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<!DOCTYPE html>
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<h1>Source code for ot.gmm</h1><div class="highlight"><pre>
<span></span><span class="c1"># -*- coding: utf-8 -*-</span>
<span class="sd">"""</span>
<span class="sd">Optimal transport for Gaussian Mixtures</span>
<span class="sd">"""</span>
<span class="c1"># Author: Eloi Tanguy <eloi.tanguy@math.cnrs.fr></span>
<span class="c1"># Remi Flamary <remi.flamary@polytechnique.edu></span>
<span class="c1"># Julie Delon <julie.delon@math.cnrs.fr></span>
<span class="c1">#</span>
<span class="c1"># License: MIT License</span>
<span class="kn">from</span><span class="w"> </span><span class="nn">.backend</span><span class="w"> </span><span class="kn">import</span> <span class="n">get_backend</span>
<span class="kn">from</span><span class="w"> </span><span class="nn">.lp</span><span class="w"> </span><span class="kn">import</span> <span class="n">emd2</span><span class="p">,</span> <span class="n">emd</span>
<span class="kn">import</span><span class="w"> </span><span class="nn">numpy</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">np</span>
<span class="kn">from</span><span class="w"> </span><span class="nn">.utils</span><span class="w"> </span><span class="kn">import</span> <span class="n">dist</span>
<span class="kn">from</span><span class="w"> </span><span class="nn">.gaussian</span><span class="w"> </span><span class="kn">import</span> <span class="n">bures_wasserstein_mapping</span><span class="p">,</span> <span class="n">bures_wasserstein_barycenter</span>
<div class="viewcode-block" id="gaussian_logpdf">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gaussian_logpdf">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gaussian_logpdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the log of the probability density function of a multivariate</span>
<span class="sd"> Gaussian distribution.</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> x : array-like, shape (..., d)</span>
<span class="sd"> The input samples.</span>
<span class="sd"> m : array-like, shape (d,)</span>
<span class="sd"> The mean vector of the Gaussian distribution.</span>
<span class="sd"> C : array-like, shape (d, d)</span>
<span class="sd"> The covariance matrix of the Gaussian distribution.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> pdf : array-like, shape (...,)</span>
<span class="sd"> The probability density function evaluated at each sample.</span>
<span class="sd"> """</span>
<span class="k">assert</span> <span class="p">(</span>
<span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">m</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">C</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">C</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">2</span><span class="p">]</span>
<span class="p">),</span> <span class="s2">"Dimension mismatch"</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">)</span>
<span class="n">d</span> <span class="o">=</span> <span class="n">m</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">diff</span> <span class="o">=</span> <span class="n">x</span> <span class="o">-</span> <span class="n">m</span>
<span class="n">inv_C</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">inv</span><span class="p">(</span><span class="n">C</span><span class="p">)</span>
<span class="n">z</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">diff</span> <span class="o">*</span> <span class="p">(</span><span class="n">diff</span> <span class="o">@</span> <span class="n">inv_C</span><span class="p">),</span> <span class="n">axis</span><span class="o">=-</span><span class="mi">1</span><span class="p">)</span>
<span class="n">_</span><span class="p">,</span> <span class="n">log_det_C</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">slogdet</span><span class="p">(</span><span class="n">C</span><span class="p">)</span>
<span class="k">return</span> <span class="o">-</span><span class="mf">0.5</span> <span class="o">*</span> <span class="p">(</span><span class="n">d</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">log</span><span class="p">(</span><span class="mi">2</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">pi</span><span class="p">)</span> <span class="o">+</span> <span class="n">log_det_C</span> <span class="o">+</span> <span class="n">z</span><span class="p">)</span></div>
<div class="viewcode-block" id="gaussian_pdf">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gaussian_pdf">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gaussian_pdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the probability density function of a multivariate</span>
<span class="sd"> Gaussian distribution.</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> x : array-like, shape (..., d)</span>
<span class="sd"> The input samples.</span>
<span class="sd"> m : array-like, shape (d,)</span>
<span class="sd"> The mean vector of the Gaussian distribution.</span>
<span class="sd"> C : array-like, shape (d, d)</span>
<span class="sd"> The covariance matrix of the Gaussian distribution.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> pdf : array-like, shape (...,)</span>
<span class="sd"> The probability density function evaluated at each sample.</span>
<span class="sd"> """</span>
<span class="k">return</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">)</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="n">gaussian_logpdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">))</span></div>
<div class="viewcode-block" id="gmm_pdf">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_pdf">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_pdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">,</span> <span class="n">w</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the probability density function (PDF) of a</span>
<span class="sd"> Gaussian Mixture Model (GMM) at given points.</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> x : array-like, shape (..., d)</span>
<span class="sd"> The input samples.</span>
<span class="sd"> m : array-like, shape (n_components, d)</span>
<span class="sd"> The means of the Gaussian components.</span>
<span class="sd"> C : array-like, shape (n_components, d, d)</span>
<span class="sd"> The covariance matrices of the Gaussian components.</span>
<span class="sd"> w : array-like, shape (n_components,)</span>
<span class="sd"> The weights of the Gaussian components.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> out : array-like, shape (...,)</span>
<span class="sd"> The PDF values at the given points.</span>
<span class="sd"> """</span>
<span class="k">assert</span> <span class="p">(</span>
<span class="n">m</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">C</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">w</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="p">),</span> <span class="s2">"All GMM parameters must have the same amount of components"</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="n">C</span><span class="p">,</span> <span class="n">w</span><span class="p">)</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">[:</span><span class="o">-</span><span class="mi">1</span><span class="p">]))</span>
<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">m</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]):</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">out</span> <span class="o">+</span> <span class="n">w</span><span class="p">[</span><span class="n">k</span><span class="p">]</span> <span class="o">*</span> <span class="n">gaussian_pdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">C</span><span class="p">[</span><span class="n">k</span><span class="p">])</span>
<span class="k">return</span> <span class="n">out</span></div>
<div class="viewcode-block" id="dist_bures_squared">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.dist_bures_squared">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">dist_bures_squared</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the matrix of the squared Bures distances between the components of</span>
<span class="sd"> two Gaussian Mixture Models (GMMs). Used to compute the GMM Optimal</span>
<span class="sd"> Transport distance [69].</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> m_s : array-like, shape (k_s, d)</span>
<span class="sd"> Mean vectors of the source GMM.</span>
<span class="sd"> m_t : array-like, shape (k_t, d)</span>
<span class="sd"> Mean vectors of the target GMM.</span>
<span class="sd"> C_s : array-like, shape (k_s, d, d)</span>
<span class="sd"> Covariance matrices of the source GMM.</span>
<span class="sd"> C_t : array-like, shape (k_t, d, d)</span>
<span class="sd"> Covariance matrices of the target GMM.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> dist : array-like, shape (k_s, k_t)</span>
<span class="sd"> Matrix of squared Bures distances between the components of the source</span>
<span class="sd"> and target GMMs.</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> """</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_t</span><span class="p">)</span>
<span class="k">assert</span> <span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">C_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Source GMM has different amount of components"</span>
<span class="k">assert</span> <span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">C_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Target GMM has different amount of components"</span>
<span class="k">assert</span> <span class="p">(</span>
<span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">C_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">C_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span>
<span class="p">),</span> <span class="s2">"All GMMs must have the same dimension"</span>
<span class="n">D_means</span> <span class="o">=</span> <span class="n">dist</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">metric</span><span class="o">=</span><span class="s2">"sqeuclidean"</span><span class="p">)</span>
<span class="c1"># C2[i, j] = Cs12[i] @ C_t[j] @ Cs12[i], shape (k_s, k_t, d, d)</span>
<span class="n">Cs12</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">C_s</span><span class="p">)</span> <span class="c1"># broadcasts matrix sqrt over (k_s,)</span>
<span class="n">C2</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">einsum</span><span class="p">(</span><span class="s2">"ikl,jlm,imn->ijkn"</span><span class="p">,</span> <span class="n">Cs12</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">Cs12</span><span class="p">)</span>
<span class="n">C</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">C2</span><span class="p">)</span> <span class="c1"># broadcasts matrix sqrt over (k_s, k_t)</span>
<span class="c1"># D_covs[i,j] = trace(C_s[i] + C_t[j] - 2C[i,j])</span>
<span class="n">trace_C_s</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">einsum</span><span class="p">(</span><span class="s2">"ikk->i"</span><span class="p">,</span> <span class="n">C_s</span><span class="p">)[:,</span> <span class="kc">None</span><span class="p">]</span> <span class="c1"># (k_s, 1)</span>
<span class="n">trace_C_t</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">einsum</span><span class="p">(</span><span class="s2">"ikk->i"</span><span class="p">,</span> <span class="n">C_t</span><span class="p">)[</span><span class="kc">None</span><span class="p">,</span> <span class="p">:]</span> <span class="c1"># (1, k_t)</span>
<span class="n">D_covs</span> <span class="o">=</span> <span class="n">trace_C_s</span> <span class="o">+</span> <span class="n">trace_C_t</span> <span class="c1"># broadcasts to (k_s, k_t)</span>
<span class="n">D_covs</span> <span class="o">-=</span> <span class="mi">2</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">einsum</span><span class="p">(</span><span class="s2">"ijkk->ij"</span><span class="p">,</span> <span class="n">C</span><span class="p">)</span>
<span class="k">return</span> <span class="n">nx</span><span class="o">.</span><span class="n">maximum</span><span class="p">(</span><span class="n">D_means</span> <span class="o">+</span> <span class="n">D_covs</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span></div>
<div class="viewcode-block" id="gmm_ot_loss">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_ot_loss">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_ot_loss</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">log</span><span class="o">=</span><span class="kc">False</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the Gaussian Mixture Model (GMM) Optimal Transport distance between</span>
<span class="sd"> two GMMs introduced in [69].</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> m_s : array-like, shape (k_s, d)</span>
<span class="sd"> Mean vectors of the source GMM.</span>
<span class="sd"> m_t : array-like, shape (k_t, d)</span>
<span class="sd"> Mean vectors of the target GMM.</span>
<span class="sd"> C_s : array-like, shape (k_s, d, d)</span>
<span class="sd"> Covariance matrices of the source GMM.</span>
<span class="sd"> C_t : array-like, shape (k_t, d, d)</span>
<span class="sd"> Covariance matrices of the target GMM.</span>
<span class="sd"> w_s : array-like, shape (k_s,)</span>
<span class="sd"> Weights of the source GMM components.</span>
<span class="sd"> w_t : array-like, shape (k_t,)</span>
<span class="sd"> Weights of the target GMM components.</span>
<span class="sd"> log: bool, optional (default=False)</span>
<span class="sd"> If True, returns a dictionary containing the cost and dual variables.</span>
<span class="sd"> Otherwise returns only the GMM optimal transportation cost.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> loss : float or array-like</span>
<span class="sd"> The GMM-OT loss.</span>
<span class="sd"> log : dict, optional</span>
<span class="sd"> If input log is true, a dictionary containing the</span>
<span class="sd"> cost and dual variables and exit status</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> """</span>
<span class="n">get_backend</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="k">assert</span> <span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">w_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Source GMM has different amount of components"</span>
<span class="k">assert</span> <span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">w_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Target GMM has different amount of components"</span>
<span class="n">D</span> <span class="o">=</span> <span class="n">dist_bures_squared</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">)</span>
<span class="k">return</span> <span class="n">emd2</span><span class="p">(</span><span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">D</span><span class="p">,</span> <span class="n">log</span><span class="o">=</span><span class="n">log</span><span class="p">)</span></div>
<div class="viewcode-block" id="gmm_ot_plan">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_ot_plan">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_ot_plan</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">log</span><span class="o">=</span><span class="kc">False</span><span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Compute the Gaussian Mixture Model (GMM) Optimal Transport plan between</span>
<span class="sd"> two GMMs introduced in [69].</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> m_s : array-like, shape (k_s, d)</span>
<span class="sd"> Mean vectors of the source GMM.</span>
<span class="sd"> m_t : array-like, shape (k_t, d)</span>
<span class="sd"> Mean vectors of the target GMM.</span>
<span class="sd"> C_s : array-like, shape (k_s, d, d)</span>
<span class="sd"> Covariance matrices of the source GMM.</span>
<span class="sd"> C_t : array-like, shape (k_t, d, d)</span>
<span class="sd"> Covariance matrices of the target GMM.</span>
<span class="sd"> w_s : array-like, shape (k_s,)</span>
<span class="sd"> Weights of the source GMM components.</span>
<span class="sd"> w_t : array-like, shape (k_t,)</span>
<span class="sd"> Weights of the target GMM components.</span>
<span class="sd"> log : bool, optional (default=False)</span>
<span class="sd"> If True, returns a dictionary containing the cost and dual variables.</span>
<span class="sd"> Otherwise returns only the GMM optimal transportation matrix.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> plan : array-like, shape (k_s, k_t)</span>
<span class="sd"> The GMM-OT plan.</span>
<span class="sd"> log : dict, optional</span>
<span class="sd"> If input log is true, a dictionary containing the</span>
<span class="sd"> cost and dual variables and exit status</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> """</span>
<span class="n">get_backend</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="k">assert</span> <span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">w_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Source GMM has different amount of components"</span>
<span class="k">assert</span> <span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">==</span> <span class="n">w_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="s2">"Target GMM has different amount of components"</span>
<span class="n">D</span> <span class="o">=</span> <span class="n">dist_bures_squared</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">)</span>
<span class="k">return</span> <span class="n">emd</span><span class="p">(</span><span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">D</span><span class="p">,</span> <span class="n">log</span><span class="o">=</span><span class="n">log</span><span class="p">)</span></div>
<div class="viewcode-block" id="gmm_ot_apply_map">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_ot_apply_map">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_ot_apply_map</span><span class="p">(</span>
<span class="n">x</span><span class="p">,</span> <span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">plan</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">method</span><span class="o">=</span><span class="s2">"bary"</span><span class="p">,</span> <span class="n">seed</span><span class="o">=</span><span class="kc">None</span>
<span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Apply Gaussian Mixture Model (GMM) optimal transport (OT) mapping to input</span>
<span class="sd"> data. The 'barycentric' mapping corresponds to the barycentric projection</span>
<span class="sd"> of the GMM-OT plan, and is called T_bary in [69]. The 'random' mapping takes</span>
<span class="sd"> for each input point a random pair (i,j) of components of the GMMs and</span>
<span class="sd"> applied the Gaussian map, it is called T_rand in [69].</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> x : array-like, shape (n_samples, d)</span>
<span class="sd"> Input data points.</span>
<span class="sd"> m_s : array-like, shape (k_s, d)</span>
<span class="sd"> Mean vectors of the source GMM components.</span>
<span class="sd"> m_t : array-like, shape (k_t, d)</span>
<span class="sd"> Mean vectors of the target GMM components.</span>
<span class="sd"> C_s : array-like, shape (k_s, d, d)</span>
<span class="sd"> Covariance matrices of the source GMM components.</span>
<span class="sd"> C_t : array-like, shape (k_t, d, d)</span>
<span class="sd"> Covariance matrices of the target GMM components.</span>
<span class="sd"> w_s : array-like, shape (k_s,)</span>
<span class="sd"> Weights of the source GMM components.</span>
<span class="sd"> w_t : array-like, shape (k_t,)</span>
<span class="sd"> Weights of the target GMM components.</span>
<span class="sd"> plan : array-like, shape (k_s, k_t), optional</span>
<span class="sd"> Optimal transport plan between the source and target GMM components.</span>
<span class="sd"> If not provided, it will be computed internally.</span>
<span class="sd"> method : {'bary', 'rand'}, optional</span>
<span class="sd"> Method for applying the GMM OT mapping. 'bary' uses barycentric mapping,</span>
<span class="sd"> while 'rand' uses random sampling. Default is 'bary'.</span>
<span class="sd"> seed : int, optional</span>
<span class="sd"> Seed for the random number generator. Only used when method='rand'.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> out : array-like, shape (n_samples, d)</span>
<span class="sd"> Output data points after applying the GMM OT mapping.</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> """</span>
<span class="k">if</span> <span class="n">plan</span> <span class="ow">is</span> <span class="kc">None</span><span class="p">:</span>
<span class="n">plan</span> <span class="o">=</span> <span class="n">gmm_ot_plan</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="k">else</span><span class="p">:</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">plan</span><span class="p">)</span>
<span class="n">k_s</span><span class="p">,</span> <span class="n">k_t</span> <span class="o">=</span> <span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">d</span> <span class="o">=</span> <span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">1</span><span class="p">]</span>
<span class="n">n_samples</span> <span class="o">=</span> <span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="k">if</span> <span class="n">method</span> <span class="o">==</span> <span class="s2">"bary"</span><span class="p">:</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="n">logpdf</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">stack</span><span class="p">(</span>
<span class="p">[</span><span class="n">gaussian_logpdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m_s</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">C_s</span><span class="p">[</span><span class="n">k</span><span class="p">])[:,</span> <span class="kc">None</span><span class="p">]</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">k_s</span><span class="p">)]</span>
<span class="p">)</span>
<span class="c1"># only need to compute for non-zero plan entries</span>
<span class="k">for</span> <span class="n">i</span><span class="p">,</span> <span class="n">j</span> <span class="ow">in</span> <span class="nb">zip</span><span class="p">(</span><span class="o">*</span><span class="n">nx</span><span class="o">.</span><span class="n">where</span><span class="p">(</span><span class="n">plan</span> <span class="o">></span> <span class="mi">0</span><span class="p">)):</span>
<span class="n">Cs12</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">C_s</span><span class="p">[</span><span class="n">i</span><span class="p">])</span>
<span class="n">Cs12inv</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">inv</span><span class="p">(</span><span class="n">Cs12</span><span class="p">)</span>
<span class="n">M0</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">Cs12</span> <span class="o">@</span> <span class="n">C_t</span><span class="p">[</span><span class="n">j</span><span class="p">]</span> <span class="o">@</span> <span class="n">Cs12</span><span class="p">)</span>
<span class="n">A</span> <span class="o">=</span> <span class="n">Cs12inv</span> <span class="o">@</span> <span class="n">M0</span> <span class="o">@</span> <span class="n">Cs12inv</span>
<span class="n">b</span> <span class="o">=</span> <span class="n">m_t</span><span class="p">[</span><span class="n">j</span><span class="p">]</span> <span class="o">-</span> <span class="n">A</span> <span class="o">@</span> <span class="n">m_s</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
<span class="c1"># gaussian mapping between components i and j applied to x</span>
<span class="n">T_ij_x</span> <span class="o">=</span> <span class="n">x</span> <span class="o">@</span> <span class="n">A</span> <span class="o">+</span> <span class="n">b</span>
<span class="n">z</span> <span class="o">=</span> <span class="n">w_s</span><span class="p">[:,</span> <span class="kc">None</span><span class="p">,</span> <span class="kc">None</span><span class="p">]</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="n">logpdf</span> <span class="o">-</span> <span class="n">logpdf</span><span class="p">[</span><span class="n">i</span><span class="p">][</span><span class="kc">None</span><span class="p">,</span> <span class="p">:,</span> <span class="p">:])</span>
<span class="n">denom</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">z</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">out</span> <span class="o">+</span> <span class="n">plan</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span> <span class="o">*</span> <span class="n">T_ij_x</span> <span class="o">/</span> <span class="n">denom</span>
<span class="k">return</span> <span class="n">out</span>
<span class="k">else</span><span class="p">:</span> <span class="c1"># rand</span>
<span class="c1"># A[i, j] is the linear part of the gaussian mapping between components</span>
<span class="c1"># i and j, b[i, j] is the translation part</span>
<span class="n">rng</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">RandomState</span><span class="p">(</span><span class="n">seed</span><span class="p">)</span>
<span class="n">A</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">k_s</span><span class="p">,</span> <span class="n">k_t</span><span class="p">,</span> <span class="n">d</span><span class="p">,</span> <span class="n">d</span><span class="p">))</span>
<span class="n">b</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">k_s</span><span class="p">,</span> <span class="n">k_t</span><span class="p">,</span> <span class="n">d</span><span class="p">))</span>
<span class="c1"># only need to compute for non-zero plan entries</span>
<span class="k">for</span> <span class="n">i</span><span class="p">,</span> <span class="n">j</span> <span class="ow">in</span> <span class="nb">zip</span><span class="p">(</span><span class="o">*</span><span class="n">nx</span><span class="o">.</span><span class="n">where</span><span class="p">(</span><span class="n">plan</span> <span class="o">></span> <span class="mi">0</span><span class="p">)):</span>
<span class="n">Cs12</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">C_s</span><span class="p">[</span><span class="n">i</span><span class="p">])</span>
<span class="n">Cs12inv</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">inv</span><span class="p">(</span><span class="n">Cs12</span><span class="p">)</span>
<span class="n">M0</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sqrtm</span><span class="p">(</span><span class="n">Cs12</span> <span class="o">@</span> <span class="n">C_t</span><span class="p">[</span><span class="n">j</span><span class="p">]</span> <span class="o">@</span> <span class="n">Cs12</span><span class="p">)</span>
<span class="n">A</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span> <span class="o">=</span> <span class="n">Cs12inv</span> <span class="o">@</span> <span class="n">M0</span> <span class="o">@</span> <span class="n">Cs12inv</span>
<span class="n">b</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span> <span class="o">=</span> <span class="n">m_t</span><span class="p">[</span><span class="n">j</span><span class="p">]</span> <span class="o">-</span> <span class="n">A</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span> <span class="o">@</span> <span class="n">m_s</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
<span class="n">logpdf</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">stack</span><span class="p">(</span>
<span class="p">[</span><span class="n">gaussian_logpdf</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">m_s</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">C_s</span><span class="p">[</span><span class="n">k</span><span class="p">])</span> <span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">k_s</span><span class="p">)],</span> <span class="n">axis</span><span class="o">=-</span><span class="mi">1</span>
<span class="p">)</span>
<span class="c1"># (n_samples, k_s)</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="k">for</span> <span class="n">i_sample</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n_samples</span><span class="p">):</span>
<span class="n">log_g</span> <span class="o">=</span> <span class="n">logpdf</span><span class="p">[</span><span class="n">i_sample</span><span class="p">]</span>
<span class="n">log_diff</span> <span class="o">=</span> <span class="n">log_g</span><span class="p">[:,</span> <span class="kc">None</span><span class="p">]</span> <span class="o">-</span> <span class="n">log_g</span><span class="p">[</span><span class="kc">None</span><span class="p">,</span> <span class="p">:]</span>
<span class="n">weighted_exp</span> <span class="o">=</span> <span class="n">w_s</span><span class="p">[:,</span> <span class="kc">None</span><span class="p">]</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="n">log_diff</span><span class="p">)</span>
<span class="n">denom</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">weighted_exp</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)[:,</span> <span class="kc">None</span><span class="p">]</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">ones</span><span class="p">(</span><span class="n">plan</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">1</span><span class="p">])</span>
<span class="n">p_mat</span> <span class="o">=</span> <span class="n">plan</span> <span class="o">/</span> <span class="n">denom</span>
<span class="n">p</span> <span class="o">=</span> <span class="n">p_mat</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="n">k_s</span> <span class="o">*</span> <span class="n">k_t</span><span class="p">)</span> <span class="c1"># stack line-by-line</span>
<span class="c1"># sample between 0 and k_s * k_t - 1</span>
<span class="n">ij_mat</span> <span class="o">=</span> <span class="n">rng</span><span class="o">.</span><span class="n">choice</span><span class="p">(</span><span class="n">k_s</span> <span class="o">*</span> <span class="n">k_t</span><span class="p">,</span> <span class="n">p</span><span class="o">=</span><span class="n">p</span><span class="p">)</span>
<span class="n">i</span> <span class="o">=</span> <span class="n">ij_mat</span> <span class="o">//</span> <span class="n">k_t</span>
<span class="n">j</span> <span class="o">=</span> <span class="n">ij_mat</span> <span class="o">%</span> <span class="n">k_t</span>
<span class="n">out</span><span class="p">[</span><span class="n">i_sample</span><span class="p">]</span> <span class="o">=</span> <span class="n">A</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span> <span class="o">@</span> <span class="n">x</span><span class="p">[</span><span class="n">i_sample</span><span class="p">]</span> <span class="o">+</span> <span class="n">b</span><span class="p">[</span><span class="n">i</span><span class="p">,</span> <span class="n">j</span><span class="p">]</span>
<span class="k">return</span> <span class="n">out</span></div>
<div class="viewcode-block" id="gmm_ot_plan_density">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_ot_plan_density">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_ot_plan_density</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">,</span> <span class="n">plan</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">atol</span><span class="o">=</span><span class="mf">1e-2</span><span class="p">):</span>
<span class="w"> </span><span class="sd">"""</span>
<span class="sd"> Compute the density of the Gaussian Mixture Model - Optimal Transport</span>
<span class="sd"> coupling between GMMS at given points, as introduced in [69].</span>
<span class="sd"> Given two arrays of points x and y, the function computes the density at</span>
<span class="sd"> each point `(x[i], y[i])` of the product space.</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> x : array-like, shape (n, d)</span>
<span class="sd"> Entry points in source space for density computation.</span>
<span class="sd"> y : array-like, shape (m, d)</span>
<span class="sd"> Entry points in target space for density computation.</span>
<span class="sd"> m_s : array-like, shape (k_s, d)</span>
<span class="sd"> The means of the source GMM components.</span>
<span class="sd"> m_t : array-like, shape (k_t, d)</span>
<span class="sd"> The means of the target GMM components.</span>
<span class="sd"> C_s : array-like, shape (k_s, d, d)</span>
<span class="sd"> The covariance matrices of the source GMM components.</span>
<span class="sd"> C_t : array-like, shape (k_t, d, d)</span>
<span class="sd"> The covariance matrices of the target GMM components.</span>
<span class="sd"> w_s : array-like, shape (k_s,)</span>
<span class="sd"> The weights of the source GMM components.</span>
<span class="sd"> w_t : array-like, shape (k_t,)</span>
<span class="sd"> The weights of the target GMM components.</span>
<span class="sd"> plan : array-like, shape (k_s, k_t), optional</span>
<span class="sd"> The optimal transport plan between the source and target GMMs.</span>
<span class="sd"> If not provided, it will be computed using `gmm_ot_plan`.</span>
<span class="sd"> atol : float, optional</span>
<span class="sd"> The absolute tolerance used to determine the support of the GMM-OT</span>
<span class="sd"> coupling.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> density : array-like, shape (n, m)</span>
<span class="sd"> The density of the GMM-OT coupling between the two GMMs.</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> """</span>
<span class="k">assert</span> <span class="p">(</span>
<span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">==</span> <span class="n">y</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span>
<span class="p">),</span> <span class="s2">"x (n, d) and y (m, d) must have the same dimension d"</span>
<span class="n">n</span><span class="p">,</span> <span class="n">m</span> <span class="o">=</span> <span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">y</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="c1"># hand-made d-variate meshgrid in ij indexing</span>
<span class="n">xx</span> <span class="o">=</span> <span class="n">x</span><span class="p">[:,</span> <span class="kc">None</span><span class="p">,</span> <span class="p">:]</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">ones</span><span class="p">((</span><span class="mi">1</span><span class="p">,</span> <span class="n">m</span><span class="p">,</span> <span class="mi">1</span><span class="p">))</span> <span class="c1"># shapes (n, m, d)</span>
<span class="n">yy</span> <span class="o">=</span> <span class="n">y</span><span class="p">[</span><span class="kc">None</span><span class="p">,</span> <span class="p">:,</span> <span class="p">:]</span> <span class="o">*</span> <span class="n">nx</span><span class="o">.</span><span class="n">ones</span><span class="p">((</span><span class="n">n</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">))</span> <span class="c1"># shapes (n, m, d)</span>
<span class="k">if</span> <span class="n">plan</span> <span class="ow">is</span> <span class="kc">None</span><span class="p">:</span>
<span class="n">plan</span> <span class="o">=</span> <span class="n">gmm_ot_plan</span><span class="p">(</span><span class="n">m_s</span><span class="p">,</span> <span class="n">m_t</span><span class="p">,</span> <span class="n">C_s</span><span class="p">,</span> <span class="n">C_t</span><span class="p">,</span> <span class="n">w_s</span><span class="p">,</span> <span class="n">w_t</span><span class="p">)</span>
<span class="k">def</span><span class="w"> </span><span class="nf">Tk0k1</span><span class="p">(</span><span class="n">k0</span><span class="p">,</span> <span class="n">k1</span><span class="p">):</span>
<span class="n">A</span><span class="p">,</span> <span class="n">b</span> <span class="o">=</span> <span class="n">bures_wasserstein_mapping</span><span class="p">(</span><span class="n">m_s</span><span class="p">[</span><span class="n">k0</span><span class="p">],</span> <span class="n">m_t</span><span class="p">[</span><span class="n">k1</span><span class="p">],</span> <span class="n">C_s</span><span class="p">[</span><span class="n">k0</span><span class="p">],</span> <span class="n">C_t</span><span class="p">[</span><span class="n">k1</span><span class="p">])</span>
<span class="n">Tx</span> <span class="o">=</span> <span class="n">xx</span> <span class="o">@</span> <span class="n">A</span> <span class="o">+</span> <span class="n">b</span>
<span class="n">g</span> <span class="o">=</span> <span class="n">gaussian_pdf</span><span class="p">(</span><span class="n">xx</span><span class="p">,</span> <span class="n">m_s</span><span class="p">[</span><span class="n">k0</span><span class="p">],</span> <span class="n">C_s</span><span class="p">[</span><span class="n">k0</span><span class="p">])</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">plan</span><span class="p">[</span><span class="n">k0</span><span class="p">,</span> <span class="n">k1</span><span class="p">]</span> <span class="o">*</span> <span class="n">g</span>
<span class="n">norms</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">norm</span><span class="p">(</span><span class="n">Tx</span> <span class="o">-</span> <span class="n">yy</span><span class="p">,</span> <span class="n">axis</span><span class="o">=-</span><span class="mi">1</span><span class="p">)</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">out</span> <span class="o">*</span> <span class="p">((</span><span class="n">norms</span> <span class="o"><</span> <span class="n">atol</span><span class="p">)</span> <span class="o">*</span> <span class="mf">1.0</span><span class="p">)</span>
<span class="k">return</span> <span class="n">out</span>
<span class="n">mat</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">stack</span><span class="p">(</span>
<span class="p">[</span>
<span class="n">nx</span><span class="o">.</span><span class="n">stack</span><span class="p">([</span><span class="n">Tk0k1</span><span class="p">(</span><span class="n">k0</span><span class="p">,</span> <span class="n">k1</span><span class="p">)</span> <span class="k">for</span> <span class="n">k1</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">m_t</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">])])</span>
<span class="k">for</span> <span class="n">k0</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">m_s</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">])</span>
<span class="p">]</span>
<span class="p">)</span>
<span class="k">return</span> <span class="n">nx</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">mat</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">1</span><span class="p">))</span></div>
<div class="viewcode-block" id="gmm_barycenter_fixed_point">
<a class="viewcode-back" href="../../gen_modules/ot.gmm.html#ot.gmm.gmm_barycenter_fixed_point">[docs]</a>
<span class="k">def</span><span class="w"> </span><span class="nf">gmm_barycenter_fixed_point</span><span class="p">(</span>
<span class="n">means_list</span><span class="p">,</span>
<span class="n">covs_list</span><span class="p">,</span>
<span class="n">w_list</span><span class="p">,</span>
<span class="n">means_init</span><span class="p">,</span>
<span class="n">covs_init</span><span class="p">,</span>
<span class="n">weights</span><span class="p">,</span>
<span class="n">w_bar</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span>
<span class="n">iterations</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span>
<span class="n">log</span><span class="o">=</span><span class="kc">False</span><span class="p">,</span>
<span class="n">barycentric_proj_method</span><span class="o">=</span><span class="s2">"euclidean"</span><span class="p">,</span>
<span class="p">):</span>
<span class="w"> </span><span class="sa">r</span><span class="sd">"""</span>
<span class="sd"> Solves the Gaussian Mixture Model OT barycenter problem (defined in [69])</span>
<span class="sd"> using the fixed point algorithm (proposed in [77]). The</span>
<span class="sd"> weights of the barycenter are not optimized, and stay the same as the input</span>
<span class="sd"> `w_list` or are initialized to uniform.</span>
<span class="sd"> The algorithm uses barycentric projections of GMM-OT plans, and these can be</span>
<span class="sd"> computed either through Bures Barycenters (slow but accurate,</span>
<span class="sd"> barycentric_proj_method='bures') or by convex combination (fast,</span>
<span class="sd"> barycentric_proj_method='euclidean', default).</span>
<span class="sd"> This is a special case of the generic free-support barycenter solver</span>
<span class="sd"> `ot.lp.free_support_barycenter_generic_costs`.</span>
<span class="sd"> Parameters</span>
<span class="sd"> ----------</span>
<span class="sd"> means_list : list of array-like</span>
<span class="sd"> List of K (m_k, d) GMM means.</span>
<span class="sd"> covs_list : list of array-like</span>
<span class="sd"> List of K (m_k, d, d) GMM covariances.</span>
<span class="sd"> w_list : list of array-like</span>
<span class="sd"> List of K (m_k) arrays of weights.</span>
<span class="sd"> means_init : array-like</span>
<span class="sd"> Initial (n, d) GMM means.</span>
<span class="sd"> covs_init : array-like</span>
<span class="sd"> Initial (n, d, d) GMM covariances.</span>
<span class="sd"> weights : array-like</span>
<span class="sd"> Array (K,) of the barycentre coefficients.</span>
<span class="sd"> w_bar : array-like, optional</span>
<span class="sd"> Initial weights (n) of the barycentre GMM. If None, initialized to uniform.</span>
<span class="sd"> iterations : int, optional</span>
<span class="sd"> Number of iterations (default is 100).</span>
<span class="sd"> log : bool, optional</span>
<span class="sd"> Whether to return the list of iterations (default is False).</span>
<span class="sd"> barycentric_proj_method : str, optional</span>
<span class="sd"> Method to project the barycentre weights: 'euclidean' (default) or 'bures'.</span>
<span class="sd"> Returns</span>
<span class="sd"> -------</span>
<span class="sd"> means : array-like</span>
<span class="sd"> (n, d) barycentre GMM means.</span>
<span class="sd"> covs : array-like</span>
<span class="sd"> (n, d, d) barycentre GMM covariances.</span>
<span class="sd"> log_dict : dict, optional</span>
<span class="sd"> Dictionary containing the list of iterations if log is True.</span>
<span class="sd"> References</span>
<span class="sd"> ----------</span>
<span class="sd"> .. [69] Delon, J., & Desolneux, A. (2020). A Wasserstein-type distance in the space of Gaussian mixture models. SIAM Journal on Imaging Sciences, 13(2), 936-970.</span>
<span class="sd"> .. [77] Tanguy, Eloi and Delon, Julie and Gozlan, Nathaël (2024). Computing barycenters of Measures for Generic Transport Costs. arXiv preprint 2501.04016 (2024)</span>
<span class="sd"> See Also</span>
<span class="sd"> --------</span>
<span class="sd"> ot.lp.free_support_barycenter_generic_costs : Compute barycenter of measures for generic transport costs.</span>
<span class="sd"> """</span>
<span class="n">nx</span> <span class="o">=</span> <span class="n">get_backend</span><span class="p">(</span>
<span class="n">means_init</span><span class="p">,</span> <span class="n">covs_init</span><span class="p">,</span> <span class="n">means_list</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">covs_list</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">w_list</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">weights</span>
<span class="p">)</span>
<span class="n">K</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">means_list</span><span class="p">)</span>
<span class="n">n</span> <span class="o">=</span> <span class="n">means_init</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span>
<span class="n">d</span> <span class="o">=</span> <span class="n">means_init</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">1</span><span class="p">]</span>
<span class="n">means_its</span> <span class="o">=</span> <span class="p">[</span><span class="n">nx</span><span class="o">.</span><span class="n">copy</span><span class="p">(</span><span class="n">means_init</span><span class="p">)]</span>
<span class="n">covs_its</span> <span class="o">=</span> <span class="p">[</span><span class="n">nx</span><span class="o">.</span><span class="n">copy</span><span class="p">(</span><span class="n">covs_init</span><span class="p">)]</span>
<span class="n">means</span><span class="p">,</span> <span class="n">covs</span> <span class="o">=</span> <span class="n">means_init</span><span class="p">,</span> <span class="n">covs_init</span>
<span class="k">if</span> <span class="n">w_bar</span> <span class="ow">is</span> <span class="kc">None</span><span class="p">:</span>
<span class="n">w_bar</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">ones</span><span class="p">(</span><span class="n">n</span><span class="p">,</span> <span class="n">type_as</span><span class="o">=</span><span class="n">means</span><span class="p">)</span> <span class="o">/</span> <span class="n">n</span>
<span class="k">for</span> <span class="n">_</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">iterations</span><span class="p">):</span>
<span class="n">pi_list</span> <span class="o">=</span> <span class="p">[</span>
<span class="n">gmm_ot_plan</span><span class="p">(</span><span class="n">means</span><span class="p">,</span> <span class="n">means_list</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">covs</span><span class="p">,</span> <span class="n">covs_list</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">w_bar</span><span class="p">,</span> <span class="n">w_list</span><span class="p">[</span><span class="n">k</span><span class="p">])</span>
<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">K</span><span class="p">)</span>
<span class="p">]</span>
<span class="c1"># filled in the euclidean case</span>
<span class="n">means_selection</span><span class="p">,</span> <span class="n">covs_selection</span> <span class="o">=</span> <span class="kc">None</span><span class="p">,</span> <span class="kc">None</span>
<span class="c1"># in the euclidean case, the selection of Gaussians from each K sources</span>
<span class="c1"># comes from a barycentric projection: it is a convex combination of the</span>
<span class="c1"># selected means and covariances, which can be computed without a</span>
<span class="c1"># for loop on i = 0, ..., n -1</span>
<span class="k">if</span> <span class="n">barycentric_proj_method</span> <span class="o">==</span> <span class="s2">"euclidean"</span><span class="p">:</span>
<span class="n">means_selection</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">n</span><span class="p">,</span> <span class="n">K</span><span class="p">,</span> <span class="n">d</span><span class="p">),</span> <span class="n">type_as</span><span class="o">=</span><span class="n">means</span><span class="p">)</span>
<span class="n">covs_selection</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">n</span><span class="p">,</span> <span class="n">K</span><span class="p">,</span> <span class="n">d</span><span class="p">,</span> <span class="n">d</span><span class="p">),</span> <span class="n">type_as</span><span class="o">=</span><span class="n">means</span><span class="p">)</span>
<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">K</span><span class="p">):</span>
<span class="n">means_selection</span><span class="p">[:,</span> <span class="n">k</span><span class="p">,</span> <span class="p">:]</span> <span class="o">=</span> <span class="n">n</span> <span class="o">*</span> <span class="n">pi_list</span><span class="p">[</span><span class="n">k</span><span class="p">]</span> <span class="o">@</span> <span class="n">means_list</span><span class="p">[</span><span class="n">k</span><span class="p">]</span>
<span class="n">covs_selection</span><span class="p">[:,</span> <span class="n">k</span><span class="p">,</span> <span class="p">:,</span> <span class="p">:]</span> <span class="o">=</span> <span class="p">(</span>
<span class="n">nx</span><span class="o">.</span><span class="n">einsum</span><span class="p">(</span><span class="s2">"ij,jab->iab"</span><span class="p">,</span> <span class="n">pi_list</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">covs_list</span><span class="p">[</span><span class="n">k</span><span class="p">])</span> <span class="o">*</span> <span class="n">n</span>
<span class="p">)</span>
<span class="c1"># each component i of the barycentre will be a Bures barycentre of the</span>
<span class="c1"># selected components of the K GMMs. In the 'bures' barycentric</span>
<span class="c1"># projection option, the selected components are also Bures barycentres.</span>
<span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n</span><span class="p">):</span>
<span class="c1"># means_selection_i (K, d) is the selected means, each comes from a</span>
<span class="c1"># Gaussian barycentre along the disintegration of pi_k at i</span>
<span class="c1"># covs_selection_i (K, d, d) are the selected covariances</span>
<span class="n">means_selection_i</span> <span class="o">=</span> <span class="kc">None</span>
<span class="n">covs_selection_i</span> <span class="o">=</span> <span class="kc">None</span>
<span class="c1"># use previous computation (convex combination)</span>
<span class="k">if</span> <span class="n">barycentric_proj_method</span> <span class="o">==</span> <span class="s2">"euclidean"</span><span class="p">:</span>
<span class="n">means_selection_i</span> <span class="o">=</span> <span class="n">means_selection</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
<span class="n">covs_selection_i</span> <span class="o">=</span> <span class="n">covs_selection</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
<span class="c1"># compute Bures barycentre of certain components to get the</span>
<span class="c1"># selection at i</span>
<span class="k">elif</span> <span class="n">barycentric_proj_method</span> <span class="o">==</span> <span class="s2">"bures"</span><span class="p">:</span>
<span class="n">means_selection_i</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">K</span><span class="p">,</span> <span class="n">d</span><span class="p">),</span> <span class="n">type_as</span><span class="o">=</span><span class="n">means</span><span class="p">)</span>
<span class="n">covs_selection_i</span> <span class="o">=</span> <span class="n">nx</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="n">K</span><span class="p">,</span> <span class="n">d</span><span class="p">,</span> <span class="n">d</span><span class="p">),</span> <span class="n">type_as</span><span class="o">=</span><span class="n">means</span><span class="p">)</span>
<span class="k">for</span> <span class="n">k</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">K</span><span class="p">):</span>
<span class="n">w</span> <span class="o">=</span> <span class="p">(</span><span class="mi">1</span> <span class="o">/</span> <span class="n">w_bar</span><span class="p">[</span><span class="n">i</span><span class="p">])</span> <span class="o">*</span> <span class="n">pi_list</span><span class="p">[</span><span class="n">k</span><span class="p">][</span><span class="n">i</span><span class="p">,</span> <span class="p">:]</span>
<span class="n">m</span><span class="p">,</span> <span class="n">C</span> <span class="o">=</span> <span class="n">bures_wasserstein_barycenter</span><span class="p">(</span><span class="n">means_list</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">covs_list</span><span class="p">[</span><span class="n">k</span><span class="p">],</span> <span class="n">w</span><span class="p">)</span>
<span class="n">means_selection_i</span><span class="p">[</span><span class="n">k</span><span class="p">]</span> <span class="o">=</span> <span class="n">m</span>
<span class="n">covs_selection_i</span><span class="p">[</span><span class="n">k</span><span class="p">]</span> <span class="o">=</span> <span class="n">C</span>
<span class="k">else</span><span class="p">:</span>
<span class="k">raise</span> <span class="ne">ValueError</span><span class="p">(</span><span class="s2">"Unknown barycentric_proj_method"</span><span class="p">)</span>
<span class="n">means</span><span class="p">[</span><span class="n">i</span><span class="p">],</span> <span class="n">covs</span><span class="p">[</span><span class="n">i</span><span class="p">]</span> <span class="o">=</span> <span class="n">bures_wasserstein_barycenter</span><span class="p">(</span>
<span class="n">means_selection_i</span><span class="p">,</span> <span class="n">covs_selection_i</span><span class="p">,</span> <span class="n">weights</span>
<span class="p">)</span>
<span class="k">if</span> <span class="n">log</span><span class="p">:</span>
<span class="n">means_its</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">nx</span><span class="o">.</span><span class="n">copy</span><span class="p">(</span><span class="n">means</span><span class="p">))</span>
<span class="n">covs_its</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">nx</span><span class="o">.</span><span class="n">copy</span><span class="p">(</span><span class="n">covs</span><span class="p">))</span>
<span class="k">if</span> <span class="n">log</span><span class="p">:</span>
<span class="k">return</span> <span class="n">means</span><span class="p">,</span> <span class="n">covs</span><span class="p">,</span> <span class="p">{</span><span class="s2">"means_its"</span><span class="p">:</span> <span class="n">means_its</span><span class="p">,</span> <span class="s2">"covs_its"</span><span class="p">:</span> <span class="n">covs_its</span><span class="p">}</span>
<span class="k">return</span> <span class="n">means</span><span class="p">,</span> <span class="n">covs</span></div>
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