diff --git a/GPy/core/fitc.py b/GPy/core/fitc.py new file mode 100644 index 00000000..a6bfb3d5 --- /dev/null +++ b/GPy/core/fitc.py @@ -0,0 +1,312 @@ +# Copyright (c) 2012, GPy authors (see AUTHORS.txt). +# Licensed under the BSD 3-clause license (see LICENSE.txt) + +import numpy as np +import pylab as pb +from ..util.linalg import mdot, jitchol, chol_inv, tdot, symmetrify,pdinv +from ..util.plot import gpplot +from .. import kern +from scipy import stats, linalg +from gp_base import GPBase +from sparse_gp import SparseGP + +def backsub_both_sides(L,X): + """ Return L^-T * X * L^-1, assumuing X is symmetrical and L is lower cholesky""" + tmp,_ = linalg.lapack.flapack.dtrtrs(L,np.asfortranarray(X),lower=1,trans=1) + return linalg.lapack.flapack.dtrtrs(L,np.asfortranarray(tmp.T),lower=1,trans=1)[0].T + +class FITC(SparseGP): + """ + sparse FITC approximation + + :param X: inputs + :type X: np.ndarray (N x Q) + :param likelihood: a likelihood instance, containing the observed data + :type likelihood: GPy.likelihood.(Gaussian | EP) + :param kernel : the kernel (covariance function). See link kernels + :type kernel: a GPy.kern.kern instance + :param Z: inducing inputs (optional, see note) + :type Z: np.ndarray (M x Q) | None + :param M : Number of inducing points (optional, default 10. Ignored if Z is not None) + :type M: int + :param normalize_(X|Y) : whether to normalize the data before computing (predictions will be in original scales) + :type normalize_(X|Y): bool + """ + + def __init__(self, X, likelihood, kernel, Z, normalize_X=False): + GPBase.__init__(self, X, likelihood, kernel, normalize_X=normalize_X) + + self.Z = Z + self.M = Z.shape[0] + self.likelihood = likelihood + + X_variance = None + if X_variance is None: + self.has_uncertain_inputs = False + else: + assert X_variance.shape == X.shape + self.has_uncertain_inputs = True + self.X_variance = X_variance + + if normalize_X: + self.Z = (self.Z.copy() - self._Xmean) / self._Xstd + + # normalize X uncertainty also + if self.has_uncertain_inputs: + self.X_variance /= np.square(self._Xstd) + + def _set_params(self, p): + self.Z = p[:self.M * self.input_dim].reshape(self.M, self.input_dim) + self.kern._set_params(p[self.Z.size:self.Z.size + self.kern.Nparam]) + self.likelihood._set_params(p[self.Z.size + self.kern.Nparam:]) + self._compute_kernel_matrices() + self._computations() + + def _get_params(self): + return np.hstack([self.Z.flatten(), self.kern._get_params_transformed(), self.likelihood._get_params()]) + + def _get_param_names(self): + return sum([['iip_%i_%i' % (i, j) for j in range(self.Z.shape[1])] for i in range(self.Z.shape[0])],[])\ + + self.kern._get_param_names_transformed() + self.likelihood._get_param_names() + + + def update_likelihood_approximation(self): + """ + Approximates a non-Gaussian likelihood using Expectation Propagation + + For a Gaussian likelihood, no iteration is required: + this function does nothing + """ + if self.has_uncertain_inputs: + raise NotImplementedError, "FITC approximation not implemented for uncertain inputs" + else: + self.likelihood.fit_FITC(self.Kmm,self.psi1,self.psi0) + self._set_params(self._get_params()) # update the GP + + def _compute_kernel_matrices(self): + # kernel computations, using BGPLVM notation + self.Kmm = self.kern.K(self.Z) + if self.has_uncertain_inputs: + self.psi0 = self.kern.psi0(self.Z, self.X, self.X_variance) + self.psi1 = self.kern.psi1(self.Z, self.X, self.X_variance).T + self.psi2 = self.kern.psi2(self.Z, self.X, self.X_variance) + else: + self.psi0 = self.kern.Kdiag(self.X) + self.psi1 = self.kern.K(self.Z, self.X) + self.psi2 = None + + + def _computations(self): + #factor Kmm + self.Lm = jitchol(self.Kmm) + self.Lmi,info = linalg.lapack.flapack.dtrtrs(self.Lm,np.eye(self.M),lower=1) + Lmipsi1 = np.dot(self.Lmi,self.psi1) + self.Qnn = np.dot(Lmipsi1.T,Lmipsi1).copy() + self.Diag0 = self.psi0 - np.diag(self.Qnn) + self.beta_star = self.likelihood.precision/(1. + self.likelihood.precision*self.Diag0[:,None]) #Includes Diag0 in the precision + self.V_star = self.beta_star * self.likelihood.Y + + # The rather complex computations of self.A + if self.has_uncertain_inputs: + raise NotImplementedError + else: + if self.likelihood.is_heteroscedastic: + assert self.likelihood.output_dim == 1 + tmp = self.psi1 * (np.sqrt(self.beta_star.flatten().reshape(1, self.N))) + tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm, np.asfortranarray(tmp), lower=1) + self.A = tdot(tmp) + + # factor B + self.B = np.eye(self.M) + self.A + self.LB = jitchol(self.B) + self.LBi = chol_inv(self.LB) + self.psi1V = np.dot(self.psi1, self.V_star) + + Lmi_psi1V, info = linalg.lapack.flapack.dtrtrs(self.Lm, np.asfortranarray(self.psi1V), lower=1, trans=0) + self._LBi_Lmi_psi1V, _ = linalg.lapack.flapack.dtrtrs(self.LB, np.asfortranarray(Lmi_psi1V), lower=1, trans=0) + + Kmmipsi1 = np.dot(self.Lmi.T,Lmipsi1) + b_psi1_Ki = self.beta_star * Kmmipsi1.T + Ki_pbp_Ki = np.dot(Kmmipsi1,b_psi1_Ki) + Kmmi = np.dot(self.Lmi.T,self.Lmi) + LBiLmi = np.dot(self.LBi,self.Lmi) + LBL_inv = np.dot(LBiLmi.T,LBiLmi) + VVT = np.outer(self.V_star,self.V_star) + VV_p_Ki = np.dot(VVT,Kmmipsi1.T) + Ki_pVVp_Ki = np.dot(Kmmipsi1,VV_p_Ki) + psi1beta = self.psi1*self.beta_star.T + H = self.Kmm + mdot(self.psi1,psi1beta.T) + LH = jitchol(H) + LHi = chol_inv(LH) + Hi = np.dot(LHi.T,LHi) + + betapsi1TLmiLBi = np.dot(psi1beta.T,LBiLmi.T) + alpha = np.array([np.dot(a.T,a) for a in betapsi1TLmiLBi])[:,None] + gamma_1 = mdot(VVT,self.psi1.T,Hi) + pHip = mdot(self.psi1.T,Hi,self.psi1) + gamma_2 = mdot(self.beta_star*pHip,self.V_star) + gamma_3 = self.V_star * gamma_2 + + self._dL_dpsi0 = -0.5 * self.beta_star#dA_dpsi0: logdet(self.beta_star) + self._dL_dpsi0 += .5 * self.V_star**2 #dA_psi0: yT*beta_star*y + self._dL_dpsi0 += .5 *alpha #dC_dpsi0 + self._dL_dpsi0 += 0.5*mdot(self.beta_star*pHip,self.V_star)**2 - self.V_star * mdot(self.V_star.T,pHip*self.beta_star).T #dD_dpsi0 + + self._dL_dpsi1 = b_psi1_Ki.copy() #dA_dpsi1: logdet(self.beta_star) + self._dL_dpsi1 += -np.dot(psi1beta.T,LBL_inv) #dC_dpsi1 + self._dL_dpsi1 += gamma_1 - mdot(psi1beta.T,Hi,self.psi1,gamma_1) #dD_dpsi1 + + self._dL_dKmm = -0.5 * np.dot(Kmmipsi1,b_psi1_Ki) #dA_dKmm: logdet(self.beta_star) + self._dL_dKmm += .5*(LBL_inv - Kmmi) + mdot(LBL_inv,psi1beta,Kmmipsi1.T) #dC_dKmm + self._dL_dKmm += -.5 * mdot(Hi,self.psi1,gamma_1) #dD_dKmm + + self._dpsi1_dtheta = 0 + self._dpsi1_dX = 0 + self._dKmm_dtheta = 0 + self._dKmm_dX = 0 + + self._dpsi1_dX_jkj = 0 + self._dpsi1_dtheta_jkj = 0 + + for i,V_n,alpha_n,gamma_n,gamma_k in zip(range(self.N),self.V_star,alpha,gamma_2,gamma_3): + K_pp_K = np.dot(Kmmipsi1[:,i:(i+1)],Kmmipsi1[:,i:(i+1)].T) + + #Diag_dpsi1 = Diag_dA_dpsi1: yT*beta_star*y + Diag_dC_dpsi1 +Diag_dD_dpsi1 + _dpsi1 = (-V_n**2 - alpha_n + 2.*gamma_k - gamma_n**2) * Kmmipsi1.T[i:(i+1),:] + + #Diag_dKmm = Diag_dA_dKmm: yT*beta_star*y +Diag_dC_dKmm +Diag_dD_dKmm + _dKmm = .5*(V_n**2 + alpha_n + gamma_n**2 - 2.*gamma_k) * K_pp_K #Diag_dD_dKmm + + self._dpsi1_dtheta += self.kern.dK_dtheta(_dpsi1,self.X[i:i+1,:],self.Z) + self._dKmm_dtheta += self.kern.dK_dtheta(_dKmm,self.Z) + + self._dKmm_dX += 2.*self.kern.dK_dX(_dKmm ,self.Z) + self._dpsi1_dX += self.kern.dK_dX(_dpsi1.T,self.Z,self.X[i:i+1,:]) + + # the partial derivative vector for the likelihood + if self.likelihood.Nparams == 0: + # save computation here. + self.partial_for_likelihood = None + elif self.likelihood.is_heteroscedastic: + raise NotImplementedError, "heteroscedatic derivates not implemented" + else: + # likelihood is not heterscedatic + dbstar_dnoise = self.likelihood.precision * (self.beta_star**2 * self.Diag0[:,None] - self.beta_star) + Lmi_psi1 = mdot(self.Lmi,self.psi1) + LBiLmipsi1 = np.dot(self.LBi,Lmi_psi1) + aux_0 = np.dot(self._LBi_Lmi_psi1V.T,LBiLmipsi1) + aux_1 = self.likelihood.Y.T * np.dot(self._LBi_Lmi_psi1V.T,LBiLmipsi1) + aux_2 = np.dot(LBiLmipsi1.T,self._LBi_Lmi_psi1V) + + dA_dnoise = 0.5 * self.D * (dbstar_dnoise/self.beta_star).sum() - 0.5 * self.D * np.sum(self.likelihood.Y**2 * dbstar_dnoise) + dC_dnoise = -0.5 * np.sum(mdot(self.LBi.T,self.LBi,Lmi_psi1) * Lmi_psi1 * dbstar_dnoise.T) + dC_dnoise = -0.5 * np.sum(mdot(self.LBi.T,self.LBi,Lmi_psi1) * Lmi_psi1 * dbstar_dnoise.T) + + dD_dnoise_1 = mdot(self.V_star*LBiLmipsi1.T,LBiLmipsi1*dbstar_dnoise.T*self.likelihood.Y.T) + alpha = mdot(LBiLmipsi1,self.V_star) + alpha_ = mdot(LBiLmipsi1.T,alpha) + dD_dnoise_2 = -0.5 * self.D * np.sum(alpha_**2 * dbstar_dnoise ) + + dD_dnoise_1 = mdot(self.V_star.T,self.psi1.T,self.Lmi.T,self.LBi.T,self.LBi,self.Lmi,self.psi1,dbstar_dnoise*self.likelihood.Y) + dD_dnoise_2 = 0.5*mdot(self.V_star.T,self.psi1.T,Hi,self.psi1,dbstar_dnoise*self.psi1.T,Hi,self.psi1,self.V_star) + dD_dnoise = dD_dnoise_1 + dD_dnoise_2 + + self.partial_for_likelihood = dA_dnoise + dC_dnoise + dD_dnoise + + def log_likelihood(self): + """ Compute the (lower bound on the) log marginal likelihood """ + A = -0.5 * self.N * self.output_dim * np.log(2.*np.pi) + 0.5 * np.sum(np.log(self.beta_star)) - 0.5 * np.sum(self.V_star * self.likelihood.Y) + C = -self.output_dim * (np.sum(np.log(np.diag(self.LB)))) + D = 0.5 * np.sum(np.square(self._LBi_Lmi_psi1V)) + return A + C + D + + def _log_likelihood_gradients(self): + pass + return np.hstack((self.dL_dZ().flatten(), self.dL_dtheta(), self.likelihood._gradients(partial=self.partial_for_likelihood))) + + def dL_dtheta(self): + if self.has_uncertain_inputs: + raise NotImplementedError, "FITC approximation not implemented for uncertain inputs" + else: + dL_dtheta = self.kern.dKdiag_dtheta(self._dL_dpsi0,self.X) + dL_dtheta += self.kern.dK_dtheta(self._dL_dpsi1,self.X,self.Z) + dL_dtheta += self.kern.dK_dtheta(self._dL_dKmm,X=self.Z) + dL_dtheta += self._dKmm_dtheta + dL_dtheta += self._dpsi1_dtheta + return dL_dtheta + + def dL_dZ(self): + if self.has_uncertain_inputs: + raise NotImplementedError, "FITC approximation not implemented for uncertain inputs" + else: + dL_dZ = self.kern.dK_dX(self._dL_dpsi1.T,self.Z,self.X) + dL_dZ += 2. * self.kern.dK_dX(self._dL_dKmm,X=self.Z) + dL_dZ += self._dpsi1_dX + dL_dZ += self._dKmm_dX + return dL_dZ + + def _raw_predict(self, Xnew, which_parts, full_cov=False): + + if self.likelihood.is_heteroscedastic: + Iplus_Dprod_i = 1./(1.+ self.Diag0 * self.likelihood.precision.flatten()) + self.Diag = self.Diag0 * Iplus_Dprod_i + self.P = Iplus_Dprod_i[:,None] * self.psi1.T + self.RPT0 = np.dot(self.Lmi,self.psi1) + self.L = np.linalg.cholesky(np.eye(self.M) + np.dot(self.RPT0,((1. - Iplus_Dprod_i)/self.Diag0)[:,None]*self.RPT0.T)) + self.R,info = linalg.flapack.dtrtrs(self.L,self.Lmi,lower=1) + self.RPT = np.dot(self.R,self.P.T) + self.Sigma = np.diag(self.Diag) + np.dot(self.RPT.T,self.RPT) + self.w = self.Diag * self.likelihood.v_tilde + self.Gamma = np.dot(self.R.T, np.dot(self.RPT,self.likelihood.v_tilde)) + self.mu = self.w + np.dot(self.P,self.Gamma) + + """ + Make a prediction for the generalized FITC model + + Arguments + --------- + X : Input prediction data - Nx1 numpy array (floats) + """ + # q(u|f) = N(u| R0i*mu_u*f, R0i*C*R0i.T) + + # Ci = I + (RPT0)Di(RPT0).T + # C = I - [RPT0] * (D+[RPT0].T*[RPT0])^-1*[RPT0].T + # = I - [RPT0] * (D + self.Qnn)^-1 * [RPT0].T + # = I - [RPT0] * (U*U.T)^-1 * [RPT0].T + # = I - V.T * V + U = np.linalg.cholesky(np.diag(self.Diag0) + self.Qnn) + V,info = linalg.flapack.dtrtrs(U,self.RPT0.T,lower=1) + C = np.eye(self.M) - np.dot(V.T,V) + mu_u = np.dot(C,self.RPT0)*(1./self.Diag0[None,:]) + #self.C = C + #self.RPT0 = np.dot(self.R0,self.Knm.T) P0.T + #self.mu_u = mu_u + #self.U = U + # q(u|y) = N(u| R0i*mu_H,R0i*Sigma_H*R0i.T) + mu_H = np.dot(mu_u,self.mu) + self.mu_H = mu_H + Sigma_H = C + np.dot(mu_u,np.dot(self.Sigma,mu_u.T)) + # q(f_star|y) = N(f_star|mu_star,sigma2_star) + Kx = self.kern.K(self.Z, Xnew, which_parts=which_parts) + KR0T = np.dot(Kx.T,self.Lmi.T) + mu_star = np.dot(KR0T,mu_H) + if full_cov: + Kxx = self.kern.K(Xnew,which_parts=which_parts) + var = Kxx + np.dot(KR0T,np.dot(Sigma_H - np.eye(self.M),KR0T.T)) + else: + Kxx = self.kern.Kdiag(Xnew,which_parts=which_parts) + var = (Kxx + np.sum(KR0T.T*np.dot(Sigma_H - np.eye(self.M),KR0T.T),0))[:,None] + return mu_star[:,None],var + else: + raise NotImplementedError, "homoscedastic FITC not implemented" + """ + Kx = self.kern.K(self.Z, Xnew) + mu = mdot(Kx.T, self.C/self.scale_factor, self.psi1V) + if full_cov: + Kxx = self.kern.K(Xnew) + var = Kxx - mdot(Kx.T, (self.Kmmi - self.C/self.scale_factor**2), Kx) #NOTE this won't work for plotting + else: + Kxx = self.kern.Kdiag(Xnew) + var = Kxx - np.sum(Kx*np.dot(self.Kmmi - self.C/self.scale_factor**2, Kx),0) + return mu,var[:,None] + """ diff --git a/GPy/core/gp.py b/GPy/core/gp.py index 19bd84ed..7b6f46b0 100644 --- a/GPy/core/gp.py +++ b/GPy/core/gp.py @@ -89,7 +89,7 @@ class GP(GPBase): model for a new variable Y* = v_tilde/tau_tilde, with a covariance matrix K* = K + diag(1./tau_tilde) plus a normalization term. """ - return -0.5 * self.input_dim * self.K_logdet + self._model_fit_term() + self.likelihood.Z + return -0.5 * self.output_dim * self.K_logdet + self._model_fit_term() + self.likelihood.Z def _log_likelihood_gradients(self): diff --git a/GPy/core/model.py b/GPy/core/model.py index 19e38080..7cc21080 100644 --- a/GPy/core/model.py +++ b/GPy/core/model.py @@ -224,14 +224,10 @@ class model(parameterised): for s in positive_strings: for i in self.grep_param_names(".*"+s): if not (i in currently_constrained): - #to_make_positive.append(re.escape(param_names[i])) to_make_positive.append(i) if len(to_make_positive): - #self.constrain_positive('(' + '|'.join(to_make_positive) + ')') self.constrain_positive(np.asarray(to_make_positive)) - - def objective_function(self, x): """ The objective function passed to the optimizer. It combines the likelihood and the priors. diff --git a/GPy/core/sparse_gp.py b/GPy/core/sparse_gp.py index 26870927..5ac9de9d 100644 --- a/GPy/core/sparse_gp.py +++ b/GPy/core/sparse_gp.py @@ -142,17 +142,17 @@ class SparseGP(GPBase): def log_likelihood(self): """ Compute the (lower bound on the) log marginal likelihood """ if self.likelihood.is_heteroscedastic: - A = -0.5 * self.N * self.input_dim * np.log(2.*np.pi) + 0.5 * np.sum(np.log(self.likelihood.precision)) - 0.5 * np.sum(self.likelihood.V * self.likelihood.Y) - B = -0.5 * self.input_dim * (np.sum(self.likelihood.precision.flatten() * self.psi0) - np.trace(self.A)) + A = -0.5 * self.N * self.output_dim * np.log(2.*np.pi) + 0.5 * np.sum(np.log(self.likelihood.precision)) - 0.5 * np.sum(self.likelihood.V * self.likelihood.Y) + B = -0.5 * self.output_dim * (np.sum(self.likelihood.precision.flatten() * self.psi0) - np.trace(self.A)) else: - A = -0.5 * self.N * self.input_dim * (np.log(2.*np.pi) - np.log(self.likelihood.precision)) - 0.5 * self.likelihood.precision * self.likelihood.trYYT - B = -0.5 * self.input_dim * (np.sum(self.likelihood.precision * self.psi0) - np.trace(self.A)) - C = -self.input_dim * (np.sum(np.log(np.diag(self.LB)))) # + 0.5 * self.num_inducing * np.log(sf2)) + A = -0.5 * self.N * self.output_dim * (np.log(2.*np.pi) - np.log(self.likelihood.precision)) - 0.5 * self.likelihood.precision * self.likelihood.trYYT + B = -0.5 * self.output_dim * (np.sum(self.likelihood.precision * self.psi0) - np.trace(self.A)) + C = -self.output_dim * (np.sum(np.log(np.diag(self.LB)))) # + 0.5 * self.num_inducing * np.log(sf2)) D = 0.5 * np.sum(np.square(self._LBi_Lmi_psi1V)) return A + B + C + D + self.likelihood.Z def _set_params(self, p): - self.Z = p[:self.num_inducing * self.input_dim].reshape(self.num_inducing, self.input_dim) + self.Z = p[:self.num_inducing * self.output_dim].reshape(self.num_inducing, self.input_dim) self.kern._set_params(p[self.Z.size:self.Z.size + self.kern.Nparam]) self.likelihood._set_params(p[self.Z.size + self.kern.Nparam:]) self._compute_kernel_matrices() diff --git a/GPy/examples/dimensionality_reduction.py b/GPy/examples/dimensionality_reduction.py index f7d9cda4..ec6d2ca6 100644 --- a/GPy/examples/dimensionality_reduction.py +++ b/GPy/examples/dimensionality_reduction.py @@ -5,7 +5,6 @@ import numpy as np from matplotlib import pyplot as plt import GPy -from GPy.util.datasets import swiss_roll_generated from GPy.core.transformations import logexp from GPy.models.bayesian_gplvm import BayesianGPLVM @@ -64,7 +63,7 @@ def GPLVM_oil_100(optimize=True): return m def swiss_roll(optimize=True, N=1000, num_inducing=15, Q=4, sigma=.2, plot=False): - from GPy.util.datasets import swiss_roll + from GPy.util.datasets import swiss_roll_generated from GPy.core.transformations import logexp_clipped data = swiss_roll_generated(N=N, sigma=sigma) @@ -109,10 +108,10 @@ def swiss_roll(optimize=True, N=1000, num_inducing=15, Q=4, sigma=.2, plot=False m.data_colors = c m.data_t = t - m.constrain('variance|length', logexp_clipped()) - m['lengthscale'] = 1. # X.var(0).max() / X.var(0) - m['noise'] = Y.var() / 100. m.ensure_default_constraints() + m['rbf_lengthscale'] = 1. # X.var(0).max() / X.var(0) + m['noise_variance'] = Y.var() / 100. + m['bias_variance'] = 0.05 if optimize: m.optimize('scg', messages=1) diff --git a/GPy/examples/regression.py b/GPy/examples/regression.py index 64a2d12c..972ae290 100644 --- a/GPy/examples/regression.py +++ b/GPy/examples/regression.py @@ -159,13 +159,13 @@ def coregionalisation_sparse(optim_iters=100): k = k1.prod(k2,tensor=True) + GPy.kern.white(2,0.001) m = GPy.models.SparseGPRegression(X,Y,kernel=k,Z=Z) - m.scale_factor = 10000. m.constrain_fixed('.*rbf_var',1.) - #m.constrain_positive('kappa') m.constrain_fixed('iip') + m.constrain_bounded('noise_variance',1e-3,1e-1) m.ensure_default_constraints() m.optimize_restarts(5, robust=True, messages=1, max_f_eval=optim_iters) + #plotting: pb.figure() Xtest1 = np.hstack((np.linspace(0,9,100)[:,None],np.zeros((100,1)))) Xtest2 = np.hstack((np.linspace(0,9,100)[:,None],np.ones((100,1)))) @@ -300,7 +300,6 @@ def sparse_GP_regression_2D(N = 400, num_inducing = 50, optim_iters=100): m.checkgrad() # optimize and plot - pb.figure() m.optimize('tnc', messages = 1, max_f_eval=optim_iters) m.plot() print(m) diff --git a/GPy/kern/Matern32.py b/GPy/kern/Matern32.py index 9503361d..6204ca5e 100644 --- a/GPy/kern/Matern32.py +++ b/GPy/kern/Matern32.py @@ -14,10 +14,10 @@ class Matern32(kernpart): .. math:: - k(r) = \\sigma^2 (1 + \\sqrt{3} r) \exp(- \sqrt{3} r) \\ \\ \\ \\ \\text{ where } r = \sqrt{\sum_{i=1}^D \\frac{(x_i-y_i)^2}{\ell_i^2} } + k(r) = \\sigma^2 (1 + \\sqrt{3} r) \exp(- \sqrt{3} r) \\ \\ \\ \\ \\text{ where } r = \sqrt{\sum_{i=1}^input_dim \\frac{(x_i-y_i)^2}{\ell_i^2} } - :param D: the number of input dimensions - :type D: int + :param input_dim: the number of input dimensions + :type input_dim: int :param variance: the variance :math:`\sigma^2` :type variance: float :param lengthscale: the vector of lengthscale :math:`\ell_i` @@ -28,8 +28,8 @@ class Matern32(kernpart): """ - def __init__(self,D,variance=1.,lengthscale=None,ARD=False): - self.D = D + def __init__(self,input_dim,variance=1.,lengthscale=None,ARD=False): + self.input_dim = input_dim self.ARD = ARD if ARD == False: self.Nparam = 2 @@ -40,13 +40,13 @@ class Matern32(kernpart): else: lengthscale = np.ones(1) else: - self.Nparam = self.D + 1 + self.Nparam = self.input_dim + 1 self.name = 'Mat32' if lengthscale is not None: lengthscale = np.asarray(lengthscale) - assert lengthscale.size == self.D, "bad number of lengthscales" + assert lengthscale.size == self.input_dim, "bad number of lengthscales" else: - lengthscale = np.ones(self.D) + lengthscale = np.ones(self.input_dim) self._set_params(np.hstack((variance,lengthscale.flatten()))) def _get_params(self): @@ -111,7 +111,7 @@ class Matern32(kernpart): def Gram_matrix(self,F,F1,F2,lower,upper): """ - Return the Gram matrix of the vector of functions F with respect to the RKHS norm. The use of this function is limited to D=1. + Return the Gram matrix of the vector of functions F with respect to the RKHS norm. The use of this function is limited to input_dim=1. :param F: vector of functions :type F: np.array @@ -122,7 +122,7 @@ class Matern32(kernpart): :param lower,upper: boundaries of the input domain :type lower,upper: floats """ - assert self.D == 1 + assert self.input_dim == 1 def L(x,i): return(3./self.lengthscale**2*F[i](x) + 2*np.sqrt(3)/self.lengthscale*F1[i](x) + F2[i](x)) n = F.shape[0] diff --git a/GPy/kern/Matern52.py b/GPy/kern/Matern52.py index 9338db15..c35715ee 100644 --- a/GPy/kern/Matern52.py +++ b/GPy/kern/Matern52.py @@ -13,10 +13,10 @@ class Matern52(kernpart): .. math:: - k(r) = \sigma^2 (1 + \sqrt{5} r + \\frac53 r^2) \exp(- \sqrt{5} r) \ \ \ \ \ \\text{ where } r = \sqrt{\sum_{i=1}^D \\frac{(x_i-y_i)^2}{\ell_i^2} } + k(r) = \sigma^2 (1 + \sqrt{5} r + \\frac53 r^2) \exp(- \sqrt{5} r) \ \ \ \ \ \\text{ where } r = \sqrt{\sum_{i=1}^input_dim \\frac{(x_i-y_i)^2}{\ell_i^2} } - :param D: the number of input dimensions - :type D: int + :param input_dim: the number of input dimensions + :type input_dim: int :param variance: the variance :math:`\sigma^2` :type variance: float :param lengthscale: the vector of lengthscale :math:`\ell_i` @@ -26,8 +26,8 @@ class Matern52(kernpart): :rtype: kernel object """ - def __init__(self,D,variance=1.,lengthscale=None,ARD=False): - self.D = D + def __init__(self,input_dim,variance=1.,lengthscale=None,ARD=False): + self.input_dim = input_dim self.ARD = ARD if ARD == False: self.Nparam = 2 @@ -38,13 +38,13 @@ class Matern52(kernpart): else: lengthscale = np.ones(1) else: - self.Nparam = self.D + 1 + self.Nparam = self.input_dim + 1 self.name = 'Mat52' if lengthscale is not None: lengthscale = np.asarray(lengthscale) - assert lengthscale.size == self.D, "bad number of lengthscales" + assert lengthscale.size == self.input_dim, "bad number of lengthscales" else: - lengthscale = np.ones(self.D) + lengthscale = np.ones(self.input_dim) self._set_params(np.hstack((variance,lengthscale.flatten()))) def _get_params(self): @@ -109,7 +109,7 @@ class Matern52(kernpart): def Gram_matrix(self,F,F1,F2,F3,lower,upper): """ - Return the Gram matrix of the vector of functions F with respect to the RKHS norm. The use of this function is limited to D=1. + Return the Gram matrix of the vector of functions F with respect to the RKHS norm. The use of this function is limited to input_dim=1. :param F: vector of functions :type F: np.array @@ -122,7 +122,7 @@ class Matern52(kernpart): :param lower,upper: boundaries of the input domain :type lower,upper: floats """ - assert self.D == 1 + assert self.input_dim == 1 def L(x,i): return(5*np.sqrt(5)/self.lengthscale**3*F[i](x) + 15./self.lengthscale**2*F1[i](x)+ 3*np.sqrt(5)/self.lengthscale*F2[i](x) + F3[i](x)) n = F.shape[0] diff --git a/GPy/kern/periodic_Matern32.py b/GPy/kern/periodic_Matern32.py index fd85f45a..8892b93e 100644 --- a/GPy/kern/periodic_Matern32.py +++ b/GPy/kern/periodic_Matern32.py @@ -9,14 +9,14 @@ from GPy.util.decorators import silence_errors class periodic_Matern32(kernpart): """ - Kernel of the periodic subspace (up to a given frequency) of a Matern 3/2 RKHS. Only defined for D=1. + Kernel of the periodic subspace (up to a given frequency) of a Matern 3/2 RKHS. Only defined for input_dim=1. - :param D: the number of input dimensions - :type D: int + :param input_dim: the number of input dimensions + :type input_dim: int :param variance: the variance of the Matern kernel :type variance: float :param lengthscale: the lengthscale of the Matern kernel - :type lengthscale: np.ndarray of size (D,) + :type lengthscale: np.ndarray of size (input_dim,) :param period: the period :type period: float :param n_freq: the number of frequencies considered for the periodic subspace @@ -25,10 +25,10 @@ class periodic_Matern32(kernpart): """ - def __init__(self,D=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): - assert D==1, "Periodic kernels are only defined for D=1" + def __init__(self,input_dim=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): + assert input_dim==1, "Periodic kernels are only defined for input_dim=1" self.name = 'periodic_Mat32' - self.D = D + self.input_dim = input_dim if lengthscale is not None: lengthscale = np.asarray(lengthscale) assert lengthscale.size == 1, "Wrong size: only one lengthscale needed" diff --git a/GPy/kern/periodic_Matern52.py b/GPy/kern/periodic_Matern52.py index 226e7f3b..e7ced7b8 100644 --- a/GPy/kern/periodic_Matern52.py +++ b/GPy/kern/periodic_Matern52.py @@ -9,14 +9,14 @@ from GPy.util.decorators import silence_errors class periodic_Matern52(kernpart): """ - Kernel of the periodic subspace (up to a given frequency) of a Matern 5/2 RKHS. Only defined for D=1. + Kernel of the periodic subspace (up to a given frequency) of a Matern 5/2 RKHS. Only defined for input_dim=1. - :param D: the number of input dimensions - :type D: int + :param input_dim: the number of input dimensions + :type input_dim: int :param variance: the variance of the Matern kernel :type variance: float :param lengthscale: the lengthscale of the Matern kernel - :type lengthscale: np.ndarray of size (D,) + :type lengthscale: np.ndarray of size (input_dim,) :param period: the period :type period: float :param n_freq: the number of frequencies considered for the periodic subspace @@ -25,10 +25,10 @@ class periodic_Matern52(kernpart): """ - def __init__(self,D=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): - assert D==1, "Periodic kernels are only defined for D=1" + def __init__(self,input_dim=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): + assert input_dim==1, "Periodic kernels are only defined for input_dim=1" self.name = 'periodic_Mat52' - self.D = D + self.input_dim = input_dim if lengthscale is not None: lengthscale = np.asarray(lengthscale) assert lengthscale.size == 1, "Wrong size: only one lengthscale needed" diff --git a/GPy/kern/periodic_exponential.py b/GPy/kern/periodic_exponential.py index d256cb4a..0b69c342 100644 --- a/GPy/kern/periodic_exponential.py +++ b/GPy/kern/periodic_exponential.py @@ -9,14 +9,14 @@ from GPy.util.decorators import silence_errors class periodic_exponential(kernpart): """ - Kernel of the periodic subspace (up to a given frequency) of a exponential (Matern 1/2) RKHS. Only defined for D=1. + Kernel of the periodic subspace (up to a given frequency) of a exponential (Matern 1/2) RKHS. Only defined for input_dim=1. - :param D: the number of input dimensions - :type D: int + :param input_dim: the number of input dimensions + :type input_dim: int :param variance: the variance of the Matern kernel :type variance: float :param lengthscale: the lengthscale of the Matern kernel - :type lengthscale: np.ndarray of size (D,) + :type lengthscale: np.ndarray of size (input_dim,) :param period: the period :type period: float :param n_freq: the number of frequencies considered for the periodic subspace @@ -25,10 +25,10 @@ class periodic_exponential(kernpart): """ - def __init__(self,D=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): - assert D==1, "Periodic kernels are only defined for D=1" + def __init__(self,input_dim=1,variance=1.,lengthscale=None,period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi): + assert input_dim==1, "Periodic kernels are only defined for input_dim=1" self.name = 'periodic_exp' - self.D = D + self.input_dim = input_dim if lengthscale is not None: lengthscale = np.asarray(lengthscale) assert lengthscale.size == 1, "Wrong size: only one lengthscale needed" diff --git a/GPy/kern/prod_orthogonal.py b/GPy/kern/prod_orthogonal.py index cc15a94e..0c0d5d98 100644 --- a/GPy/kern/prod_orthogonal.py +++ b/GPy/kern/prod_orthogonal.py @@ -16,7 +16,7 @@ class prod_orthogonal(kernpart): """ def __init__(self,k1,k2): - self.D = k1.D + k2.D + self.input_dim = k1.input_dim + k2.input_dim self.Nparam = k1.Nparam + k2.Nparam self.name = k1.name + '' + k2.name self.k1 = k1 @@ -45,42 +45,42 @@ class prod_orthogonal(kernpart): """derivative of the covariance matrix with respect to the parameters.""" self._K_computations(X,X2) if X2 is None: - self.k1.dK_dtheta(dL_dK*self._K2, X[:,:self.k1.D], None, target[:self.k1.Nparam]) - self.k2.dK_dtheta(dL_dK*self._K1, X[:,self.k1.D:], None, target[self.k1.Nparam:]) + self.k1.dK_dtheta(dL_dK*self._K2, X[:,:self.k1.input_dim], None, target[:self.k1.Nparam]) + self.k2.dK_dtheta(dL_dK*self._K1, X[:,self.k1.input_dim:], None, target[self.k1.Nparam:]) else: - self.k1.dK_dtheta(dL_dK*self._K2, X[:,:self.k1.D], X2[:,:self.k1.D], target[:self.k1.Nparam]) - self.k2.dK_dtheta(dL_dK*self._K1, X[:,self.k1.D:], X2[:,self.k1.D:], target[self.k1.Nparam:]) + self.k1.dK_dtheta(dL_dK*self._K2, X[:,:self.k1.input_dim], X2[:,:self.k1.input_dim], target[:self.k1.Nparam]) + self.k2.dK_dtheta(dL_dK*self._K1, X[:,self.k1.input_dim:], X2[:,self.k1.input_dim:], target[self.k1.Nparam:]) def Kdiag(self,X,target): """Compute the diagonal of the covariance matrix associated to X.""" target1 = np.zeros(X.shape[0]) target2 = np.zeros(X.shape[0]) - self.k1.Kdiag(X[:,:self.k1.D],target1) - self.k2.Kdiag(X[:,self.k1.D:],target2) + self.k1.Kdiag(X[:,:self.k1.input_dim],target1) + self.k2.Kdiag(X[:,self.k1.input_dim:],target2) target += target1 * target2 def dKdiag_dtheta(self,dL_dKdiag,X,target): K1 = np.zeros(X.shape[0]) K2 = np.zeros(X.shape[0]) - self.k1.Kdiag(X[:,:self.k1.D],K1) - self.k2.Kdiag(X[:,self.k1.D:],K2) - self.k1.dKdiag_dtheta(dL_dKdiag*K2,X[:,:self.k1.D],target[:self.k1.Nparam]) - self.k2.dKdiag_dtheta(dL_dKdiag*K1,X[:,self.k1.D:],target[self.k1.Nparam:]) + self.k1.Kdiag(X[:,:self.k1.input_dim],K1) + self.k2.Kdiag(X[:,self.k1.input_dim:],K2) + self.k1.dKdiag_dtheta(dL_dKdiag*K2,X[:,:self.k1.input_dim],target[:self.k1.Nparam]) + self.k2.dKdiag_dtheta(dL_dKdiag*K1,X[:,self.k1.input_dim:],target[self.k1.Nparam:]) def dK_dX(self,dL_dK,X,X2,target): """derivative of the covariance matrix with respect to X.""" self._K_computations(X,X2) - self.k1.dK_dX(dL_dK*self._K2, X[:,:self.k1.D], X2[:,:self.k1.D], target) - self.k2.dK_dX(dL_dK*self._K1, X[:,self.k1.D:], X2[:,self.k1.D:], target) + self.k1.dK_dX(dL_dK*self._K2, X[:,:self.k1.input_dim], X2[:,:self.k1.input_dim], target) + self.k2.dK_dX(dL_dK*self._K1, X[:,self.k1.input_dim:], X2[:,self.k1.input_dim:], target) def dKdiag_dX(self, dL_dKdiag, X, target): K1 = np.zeros(X.shape[0]) K2 = np.zeros(X.shape[0]) - self.k1.Kdiag(X[:,0:self.k1.D],K1) - self.k2.Kdiag(X[:,self.k1.D:],K2) + self.k1.Kdiag(X[:,0:self.k1.input_dim],K1) + self.k2.Kdiag(X[:,self.k1.input_dim:],K2) - self.k1.dK_dX(dL_dKdiag*K2, X[:,:self.k1.D], target) - self.k2.dK_dX(dL_dKdiag*K1, X[:,self.k1.D:], target) + self.k1.dK_dX(dL_dKdiag*K2, X[:,:self.k1.input_dim], target) + self.k2.dK_dX(dL_dKdiag*K1, X[:,self.k1.input_dim:], target) def _K_computations(self,X,X2): if not (np.array_equal(X,self._X) and np.array_equal(X2,self._X2) and np.array_equal(self._params , self._get_params())): @@ -90,12 +90,12 @@ class prod_orthogonal(kernpart): self._X2 = None self._K1 = np.zeros((X.shape[0],X.shape[0])) self._K2 = np.zeros((X.shape[0],X.shape[0])) - self.k1.K(X[:,:self.k1.D],None,self._K1) - self.k2.K(X[:,self.k1.D:],None,self._K2) + self.k1.K(X[:,:self.k1.input_dim],None,self._K1) + self.k2.K(X[:,self.k1.input_dim:],None,self._K2) else: self._X2 = X2.copy() self._K1 = np.zeros((X.shape[0],X2.shape[0])) self._K2 = np.zeros((X.shape[0],X2.shape[0])) - self.k1.K(X[:,:self.k1.D],X2[:,:self.k1.D],self._K1) - self.k2.K(X[:,self.k1.D:],X2[:,self.k1.D:],self._K2) + self.k1.K(X[:,:self.k1.input_dim],X2[:,:self.k1.input_dim],self._K1) + self.k2.K(X[:,self.k1.input_dim:],X2[:,self.k1.input_dim:],self._K2) diff --git a/GPy/kern/rational_quadratic.py b/GPy/kern/rational_quadratic.py index 561ea065..a9139940 100644 --- a/GPy/kern/rational_quadratic.py +++ b/GPy/kern/rational_quadratic.py @@ -13,8 +13,8 @@ class rational_quadratic(kernpart): k(r) = \sigma^2 \\bigg( 1 + \\frac{r^2}{2 \ell^2} \\bigg)^{- \\alpha} \ \ \ \ \ \\text{ where } r^2 = (x-y)^2 - :param D: the number of input dimensions - :type D: int (D=1 is the only value currently supported) + :param input_dim: the number of input dimensions + :type input_dim: int (input_dim=1 is the only value currently supported) :param variance: the variance :math:`\sigma^2` :type variance: float :param lengthscale: the lengthscale :math:`\ell` @@ -24,9 +24,9 @@ class rational_quadratic(kernpart): :rtype: kernpart object """ - def __init__(self,D,variance=1.,lengthscale=1.,power=1.): - assert D == 1, "For this kernel we assume D=1" - self.D = D + def __init__(self,input_dim,variance=1.,lengthscale=1.,power=1.): + assert input_dim == 1, "For this kernel we assume input_dim=1" + self.input_dim = input_dim self.Nparam = 3 self.name = 'rat_quad' self.variance = variance diff --git a/GPy/kern/rbf.py b/GPy/kern/rbf.py index bfa20f1d..ccf7112f 100644 --- a/GPy/kern/rbf.py +++ b/GPy/kern/rbf.py @@ -31,7 +31,7 @@ class rbf(kernpart): .. Note: this object implements both the ARD and 'spherical' version of the function """ - def __init__(self,input_dim,variance=1.,lengthscale=None,ARD=False): + def __init__(self, input_dim, variance=1., lengthscale=None, ARD=False): self.input_dim = input_dim self.name = 'rbf' self.ARD = ARD @@ -50,52 +50,52 @@ class rbf(kernpart): else: lengthscale = np.ones(self.input_dim) - self._set_params(np.hstack((variance,lengthscale.flatten()))) + self._set_params(np.hstack((variance, lengthscale.flatten()))) - #initialize cache - self._Z, self._mu, self._S = np.empty(shape=(3,1)) - self._X, self._X2, self._params = np.empty(shape=(3,1)) + # initialize cache + self._Z, self._mu, self._S = np.empty(shape=(3, 1)) + self._X, self._X2, self._params = np.empty(shape=(3, 1)) - #a set of optional args to pass to weave + # a set of optional args to pass to weave self.weave_options = {'headers' : [''], - 'extra_compile_args': ['-fopenmp -O3'], #-march=native'], + 'extra_compile_args': ['-fopenmp -O3'], # -march=native'], 'extra_link_args' : ['-lgomp']} def _get_params(self): - return np.hstack((self.variance,self.lengthscale)) + return np.hstack((self.variance, self.lengthscale)) - def _set_params(self,x): - assert x.size==(self.Nparam) + def _set_params(self, x): + assert x.size == (self.Nparam) self.variance = x[0] self.lengthscale = x[1:] self.lengthscale2 = np.square(self.lengthscale) - #reset cached results - self._X, self._X2, self._params = np.empty(shape=(3,1)) - self._Z, self._mu, self._S = np.empty(shape=(3,1)) # cached versions of Z,mu,S + # reset cached results + self._X, self._X2, self._params = np.empty(shape=(3, 1)) + self._Z, self._mu, self._S = np.empty(shape=(3, 1)) # cached versions of Z,mu,S def _get_param_names(self): if self.Nparam == 2: - return ['variance','lengthscale'] + return ['variance', 'lengthscale'] else: - return ['variance']+['lengthscale_%i'%i for i in range(self.lengthscale.size)] + return ['variance'] + ['lengthscale_%i' % i for i in range(self.lengthscale.size)] - def K(self,X,X2,target): - self._K_computations(X,X2) - target += self.variance*self._K_dvar + def K(self, X, X2, target): + self._K_computations(X, X2) + target += self.variance * self._K_dvar - def Kdiag(self,X,target): - np.add(target,self.variance,target) + def Kdiag(self, X, target): + np.add(target, self.variance, target) - def dK_dtheta(self,dL_dK,X,X2,target): - self._K_computations(X,X2) - target[0] += np.sum(self._K_dvar*dL_dK) + def dK_dtheta(self, dL_dK, X, X2, target): + self._K_computations(X, X2) + target[0] += np.sum(self._K_dvar * dL_dK) if self.ARD: - dvardLdK = self._K_dvar*dL_dK - var_len3 = self.variance/np.power(self.lengthscale,3) + dvardLdK = self._K_dvar * dL_dK + var_len3 = self.variance / np.power(self.lengthscale, 3) if X2 is None: - #save computation for the symmetrical case + # save computation for the symmetrical case dvardLdK += dvardLdK.T code = """ int q,i,j; @@ -126,23 +126,23 @@ class rbf(kernpart): } """ N, num_inducing, input_dim = X.shape[0], X2.shape[0], self.input_dim - #[np.add(target[1+q:2+q],var_len3[q]*np.sum(dvardLdK*np.square(X[:,q][:,None]-X2[:,q][None,:])),target[1+q:2+q]) for q in range(self.input_dim)] + # [np.add(target[1+q:2+q],var_len3[q]*np.sum(dvardLdK*np.square(X[:,q][:,None]-X2[:,q][None,:])),target[1+q:2+q]) for q in range(self.input_dim)] weave.inline(code, arg_names=['N','num_inducing','input_dim','X','X2','target','dvardLdK','var_len3'], - type_converters=weave.converters.blitz,**self.weave_options) + type_converters=weave.converters.blitz, **self.weave_options) else: - target[1] += (self.variance/self.lengthscale)*np.sum(self._K_dvar*self._K_dist2*dL_dK) + target[1] += (self.variance / self.lengthscale) * np.sum(self._K_dvar * self._K_dist2 * dL_dK) - def dKdiag_dtheta(self,dL_dKdiag,X,target): - #NB: derivative of diagonal elements wrt lengthscale is 0 + def dKdiag_dtheta(self, dL_dKdiag, X, target): + # NB: derivative of diagonal elements wrt lengthscale is 0 target[0] += np.sum(dL_dKdiag) - def dK_dX(self,dL_dK,X,X2,target): - self._K_computations(X,X2) - _K_dist = X[:,None,:]-X2[None,:,:] #don't cache this in _K_computations because it is high memory. If this function is being called, chances are we're not in the high memory arena. - dK_dX = (-self.variance/self.lengthscale2)*np.transpose(self._K_dvar[:,:,np.newaxis]*_K_dist,(1,0,2)) - target += np.sum(dK_dX*dL_dK.T[:,:,None],0) + def dK_dX(self, dL_dK, X, X2, target): + self._K_computations(X, X2) + _K_dist = X[:, None, :] - X2[None, :, :] # don't cache this in _K_computations because it is high memory. If this function is being called, chances are we're not in the high memory arena. + dK_dX = (-self.variance / self.lengthscale2) * np.transpose(self._K_dvar[:, :, np.newaxis] * _K_dist, (1, 0, 2)) + target += np.sum(dK_dX * dL_dK.T[:, :, None], 0) - def dKdiag_dX(self,dL_dKdiag,X,target): + def dKdiag_dX(self, dL_dKdiag, X, target): pass @@ -150,96 +150,95 @@ class rbf(kernpart): # PSI statistics # #---------------------------------------# - def psi0(self,Z,mu,S,target): + def psi0(self, Z, mu, S, target): target += self.variance - def dpsi0_dtheta(self,dL_dpsi0,Z,mu,S,target): + def dpsi0_dtheta(self, dL_dpsi0, Z, mu, S, target): target[0] += np.sum(dL_dpsi0) - def dpsi0_dmuS(self,dL_dpsi0,Z,mu,S,target_mu,target_S): + def dpsi0_dmuS(self, dL_dpsi0, Z, mu, S, target_mu, target_S): pass - def psi1(self,Z,mu,S,target): - self._psi_computations(Z,mu,S) + def psi1(self, Z, mu, S, target): + self._psi_computations(Z, mu, S) target += self._psi1 - def dpsi1_dtheta(self,dL_dpsi1,Z,mu,S,target): - self._psi_computations(Z,mu,S) - denom_deriv = S[:,None,:]/(self.lengthscale**3+self.lengthscale*S[:,None,:]) - d_length = self._psi1[:,:,None]*(self.lengthscale*np.square(self._psi1_dist/(self.lengthscale2+S[:,None,:])) + denom_deriv) - target[0] += np.sum(dL_dpsi1*self._psi1/self.variance) - dpsi1_dlength = d_length*dL_dpsi1[:,:,None] + def dpsi1_dtheta(self, dL_dpsi1, Z, mu, S, target): + self._psi_computations(Z, mu, S) + denom_deriv = S[:, None, :] / (self.lengthscale ** 3 + self.lengthscale * S[:, None, :]) + d_length = self._psi1[:, :, None] * (self.lengthscale * np.square(self._psi1_dist / (self.lengthscale2 + S[:, None, :])) + denom_deriv) + target[0] += np.sum(dL_dpsi1 * self._psi1 / self.variance) + dpsi1_dlength = d_length * dL_dpsi1[:, :, None] if not self.ARD: target[1] += dpsi1_dlength.sum() else: target[1:] += dpsi1_dlength.sum(0).sum(0) - def dpsi1_dZ(self,dL_dpsi1,Z,mu,S,target): - self._psi_computations(Z,mu,S) - denominator = (self.lengthscale2*(self._psi1_denom)) - dpsi1_dZ = - self._psi1[:,:,None] * ((self._psi1_dist/denominator)) - target += np.sum(dL_dpsi1.T[:,:,None] * dpsi1_dZ, 0) + def dpsi1_dZ(self, dL_dpsi1, Z, mu, S, target): + self._psi_computations(Z, mu, S) + denominator = (self.lengthscale2 * (self._psi1_denom)) + dpsi1_dZ = -self._psi1[:, :, None] * ((self._psi1_dist / denominator)) + target += np.sum(dL_dpsi1.T[:, :, None] * dpsi1_dZ, 0) - def dpsi1_dmuS(self,dL_dpsi1,Z,mu,S,target_mu,target_S): - self._psi_computations(Z,mu,S) - tmp = self._psi1[:,:,None]/self.lengthscale2/self._psi1_denom - target_mu += np.sum(dL_dpsi1.T[:, :, None]*tmp*self._psi1_dist,1) - target_S += np.sum(dL_dpsi1.T[:, :, None]*0.5*tmp*(self._psi1_dist_sq-1),1) + def dpsi1_dmuS(self, dL_dpsi1, Z, mu, S, target_mu, target_S): + self._psi_computations(Z, mu, S) + tmp = self._psi1[:, :, None] / self.lengthscale2 / self._psi1_denom + target_mu += np.sum(dL_dpsi1.T[:, :, None] * tmp * self._psi1_dist, 1) + target_S += np.sum(dL_dpsi1.T[:, :, None] * 0.5 * tmp * (self._psi1_dist_sq - 1), 1) - def psi2(self,Z,mu,S,target): - self._psi_computations(Z,mu,S) + def psi2(self, Z, mu, S, target): + self._psi_computations(Z, mu, S) target += self._psi2 - def dpsi2_dtheta(self,dL_dpsi2,Z,mu,S,target): + def dpsi2_dtheta(self, dL_dpsi2, Z, mu, S, target): """Shape N,num_inducing,num_inducing,Ntheta""" - self._psi_computations(Z,mu,S) - d_var = 2.*self._psi2/self.variance - d_length = 2.*self._psi2[:,:,:,None]*(self._psi2_Zdist_sq*self._psi2_denom + self._psi2_mudist_sq + S[:,None,None,:]/self.lengthscale2)/(self.lengthscale*self._psi2_denom) + self._psi_computations(Z, mu, S) + d_var = 2.*self._psi2 / self.variance + d_length = 2.*self._psi2[:, :, :, None] * (self._psi2_Zdist_sq * self._psi2_denom + self._psi2_mudist_sq + S[:, None, None, :] / self.lengthscale2) / (self.lengthscale * self._psi2_denom) - target[0] += np.sum(dL_dpsi2*d_var) - dpsi2_dlength = d_length*dL_dpsi2[:,:,:,None] + target[0] += np.sum(dL_dpsi2 * d_var) + dpsi2_dlength = d_length * dL_dpsi2[:, :, :, None] if not self.ARD: target[1] += dpsi2_dlength.sum() else: target[1:] += dpsi2_dlength.sum(0).sum(0).sum(0) - def dpsi2_dZ(self,dL_dpsi2,Z,mu,S,target): - self._psi_computations(Z,mu,S) - term1 = self._psi2_Zdist/self.lengthscale2 # num_inducing, num_inducing, input_dim - term2 = self._psi2_mudist/self._psi2_denom/self.lengthscale2 # N, num_inducing, num_inducing, input_dim - dZ = self._psi2[:,:,:,None] * (term1[None] + term2) - target += (dL_dpsi2[:,:,:,None]*dZ).sum(0).sum(0) + def dpsi2_dZ(self, dL_dpsi2, Z, mu, S, target): + self._psi_computations(Z, mu, S) + term1 = self._psi2_Zdist / self.lengthscale2 # num_inducing, num_inducing, input_dim + term2 = self._psi2_mudist / self._psi2_denom / self.lengthscale2 # N, num_inducing, num_inducing, input_dim + dZ = self._psi2[:, :, :, None] * (term1[None] + term2) + target += (dL_dpsi2[:, :, :, None] * dZ).sum(0).sum(0) - def dpsi2_dmuS(self,dL_dpsi2,Z,mu,S,target_mu,target_S): + def dpsi2_dmuS(self, dL_dpsi2, Z, mu, S, target_mu, target_S): """Think N,num_inducing,num_inducing,input_dim """ - self._psi_computations(Z,mu,S) - tmp = self._psi2[:,:,:,None]/self.lengthscale2/self._psi2_denom - target_mu += -2.*(dL_dpsi2[:,:,:,None]*tmp*self._psi2_mudist).sum(1).sum(1) - target_S += (dL_dpsi2[:,:,:,None]*tmp*(2.*self._psi2_mudist_sq-1)).sum(1).sum(1) - + self._psi_computations(Z, mu, S) + tmp = self._psi2[:, :, :, None] / self.lengthscale2 / self._psi2_denom + target_mu += -2.*(dL_dpsi2[:, :, :, None] * tmp * self._psi2_mudist).sum(1).sum(1) + target_S += (dL_dpsi2[:, :, :, None] * tmp * (2.*self._psi2_mudist_sq - 1)).sum(1).sum(1) #---------------------------------------# # Precomputations # #---------------------------------------# - def _K_computations(self,X,X2): - if not (np.array_equal(X,self._X) and np.array_equal(X2,self._X2) and np.array_equal(self._params , self._get_params())): + def _K_computations(self, X, X2): + if not (np.array_equal(X, self._X) and np.array_equal(X2, self._X2) and np.array_equal(self._params , self._get_params())): self._X = X.copy() self._params == self._get_params().copy() if X2 is None: self._X2 = None - X = X/self.lengthscale - Xsquare = np.sum(np.square(X),1) - self._K_dist2 = -2.*tdot(X) + (Xsquare[:,None] + Xsquare[None,:]) + X = X / self.lengthscale + Xsquare = np.sum(np.square(X), 1) + self._K_dist2 = -2.*tdot(X) + (Xsquare[:, None] + Xsquare[None, :]) else: self._X2 = X2.copy() - X = X/self.lengthscale - X2 = X2/self.lengthscale - self._K_dist2 = -2.*np.dot(X, X2.T) + (np.sum(np.square(X),1)[:,None] + np.sum(np.square(X2),1)[None,:]) - self._K_dvar = np.exp(-0.5*self._K_dist2) + X = X / self.lengthscale + X2 = X2 / self.lengthscale + self._K_dist2 = -2.*np.dot(X, X2.T) + (np.sum(np.square(X), 1)[:, None] + np.sum(np.square(X2), 1)[None, :]) + self._K_dvar = np.exp(-0.5 * self._K_dist2) - def _psi_computations(self,Z,mu,S): - #here are the "statistics" for psi1 and psi2 + def _psi_computations(self, Z, mu, S): + # here are the "statistics" for psi1 and psi2 if not np.array_equal(Z, self._Z): #Z has changed, compute Z specific stuff self._psi2_Zhat = 0.5*(Z[:,None,:] +Z[None,:,:]) # num_inducing,num_inducing,input_dim @@ -278,13 +277,13 @@ class rbf(kernpart): psi2 = np.empty((N,num_inducing,num_inducing)) psi2_Zdist_sq = self._psi2_Zdist_sq - _psi2_denom = self._psi2_denom.squeeze().reshape(N,self.input_dim) - half_log_psi2_denom = 0.5*np.log(self._psi2_denom).squeeze().reshape(N,self.input_dim) + _psi2_denom = self._psi2_denom.squeeze().reshape(N, self.input_dim) + half_log_psi2_denom = 0.5 * np.log(self._psi2_denom).squeeze().reshape(N, self.input_dim) variance_sq = float(np.square(self.variance)) if self.ARD: lengthscale2 = self.lengthscale2 else: - lengthscale2 = np.ones(input_dim)*self.lengthscale2 + lengthscale2 = np.ones(input_dim) * self.lengthscale2 code = """ double tmp; @@ -326,6 +325,6 @@ class rbf(kernpart): """ weave.inline(code, support_code=support_code, libraries=['gomp'], arg_names=['N','num_inducing','input_dim','mu','Zhat','mudist_sq','mudist','lengthscale2','_psi2_denom','psi2_Zdist_sq','psi2_exponent','half_log_psi2_denom','psi2','variance_sq'], - type_converters=weave.converters.blitz,**self.weave_options) + type_converters=weave.converters.blitz, **self.weave_options) - return mudist,mudist_sq, psi2_exponent, psi2 + return mudist, mudist_sq, psi2_exponent, psi2 diff --git a/GPy/kern/rbfcos.py b/GPy/kern/rbfcos.py index 094b806b..047dad0b 100644 --- a/GPy/kern/rbfcos.py +++ b/GPy/kern/rbfcos.py @@ -7,26 +7,26 @@ from kernpart import kernpart import numpy as np class rbfcos(kernpart): - def __init__(self,D,variance=1.,frequencies=None,bandwidths=None,ARD=False): - self.D = D + def __init__(self,input_dim,variance=1.,frequencies=None,bandwidths=None,ARD=False): + self.input_dim = input_dim self.name = 'rbfcos' - if self.D>10: + if self.input_dim>10: print "Warning: the rbfcos kernel requires a lot of memory for high dimensional inputs" self.ARD = ARD #set the default frequencies and bandwidths, appropriate Nparam if ARD: - self.Nparam = 2*self.D + 1 + self.Nparam = 2*self.input_dim + 1 if frequencies is not None: frequencies = np.asarray(frequencies) - assert frequencies.size == self.D, "bad number of frequencies" + assert frequencies.size == self.input_dim, "bad number of frequencies" else: - frequencies = np.ones(self.D) + frequencies = np.ones(self.input_dim) if bandwidths is not None: bandwidths = np.asarray(bandwidths) - assert bandwidths.size == self.D, "bad number of bandwidths" + assert bandwidths.size == self.input_dim, "bad number of bandwidths" else: - bandwidths = np.ones(self.D) + bandwidths = np.ones(self.input_dim) else: self.Nparam = 3 if frequencies is not None: @@ -54,8 +54,8 @@ class rbfcos(kernpart): assert x.size==(self.Nparam) if self.ARD: self.variance = x[0] - self.frequencies = x[1:1+self.D] - self.bandwidths = x[1+self.D:] + self.frequencies = x[1:1+self.input_dim] + self.bandwidths = x[1+self.input_dim:] else: self.variance, self.frequencies, self.bandwidths = x @@ -63,7 +63,7 @@ class rbfcos(kernpart): if self.Nparam == 3: return ['variance','frequency','bandwidth'] else: - return ['variance']+['frequency_%i'%i for i in range(self.D)]+['bandwidth_%i'%i for i in range(self.D)] + return ['variance']+['frequency_%i'%i for i in range(self.input_dim)]+['bandwidth_%i'%i for i in range(self.input_dim)] def K(self,X,X2,target): self._K_computations(X,X2) @@ -76,9 +76,9 @@ class rbfcos(kernpart): self._K_computations(X,X2) target[0] += np.sum(dL_dK*self._dvar) if self.ARD: - for q in xrange(self.D): + for q in xrange(self.input_dim): target[q+1] += -2.*np.pi*self.variance*np.sum(dL_dK*self._dvar*np.tan(2.*np.pi*self._dist[:,:,q]*self.frequencies[q])*self._dist[:,:,q]) - target[q+1+self.D] += -2.*np.pi**2*self.variance*np.sum(dL_dK*self._dvar*self._dist2[:,:,q]) + target[q+1+self.input_dim] += -2.*np.pi**2*self.variance*np.sum(dL_dK*self._dvar*self._dist2[:,:,q]) else: target[1] += -2.*np.pi*self.variance*np.sum(dL_dK*self._dvar*np.sum(np.tan(2.*np.pi*self._dist*self.frequencies)*self._dist,-1)) target[2] += -2.*np.pi**2*self.variance*np.sum(dL_dK*self._dvar*self._dist2.sum(-1)) @@ -100,7 +100,7 @@ class rbfcos(kernpart): self._X = X.copy() self._X2 = X2.copy() - #do the distances: this will be high memory for large D + #do the distances: this will be high memory for large input_dim #NB: we don't take the abs of the dist because cos is symmetric self._dist = X[:,None,:] - X2[None,:,:] self._dist2 = np.square(self._dist) diff --git a/GPy/kern/spline.py b/GPy/kern/spline.py index 030b2f02..fbfc7573 100644 --- a/GPy/kern/spline.py +++ b/GPy/kern/spline.py @@ -13,16 +13,16 @@ class spline(kernpart): """ Spline kernel - :param D: the number of input dimensions (fixed to 1 right now TODO) - :type D: int + :param input_dim: the number of input dimensions (fixed to 1 right now TODO) + :type input_dim: int :param variance: the variance of the kernel :type variance: float """ - def __init__(self,D,variance=1.,lengthscale=1.): - self.D = D - assert self.D==1 + def __init__(self,input_dim,variance=1.,lengthscale=1.): + self.input_dim = input_dim + assert self.input_dim==1 self.Nparam = 1 self.name = 'spline' self._set_params(np.squeeze(variance)) diff --git a/GPy/kern/symmetric.py b/GPy/kern/symmetric.py index c3b046c7..be26e6db 100644 --- a/GPy/kern/symmetric.py +++ b/GPy/kern/symmetric.py @@ -11,16 +11,16 @@ class symmetric(kernpart): :param k: the kernel to symmetrify :type k: kernpart :param transform: the transform to use in symmetrification (allows symmetry on specified axes) - :type transform: A numpy array (D x D) specifiying the transform + :type transform: A numpy array (input_dim x input_dim) specifiying the transform :rtype: kernpart """ def __init__(self,k,transform=None): if transform is None: - transform = np.eye(k.D)*-1. - assert transform.shape == (k.D, k.D) + transform = np.eye(k.input_dim)*-1. + assert transform.shape == (k.input_dim, k.input_dim) self.transform = transform - self.D = k.D + self.input_dim = k.input_dim self.Nparam = k.Nparam self.name = k.name + '_symm' self.k = k diff --git a/GPy/kern/sympykern.py b/GPy/kern/sympykern.py index 0ec86acf..f8d66872 100644 --- a/GPy/kern/sympykern.py +++ b/GPy/kern/sympykern.py @@ -26,7 +26,7 @@ class spkern(kernpart): - to handle multiple inputs, call them x1, z1, etc - to handle multpile correlated outputs, you'll need to define each covariance function and 'cross' variance function. TODO """ - def __init__(self,D,k,param=None): + def __init__(self,input_dim,k,param=None): self.name='sympykern' self._sp_k = k sp_vars = [e for e in k.atoms() if e.is_Symbol] @@ -35,8 +35,8 @@ class spkern(kernpart): assert all([x.name=='x%i'%i for i,x in enumerate(self._sp_x)]) assert all([z.name=='z%i'%i for i,z in enumerate(self._sp_z)]) assert len(self._sp_x)==len(self._sp_z) - self.D = len(self._sp_x) - assert self.D == D + self.input_dim = len(self._sp_x) + assert self.input_dim == input_dim self._sp_theta = sorted([e for e in sp_vars if not (e.name[0]=='x' or e.name[0]=='z')],key=lambda e:e.name) self.Nparam = len(self._sp_theta) @@ -69,15 +69,15 @@ class spkern(kernpart): def compute_psi_stats(self): #define some normal distributions - mus = [sp.var('mu%i'%i,real=True) for i in range(self.D)] - Ss = [sp.var('S%i'%i,positive=True) for i in range(self.D)] + mus = [sp.var('mu%i'%i,real=True) for i in range(self.input_dim)] + Ss = [sp.var('S%i'%i,positive=True) for i in range(self.input_dim)] normals = [(2*sp.pi*Si)**(-0.5)*sp.exp(-0.5*(xi-mui)**2/Si) for xi, mui, Si in zip(self._sp_x, mus, Ss)] #do some integration! #self._sp_psi0 = ?? self._sp_psi1 = self._sp_k - for i in range(self.D): - print 'perfoming integrals %i of %i'%(i+1,2*self.D) + for i in range(self.input_dim): + print 'perfoming integrals %i of %i'%(i+1,2*self.input_dim) sys.stdout.flush() self._sp_psi1 *= normals[i] self._sp_psi1 = sp.integrate(self._sp_psi1,(self._sp_x[i],-sp.oo,sp.oo)) @@ -85,10 +85,10 @@ class spkern(kernpart): self._sp_psi1 = self._sp_psi1.simplify() #and here's psi2 (eek!) - zprime = [sp.Symbol('zp%i'%i) for i in range(self.D)] + zprime = [sp.Symbol('zp%i'%i) for i in range(self.input_dim)] self._sp_psi2 = self._sp_k.copy()*self._sp_k.copy().subs(zip(self._sp_z,zprime)) - for i in range(self.D): - print 'perfoming integrals %i of %i'%(self.D+i+1,2*self.D) + for i in range(self.input_dim): + print 'perfoming integrals %i of %i'%(self.input_dim+i+1,2*self.input_dim) sys.stdout.flush() self._sp_psi2 *= normals[i] self._sp_psi2 = sp.integrate(self._sp_psi2,(self._sp_x[i],-sp.oo,sp.oo)) @@ -113,8 +113,8 @@ class spkern(kernpart): self._function_code = re.sub('DiracDelta\(.+?,.+?\)','0.0',self._function_code) #Here's some code to do the looping for K - arglist = ", ".join(["X[i*D+%s]"%x.name[1:] for x in self._sp_x]\ - + ["Z[j*D+%s]"%z.name[1:] for z in self._sp_z]\ + arglist = ", ".join(["X[i*input_dim+%s]"%x.name[1:] for x in self._sp_x]\ + + ["Z[j*input_dim+%s]"%z.name[1:] for z in self._sp_z]\ + ["param[%i]"%i for i in range(self.Nparam)]) self._K_code =\ @@ -123,7 +123,7 @@ class spkern(kernpart): int j; int N = target_array->dimensions[0]; int num_inducing = target_array->dimensions[1]; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; //#pragma omp parallel for private(j) for (i=0;idimensions[0]; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; //#pragma omp parallel for for (i=0;idimensions[0]; int num_inducing = partial_array->dimensions[1]; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; //#pragma omp parallel for private(j) for (i=0;idimensions[0]; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; for (i=0;idimensions[0]; int num_inducing = partial_array->dimensions[1]; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; //#pragma omp parallel for private(j) for (i=0;idimensions[0]; int num_inducing = 0; - int D = X_array->dimensions[1]; + int input_dim = X_array->dimensions[1]; for (i=0;i self.N: self.YYT = np.dot(self.Y, self.Y.T) @@ -54,7 +54,7 @@ class Gaussian(likelihood): x = np.float64(x) if np.all(self._variance != x): if x == 0.: - self.precision = None + self.precision = np.inf self.V = None else: self.precision = 1. / x @@ -68,9 +68,9 @@ class Gaussian(likelihood): """ mean = mu * self._scale + self._offset if full_cov: - if self.input_dim > 1: + if self.output_dim > 1: raise NotImplementedError, "TODO" - # Note. for input_dim>1, we need to re-normalise all the outputs independently. + # Note. for output_dim>1, we need to re-normalise all the outputs independently. # This will mess up computations of diag(true_var), below. # note that the upper, lower quantiles should be the same shape as mean # Augment the output variance with the likelihood variance and rescale.