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[classification] sparse gp classification and dtc update

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Max Zwiessele 2015-09-11 15:08:30 +01:00
parent 4ea5ebaa68
commit 1d354f5cce
14 changed files with 208 additions and 369 deletions
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7
GPy/inference/latent_function_inference/expectation_propagation.py
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@ -4,6 +4,7 @@ import numpy as np
from ...util.linalg import pdinv,jitchol,DSYR,tdot,dtrtrs, dpotrs
from .posterior import Posterior
from . import LatentFunctionInference
from ...util import diag
log_2_pi = np.log(2*np.pi)
class EP(LatentFunctionInference):
@ -41,7 +42,6 @@ class EP(LatentFunctionInference):
K = kern.K(X)
if self._ep_approximation is None:
#if we don't yet have the results of runnign EP, run EP and store the computed factors in self._ep_approximation
mu, Sigma, mu_tilde, tau_tilde, Z_hat = self._ep_approximation = self.expectation_propagation(K, Y, likelihood, Y_metadata)
else:
@ -69,6 +69,7 @@ class EP(LatentFunctionInference):
#Initial values - Posterior distribution parameters: q(f|X,Y) = N(f|mu,Sigma)
mu = np.zeros(num_data)
Sigma = K.copy()
diag.add(Sigma, 1e-7)
#Initial values - Marginal moments
Z_hat = np.empty(num_data,dtype=np.float64)
@ -79,14 +80,14 @@ class EP(LatentFunctionInference):
if self.old_mutilde is None:
tau_tilde, mu_tilde, v_tilde = np.zeros((3, num_data))
else:
assert old_mutilde.size == num_data, "data size mis-match: did you change the data? try resetting!"
assert self.old_mutilde.size == num_data, "data size mis-match: did you change the data? try resetting!"
mu_tilde, v_tilde = self.old_mutilde, self.old_vtilde
tau_tilde = v_tilde/mu_tilde
#Approximation
tau_diff = self.epsilon + 1.
v_diff = self.epsilon + 1.
iterations = 0
iterations = 0
while (tau_diff > self.epsilon) or (v_diff > self.epsilon):
update_order = np.random.permutation(num_data)
for i in update_order: