z0, sigma_Q) to sample x0.
HybridBayesNet CreateProposalNet(
const GaussianMixture::shared_ptr& hybridMotionModel, const Vector1& z0,
double sigma_Q) {
HybridBayesNet hbn;
// Add hybrid motion model
hbn.push_back(hybridMotionModel);
// Add proposal q(x0) for x0
auto measurement_model = noiseModel::Isotropic::Sigma(1, sigma_Q);
hbn.emplace_shared<GaussianConditional>(
GaussianConditional::FromMeanAndStddev(X(0), z0, sigma_Q));
// Discrete uniform prior.
hbn.emplace_shared<DiscreteConditional>(m1, "0.5/0.5");
return hbn;
}
/// Approximate the discrete marginal P(m1) using importance sampling
/// Not typically called as expensive, but values are used in the tests.
void approximateDiscreteMarginal(const HybridBayesNet& hbn,
const HybridBayesNet& proposalNet,
const VectorValues& given) {
// Do importance sampling
double w0 = 0.0, w1 = 0.0;
std::mt19937_64 rng(44);
for (int i = 0; i < 50000; i++) {
HybridValues sample = proposalNet.sample(&rng);
sample.insert(given);
double weight = hbn.evaluate(sample) / proposalNet.evaluate(sample);
(sample.atDiscrete(M(1)) == 0) ? w0 += weight : w1 += weight;
}
double sumWeights = w0 + w1;
double pm1 = w1 / sumWeights;
std::cout << "p(m0) ~ " << 1.0 - pm1 << std::endl;
std::cout << "p(m1) ~ " << pm1 << std::endl;
}
} // namespace test_two_state_estimation
/* ************************************************************************* */
/**
* Test a model p(z0|x0)p(z1|x1)p(x1|x0,m1)P(m1).
*
* p(x1|x0,m1) has mode-dependent mean but same covariance.
*
* Converting to a factor graph gives us ϕ(x0;z0)ϕ(x1;z1)ϕ(x1,x0,m1)P(m1)
*
* If we only have a measurement on x0, then
* the posterior probability of m1 should be 0.5/0.5.
* Getting a measurement on z1 gives use more information.
*/
TEST(GaussianMixtureFactor, TwoStateModel) {
using namespace test_two_state_estimation;
double mu0 = 1.0, mu1 = 3.0;
double sigma = 0.5;
auto hybridMotionModel = CreateHybridMotionModel(mu0, mu1, sigma, sigma);
// Start with no measurement on x1, only on x0
const Vector1 z0(0.5);
VectorValues given;
given.insert(Z(0), z0);
// Create proposal network for importance sampling
auto proposalNet = CreateProposalNet(hybridMotionModel, z0, 3.0);
EXPECT_LONGS_EQUAL(3, proposalNet.size());
{
HybridBayesNet hbn = CreateBayesNet(hybridMotionModel);
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
// Since no measurement on x1, we hedge our bets
// Importance sampling run with 50k samples gives 0.49934/0.50066
// approximateDiscreteMarginal(hbn, proposalNet, given);
DiscreteConditional expected(m1, "0.5/0.5");
EXPECT(assert_equal(expected, *(bn->at(2)->asDiscrete())));
}
{
// Now we add a measurement z1 on x1
HybridBayesNet hbn = CreateBayesNet(hybridMotionModel, true);
// If we set z1=4.5 (>> 2.5 which is the halfway point),
// probability of discrete mode should be leaning to m1==1.
const Vector1 z1(4.5);
given.insert(Z(1), z1);
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
// Since we have a measurement on x1, we get a definite result
// Values taken from an importance sampling run with 50k samples:
// approximateDiscreteMarginal(hbn, proposalNet, given);
DiscreteConditional expected(m1, "0.446629/0.553371");
EXPECT(assert_equal(expected, *(bn->at(2)->asDiscrete()), 0.002));
}
}
/* ************************************************************************* */
/**
* Test a model P(z0|x0)P(x1|x0,m1)P(z1|x1)P(m1).
*
* P(f01|x1,x0,m1) has different means and different covariances.
*
* Converting to a factor graph gives us
* ϕ(x0)ϕ(x1,x0,m1)ϕ(x1)P(m1)
*
* If we only have a measurement on z0, then
* the P(m1) should be 0.5/0.5.
* Getting a measurement on z1 gives use more information.
*/
TEST(GaussianMixtureFactor, TwoStateModel2) {
using namespace test_two_state_estimation;
double mu0 = 1.0, mu1 = 3.0;
double sigma0 = 0.5, sigma1 = 2.0;
auto hybridMotionModel = CreateHybridMotionModel(mu0, mu1, sigma0, sigma1);
// Start with no measurement on x1, only on x0
const Vector1 z0(0.5);
VectorValues given;
given.insert(Z(0), z0);
// Create proposal network for importance sampling
// uncomment this and the approximateDiscreteMarginal calls to run
// auto proposalNet = CreateProposalNet(hybridMotionModel, z0, 3.0);
{
HybridBayesNet hbn = CreateBayesNet(hybridMotionModel);
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
// Check that ratio of Bayes net and factor graph for different modes is
// equal for several values of {x0,x1}.
for (VectorValues vv :
{VectorValues{{X(0), Vector1(0.0)}, {X(1), Vector1(1.0)}},
VectorValues{{X(0), Vector1(0.5)}, {X(1), Vector1(3.0)}}}) {
vv.insert(given); // add measurements for HBN
HybridValues hv0(vv, {{M(1), 0}}), hv1(vv, {{M(1), 1}});
EXPECT_DOUBLES_EQUAL(gfg.error(hv0) / hbn.error(hv0),
gfg.error(hv1) / hbn.error(hv1), 1e-9);
}
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
// Importance sampling run with 50k samples gives 0.49934/0.50066
// approximateDiscreteMarginal(hbn, proposalNet, given);
// Since no measurement on x1, we a 50/50 probability
auto p_m = bn->at(2)->asDiscrete();
EXPECT_DOUBLES_EQUAL(0.5, p_m->operator()(DiscreteValues{{M(1), 0}}), 1e-9);
EXPECT_DOUBLES_EQUAL(0.5, p_m->operator()(DiscreteValues{{M(1), 1}}), 1e-9);
}
{
// Now we add a measurement z1 on x1
HybridBayesNet hbn = CreateBayesNet(hybridMotionModel, true);
const Vector1 z1(4.0); // favors m==1
given.insert(Z(1), z1);
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
// Check that ratio of Bayes net and factor graph for different modes is
// equal for several values of {x0,x1}.
for (VectorValues vv :
{VectorValues{{X(0), Vector1(0.0)}, {X(1), Vector1(1.0)}},
VectorValues{{X(0), Vector1(0.5)}, {X(1), Vector1(3.0)}}}) {
vv.insert(given); // add measurements for HBN
HybridValues hv0(vv, {{M(1), 0}}), hv1(vv, {{M(1), 1}});
EXPECT_DOUBLES_EQUAL(gfg.error(hv0) / hbn.error(hv0),
gfg.error(hv1) / hbn.error(hv1), 1e-9);
}
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
// Since we have a measurement z1 on x1, we get a definite result
// Values taken from an importance sampling run with 50k samples:
// approximateDiscreteMarginal(hbn, proposalNet, given);
DiscreteConditional expected(m1, "0.481793/0.518207");
EXPECT(assert_equal(expected, *(bn->at(2)->asDiscrete()), 0.001));
}
{
// Add a different measurement z1 on x1 that favors m==0
HybridBayesNet hbn = CreateBayesNet(hybridMotionModel, true);
const Vector1 z1(1.1);
given.insert_or_assign(Z(1), z1);
HybridGaussianFactorGraph gfg = hbn.toFactorGraph(given);
HybridBayesNet::shared_ptr bn = gfg.eliminateSequential();
// Since we have a measurement z1 on x1, we get a definite result
// Values taken from an importance sampling run with 50k samples:
// approximateDiscreteMarginal(hbn, proposalNet, given);
DiscreteConditional expected(m1, "0.554485/0.445515");
EXPECT(assert_equal(expected, *(bn->at(2)->asDiscrete()), 0.001));
}
}
/* ************************************************************************* */
int main() {
TestResult tr;
return TestRegistry::runAllTests(tr);
}
/* ************************************************************************* */