Merge branch 'devel' of github.com:SheffieldML/GPy into devel

GPy/core/parameterization/param.py

@@ -38,6 +38,11 @@ class Param(Parameterizable, ObsAr):
     Fixing parameters will fix them to the value they are right now. If you change
     the fixed value, it will be fixed to the new value!
 
+    Important Note:
+    Multilevel indexing (e.g. self[:2][1:]) is not supported and might lead to unexpected behaviour.
+    Try to index in one go, using boolean indexing or the numpy builtin
+    np.index function.
+    
     See :py:class:`GPy.core.parameterized.Parameterized` for more details on constraining etc.
 
     """

GPy/inference/latent_function_inference/svgp.py

@@ -44,9 +44,11 @@ class SVGP(LatentFunctionInference):
         #compute the marginal means and variances of q(f)
         A, _ = linalg.dpotrs(Lm, Kmn)
         mu = prior_mean_f + np.dot(A.T, q_u_mean - prior_mean_u)
-        LA = L.reshape(-1, num_inducing).dot(A).reshape(num_outputs, num_inducing, num_data)
-        #TODO? possibly use dtrmm for the above line?
-        v = (Knn_diag - np.sum(A*Kmn,0))[:,None] + np.sum(np.square(LA),1).T
+        v = np.empty((num_data, num_outputs))
+        for i in range(num_outputs):
+            tmp = dtrmm(1.0,L[i].T, A, lower=0, trans_a=0)
+            v[:,i] = np.sum(np.square(tmp),0)
+        v += (Knn_diag - np.sum(A*Kmn,0))[:,None]
 
         #compute the KL term
         Kmmim = np.dot(Kmmi, q_u_mean)
@@ -90,11 +92,9 @@ class SVGP(LatentFunctionInference):
         tmp = S.reshape(-1, num_inducing).dot(Kmmi).reshape(num_outputs, num_inducing , num_inducing )
         tmp = 2.*(tmp - np.eye(num_inducing)[None, :,:])
 
-        dF_dKnm = Kmmim.dot(dF_dmu.T).T
-        assert dF_dKnm.flags['F_CONTIGUOUS'] # needed for dsymm in place call:
+        dF_dKmn = Kmmim.dot(dF_dmu.T)
         for a,b in zip(tmp, Adv):
-            dsymm(1.0, a.T, b.T, beta=1., side=1, c=dF_dKnm, overwrite_c=True)
-        dF_dKmn = dF_dKnm.T
+            dF_dKmn += np.dot(a.T, b)
 
         dF_dm = Admu
         dF_dS = AdvA

GPy/kern/_src/mlp.py

@@ -78,7 +78,7 @@ class MLP(Kern):
                            *((vec1[:, None]+vec2[None, :])*self.weight_variance
                              + 2*self.bias_variance + 2.))*base_cov_grad).sum()
 
-    def update_gradients_diag(self, X):
+    def update_gradients_diag(self, dL_dKdiag, X):
         self._K_diag_computations(X)
         self.variance.gradient = np.sum(self._K_diag_dvar*dL_dKdiag)
         

GPy/kern/_src/stationary_cython.pyx

@@ -1,7 +1,9 @@
 #cython: boundscheck=False
+#cython: nonecheck=False
 #cython: wraparound=False
 import numpy as np
 cimport numpy as np
+from cython.parallel import prange
 
 ctypedef np.float64_t DTYPE_t
  
@@ -22,7 +24,18 @@ def grad_X(int N, int D, int M,
     cdef double *grad = <double*> _grad.data
     _grad_X(N, D, M, X, X2, tmp, grad) # return nothing, work in place.
 
-def lengthscale_grads(int N, int M, int Q,
+def grad_X_cython(int N, int D, int M, double[:,:] X, double[:,:] X2, double[:,:] tmp, double[:,:] grad):
+    cdef int n,d,nd,m
+    for nd in prange(N*D, nogil=True):
+        n = nd/D
+        d = nd%D
+        grad[n,d] = 0.0
+        for m in range(M):
+            grad[n,d] += tmp[n,m]*(X[n,d]-X2[m,d])
+
+
+
+def lengthscale_grads_in_c(int N, int M, int Q,
         np.ndarray[DTYPE_t, ndim=2] _tmp,
         np.ndarray[DTYPE_t, ndim=2] _X,
         np.ndarray[DTYPE_t, ndim=2] _X2,
@@ -33,4 +46,14 @@ def lengthscale_grads(int N, int M, int Q,
     cdef double *grad = <double*> _grad.data
     _lengthscale_grads(N, M, Q, tmp, X, X2, grad) # return nothing, work in place.
 
+def lengthscale_grads(int N, int M, int Q, double[:,:] tmp, double[:,:] X, double[:,:] X2, double[:] grad):
+    cdef int q, n, m
+    cdef double gradq, dist
+    for q in range(Q):
+        grad[q] = 0.0
+        for n in range(N):
+            for m in range(M):
+                dist = X[n,q] - X2[m,q]
+                grad[q] += tmp[n,m]*dist*dist
+