apunkt/GPy
1
0
Fork 0
mirror of https://github.com/SheffieldML/GPy.git synced 2026-06-05 14:55:15 +02:00
Code Issues Projects Releases Packages Wiki Activity Actions

Avoid Cholesky in 1D models

Browse source
This commit is contained in:
Arno Solin 2013-11-19 16:29:35 +00:00
parent 15a8a270d4
commit 12bde7aeb4
1 changed files with 17 additions and 7 deletions
Download patch file Download diff file Expand all files Collapse all files

24
GPy/models/state_space.py
View file

@ -234,8 +234,11 @@ class StateSpace(Model):
# Update step (only if there is data)
if not np.isnan(Y[:,k]):
LL = linalg.cho_factor(H.dot(PF[:,:,k]).dot(H.T) + R)
K = linalg.cho_solve(LL, H.dot(PF[:,:,k].T)).T
if Y.shape[0]==1:
K = PF[:,:,k].dot(H.T)/(H.dot(PF[:,:,k]).dot(H.T) + R)
else:
LL = linalg.cho_factor(H.dot(PF[:,:,k]).dot(H.T) + R)
K = linalg.cho_solve(LL, H.dot(PF[:,:,k].T)).T
MF[:,k] += K.dot(Y[:,k]-H.dot(MF[:,k]))
PF[:,:,k] -= K.dot(H).dot(PF[:,:,k])
@ -301,11 +304,18 @@ class StateSpace(Model):
# Update step only if there is data
if not np.isnan(Y[:,k]):
v = Y[:,k]-H.dot(m)
LL, isupper = linalg.cho_factor(H.dot(P).dot(H.T) + R)
lik -= np.sum(np.log(np.diag(LL)))
lik -= 0.5*v.shape[0]*np.log(2*np.pi)
lik -= 0.5*linalg.cho_solve((LL, isupper),v).dot(v)
K = linalg.cho_solve((LL, isupper), H.dot(P.T)).T
if Y.shape[0]==1:
S = H.dot(P).dot(H.T) + R
K = P.dot(H.T)/S
lik -= 0.5*np.log(S)
lik -= 0.5*v.shape[0]*np.log(2*np.pi)
lik -= 0.5*v*v/S
else:
LL, isupper = linalg.cho_factor(H.dot(P).dot(H.T) + R)
lik -= np.sum(np.log(np.diag(LL)))
lik -= 0.5*v.shape[0]*np.log(2*np.pi)
lik -= 0.5*linalg.cho_solve((LL, isupper),v).dot(v)
K = linalg.cho_solve((LL, isupper), H.dot(P.T)).T
m += K.dot(v)
P -= K.dot(H).dot(P)