"""Kernels for the temporal Helmholtz GP of BALLAST (arXiv 2509.26005). The surrogate is a separable, vector-output, spatio-temporal GP k_tHelm((s,t),(s',t')) = k_Helm(s,s') * k_time(t,t') with k_Helm the Helmholtz kernel of Berlinghieri et al. (2023) (paper Sec. B.2) built from two independent RBF kernels (potential Phi, stream Psi), and k_time a Matern-3/2 kernel (paper Sec. 2.2). Section 4.1 of the paper additionally needs the *extended* GP f = [f, d_t f]^T, whose kernel is the 2x2 block matrix of temporal derivatives of k_tHelm. Because k_tHelm is separable, all t-derivatives act on the Matern-3/2 factor only. Everything is implemented **analytically**. The paper (Sec. H.2) warns that autodiff through a Matern kernel written with a clipped distance (`sqrt(max(sum((x-y)**2), 1e-36))`, as in GPJax) gives d^2_{tt'}k = 0 at t=t' instead of the correct 3*sigma^2/l^2; the analytic form has no such problem. `tests/test_kernels.py` checks these derivatives against finite differences. Index layout ------------ Spatial-velocity blocks are flattened point-major / component-minor: row index of a velocity vector at point i, component c -> i*2 + c The extended state adds the [f, d_t f] axis last: (i, c, a) -> i*4 + c*2 + a with a=0 -> f, a=1 -> d_t f """ from __future__ import annotations from typing import NamedTuple import jax import jax.numpy as jnp SQRT3 = jnp.sqrt(3.0) class HelmParams(NamedTuple): """Hyperparameters of the temporal Helmholtz GP.""" phi_ls: jnp.ndarray # potential kernel lengthscale phi_var: jnp.ndarray # potential kernel variance psi_ls: jnp.ndarray # stream kernel lengthscale psi_var: jnp.ndarray # stream kernel variance time_ls: jnp.ndarray # Matern-3/2 temporal lengthscale time_var: jnp.ndarray # Matern-3/2 temporal variance def as_array(self) -> jnp.ndarray: return jnp.stack( [ jnp.asarray(self.phi_ls), jnp.asarray(self.phi_var), jnp.asarray(self.psi_ls), jnp.asarray(self.psi_var), jnp.asarray(self.time_ls), jnp.asarray(self.time_var), ] ) @staticmethod def from_array(a: jnp.ndarray) -> "HelmParams": return HelmParams(a[0], a[1], a[2], a[3], a[4], a[5]) # -------------------------------------------------------------------------- # Spatial: Helmholtz kernel # -------------------------------------------------------------------------- def _rbf_hess(S: jnp.ndarray, S2: jnp.ndarray, ls, var) -> jnp.ndarray: """Mixed second derivatives of an RBF kernel. Returns H with H[i, j, a, b] = d^2 / (d x_a d x'_b) k(S_i, S2_j), which for k = var * exp(-|d|^2 / (2 l^2)), d = x - x', equals k * (delta_ab / l^2 - d_a d_b / l^4). """ d = S[:, None, :] - S2[None, :, :] # (N, M, 2) sq = jnp.sum(d**2, axis=-1) # (N, M) k = var * jnp.exp(-0.5 * sq / ls**2) # (N, M) eye = jnp.eye(2) outer = d[..., :, None] * d[..., None, :] # (N, M, 2, 2) return k[..., None, None] * (eye / ls**2 - outer / ls**4) def k_helm(S: jnp.ndarray, S2: jnp.ndarray, p: HelmParams) -> jnp.ndarray: """Helmholtz kernel (paper Sec. B.2), returned as (N, M, 2, 2). F = grad(Phi) + rot(Psi) with rot(Psi) = (d_2 Psi, -d_1 Psi), so K[0,0] = d^2_{x1 x1'} k_Phi + d^2_{x2 x2'} k_Psi K[0,1] = d^2_{x1 x2'} k_Phi - d^2_{x2 x1'} k_Psi K[1,0] = d^2_{x2 x1'} k_Phi - d^2_{x1 x2'} k_Psi K[1,1] = d^2_{x2 x2'} k_Phi + d^2_{x1 x1'} k_Psi """ A = _rbf_hess(S, S2, p.phi_ls, p.phi_var) # potential B = _rbf_hess(S, S2, p.psi_ls, p.psi_var) # stream k00 = A[..., 0, 0] + B[..., 1, 1] k01 = A[..., 0, 1] - B[..., 1, 0] k10 = A[..., 1, 0] - B[..., 0, 1] k11 = A[..., 1, 1] + B[..., 0, 0] return jnp.stack( [jnp.stack([k00, k01], -1), jnp.stack([k10, k11], -1)], axis=-2 ) # (N, M, 2, 2) def k_helm_mat(S: jnp.ndarray, S2: jnp.ndarray, p: HelmParams) -> jnp.ndarray: """Helmholtz Gram matrix flattened to (2N, 2M), point-major/component-minor.""" K = k_helm(S, S2, p) # (N, M, 2, 2) N, M = K.shape[0], K.shape[1] return jnp.transpose(K, (0, 2, 1, 3)).reshape(2 * N, 2 * M) # -------------------------------------------------------------------------- # Temporal: Matern-3/2 and its derivative blocks # -------------------------------------------------------------------------- def matern32_blocks(t: jnp.ndarray, t2: jnp.ndarray, ls, var) -> jnp.ndarray: """Matern-3/2 kernel and its t/t' derivatives, as (N, M, 2, 2). With lam = sqrt(3)/l, tau = t - t': M[0,0] = k = var (1 + lam|tau|) exp(-lam|tau|) M[0,1] = d_{t'} k = var lam^2 tau exp(-lam|tau|) M[1,0] = d_{t} k = -var lam^2 tau exp(-lam|tau|) M[1,1] = d^2_{t t'} k = var lam^2 (1 - lam|tau|) exp(-lam|tau|) Note M[1,1] at tau=0 is var*lam^2 = 3 var / l^2 (= 3 for var=l=1), the value the paper's Sec. H.2 flags as being silently zeroed by clipped-distance autodiff implementations. It also equals P_inf[1,1] in the SPDE formulation (spde.py), i.e. Var(d_t f) -- an internal consistency check of the two views. """ lam = SQRT3 / ls tau = t[:, None] - t2[None, :] a = jnp.abs(tau) e = jnp.exp(-lam * a) k = var * (1.0 + lam * a) * e dk = var * lam**2 * tau * e # d_{t'} k d2k = var * lam**2 * (1.0 - lam * a) * e return jnp.stack( [jnp.stack([k, dk], -1), jnp.stack([-dk, d2k], -1)], axis=-2 ) # (N, M, 2, 2) # -------------------------------------------------------------------------- # Full temporal-Helmholtz kernel (plain and extended) # -------------------------------------------------------------------------- def k_thelm_mat( S: jnp.ndarray, t: jnp.ndarray, S2: jnp.ndarray, t2: jnp.ndarray, p: HelmParams ) -> jnp.ndarray: """Plain k_tHelm Gram matrix between (S,t) and (S2,t2). Shape (2N, 2M).""" KS = k_helm(S, S2, p) # (N, M, 2, 2) kt = matern32_blocks(t, t2, p.time_ls, p.time_var)[..., 0, 0] # (N, M) K = KS * kt[..., None, None] N, M = K.shape[0], K.shape[1] return jnp.transpose(K, (0, 2, 1, 3)).reshape(2 * N, 2 * M) def k_ext_cross( S: jnp.ndarray, t: jnp.ndarray, S2: jnp.ndarray, t2: jnp.ndarray, p: HelmParams ) -> jnp.ndarray: """Cov between plain observations at (S,t) and the *extended* state at (S2,t2). Returns (2N, 4M): rows index (obs point, velocity component), columns index (test point, velocity component, [f, d_t f]). """ KS = k_helm(S, S2, p) # (N, M, 2, 2) Mt = matern32_blocks(t, t2, p.time_ls, p.time_var) # (N, M, 2, 2) # observation is the f-component (a=0); test keeps both b in {f, d_t f} K = KS[..., :, :, None] * Mt[:, :, None, None, 0, :] # (N, M, 2, 2, 2) N, M = K.shape[0], K.shape[1] # (N, c, M, c', b) -> (2N, 4M) return jnp.transpose(K, (0, 2, 1, 3, 4)).reshape(2 * N, 4 * M) def k_ext_full(S: jnp.ndarray, t: jnp.ndarray, p: HelmParams) -> jnp.ndarray: """Covariance of the extended state f = [f, d_t f]^T at (S,t). Shape (4N, 4N).""" KS = k_helm(S, S, p) # (N, N, 2, 2) Mt = matern32_blocks(t, t, p.time_ls, p.time_var) # (N, N, 2, 2) K = KS[..., :, :, None, None] * Mt[:, :, None, None, :, :] # (N,N,2,2,2,2) N = K.shape[0] # (i, c, a, j, c', b) -> (4N, 4N) return jnp.transpose(K, (0, 2, 4, 1, 3, 5)).reshape(4 * N, 4 * N)