Changes to allow multiple output plotting

GPy/core/gp.py

@@ -190,7 +190,7 @@ class GP(GPBase):
         Internal helper function for making predictions, does not account
         for normalization or likelihood
         """
-        assert isinstance(self.likelihood,EP_Mixed_Noise)
+        assert hasattr(self,'multioutput')
         index = np.ones_like(_Xnew)*output
         _Xnew = np.hstack((_Xnew,index))
 
@@ -208,5 +208,3 @@ class GP(GPBase):
         if stop:
             debug_this # @UndefinedVariable
         return mu, var
-
-

GPy/core/gp_base.py

@@ -62,7 +62,7 @@ class GPBase(Model):
             fig = pb.figure(num=fignum)
             ax = fig.add_subplot(111)
 
-        if self.X.shape[1] == 1 and not isinstance(self.likelihood,EP_Mixed_Noise):
+        if self.X.shape[1] == 1 and not hasattr(self,'multioutput'):
             Xnew, xmin, xmax = x_frame1D(self.X, plot_limits=plot_limits)
             if samples == 0:
                 m, v = self._raw_predict(Xnew, which_parts=which_parts)
@@ -80,7 +80,7 @@ class GPBase(Model):
             ymin, ymax = ymin - 0.1 * (ymax - ymin), ymax + 0.1 * (ymax - ymin)
             ax.set_ylim(ymin, ymax)
 
-        elif self.X.shape[1] == 2 and not isinstance(self.likelihood,EP_Mixed_Noise):
+        elif self.X.shape[1] == 2 and not hasattr(self,'multioutput'):
             resolution = resolution or 50
             Xnew, xmin, xmax, xx, yy = x_frame2D(self.X, plot_limits, resolution)
             m, v = self._raw_predict(Xnew, which_parts=which_parts)
@@ -91,7 +91,7 @@ class GPBase(Model):
             ax.set_ylim(xmin[1], xmax[1])
 
 
-        elif self.X.shape[1] == 2 and isinstance(self.likelihood,EP_Mixed_Noise):
+        elif self.X.shape[1] == 2 and hasattr(self,'multioutput'):
             Xu = self.X[self.X[:,-1]==output ,0:1]
             Xnew, xmin, xmax = x_frame1D(Xu, plot_limits=plot_limits)
 

GPy/core/sparse_gp.py

@@ -5,7 +5,7 @@ import numpy as np
 import pylab as pb
 from ..util.linalg import mdot, jitchol, tdot, symmetrify, backsub_both_sides, chol_inv, dtrtrs, dpotrs, dpotri
 from scipy import linalg
-from ..likelihoods import Gaussian
+from ..likelihoods import Gaussian, EP,EP_Mixed_Noise
 from gp_base import GPBase
 
 class SparseGP(GPBase):
@@ -314,3 +314,37 @@ class SparseGP(GPBase):
         elif self.X.shape[1] == 2:
             Zu = self.Z * self._Xscale + self._Xoffset
             ax.plot(Zu[:, 0], Zu[:, 1], 'wo')
+
+
+    def predict_single_output(self, Xnew, output=0, which_parts='all', full_cov=False):
+        """
+        Predict the function(s) at the new point(s) Xnew.
+        Arguments
+        ---------
+        :param Xnew: The points at which to make a prediction
+        :type Xnew: np.ndarray, Nnew x self.input_dim
+        :param which_parts:  specifies which outputs kernel(s) to use in prediction
+        :type which_parts: ('all', list of bools)
+        :param full_cov: whether to return the folll covariance matrix, or just the diagonal
+        :type full_cov: bool
+        :rtype: posterior mean,  a Numpy array, Nnew x self.input_dim
+        :rtype: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
+        :rtype: lower and upper boundaries of the 95% confidence intervals, Numpy arrays,  Nnew x self.input_dim
+
+
+           If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
+           This is to allow for different normalizations of the output dimensions.
+
+        """
+        assert isinstance(self.likelihood,EP_Mixed_Noise)
+        index = np.ones_like(Xnew)*output
+        Xnew = np.hstack((Xnew,index))
+
+        # normalize X values
+        Xnew = (Xnew.copy() - self._Xoffset) / self._Xscale
+        mu, var = self._raw_predict(Xnew, full_cov=full_cov, which_parts=which_parts)
+
+        # now push through likelihood
+        mean, var, _025pm, _975pm = self.likelihood.predictive_values(mu, var, full_cov, noise_model = output)
+        return mean, var, _025pm, _975pm
+

GPy/likelihoods/ep_mixed_noise.py

@@ -14,8 +14,11 @@ class EP_Mixed_Noise(likelihood):
 
         Arguments
         ---------
-        epsilon : Convergence criterion, maximum squared difference allowed between mean updates to stop iterations (float)
+        :param data_list: list of outputs
-        noise_model : a likelihood function (see likelihood_functions.py)
+        :param noise_model_list: a list of noise models
+        :param epsilon: Convergence criterion, maximum squared difference allowed between mean updates to stop iterations
+        :type epsilon: float
+        :param power_ep: list of power ep parameters
         """
         assert len(data_list) == len(noise_model_list)
         self.noise_model_list = noise_model_list
@@ -60,6 +63,16 @@ class EP_Mixed_Noise(likelihood):
         self.trYYT = 0.
 
     def predictive_values(self,mu,var,full_cov,noise_model):
+        """
+        Predicts the output given the GP
+
+        :param mu: GP's mean
+        :param var: GP's variance
+        :param full_cov: whether to return the full covariance matrix, or just the diagonal
+        :type full_cov: False|True
+        :param noise_model: noise model to use
+        :type noise_model: integer
+        """
         if full_cov:
             raise NotImplementedError, "Cannot make correlated predictions with an EP likelihood"
         #_mu = []

GPy/models/__init__.py

@@ -12,3 +12,4 @@ from warped_gp import WarpedGP
 from bayesian_gplvm import BayesianGPLVM
 from mrd import MRD
 from gp_multioutput import GPMultioutput
+from sparse_gp_multioutput import SparseGPMultioutput

GPy/models/gp_multioutput.py

@@ -19,7 +19,7 @@ class GPMultioutput(GP):
     :param X_list: input observations
     :param Y_list: observed values
     :param L_list: a GPy likelihood, defaults to Binomial with probit link_function
-    :param kernel: a GPy kernel, defaults to rbf
+    :param kernel_list: a GPy kernel, defaults to rbf
     :param normalize_X:  whether to normalize the input data before computing (predictions will be in original scales)
     :type normalize_X: False|True
     :param normalize_Y:  whether to normalize the input data before computing (predictions will be in original scales)
@@ -29,28 +29,64 @@ class GPMultioutput(GP):
 
     """
 
-    def __init__(self,X_list,Y_list=None,likelihood=None,kernel=None,normalize_X=False,normalize_Y=False,W=1):
+    def __init__(self,X_list,Y_list,noise_list=[],kernel_list=None,normalize_X=False,normalize_Y=False,W=1): #TODO W
 
-        if likelihood is None:
+        assert len(X_list) == len(Y_list)
-            noise_model_list = [likelihoods.gaussian(variance=1.) for Y in Y_list]
+        index = []
-            likelihood = likelihoods.EP_Mixed_Noise(Y_list, noise_model_list)
+        i = 0
+        for x,y in zip(X_list,Y_list):
+            assert x.shape[0] == y.shape[0]
+            index.append(np.repeat(i,y.size)[:,None])
+            i += 1
+        index = np.vstack(index)
 
-        elif Y_list is not None:
+        if noise_list == []:
-            if not all(np.vstack(Y_list).flatten() == likelihood.data.flatten()):
+            likelihood_list = []
-                raise Warning, 'likelihood.data and Y_list values are different.'
+            for Y in Y_list:
+                likelihood_list.append(likelihoods.Gaussian(Y,normalize = normalize_Y))
 
-        X = np.hstack([np.vstack(X_list),likelihood.index])
+        Y = np.vstack([l_.Y for l_ in likelihood_list])
+        likelihood = likelihoods.Gaussian(Y,normalize=False)
+        likelihood.index = index
 
-        if kernel is None:
+        X = np.hstack([np.vstack(X_list),index])
+
+        if kernel_list is None:
             original_dim = X.shape[1]-1
-            kernel = kern.rbf(original_dim) + kern.white(original_dim)
+            kernel_list = [kern.rbf(original_dim) + kern.white(original_dim)]
-
-        mkernel = kernel.prod(kern.coregionalise(len(X_list),W),tensor=True) #TODO W
-
-        #kern1 = kern.rbf(1) + kern.white(1)
-        #kern2 = kern.coregionalise(2,1)
-        #kern3 = kern1.prod(kern2,tensor=True)
-
 
+        mkernel = kernel_list[0].prod(kern.coregionalise(len(X_list),W),tensor=True)
+        for k in kernel_list[1:]:
+            mkernel += k.prod(kern.coregionalise(len(X_list),W),tensor=True)
+        self.multioutput = True
         GP.__init__(self, X, likelihood, mkernel, normalize_X=normalize_X)
         self.ensure_default_constraints()
+
+
+"""
+if likelihood is None:
+noise_model_list = []
+for Y in Y_list:
+noise_model_list.append(likelihoods.Gaussian(Y,normalize = normalize_Y))
+#noise_model_list = [likelihoods.gaussian(variance=1.) for Y in Y_list]
+#likelihood = likelihoods.EP_Mixed_Noise(Y_list, noise_model_list)
+
+elif Y_list is not None:
+if not all(np.vstack(Y_list).flatten() == likelihood.data.flatten()):
+raise Warning, 'likelihood.data and Y_list values are different.'
+
+X = np.hstack([np.vstack(X_list),likelihood.index])
+
+if kernel_list is None:
+original_dim = X.shape[1]-1
+kernel_list = [kern.rbf(original_dim) + kern.white(original_dim)]
+
+mkernel = kernel_list[0].prod(kern.coregionalise(len(X_list),W),tensor=True) #TODO W
+for k in kernel_list[1:]:
+mkernel += k.prod(kern.coregionalise(len(X_list),W),tensor=True) #TODO W
+
+#kern1 = kern.rbf(1) + kern.white(1)
+#kern2 = kern.coregionalise(2,1)
+#kern3 = kern1.prod(kern2,tensor=True)
+"""
+