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Fixed broadcasting bug, rasm now appears to work

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Alan Saul 2013-04-03 10:55:58 +01:00
parent 0312f319ad
commit 2006a94caa
2 changed files with 10 additions and 7 deletions
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16
python/likelihoods/Laplace.py
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@ -159,7 +159,6 @@ class Laplace(likelihood):
#+ self.likelihood_function.link_function(self.data, self.f_hat)
- 0.5*mdot(self.f_hat.T, (self.Ki, self.f_hat))
)
import ipdb; ipdb.set_trace() ### XXX BREAKPOINT
return self._compute_GP_variables()
@ -190,7 +189,7 @@ class Laplace(likelihood):
f_hat = sp.optimize.fmin_ncg(obj, f, fprime=obj_grad, fhess=obj_hess)
return f_hat[:, None]
def rasm_mode(self, K):
def rasm_mode(self, K, MAX_ITER=5000, MAX_RESTART=30):
"""
Rasmussens numerically stable mode finding
For nomenclature see Rasmussen & Williams 2006
@ -209,7 +208,9 @@ class Laplace(likelihood):
difference = np.inf
epsilon = 1e-16
step_size = 1
while difference > epsilon:
rs = 0
i = 0
while difference > epsilon and i < MAX_ITER and rs < MAX_RESTART:
W = -np.diag(self.likelihood_function.link_hess(self.data, f))
if not self.likelihood_function.log_concave:
#if np.any(W < 0):
@ -223,7 +224,7 @@ class Laplace(likelihood):
W_12 = np.sqrt(W)
B = np.eye(self.N) + mdot(W_12, K, W_12)
L = jitchol(B)
b = (np.dot(W, f) + step_size * self.likelihood_function.link_grad(self.data, f))
b = (np.dot(W, f) + step_size * self.likelihood_function.link_grad(self.data, f)[:, None])
#TODO: Check L is lower
solve_L = cho_solve((L, True), mdot(W_12, (K, b)))
a = b - mdot(W_12, solve_L)
@ -234,13 +235,16 @@ class Laplace(likelihood):
#print "Difference: ", new_obj - old_obj
if difference < 0:
#If the objective function isn't rising, restart optimization
print "Reducing step-size, restarting"
#objective function isn't increasing, try reducing step size
step_size *= 0.9
print "Objective function rose"
print "Reducing step-size to {ss:.3} and restarting optimization".format(ss=step_size)
#objective function isn't increasing, try reducing step size
f = np.zeros((self.N, 1))
new_obj = -np.inf
old_obj = np.inf
rs += 1
difference = abs(difference)
i += 1
return f