diff --git a/GPy/util/linalg.py b/GPy/util/linalg.py index cef699cf..dffd438a 100644 --- a/GPy/util/linalg.py +++ b/GPy/util/linalg.py @@ -328,105 +328,6 @@ def ppca(Y, Q, iterations=100): pass return np.asarray_chkfinite(exp_x), np.asarray_chkfinite(W) -def ppca_missing_data_at_random(Y, Q, iters=100): - """ - EM implementation of Probabilistic pca for when there is missing data. - - Taken from - - .. math: - \\mathbf{Y} = \mathbf{XW} + \\epsilon \\text{, where} - \\epsilon = \\mathcal{N}(0, \\sigma^2 \mathbf{I}) - - :returns: X, W, sigma^2 - """ - from numpy.ma import dot as madot - import diag - from GPy.util.subarray_and_sorting import common_subarrays - import time - debug = 1 - # Initialise W randomly - N, D = Y.shape - W = np.random.randn(Q, D) * 1e-3 - Y = np.ma.masked_invalid(Y, copy=1) - nu = 1. - #num_obs_i = 1./Y.count() - Ycentered = Y - Y.mean(0) - - X = np.zeros((N,Q)) - cs = common_subarrays(Y.mask) - cr = common_subarrays(Y.mask, 1) - Sigma = np.zeros((N, Q, Q)) - Sigma2 = np.zeros((N, Q, Q)) - mu = np.zeros(D) - """ - if debug: - import matplotlib.pyplot as pylab - fig = pylab.figure("FIT MISSING DATA"); - ax = fig.gca() - ax.cla() - lines = pylab.plot(np.zeros((N,Q)).dot(W)) - """ - W2 = np.zeros((Q,D)) - - for i in range(iters): -# Sigma = np.linalg.solve(diag.add(madot(W,W.T), nu), diag.times(np.eye(Q),nu)) -# exp_x = madot(madot(Ycentered, W.T),Sigma)/nu -# Ycentered = (Y - exp_x.dot(W).mean(0)) -# #import ipdb;ipdb.set_trace() -# #Ycentered = mu -# W = np.linalg.solve(madot(exp_x.T,exp_x) + Sigma, madot(exp_x.T, Ycentered)) -# nu = (((Ycentered - madot(exp_x, W))**2).sum(0) + madot(W.T,madot(Sigma,W)).sum(0)).sum()/N - for csi, (mask, index) in enumerate(cs.iteritems()): - mask = ~np.array(mask) - Sigma2[index, :, :] = nu * np.linalg.inv(diag.add(W2[:,mask].dot(W2[:,mask].T), nu)) - #X[index,:] = madot((Sigma[csi]/nu),madot(W,Ycentered[index].T))[:,0] - X2 = ((Sigma2/nu) * (madot(Ycentered,W2.T).base)[:,:,None]).sum(-1) - mu2 = (Y - X.dot(W)).mean(0) - for n in range(N): - Sigma[n] = nu * np.linalg.inv(diag.add(W[:,~Y.mask[n]].dot(W[:,~Y.mask[n]].T), nu)) - X[n, :] = (Sigma[n]/nu).dot(W[:,~Y.mask[n]].dot(Ycentered[n,~Y.mask[n]].T)) - for d in range(D): - mu[d] = (Y[~Y.mask[:,d], d] - X[~Y.mask[:,d]].dot(W[:, d])).mean() - Ycentered = (Y - mu) - nu3 = 0. - for cri, (mask, index) in enumerate(cr.iteritems()): - mask = ~np.array(mask) - W2[:,index] = np.linalg.solve(X[mask].T.dot(X[mask]) + Sigma[mask].sum(0), madot(X[mask].T, Ycentered[mask,index]))[:,None] - W2[:,index] = np.linalg.solve(X.T.dot(X) + Sigma.sum(0), madot(X.T, Ycentered[:,index])) - #nu += (((Ycentered[mask,index] - X[mask].dot(W[:,index]))**2).sum(0) + W[:,index].T.dot(Sigma[mask].sum(0).dot(W[:,index])).sum(0)).sum() - nu3 += (((Ycentered[index] - X.dot(W[:,index]))**2).sum(0) + W[:,index].T.dot(Sigma.sum(0).dot(W[:,index])).sum(0)).sum() - nu3 /= N - nu = 0. - nu2 = 0. - W = np.zeros((Q,D)) - for j in range(D): - W[:,j] = np.linalg.solve(X[~Y.mask[:,j]].T.dot(X[~Y.mask[:,j]]) + Sigma[~Y.mask[:,j]].sum(0), madot(X[~Y.mask[:,j]].T, Ycentered[~Y.mask[:,j],j])) - nu2f = np.tensordot(W[:,j].T, Sigma[~Y.mask[:,j],:,:], [0,1]).dot(W[:,j]) - nu2s = W[:,j].T.dot(Sigma[~Y.mask[:,j],:,:].sum(0).dot(W[:,j])) - nu2 += (((Ycentered[~Y.mask[:,j],j] - X[~Y.mask[:,j],:].dot(W[:,j]))**2) + nu2f).sum() - for i in range(N): - if not Y.mask[i,j]: - nu += ((Ycentered[i,j] - X[i,:].dot(W[:,j]))**2) + W[:,j].T.dot(Sigma[i,:,:].dot(W[:,j])) - nu /= N - nu2 /= N - nu4 = (((Ycentered - X.dot(W))**2).sum(0) + W.T.dot(Sigma.sum(0).dot(W)).sum(0)).sum()/N - import ipdb;ipdb.set_trace() - """ - if debug: - #print Sigma[0] - print "nu:", nu, "sum(X):", X.sum() - pred_y = X.dot(W) - for x, l in zip(pred_y.T, lines): - l.set_ydata(x) - ax.autoscale_view() - ax.set_ylim(pred_y.min(), pred_y.max()) - fig.canvas.draw() - time.sleep(.3) - """ - return np.asarray_chkfinite(X), np.asarray_chkfinite(W), nu - - def tdot_numpy(mat, out=None): return np.dot(mat, mat.T, out)