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Fixed bug in smoother. Now working.

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Arno Solin 2013-11-10 22:46:36 +00:00
parent d6bae3364e
commit 1b0cb8fd77
1 changed files with 9 additions and 9 deletions
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18
GPy/models/state_space.py
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@ -1,8 +1,8 @@
# Copyright (c) 2013, Arno Solin.
# Licensed under the BSD 3-clause license (see LICENSE.txt)
#
#
# This implementation of converting GPs to state space models is based on the article:
#
#
# @article{Sarkka+Solin+Hartikainen:2013,
# author = {Simo S\"arkk\"a and Arno Solin and Jouni Hartikainen},
# year = {2013},
@ -21,7 +21,7 @@ from .. import kern
class StateSpace(Model):
def __init__(self, X, Y, kernel=None):
super(StateSpace, self).__init__()
super(StateSpace, self).__init__()
self.num_data, input_dim = X.shape
assert input_dim==1, "State space methods for time only"
num_data_Y, self.output_dim = Y.shape
@ -92,6 +92,8 @@ class StateSpace(Model):
# Run the Rauch-Tung-Striebel smoother
(M, P) = self.rts_smoother(F,L,Qc,X.T,M,P)
#raise NameError('HiThere')
# Put the data back in the original order
M = M[:,return_inverse]
P = P[:,:,return_inverse]
@ -127,7 +129,7 @@ class StateSpace(Model):
# Reorder X values
sort_index = np.argsort(X[:,0])
X = X[sort_index]
X = X[sort_index]
# Get the model matrices from the kernel
(F,L,Qc,H,Pinf) = self.kern.sde()
@ -182,8 +184,6 @@ class StateSpace(Model):
MF[:,k] += K.dot(Y[:,k]-H.dot(MF[:,k]))
PF[:,:,k] -= K.dot(H).dot(PF[:,:,k])
print K
# Return values
return (MF, PF)
@ -202,10 +202,10 @@ class StateSpace(Model):
(A, Q) = self.lti_disc(F,L,Qc,dt[:,1-k])
# Smoothing step
LL = linalg.cho_factor(A.dot(PS[:,:,-k].dot(A.T))+Q)
LL = linalg.cho_factor(A.dot(PS[:,:,-k]).dot(A.T)+Q)
G = linalg.cho_solve(LL,A.dot(PS[:,:,-k])).T
MS[:,-k] += G.dot(MS[:,1-k]-A.dot(MS[:,-k]))
PS[:,:,-k] += G.dot(PS[:,:,1-k]-A.dot(PS[:,:,-k].dot(A.T)-Q)).dot(G.T)
MS[:,-k] += G.dot(MS[:,1-k]-A.dot(MS[:,-k]))
PS[:,:,-k] += G.dot(PS[:,:,1-k]-A.dot(PS[:,:,-k]).dot(A.T)-Q).dot(G.T)
# Return
return (MS, PS)