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

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Neil Lawrence 2014-03-07 17:38:05 +00:00
commit 3cca3c2463
44 changed files with 1056 additions and 511 deletions
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2
GPy/core/gp.py
View file

@ -65,8 +65,6 @@ class GP(Model):
self.add_parameter(self.kern) self.add_parameter(self.kern)
self.add_parameter(self.likelihood) self.add_parameter(self.likelihood)
if self.__class__ is GP:
self.parameters_changed()
def parameters_changed(self): def parameters_changed(self):
self.posterior, self._log_marginal_likelihood, grad_dict = self.inference_method.inference(self.kern, self.X, self.likelihood, self.Y, Y_metadata=self.Y_metadata) self.posterior, self._log_marginal_likelihood, grad_dict = self.inference_method.inference(self.kern, self.X, self.likelihood, self.Y, Y_metadata=self.Y_metadata)

37
GPy/core/model.py
View file

@ -15,6 +15,7 @@ import itertools
class Model(Parameterized): class Model(Parameterized):
_fail_count = 0 # Count of failed optimization steps (see objective) _fail_count = 0 # Count of failed optimization steps (see objective)
_allowed_failures = 10 # number of allowed failures _allowed_failures = 10 # number of allowed failures
def __init__(self, name): def __init__(self, name):
super(Model, self).__init__(name) # Parameterized.__init__(self) super(Model, self).__init__(name) # Parameterized.__init__(self)
self.optimization_runs = [] self.optimization_runs = []
@ -25,14 +26,8 @@ class Model(Parameterized):
raise NotImplementedError, "this needs to be implemented to use the model class" raise NotImplementedError, "this needs to be implemented to use the model class"
def _log_likelihood_gradients(self): def _log_likelihood_gradients(self):
g = np.zeros(self.size) return self.gradient
try:
[p._collect_gradient(g[s]) for p, s in itertools.izip(self._parameters_, self._param_slices_) if not p.is_fixed]
except ValueError:
raise ValueError, 'Gradient for {} not defined, please specify gradients for parameters to optimize'.format(p.name)
return g
raise NotImplementedError, "this needs to be implemented to use the model class"
def _getstate(self): def _getstate(self):
""" """
Get the current state of the class. Get the current state of the class.
@ -147,6 +142,12 @@ class Model(Parameterized):
""" """
raise DeprecationWarning, 'parameters now have default constraints' raise DeprecationWarning, 'parameters now have default constraints'
def input_sensitivity(self):
"""
Returns the sensitivity for each dimension of this kernel.
"""
return self.kern.input_sensitivity()
def objective_function(self, x): def objective_function(self, x):
""" """
The objective function passed to the optimizer. It combines The objective function passed to the optimizer. It combines
@ -202,8 +203,8 @@ class Model(Parameterized):
try: try:
self._set_params_transformed(x) self._set_params_transformed(x)
obj_f = -float(self.log_likelihood()) - self.log_prior() obj_f = -float(self.log_likelihood()) - self.log_prior()
self._fail_count = 0
obj_grads = -self._transform_gradients(self._log_likelihood_gradients() + self._log_prior_gradients()) obj_grads = -self._transform_gradients(self._log_likelihood_gradients() + self._log_prior_gradients())
self._fail_count = 0
except (LinAlgError, ZeroDivisionError, ValueError) as e: except (LinAlgError, ZeroDivisionError, ValueError) as e:
if self._fail_count >= self._allowed_failures: if self._fail_count >= self._allowed_failures:
raise e raise e
@ -269,9 +270,8 @@ class Model(Parameterized):
The gradient is considered correct if the ratio of the analytical The gradient is considered correct if the ratio of the analytical
and numerical gradients is within <tolerance> of unity. and numerical gradients is within <tolerance> of unity.
""" """
x = self._get_params_transformed().copy()
x = self._get_params_transformed()
if not verbose: if not verbose:
# make sure only to test the selected parameters # make sure only to test the selected parameters
if target_param is None: if target_param is None:
@ -298,9 +298,12 @@ class Model(Parameterized):
dx = dx[transformed_index] dx = dx[transformed_index]
gradient = gradient[transformed_index] gradient = gradient[transformed_index]
global_ratio = (f1 - f2) / (2 * np.dot(dx, np.where(gradient == 0, 1e-32, gradient))) denominator = (2 * np.dot(dx, gradient))
return (np.abs(1. - global_ratio) < tolerance) global_ratio = (f1 - f2) / np.where(denominator==0., 1e-32, denominator)
gloabl_diff = (f1 - f2) - denominator
return (np.abs(1. - global_ratio) < tolerance) or (np.abs(gloabl_diff) < tolerance)
else: else:
# check the gradient of each parameter individually, and do some pretty printing # check the gradient of each parameter individually, and do some pretty printing
try: try:
@ -346,7 +349,8 @@ class Model(Parameterized):
xx[xind] -= 2.*step xx[xind] -= 2.*step
f2 = self.objective_function(xx) f2 = self.objective_function(xx)
numerical_gradient = (f1 - f2) / (2 * step) numerical_gradient = (f1 - f2) / (2 * step)
ratio = (f1 - f2) / (2 * step * gradient[xind]) if np.all(gradient[xind]==0): ratio = (f1-f2) == gradient[xind]
else: ratio = (f1 - f2) / (2 * step * gradient[xind])
difference = np.abs((f1 - f2) / 2 / step - gradient[xind]) difference = np.abs((f1 - f2) / 2 / step - gradient[xind])
if (np.abs(1. - ratio) < tolerance) or np.abs(difference) < tolerance: if (np.abs(1. - ratio) < tolerance) or np.abs(difference) < tolerance:
@ -362,6 +366,7 @@ class Model(Parameterized):
ng = '%.6f' % float(numerical_gradient) ng = '%.6f' % float(numerical_gradient)
grad_string = "{0:<{c0}}|{1:^{c1}}|{2:^{c2}}|{3:^{c3}}|{4:^{c4}}".format(formatted_name, r, d, g, ng, c0=cols[0] + 9, c1=cols[1], c2=cols[2], c3=cols[3], c4=cols[4]) grad_string = "{0:<{c0}}|{1:^{c1}}|{2:^{c2}}|{3:^{c3}}|{4:^{c4}}".format(formatted_name, r, d, g, ng, c0=cols[0] + 9, c1=cols[1], c2=cols[2], c3=cols[3], c4=cols[4])
print grad_string print grad_string
self._set_params_transformed(x) self._set_params_transformed(x)
return ret return ret

52
GPy/core/parameterization/array_core.py
View file

@ -49,7 +49,7 @@ class ObservableArray(np.ndarray, Observable):
def __setitem__(self, s, val): def __setitem__(self, s, val):
if self._s_not_empty(s): if self._s_not_empty(s):
super(ObservableArray, self).__setitem__(s, val) super(ObservableArray, self).__setitem__(s, val)
self._notify_observers(self[s]) self.notify_observers(self[s])
def __getslice__(self, start, stop): def __getslice__(self, start, stop):
return self.__getitem__(slice(start, stop)) return self.__getitem__(slice(start, stop))
@ -65,149 +65,149 @@ class ObservableArray(np.ndarray, Observable):
def __ilshift__(self, *args, **kwargs): def __ilshift__(self, *args, **kwargs):
r = np.ndarray.__ilshift__(self, *args, **kwargs) r = np.ndarray.__ilshift__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __irshift__(self, *args, **kwargs): def __irshift__(self, *args, **kwargs):
r = np.ndarray.__irshift__(self, *args, **kwargs) r = np.ndarray.__irshift__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __ixor__(self, *args, **kwargs): def __ixor__(self, *args, **kwargs):
r = np.ndarray.__ixor__(self, *args, **kwargs) r = np.ndarray.__ixor__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __ipow__(self, *args, **kwargs): def __ipow__(self, *args, **kwargs):
r = np.ndarray.__ipow__(self, *args, **kwargs) r = np.ndarray.__ipow__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __ifloordiv__(self, *args, **kwargs): def __ifloordiv__(self, *args, **kwargs):
r = np.ndarray.__ifloordiv__(self, *args, **kwargs) r = np.ndarray.__ifloordiv__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __isub__(self, *args, **kwargs): def __isub__(self, *args, **kwargs):
r = np.ndarray.__isub__(self, *args, **kwargs) r = np.ndarray.__isub__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __ior__(self, *args, **kwargs): def __ior__(self, *args, **kwargs):
r = np.ndarray.__ior__(self, *args, **kwargs) r = np.ndarray.__ior__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __itruediv__(self, *args, **kwargs): def __itruediv__(self, *args, **kwargs):
r = np.ndarray.__itruediv__(self, *args, **kwargs) r = np.ndarray.__itruediv__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __idiv__(self, *args, **kwargs): def __idiv__(self, *args, **kwargs):
r = np.ndarray.__idiv__(self, *args, **kwargs) r = np.ndarray.__idiv__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __iand__(self, *args, **kwargs): def __iand__(self, *args, **kwargs):
r = np.ndarray.__iand__(self, *args, **kwargs) r = np.ndarray.__iand__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __imod__(self, *args, **kwargs): def __imod__(self, *args, **kwargs):
r = np.ndarray.__imod__(self, *args, **kwargs) r = np.ndarray.__imod__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __iadd__(self, *args, **kwargs): def __iadd__(self, *args, **kwargs):
r = np.ndarray.__iadd__(self, *args, **kwargs) r = np.ndarray.__iadd__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
def __imul__(self, *args, **kwargs): def __imul__(self, *args, **kwargs):
r = np.ndarray.__imul__(self, *args, **kwargs) r = np.ndarray.__imul__(self, *args, **kwargs)
self._notify_observers() self.notify_observers()
return r return r
# def __rrshift__(self, *args, **kwargs): # def __rrshift__(self, *args, **kwargs):
# r = np.ndarray.__rrshift__(self, *args, **kwargs) # r = np.ndarray.__rrshift__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __ror__(self, *args, **kwargs): # def __ror__(self, *args, **kwargs):
# r = np.ndarray.__ror__(self, *args, **kwargs) # r = np.ndarray.__ror__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rxor__(self, *args, **kwargs): # def __rxor__(self, *args, **kwargs):
# r = np.ndarray.__rxor__(self, *args, **kwargs) # r = np.ndarray.__rxor__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rdivmod__(self, *args, **kwargs): # def __rdivmod__(self, *args, **kwargs):
# r = np.ndarray.__rdivmod__(self, *args, **kwargs) # r = np.ndarray.__rdivmod__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __radd__(self, *args, **kwargs): # def __radd__(self, *args, **kwargs):
# r = np.ndarray.__radd__(self, *args, **kwargs) # r = np.ndarray.__radd__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rdiv__(self, *args, **kwargs): # def __rdiv__(self, *args, **kwargs):
# r = np.ndarray.__rdiv__(self, *args, **kwargs) # r = np.ndarray.__rdiv__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rtruediv__(self, *args, **kwargs): # def __rtruediv__(self, *args, **kwargs):
# r = np.ndarray.__rtruediv__(self, *args, **kwargs) # r = np.ndarray.__rtruediv__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rshift__(self, *args, **kwargs): # def __rshift__(self, *args, **kwargs):
# r = np.ndarray.__rshift__(self, *args, **kwargs) # r = np.ndarray.__rshift__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rmul__(self, *args, **kwargs): # def __rmul__(self, *args, **kwargs):
# r = np.ndarray.__rmul__(self, *args, **kwargs) # r = np.ndarray.__rmul__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rpow__(self, *args, **kwargs): # def __rpow__(self, *args, **kwargs):
# r = np.ndarray.__rpow__(self, *args, **kwargs) # r = np.ndarray.__rpow__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rsub__(self, *args, **kwargs): # def __rsub__(self, *args, **kwargs):
# r = np.ndarray.__rsub__(self, *args, **kwargs) # r = np.ndarray.__rsub__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r
# def __rfloordiv__(self, *args, **kwargs): # def __rfloordiv__(self, *args, **kwargs):
# r = np.ndarray.__rfloordiv__(self, *args, **kwargs) # r = np.ndarray.__rfloordiv__(self, *args, **kwargs)
# self._notify_observers() # self.notify_observers()
# return r # return r

3
GPy/core/parameterization/index_operations.py
View file

@ -62,6 +62,7 @@ class ParameterIndexOperations(object):
def clear(self): def clear(self):
self._properties.clear() self._properties.clear()
@property
def size(self): def size(self):
return reduce(lambda a,b: a+b.size, self.iterindices(), 0) return reduce(lambda a,b: a+b.size, self.iterindices(), 0)
@ -165,7 +166,7 @@ class ParameterIndexOperationsView(object):
for i, ind in self.items(): for i, ind in self.items():
self._param_index_ops.remove(i, ind+self._offset) self._param_index_ops.remove(i, ind+self._offset)
@property
def size(self): def size(self):
return reduce(lambda a,b: a+b.size, self.iterindices(), 0) return reduce(lambda a,b: a+b.size, self.iterindices(), 0)

60
GPy/core/parameterization/param.py
View file

@ -15,7 +15,7 @@ __precision__ = numpy.get_printoptions()['precision'] # numpy printing precision
__print_threshold__ = 5 __print_threshold__ = 5
###### ######
class Param(OptimizationHandlable, ObservableArray, Gradcheckable): class Param(OptimizationHandlable, ObservableArray):
""" """
Parameter object for GPy models. Parameter object for GPy models.
@ -54,7 +54,7 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
obj._tied_to_me_ = SetDict() obj._tied_to_me_ = SetDict()
obj._tied_to_ = [] obj._tied_to_ = []
obj._original_ = True obj._original_ = True
obj._gradient_ = None obj._gradient_array_ = numpy.zeros(obj.shape, dtype=numpy.float64)
return obj return obj
def __init__(self, name, input_array, default_constraint=None, *a, **kw): def __init__(self, name, input_array, default_constraint=None, *a, **kw):
@ -77,7 +77,7 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
# see InfoArray.__array_finalize__ for comments # see InfoArray.__array_finalize__ for comments
if obj is None: return if obj is None: return
super(Param, self).__array_finalize__(obj) super(Param, self).__array_finalize__(obj)
self._direct_parent_ = getattr(obj, '_direct_parent_', None) self._parent_ = getattr(obj, '_parent_', None)
self._parent_index_ = getattr(obj, '_parent_index_', None) self._parent_index_ = getattr(obj, '_parent_index_', None)
self._default_constraint_ = getattr(obj, '_default_constraint_', None) self._default_constraint_ = getattr(obj, '_default_constraint_', None)
self._current_slice_ = getattr(obj, '_current_slice_', None) self._current_slice_ = getattr(obj, '_current_slice_', None)
@ -89,16 +89,18 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
self._updated_ = getattr(obj, '_updated_', None) self._updated_ = getattr(obj, '_updated_', None)
self._original_ = getattr(obj, '_original_', None) self._original_ = getattr(obj, '_original_', None)
self._name = getattr(obj, 'name', None) self._name = getattr(obj, 'name', None)
self._gradient_ = getattr(obj, '_gradient_', None) self._gradient_array_ = getattr(obj, '_gradient_array_', None)
self.constraints = getattr(obj, 'constraints', None) self.constraints = getattr(obj, 'constraints', None)
self.priors = getattr(obj, 'priors', None) self.priors = getattr(obj, 'priors', None)
@property
def _param_array_(self):
return self
@property @property
def gradient(self): def gradient(self):
if self._gradient_ is None: return self._gradient_array_[self._current_slice_]
self._gradient_ = numpy.zeros(self._realshape_)
return self._gradient_[self._current_slice_]
@gradient.setter @gradient.setter
def gradient(self, val): def gradient(self, val):
self.gradient[:] = val self.gradient[:] = val
@ -110,7 +112,7 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
func, args, state = super(Param, self).__reduce__() func, args, state = super(Param, self).__reduce__()
return func, args, (state, return func, args, (state,
(self.name, (self.name,
self._direct_parent_, self._parent_,
self._parent_index_, self._parent_index_,
self._default_constraint_, self._default_constraint_,
self._current_slice_, self._current_slice_,
@ -135,7 +137,7 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
self._current_slice_ = state.pop() self._current_slice_ = state.pop()
self._default_constraint_ = state.pop() self._default_constraint_ = state.pop()
self._parent_index_ = state.pop() self._parent_index_ = state.pop()
self._direct_parent_ = state.pop() self._parent_ = state.pop()
self.name = state.pop() self.name = state.pop()
def copy(self, *args): def copy(self, *args):
@ -148,20 +150,20 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
#=========================================================================== #===========================================================================
# get/set parameters # get/set parameters
#=========================================================================== #===========================================================================
def _set_params(self, param, trigger_parent=True): # def _set_params(self, param, trigger_parent=True):
self.flat = param # self.flat = param
if trigger_parent: min_priority = None # if trigger_parent: min_priority = None
else: min_priority = -numpy.inf # else: min_priority = -numpy.inf
self._notify_observers(None, min_priority) # self.notify_observers(None, min_priority)
#
def _get_params(self): # def _get_params(self):
return self.flat # return self.flat
#
def _collect_gradient(self, target): # def _collect_gradient(self, target):
target += self.gradient.flat # target += self.gradient.flat
#
def _set_gradient(self, g): # def _set_gradient(self, g):
self.gradient = g.reshape(self._realshape_) # self.gradient = g.reshape(self._realshape_)
#=========================================================================== #===========================================================================
# Array operations -> done # Array operations -> done
@ -248,7 +250,7 @@ class Param(OptimizationHandlable, ObservableArray, Gradcheckable):
@property @property
def _description_str(self): def _description_str(self):
if self.size <= 1: if self.size <= 1:
return [str(numpy.take(self, 0))] return [str(self.view(numpy.ndarray)[0])]
else: return [str(self.shape)] else: return [str(self.shape)]
def parameter_names(self, add_self=False, adjust_for_printing=False): def parameter_names(self, add_self=False, adjust_for_printing=False):
if adjust_for_printing: if adjust_for_printing:
@ -362,7 +364,7 @@ class ParamConcatenation(object):
parents = dict() parents = dict()
for p in self.params: for p in self.params:
if p.has_parent(): if p.has_parent():
parent = p._direct_parent_ parent = p._parent_
level = 0 level = 0
while parent is not None: while parent is not None:
if parent in parents: if parent in parents:
@ -370,7 +372,7 @@ class ParamConcatenation(object):
else: else:
parents[parent] = level parents[parent] = level
level += 1 level += 1
parent = parent._direct_parent_ parent = parent._parent_
import operator import operator
self.parents = map(lambda x: x[0], sorted(parents.iteritems(), key=operator.itemgetter(1))) self.parents = map(lambda x: x[0], sorted(parents.iteritems(), key=operator.itemgetter(1)))
#=========================================================================== #===========================================================================
@ -391,13 +393,13 @@ class ParamConcatenation(object):
if update: if update:
self.update_all_params() self.update_all_params()
def _vals(self): def _vals(self):
return numpy.hstack([p._get_params() for p in self.params]) return numpy.hstack([p._param_array_ for p in self.params])
#=========================================================================== #===========================================================================
# parameter operations: # parameter operations:
#=========================================================================== #===========================================================================
def update_all_params(self): def update_all_params(self):
for par in self.parents: for par in self.parents:
par._notify_observers(-numpy.inf) par.notify_observers(-numpy.inf)
def constrain(self, constraint, warning=True): def constrain(self, constraint, warning=True):
[param.constrain(constraint, trigger_parent=False) for param in self.params] [param.constrain(constraint, trigger_parent=False) for param in self.params]

463
GPy/core/parameterization/parameter_core.py
View file

@ -1,26 +1,51 @@
# Copyright (c) 2012, GPy authors (see AUTHORS.txt). # Copyright (c) 2012, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt) # Licensed under the BSD 3-clause license (see LICENSE.txt)
"""
Core module for parameterization.
This module implements all parameterization techniques, split up in modular bits.
HierarchyError:
raised when an error with the hierarchy occurs (circles etc.)
Observable:
Observable Pattern for patameterization
"""
from transformations import Transformation, Logexp, NegativeLogexp, Logistic, __fixed__, FIXED, UNFIXED from transformations import Transformation, Logexp, NegativeLogexp, Logistic, __fixed__, FIXED, UNFIXED
import numpy as np import numpy as np
import itertools
__updated__ = '2013-12-16' __updated__ = '2013-12-16'
class HierarchyError(Exception): class HierarchyError(Exception):
""" """
Gets thrown when something is wrong with the parameter hierarchy Gets thrown when something is wrong with the parameter hierarchy.
""" """
def adjust_name_for_printing(name): def adjust_name_for_printing(name):
"""
Make sure a name can be printed, alongside used as a variable name.
"""
if name is not None: if name is not None:
return name.replace(" ", "_").replace(".", "_").replace("-", "").replace("+", "").replace("!", "").replace("*", "").replace("/", "") return name.replace(" ", "_").replace(".", "_").replace("-", "_m_").replace("+", "_p_").replace("!", "_I_").replace("**", "_xx_").replace("*", "_x_").replace("/", "_l_").replace("@",'_at_')
return '' return ''
class Observable(object): class Observable(object):
"""
Observable pattern for parameterization.
This Object allows for observers to register with self and a (bound!) function
as an observer. Every time the observable changes, it sends a notification with
self as only argument to all its observers.
"""
_updated = True _updated = True
def __init__(self, *args, **kwargs): def __init__(self, *args, **kwargs):
self._observer_callables_ = [] self._observer_callables_ = []
def __del__(self, *args, **kwargs):
del self._observer_callables_
def add_observer(self, observer, callble, priority=0): def add_observer(self, observer, callble, priority=0):
self._insert_sorted(priority, observer, callble) self._insert_sorted(priority, observer, callble)
@ -35,8 +60,8 @@ class Observable(object):
to_remove.append((p, obs, clble)) to_remove.append((p, obs, clble))
for r in to_remove: for r in to_remove:
self._observer_callables_.remove(r) self._observer_callables_.remove(r)
def _notify_observers(self, which=None, min_priority=None): def notify_observers(self, which=None, min_priority=None):
""" """
Notifies all observers. Which is the element, which kicked off this Notifies all observers. Which is the element, which kicked off this
notification loop. notification loop.
@ -67,6 +92,41 @@ class Observable(object):
self._observer_callables_.insert(ins, (p, o, c)) self._observer_callables_.insert(ins, (p, o, c))
class Pickleable(object): class Pickleable(object):
"""
Make an object pickleable (See python doc 'pickling').
This class allows for pickling support by Memento pattern.
_getstate returns a memento of the class, which gets pickled.
_setstate(<memento>) (re-)sets the state of the class to the memento
"""
#===========================================================================
# Pickling operations
#===========================================================================
def pickle(self, f, protocol=-1):
"""
:param f: either filename or open file object to write to.
if it is an open buffer, you have to make sure to close
it properly.
:param protocol: pickling protocol to use, python-pickle for details.
"""
import cPickle
if isinstance(f, str):
with open(f, 'w') as f:
cPickle.dump(self, f, protocol)
else:
cPickle.dump(self, f, protocol)
def __getstate__(self):
if self._has_get_set_state():
return self._getstate()
return self.__dict__
def __setstate__(self, state):
if self._has_get_set_state():
self._setstate(state)
# TODO: maybe parameters_changed() here?
return
self.__dict__ = state
def _has_get_set_state(self):
return '_getstate' in vars(self.__class__) and '_setstate' in vars(self.__class__)
def _getstate(self): def _getstate(self):
""" """
Returns the state of this class in a memento pattern. Returns the state of this class in a memento pattern.
@ -93,70 +153,145 @@ class Pickleable(object):
#=============================================================================== #===============================================================================
class Parentable(object): class Parentable(object):
_direct_parent_ = None """
Enable an Object to have a parent.
Additionally this adds the parent_index, which is the index for the parent
to look for in its parameter list.
"""
_parent_ = None
_parent_index_ = None _parent_index_ = None
def has_parent(self): def has_parent(self):
return self._direct_parent_ is not None """
Return whether this parentable object currently has a parent.
def _notify_parent_change(self): """
for p in self._parameters_: return self._parent_ is not None
p._parent_changed(self)
def _parent_changed(self): def _parent_changed(self):
"""
Gets called, when the parent changed, so we can adjust our
inner attributes according to the new parent.
"""
raise NotImplementedError, "shouldnt happen, Parentable objects need to be able to change their parent" raise NotImplementedError, "shouldnt happen, Parentable objects need to be able to change their parent"
def _disconnect_parent(self, *args, **kw):
"""
Disconnect this object from its parent
"""
raise NotImplementedError, "Abstaract superclass"
@property @property
def _highest_parent_(self): def _highest_parent_(self):
if self._direct_parent_ is None: """
Gets the highest parent by traversing up to the root node of the hierarchy.
"""
if self._parent_ is None:
return self return self
return self._direct_parent_._highest_parent_ return self._parent_._highest_parent_
def _notify_parameters_changed(self): def _notify_parent_change(self):
raise NotImplementedError, "shouldnt happen, abstract superclass" """
Dont do anything if in leaf node
"""
pass
class Gradcheckable(Parentable):
"""
Adds the functionality for an object to be gradcheckable.
It is just a thin wrapper of a call to the highest parent for now.
TODO: Can be done better, by only changing parameters of the current parameter handle,
such that object hierarchy only has to change for those.
"""
def __init__(self, *a, **kw):
super(Gradcheckable, self).__init__(*a, **kw)
def checkgrad(self, verbose=0, step=1e-6, tolerance=1e-3):
"""
Check the gradient of this parameter with respect to the highest parent's
objective function.
This is a three point estimate of the gradient, wiggling at the parameters
with a stepsize step.
The check passes if either the ratio or the difference between numerical and
analytical gradient is smaller then tolerance.
class Nameable(Parentable): :param bool verbose: whether each parameter shall be checked individually.
:param float step: the stepsize for the numerical three point gradient estimate.
:param flaot tolerance: the tolerance for the gradient ratio or difference.
"""
if self.has_parent():
return self._highest_parent_._checkgrad(self, verbose=verbose, step=step, tolerance=tolerance)
return self._checkgrad(self[''], verbose=verbose, step=step, tolerance=tolerance)
def _checkgrad(self, param):
"""
Perform the checkgrad on the model.
TODO: this can be done more efficiently, when doing it inside here
"""
raise NotImplementedError, "Need log likelihood to check gradient against"
class Nameable(Gradcheckable):
"""
Make an object nameable inside the hierarchy.
"""
def __init__(self, name, *a, **kw): def __init__(self, name, *a, **kw):
super(Nameable, self).__init__(*a, **kw) super(Nameable, self).__init__(*a, **kw)
self._name = name or self.__class__.__name__ self._name = name or self.__class__.__name__
@property @property
def name(self): def name(self):
"""
The name of this object
"""
return self._name return self._name
@name.setter @name.setter
def name(self, name): def name(self, name):
"""
Set the name of this object.
Tell the parent if the name has changed.
"""
from_name = self.name from_name = self.name
assert isinstance(name, str) assert isinstance(name, str)
self._name = name self._name = name
if self.has_parent(): if self.has_parent():
self._direct_parent_._name_changed(self, from_name) self._parent_._name_changed(self, from_name)
def hierarchy_name(self, adjust_for_printing=True): def hierarchy_name(self, adjust_for_printing=True):
"""
return the name for this object with the parents names attached by dots.
:param bool adjust_for_printing: whether to call :func:`~adjust_for_printing()`
on the names, recursively
"""
if adjust_for_printing: adjust = lambda x: adjust_name_for_printing(x) if adjust_for_printing: adjust = lambda x: adjust_name_for_printing(x)
else: adjust = lambda x: x else: adjust = lambda x: x
if self.has_parent(): if self.has_parent():
return self._direct_parent_.hierarchy_name() + "." + adjust(self.name) return self._parent_.hierarchy_name() + "." + adjust(self.name)
return adjust(self.name) return adjust(self.name)
class Gradcheckable(Parentable):
def __init__(self, *a, **kw):
super(Gradcheckable, self).__init__(*a, **kw)
def checkgrad(self, verbose=0, step=1e-6, tolerance=1e-3):
if self.has_parent():
return self._highest_parent_._checkgrad(self, verbose=verbose, step=step, tolerance=tolerance)
return self._checkgrad(self[''], verbose=verbose, step=step, tolerance=tolerance)
def _checkgrad(self, param):
raise NotImplementedError, "Need log likelihood to check gradient against"
class Indexable(object): class Indexable(object):
"""
Enable enraveled indexes and offsets for this object.
The raveled index of an object is the index for its parameters in a flattened int array.
"""
def _raveled_index(self): def _raveled_index(self):
"""
Flattened array of ints, specifying the index of this object.
This has to account for shaped parameters!
"""
raise NotImplementedError, "Need to be able to get the raveled Index" raise NotImplementedError, "Need to be able to get the raveled Index"
def _internal_offset(self): def _internal_offset(self):
"""
The offset for this parameter inside its parent.
This has to account for shaped parameters!
"""
return 0 return 0
def _offset_for(self, param): def _offset_for(self, param):
"""
Return the offset of the param inside this parameterized object.
This does not need to account for shaped parameters, as it
basically just sums up the parameter sizes which come before param.
"""
raise NotImplementedError, "shouldnt happen, offset required from non parameterization object?" raise NotImplementedError, "shouldnt happen, offset required from non parameterization object?"
def _raveled_index_for(self, param): def _raveled_index_for(self, param):
@ -169,6 +304,15 @@ class Indexable(object):
class Constrainable(Nameable, Indexable): class Constrainable(Nameable, Indexable):
"""
Make an object constrainable with Priors and Transformations.
TODO: Mappings!!
Adding a constraint to a Parameter means to tell the highest parent that
the constraint was added and making sure that all parameters covered
by this object are indeed conforming to the constraint.
:func:`constrain()` and :func:`unconstrain()` are main methods here
"""
def __init__(self, name, default_constraint=None, *a, **kw): def __init__(self, name, default_constraint=None, *a, **kw):
super(Constrainable, self).__init__(name=name, *a, **kw) super(Constrainable, self).__init__(name=name, *a, **kw)
self._default_constraint_ = default_constraint self._default_constraint_ = default_constraint
@ -178,12 +322,16 @@ class Constrainable(Nameable, Indexable):
if self._default_constraint_ is not None: if self._default_constraint_ is not None:
self.constrain(self._default_constraint_) self.constrain(self._default_constraint_)
def _disconnect_parent(self, constr=None): def _disconnect_parent(self, constr=None, *args, **kw):
"""
From Parentable:
disconnect the parent and set the new constraints to constr
"""
if constr is None: if constr is None:
constr = self.constraints.copy() constr = self.constraints.copy()
self.constraints.clear() self.constraints.clear()
self.constraints = constr self.constraints = constr
self._direct_parent_ = None self._parent_ = None
self._parent_index_ = None self._parent_index_ = None
self._connect_fixes() self._connect_fixes()
self._notify_parent_change() self._notify_parent_change()
@ -193,7 +341,7 @@ class Constrainable(Nameable, Indexable):
#=========================================================================== #===========================================================================
def constrain_fixed(self, value=None, warning=True, trigger_parent=True): def constrain_fixed(self, value=None, warning=True, trigger_parent=True):
""" """
Constrain this paramter to be fixed to the current value it carries. Constrain this parameter to be fixed to the current value it carries.
:param warning: print a warning for overwriting constraints. :param warning: print a warning for overwriting constraints.
""" """
@ -237,11 +385,20 @@ class Constrainable(Nameable, Indexable):
#=========================================================================== #===========================================================================
# Prior Operations # Prior Operations
#=========================================================================== #===========================================================================
def set_prior(self, prior, warning=True, trigger_parent=True): def set_prior(self, prior, warning=True):
"""
Set the prior for this object to prior.
:param :class:`~GPy.priors.Prior` prior: a prior to set for this parameter
:param bool warning: whether to warn if another prior was set for this parameter
"""
repriorized = self.unset_priors() repriorized = self.unset_priors()
self._add_to_index_operations(self.priors, repriorized, prior, warning) self._add_to_index_operations(self.priors, repriorized, prior, warning)
def unset_priors(self, *priors): def unset_priors(self, *priors):
"""
Un-set all priors given from this parameter handle.
"""
return self._remove_from_index_operations(self.priors, priors) return self._remove_from_index_operations(self.priors, priors)
def log_prior(self): def log_prior(self):
@ -274,7 +431,7 @@ class Constrainable(Nameable, Indexable):
:py:class:`GPy.core.transformations.Transformation`. :py:class:`GPy.core.transformations.Transformation`.
""" """
if isinstance(transform, Transformation): if isinstance(transform, Transformation):
self._set_params(transform.initialize(self._get_params()), trigger_parent=trigger_parent) self._param_array_[:] = transform.initialize(self._param_array_)
reconstrained = self.unconstrain() reconstrained = self.unconstrain()
self._add_to_index_operations(self.constraints, reconstrained, transform, warning) self._add_to_index_operations(self.constraints, reconstrained, transform, warning)
@ -333,6 +490,10 @@ class Constrainable(Nameable, Indexable):
self.unconstrain(Logistic(lower, upper)) self.unconstrain(Logistic(lower, upper))
def _parent_changed(self, parent): def _parent_changed(self, parent):
"""
From Parentable:
Called when the parent changed
"""
from index_operations import ParameterIndexOperationsView from index_operations import ParameterIndexOperationsView
self.constraints = ParameterIndexOperationsView(parent.constraints, parent._offset_for(self), self.size) self.constraints = ParameterIndexOperationsView(parent.constraints, parent._offset_for(self), self.size)
self.priors = ParameterIndexOperationsView(parent.priors, parent._offset_for(self), self.size) self.priors = ParameterIndexOperationsView(parent.priors, parent._offset_for(self), self.size)
@ -340,14 +501,25 @@ class Constrainable(Nameable, Indexable):
for p in self._parameters_: for p in self._parameters_:
p._parent_changed(parent) p._parent_changed(parent)
def _add_to_index_operations(self, which, reconstrained, transform, warning): def _add_to_index_operations(self, which, reconstrained, what, warning):
"""
Helper preventing copy code.
This addes the given what (transformation, prior etc) to parameter index operations which.
revonstrained are reconstrained indices.
warn when reconstraining parameters if warning is True.
TODO: find out which parameters have changed specifically
"""
if warning and reconstrained.size > 0: if warning and reconstrained.size > 0:
# TODO: figure out which parameters have changed and only print those # TODO: figure out which parameters have changed and only print those
print "WARNING: reconstraining parameters {}".format(self.parameter_names() or self.name) print "WARNING: reconstraining parameters {}".format(self.parameter_names() or self.name)
which.add(transform, self._raveled_index()) which.add(what, self._raveled_index())
def _remove_from_index_operations(self, which, transforms): def _remove_from_index_operations(self, which, what):
if len(transforms) == 0: """
Helper preventing copy code.
Remove given what (transform prior etc) from which param index ops.
"""
if len(what) == 0:
transforms = which.properties() transforms = which.properties()
removed = np.empty((0,), dtype=int) removed = np.empty((0,), dtype=int)
for t in transforms: for t in transforms:
@ -359,36 +531,67 @@ class Constrainable(Nameable, Indexable):
return removed return removed
class OptimizationHandlable(Constrainable, Observable): class OptimizationHandlable(Constrainable, Observable):
"""
This enables optimization handles on an Object as done in GPy 0.4.
transformed: make sure the transformations and constraints etc are handled
"""
def transform(self):
[np.put(self._param_array_, ind, c.finv(self._param_array_[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__]
def untransform(self):
[np.put(self._param_array_, ind, c.f(self._param_array_[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__]
def _get_params_transformed(self): def _get_params_transformed(self):
# transformed parameters (apply transformation rules) # transformed parameters (apply transformation rules)
p = self._get_params() p = self._param_array_.copy()
[np.put(p, ind, c.finv(p[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__] [np.put(p, ind, c.finv(p[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__]
if self._has_fixes(): if self._has_fixes():
return p[self._fixes_] return p[self._fixes_]
return p return p
def _set_params_transformed(self, p): def _set_params_transformed(self, p):
# inverse apply transformations for parameters and set the resulting parameters if p is self._param_array_:
self._set_params(self._untransform_params(p)) p = p.copy()
if self._has_fixes(): self._param_array_[self._fixes_] = p
else: self._param_array_[:] = p
self.untransform()
self._trigger_params_changed()
def _trigger_params_changed(self, trigger_parent=True):
[p._trigger_params_changed(trigger_parent=False) for p in self._parameters_]
if trigger_parent: min_priority = None
else: min_priority = -np.inf
self.notify_observers(None, min_priority)
def _size_transformed(self): def _size_transformed(self):
return self.size - self.constraints[__fixed__].size return self.size - self.constraints[__fixed__].size
#
def _untransform_params(self, p): # def _untransform_params(self, p):
p = p.copy() # # inverse apply transformations for parameters
if self._has_fixes(): tmp = self._get_params(); tmp[self._fixes_] = p; p = tmp; del tmp # #p = p.copy()
[np.put(p, ind, c.f(p[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__] # if self._has_fixes(): tmp = self._get_params(); tmp[self._fixes_] = p; p = tmp; del tmp
return p # [np.put(p, ind, c.f(p[ind])) for c, ind in self.constraints.iteritems() if c != __fixed__]
# return p
def _get_params(self): #
# def _get_params(self):
# """
# get all parameters
# """
# return self._param_array_
# p = np.empty(self.size, dtype=np.float64)
# if self.size == 0:
# return p
# [np.put(p, ind, par._get_params()) for ind, par in itertools.izip(self._param)]
# return p
# def _set_params(self, params, trigger_parent=True):
# self._param_array_.flat = params
# if trigger_parent: min_priority = None
# else: min_priority = -np.inf
# self.notify_observers(None, min_priority)
# don't overwrite this anymore! # don't overwrite this anymore!
if not self.size: #raise NotImplementedError, "Abstract superclass: This needs to be implemented in Param and Parameterizable"
return np.empty(shape=(0,), dtype=np.float64)
return np.hstack([x._get_params() for x in self._parameters_ if x.size > 0])
def _set_params(self, params, trigger_parent=True):
# don't overwrite this anymore!
raise NotImplementedError, "This needs to be implemented in Param and Parametrizable"
#=========================================================================== #===========================================================================
# Optimization handles: # Optimization handles:
@ -396,6 +599,7 @@ class OptimizationHandlable(Constrainable, Observable):
def _get_param_names(self): def _get_param_names(self):
n = np.array([p.hierarchy_name() + '[' + str(i) + ']' for p in self.flattened_parameters for i in p._indices()]) n = np.array([p.hierarchy_name() + '[' + str(i) + ']' for p in self.flattened_parameters for i in p._indices()])
return n return n
def _get_param_names_transformed(self): def _get_param_names_transformed(self):
n = self._get_param_names() n = self._get_param_names()
if self._has_fixes(): if self._has_fixes():
@ -405,28 +609,40 @@ class OptimizationHandlable(Constrainable, Observable):
#=========================================================================== #===========================================================================
# Randomizeable # Randomizeable
#=========================================================================== #===========================================================================
def randomize(self): def randomize(self, rand_gen=np.random.normal, loc=0, scale=1, *args, **kwargs):
""" """
Randomize the model. Randomize the model.
Make this draw from the prior if one exists, else draw from N(0,1) Make this draw from the prior if one exists, else draw from given random generator
:param rand_gen: numpy random number generator which takes args and kwargs
:param flaot loc: loc parameter for random number generator
:param float scale: scale parameter for random number generator
:param args, kwargs: will be passed through to random number generator
""" """
# first take care of all parameters (from N(0,1)) # first take care of all parameters (from N(0,1))
# x = self._get_params_transformed() x = rand_gen(loc=loc, scale=scale, size=self._size_transformed(), *args, **kwargs)
x = np.random.randn(self._size_transformed())
x = self._untransform_params(x)
# now draw from prior where possible # now draw from prior where possible
[np.put(x, ind, p.rvs(ind.size)) for p, ind in self.priors.iteritems() if not p is None] [np.put(x, ind, p.rvs(ind.size)) for p, ind in self.priors.iteritems() if not p is None]
self._set_params(x) self._set_params_transformed(x) # makes sure all of the tied parameters get the same init (since there's only one prior object...)
# self._set_params_transformed(self._get_params_transformed()) # makes sure all of the tied parameters get the same init (since there's only one prior object...)
class Parameterizable(OptimizationHandlable): class Parameterizable(OptimizationHandlable):
def __init__(self, *args, **kwargs): def __init__(self, *args, **kwargs):
super(Parameterizable, self).__init__(*args, **kwargs) super(Parameterizable, self).__init__(*args, **kwargs)
from GPy.core.parameterization.lists_and_dicts import ArrayList from GPy.core.parameterization.lists_and_dicts import ArrayList
_parameters_ = ArrayList() _parameters_ = ArrayList()
self.size = 0
self._param_array_ = np.empty(self.size, dtype=np.float64)
self._gradient_array_ = np.empty(self.size, dtype=np.float64)
self._added_names_ = set() self._added_names_ = set()
def parameter_names(self, add_self=False, adjust_for_printing=False, recursive=True): def parameter_names(self, add_self=False, adjust_for_printing=False, recursive=True):
"""
Get the names of all parameters of this model.
:param bool add_self: whether to add the own name in front of names
:param bool adjust_for_printing: whether to call `adjust_name_for_printing` on names
:param bool recursive: whether to traverse through hierarchy and append leaf node names
"""
if adjust_for_printing: adjust = lambda x: adjust_name_for_printing(x) if adjust_for_printing: adjust = lambda x: adjust_name_for_printing(x)
else: adjust = lambda x: x else: adjust = lambda x: x
if recursive: names = [xi for x in self._parameters_ for xi in x.parameter_names(add_self=True, adjust_for_printing=adjust_for_printing)] if recursive: names = [xi for x in self._parameters_ for xi in x.parameter_names(add_self=True, adjust_for_printing=adjust_for_printing)]
@ -438,8 +654,11 @@ class Parameterizable(OptimizationHandlable):
def num_params(self): def num_params(self):
return len(self._parameters_) return len(self._parameters_)
def _add_parameter_name(self, param): def _add_parameter_name(self, param, ignore_added_names=False):
pname = adjust_name_for_printing(param.name) pname = adjust_name_for_printing(param.name)
if ignore_added_names:
self.__dict__[pname] = param
return
# and makes sure to not delete programmatically added parameters # and makes sure to not delete programmatically added parameters
if pname in self.__dict__: if pname in self.__dict__:
if not (param is self.__dict__[pname]): if not (param is self.__dict__[pname]):
@ -461,28 +680,42 @@ class Parameterizable(OptimizationHandlable):
def _name_changed(self, param, old_name): def _name_changed(self, param, old_name):
self._remove_parameter_name(None, old_name) self._remove_parameter_name(None, old_name)
self._add_parameter_name(param) self._add_parameter_name(param)
def _collect_gradient(self, target): #=========================================================================
import itertools # Gradient handling
[p._collect_gradient(target[s]) for p, s in itertools.izip(self._parameters_, self._param_slices_)] #=========================================================================
@property
def gradient(self):
return self._gradient_array_
@gradient.setter
def gradient(self, val):
self._gradient_array_[:] = val
#===========================================================================
# def _collect_gradient(self, target):
# [p._collect_gradient(target[s]) for p, s in itertools.izip(self._parameters_, self._param_slices_)]
#===========================================================================
def _set_params(self, params, trigger_parent=True): #===========================================================================
import itertools # def _set_params(self, params, trigger_parent=True):
[p._set_params(params[s], trigger_parent=False) for p, s in itertools.izip(self._parameters_, self._param_slices_)] # [p._set_params(params[s], trigger_parent=False) for p, s in itertools.izip(self._parameters_, self._param_slices_)]
if trigger_parent: min_priority = None # if trigger_parent: min_priority = None
else: min_priority = -np.inf # else: min_priority = -np.inf
self._notify_observers(None, min_priority) # self.notify_observers(None, min_priority)
#===========================================================================
def _set_gradient(self, g): #===========================================================================
import itertools # def _set_gradient(self, g):
[p._set_gradient(g[s]) for p, s in itertools.izip(self._parameters_, self._param_slices_)] # [p._set_gradient(g[s]) for p, s in itertools.izip(self._parameters_, self._param_slices_)]
#===========================================================================
def add_parameter(self, param, index=None): def add_parameter(self, param, index=None, _ignore_added_names=False):
""" """
:param parameters: the parameters to add :param parameters: the parameters to add
:type parameters: list of or one :py:class:`GPy.core.param.Param` :type parameters: list of or one :py:class:`GPy.core.param.Param`
:param [index]: index of where to put parameters :param [index]: index of where to put parameters
:param bool _ignore_added_names: whether the name of the parameter overrides a possibly existing field
Add all parameters to this param class, you can insert parameters Add all parameters to this param class, you can insert parameters
at any given index using the :func:`list.insert` syntax at any given index using the :func:`list.insert` syntax
@ -494,12 +727,12 @@ class Parameterizable(OptimizationHandlable):
self.add_parameter(param, index) self.add_parameter(param, index)
elif param not in self._parameters_: elif param not in self._parameters_:
if param.has_parent(): if param.has_parent():
parent = param._direct_parent_ parent = param._parent_
while parent is not None: while parent is not None:
if parent is self: if parent is self:
raise HierarchyError, "You cannot add a parameter twice into the hirarchy" raise HierarchyError, "You cannot add a parameter twice into the hierarchy"
parent = parent._direct_parent_ parent = parent._parent_
param._direct_parent_.remove_parameter(param) param._parent_.remove_parameter(param)
# make sure the size is set # make sure the size is set
if index is None: if index is None:
self.constraints.update(param.constraints, self.size) self.constraints.update(param.constraints, self.size)
@ -517,7 +750,7 @@ class Parameterizable(OptimizationHandlable):
self.size += param.size self.size += param.size
self._connect_parameters() self._connect_parameters(ignore_added_names=_ignore_added_names)
self._notify_parent_change() self._notify_parent_change()
self._connect_fixes() self._connect_fixes()
else: else:
@ -551,14 +784,14 @@ class Parameterizable(OptimizationHandlable):
self._connect_parameters() self._connect_parameters()
self._notify_parent_change() self._notify_parent_change()
parent = self._direct_parent_ parent = self._parent_
while parent is not None: while parent is not None:
parent._connect_fixes() parent._connect_fixes()
parent._connect_parameters() parent._connect_parameters()
parent._notify_parent_change() parent._notify_parent_change()
parent = parent._direct_parent_ parent = parent._parent_
def _connect_parameters(self): def _connect_parameters(self, ignore_added_names=False):
# connect parameterlist to this parameterized object # connect parameterlist to this parameterized object
# This just sets up the right connection for the params objects # This just sets up the right connection for the params objects
# to be used as parameters # to be used as parameters
@ -567,14 +800,35 @@ class Parameterizable(OptimizationHandlable):
if not hasattr(self, "_parameters_") or len(self._parameters_) < 1: if not hasattr(self, "_parameters_") or len(self._parameters_) < 1:
# no parameters for this class # no parameters for this class
return return
sizes = [0] old_size = 0
self._param_array_ = np.empty(self.size, dtype=np.float64)
self._gradient_array_ = np.empty(self.size, dtype=np.float64)
self._param_slices_ = [] self._param_slices_ = []
for i, p in enumerate(self._parameters_): for i, p in enumerate(self._parameters_):
p._direct_parent_ = self p._parent_ = self
p._parent_index_ = i p._parent_index_ = i
sizes.append(p.size + sizes[-1])
self._param_slices_.append(slice(sizes[-2], sizes[-1])) pslice = slice(old_size, old_size+p.size)
self._add_parameter_name(p) pi_old_size = old_size
for pi in p.flattened_parameters:
pislice = slice(pi_old_size, pi_old_size+pi.size)
self._param_array_[pislice] = pi._param_array_.flat
self._gradient_array_[pislice] = pi._gradient_array_.flat
pi._param_array_.data = self._param_array_[pislice].data
pi._gradient_array_.data = self._gradient_array_[pislice].data
pi_old_size += pi.size
p._param_array_.data = self._param_array_[pslice].data
p._gradient_array_.data = self._gradient_array_[pslice].data
self._param_slices_.append(pslice)
self._add_parameter_name(p, ignore_added_names=ignore_added_names)
old_size += p.size
#=========================================================================== #===========================================================================
# notification system # notification system
@ -582,7 +836,7 @@ class Parameterizable(OptimizationHandlable):
def _parameters_changed_notification(self, which): def _parameters_changed_notification(self, which):
self.parameters_changed() self.parameters_changed()
def _pass_through_notify_observers(self, which): def _pass_through_notify_observers(self, which):
self._notify_observers(which) self.notify_observers(which)
#=========================================================================== #===========================================================================
# TODO: not working yet # TODO: not working yet
@ -595,7 +849,7 @@ class Parameterizable(OptimizationHandlable):
dc = dict() dc = dict()
for k, v in self.__dict__.iteritems(): for k, v in self.__dict__.iteritems():
if k not in ['_direct_parent_', '_parameters_', '_parent_index_', '_observer_callables_'] + self.parameter_names(): if k not in ['_parent_', '_parameters_', '_parent_index_', '_observer_callables_'] + self.parameter_names(recursive=False):
if isinstance(v, (Constrainable, ParameterIndexOperations, ParameterIndexOperationsView)): if isinstance(v, (Constrainable, ParameterIndexOperations, ParameterIndexOperationsView)):
dc[k] = v.copy() dc[k] = v.copy()
else: else:
@ -603,7 +857,7 @@ class Parameterizable(OptimizationHandlable):
if k == '_parameters_': if k == '_parameters_':
params = [p.copy() for p in v] params = [p.copy() for p in v]
dc['_direct_parent_'] = None dc['_parent_'] = None
dc['_parent_index_'] = None dc['_parent_index_'] = None
dc['_observer_callables_'] = [] dc['_observer_callables_'] = []
dc['_parameters_'] = ArrayList() dc['_parameters_'] = ArrayList()
@ -615,11 +869,20 @@ class Parameterizable(OptimizationHandlable):
s.__dict__ = dc s.__dict__ = dc
for p in params: for p in params:
import ipdb;ipdb.set_trace() s.add_parameter(p, _ignore_added_names=True)
s.add_parameter(p)
return s return s
#===========================================================================
# From being parentable, we have to define the parent_change notification
#===========================================================================
def _notify_parent_change(self):
"""
Notify all parameters that the parent has changed
"""
for p in self._parameters_:
p._parent_changed(self)
def parameters_changed(self): def parameters_changed(self):
""" """
This method gets called when parameters have changed. This method gets called when parameters have changed.

76
GPy/core/parameterization/parameterized.py
View file

@ -7,11 +7,17 @@ import cPickle
import itertools import itertools
from re import compile, _pattern_type from re import compile, _pattern_type
from param import ParamConcatenation from param import ParamConcatenation
from parameter_core import Pickleable, Parameterizable, adjust_name_for_printing, Gradcheckable from parameter_core import Pickleable, Parameterizable, adjust_name_for_printing
from transformations import __fixed__ from transformations import __fixed__
from lists_and_dicts import ArrayList from lists_and_dicts import ArrayList
class Parameterized(Parameterizable, Pickleable, Gradcheckable): class ParametersChangedMeta(type):
def __call__(self, *args, **kw):
instance = super(ParametersChangedMeta, self).__call__(*args, **kw)
instance.parameters_changed()
return instance
class Parameterized(Parameterizable, Pickleable):
""" """
Parameterized class Parameterized class
@ -53,6 +59,12 @@ class Parameterized(Parameterizable, Pickleable, Gradcheckable):
If you want to operate on all parameters use m[''] to wildcard select all paramters If you want to operate on all parameters use m[''] to wildcard select all paramters
and concatenate them. Printing m[''] will result in printing of all parameters in detail. and concatenate them. Printing m[''] will result in printing of all parameters in detail.
""" """
#===========================================================================
# Metaclass for parameters changed after init.
# This makes sure, that parameters changed will always be called after __init__
# **Never** call parameters_changed() yourself
__metaclass__ = ParametersChangedMeta
#===========================================================================
def __init__(self, name=None, *a, **kw): def __init__(self, name=None, *a, **kw):
super(Parameterized, self).__init__(name=name, parent=None, parent_index=None, *a, **kw) super(Parameterized, self).__init__(name=name, parent=None, parent_index=None, *a, **kw)
self._in_init_ = True self._in_init_ = True
@ -88,39 +100,7 @@ class Parameterized(Parameterizable, Pickleable, Gradcheckable):
return G return G
return node return node
#===========================================================================
# Pickling operations
#===========================================================================
def pickle(self, f, protocol=-1):
"""
:param f: either filename or open file object to write to.
if it is an open buffer, you have to make sure to close
it properly.
:param protocol: pickling protocol to use, python-pickle for details.
"""
if isinstance(f, str):
with open(f, 'w') as f:
cPickle.dump(self, f, protocol)
else:
cPickle.dump(self, f, protocol)
def copy(self):
c = super(Parameterized, self).copy()
c.add_observer(c, c._parameters_changed_notification, -100)
return c
def __getstate__(self):
if self._has_get_set_state():
return self._getstate()
return self.__dict__
def __setstate__(self, state):
if self._has_get_set_state():
self._setstate(state) # set state
# self._set_params(self._get_params()) # restore all values
return
self.__dict__ = state
def _has_get_set_state(self):
return '_getstate' in vars(self.__class__) and '_setstate' in vars(self.__class__)
def _getstate(self): def _getstate(self):
""" """
Get the current state of the class, Get the current state of the class,
@ -149,25 +129,33 @@ class Parameterized(Parameterizable, Pickleable, Gradcheckable):
self._connect_parameters() self._connect_parameters()
self.parameters_changed() self.parameters_changed()
#=========================================================================== #===========================================================================
# Override copy to handle programmatically added observers
#===========================================================================
def copy(self):
c = super(Pickleable, self).copy()
c.add_observer(c, c._parameters_changed_notification, -100)
return c
#===========================================================================
# Gradient control # Gradient control
#=========================================================================== #===========================================================================
def _transform_gradients(self, g): def _transform_gradients(self, g):
if self.has_parent(): if self.has_parent():
return g return g
x = self._get_params() [numpy.put(g, i, g[i] * c.gradfactor(self._param_array_[i])) for c, i in self.constraints.iteritems() if c != __fixed__]
[numpy.put(g, i, g[i] * c.gradfactor(x[i])) for c, i in self.constraints.iteritems() if c != __fixed__]
for p in self.flattened_parameters:
for t, i in p._tied_to_me_.iteritems():
g[self._offset_for(p) + numpy.array(list(i))] += g[self._raveled_index_for(t)]
if self._has_fixes(): return g[self._fixes_] if self._has_fixes(): return g[self._fixes_]
return g return g
#===========================================================================
# Indexable
#===========================================================================
def _offset_for(self, param): def _offset_for(self, param):
# get the offset in the parameterized index array for param # get the offset in the parameterized index array for param
if param.has_parent(): if param.has_parent():
if param._direct_parent_._get_original(param) in self._parameters_: if param._parent_._get_original(param) in self._parameters_:
return self._param_slices_[param._direct_parent_._get_original(param)._parent_index_].start return self._param_slices_[param._parent_._get_original(param)._parent_index_].start
return self._offset_for(param._direct_parent_) + param._direct_parent_._offset_for(param) return self._offset_for(param._parent_) + param._parent_._offset_for(param)
return 0 return 0
def _raveled_index_for(self, param): def _raveled_index_for(self, param):
@ -229,8 +217,8 @@ class Parameterized(Parameterizable, Pickleable, Gradcheckable):
return ParamConcatenation(paramlist) return ParamConcatenation(paramlist)
def __setitem__(self, name, value, paramlist=None): def __setitem__(self, name, value, paramlist=None):
if isinstance(name, slice): if isinstance(name, (slice, tuple, np.ndarray)):
self[''][name] = value self._param_array_[name] = value
else: else:
try: param = self.__getitem__(name, paramlist) try: param = self.__getitem__(name, paramlist)
except AttributeError as a: raise a except AttributeError as a: raise a

4
GPy/core/parameterization/transformations.py
View file

@ -10,7 +10,7 @@ import sys
#_lim_val = -np.log(sys.float_info.epsilon) #_lim_val = -np.log(sys.float_info.epsilon)
_exp_lim_val = np.finfo(np.float64).max _exp_lim_val = np.finfo(np.float64).max
_lim_val = np.log(_exp_lim_val)# _lim_val = np.log(_exp_lim_val)
#=============================================================================== #===============================================================================
# Fixing constants # Fixing constants
@ -57,7 +57,7 @@ class Logexp(Transformation):
return np.where(x>_lim_val, x, np.log(1. + np.exp(np.clip(x, -_lim_val, _lim_val)))) return np.where(x>_lim_val, x, np.log(1. + np.exp(np.clip(x, -_lim_val, _lim_val))))
#raises overflow warning: return np.where(x>_lim_val, x, np.log(1. + np.exp(x))) #raises overflow warning: return np.where(x>_lim_val, x, np.log(1. + np.exp(x)))
def finv(self, f): def finv(self, f):
return np.where(f>_lim_val, f, np.log(np.exp(f) - 1.)) return np.where(f>_lim_val, f, np.log(np.exp(f+1e-20) - 1.))
def gradfactor(self, f): def gradfactor(self, f):
return np.where(f>_lim_val, 1., 1 - np.exp(-f)) return np.where(f>_lim_val, 1., 1 - np.exp(-f))
def initialize(self, f): def initialize(self, f):

16
GPy/core/parameterization/variational.py
View file

@ -7,10 +7,10 @@ Created on 6 Nov 2013
import numpy as np import numpy as np
from parameterized import Parameterized from parameterized import Parameterized
from param import Param from param import Param
from transformations import Logexp from transformations import Logexp, Logistic
class VariationalPrior(Parameterized): class VariationalPrior(Parameterized):
def __init__(self, name=None, **kw): def __init__(self, name='latent space', **kw):
super(VariationalPrior, self).__init__(name=name, **kw) super(VariationalPrior, self).__init__(name=name, **kw)
def KL_divergence(self, variational_posterior): def KL_divergence(self, variational_posterior):
@ -34,12 +34,12 @@ class NormalPrior(VariationalPrior):
variational_posterior.variance.gradient -= (1. - (1. / (variational_posterior.variance))) * 0.5 variational_posterior.variance.gradient -= (1. - (1. / (variational_posterior.variance))) * 0.5
class SpikeAndSlabPrior(VariationalPrior): class SpikeAndSlabPrior(VariationalPrior):
def __init__(self, variance = 1.0, pi = 0.5, name='SpikeAndSlabPrior', **kw): def __init__(self, pi, variance = 1.0, name='SpikeAndSlabPrior', **kw):
super(VariationalPrior, self).__init__(name=name, **kw) super(VariationalPrior, self).__init__(name=name, **kw)
assert variance==1.0, "Not Implemented!" assert variance==1.0, "Not Implemented!"
self.pi = Param('pi', pi) self.pi = Param('pi', pi, Logistic(1e-10,1.-1e-10))
self.variance = Param('variance',variance) self.variance = Param('variance',variance)
self.add_parameters(self.pi, self.variance) self.add_parameters(self.pi)
def KL_divergence(self, variational_posterior): def KL_divergence(self, variational_posterior):
mu = variational_posterior.mean mu = variational_posterior.mean
@ -58,6 +58,8 @@ class SpikeAndSlabPrior(VariationalPrior):
gamma.gradient -= np.log((1-self.pi)/self.pi*gamma/(1.-gamma))+(np.square(mu)+S-np.log(S)-1.)/2. gamma.gradient -= np.log((1-self.pi)/self.pi*gamma/(1.-gamma))+(np.square(mu)+S-np.log(S)-1.)/2.
mu.gradient -= gamma*mu mu.gradient -= gamma*mu
S.gradient -= (1. - (1. / (S))) * gamma /2. S.gradient -= (1. - (1. / (S))) * gamma /2.
self.pi.gradient = (gamma/self.pi - (1.-gamma)/(1.-self.pi)).sum(axis=0)
class VariationalPosterior(Parameterized): class VariationalPosterior(Parameterized):
@ -103,7 +105,7 @@ class SpikeAndSlabPosterior(VariationalPosterior):
binary_prob : the probability of the distribution on the slab part. binary_prob : the probability of the distribution on the slab part.
""" """
super(SpikeAndSlabPosterior, self).__init__(means, variances, name) super(SpikeAndSlabPosterior, self).__init__(means, variances, name)
self.gamma = Param("binary_prob",binary_prob,) self.gamma = Param("binary_prob",binary_prob, Logistic(1e-10,1.-1e-10))
self.add_parameter(self.gamma) self.add_parameter(self.gamma)
def plot(self, *args): def plot(self, *args):
@ -115,4 +117,4 @@ class SpikeAndSlabPosterior(VariationalPosterior):
import sys import sys
assert "matplotlib" in sys.modules, "matplotlib package has not been imported." assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ...plotting.matplot_dep import variational_plots from ...plotting.matplot_dep import variational_plots
return variational_plots.plot(self,*args) return variational_plots.plot_SpikeSlab(self,*args)

15
GPy/core/sparse_gp.py
View file

@ -48,7 +48,6 @@ class SparseGP(GP):
GP.__init__(self, X, Y, kernel, likelihood, inference_method=inference_method, name=name) GP.__init__(self, X, Y, kernel, likelihood, inference_method=inference_method, name=name)
self.add_parameter(self.Z, index=0) self.add_parameter(self.Z, index=0)
self.parameters_changed()
def has_uncertain_inputs(self): def has_uncertain_inputs(self):
return isinstance(self.X, VariationalPosterior) return isinstance(self.X, VariationalPosterior)
@ -60,11 +59,9 @@ class SparseGP(GP):
#gradients wrt kernel #gradients wrt kernel
dL_dKmm = self.grad_dict.pop('dL_dKmm') dL_dKmm = self.grad_dict.pop('dL_dKmm')
self.kern.update_gradients_full(dL_dKmm, self.Z, None) self.kern.update_gradients_full(dL_dKmm, self.Z, None)
target = np.zeros(self.kern.size) target = self.kern.gradient.copy()
self.kern._collect_gradient(target)
self.kern.update_gradients_expectations(variational_posterior=self.X, Z=self.Z, **self.grad_dict) self.kern.update_gradients_expectations(variational_posterior=self.X, Z=self.Z, **self.grad_dict)
self.kern._collect_gradient(target) self.kern.gradient += target
self.kern._set_gradient(target)
#gradients wrt Z #gradients wrt Z
self.Z.gradient = self.kern.gradients_X(dL_dKmm, self.Z) self.Z.gradient = self.kern.gradients_X(dL_dKmm, self.Z)
@ -72,14 +69,12 @@ class SparseGP(GP):
self.grad_dict['dL_dpsi1'], self.grad_dict['dL_dpsi2'], Z=self.Z, variational_posterior=self.X) self.grad_dict['dL_dpsi1'], self.grad_dict['dL_dpsi2'], Z=self.Z, variational_posterior=self.X)
else: else:
#gradients wrt kernel #gradients wrt kernel
target = np.zeros(self.kern.size)
self.kern.update_gradients_diag(self.grad_dict['dL_dKdiag'], self.X) self.kern.update_gradients_diag(self.grad_dict['dL_dKdiag'], self.X)
self.kern._collect_gradient(target) target = self.kern.gradient.copy()
self.kern.update_gradients_full(self.grad_dict['dL_dKnm'], self.X, self.Z) self.kern.update_gradients_full(self.grad_dict['dL_dKnm'], self.X, self.Z)
self.kern._collect_gradient(target) target += self.kern.gradient
self.kern.update_gradients_full(self.grad_dict['dL_dKmm'], self.Z, None) self.kern.update_gradients_full(self.grad_dict['dL_dKmm'], self.Z, None)
self.kern._collect_gradient(target) self.kern.gradient += target
self.kern._set_gradient(target)
#gradients wrt Z #gradients wrt Z
self.Z.gradient = self.kern.gradients_X(self.grad_dict['dL_dKmm'], self.Z) self.Z.gradient = self.kern.gradients_X(self.grad_dict['dL_dKmm'], self.Z)

1
GPy/examples/__init__.py
View file

@ -6,3 +6,4 @@ import regression
import dimensionality_reduction import dimensionality_reduction
import tutorials import tutorials
import stochastic import stochastic
import non_gaussian

25
GPy/examples/dimensionality_reduction.py
View file

@ -515,3 +515,28 @@ def cmu_mocap(subject='35', motion=['01'], in_place=True, optimize=True, verbose
lvm_visualizer.close() lvm_visualizer.close()
return m return m
def ssgplvm_simulation_linear():
import numpy as np
import GPy
N, D, Q = 1000, 20, 5
pi = 0.2
def sample_X(Q, pi):
x = np.empty(Q)
dies = np.random.rand(Q)
for q in xrange(Q):
if dies[q]<pi:
x[q] = np.random.randn()
else:
x[q] = 0.
return x
Y = np.empty((N,D))
X = np.empty((N,Q))
# Generate data from random sampled weight matrices
for n in xrange(N):
X[n] = sample_X(Q,pi)
w = np.random.randn(D,Q)
Y[n] = np.dot(w,X[n])

49
GPy/examples/non_gaussian.py
View file

@ -30,48 +30,53 @@ def student_t_approx(optimize=True, plot=True):
#Yc = Yc/Yc.max() #Yc = Yc/Yc.max()
#Add student t random noise to datapoints #Add student t random noise to datapoints
deg_free = 5 deg_free = 1
print "Real noise: ", real_std print "Real noise: ", real_std
initial_var_guess = 0.5 initial_var_guess = 0.5
edited_real_sd = initial_var_guess edited_real_sd = initial_var_guess
# Kernel object # Kernel object
kernel1 = GPy.kern.rbf(X.shape[1]) + GPy.kern.white(X.shape[1]) kernel1 = GPy.kern.RBF(X.shape[1]) + GPy.kern.White(X.shape[1])
kernel2 = GPy.kern.rbf(X.shape[1]) + GPy.kern.white(X.shape[1]) kernel2 = GPy.kern.RBF(X.shape[1]) + GPy.kern.White(X.shape[1])
kernel3 = GPy.kern.rbf(X.shape[1]) + GPy.kern.white(X.shape[1]) kernel3 = GPy.kern.RBF(X.shape[1]) + GPy.kern.White(X.shape[1])
kernel4 = GPy.kern.rbf(X.shape[1]) + GPy.kern.white(X.shape[1]) kernel4 = GPy.kern.RBF(X.shape[1]) + GPy.kern.White(X.shape[1])
#Gaussian GP model on clean data #Gaussian GP model on clean data
#m1 = GPy.models.GPRegression(X, Y.copy(), kernel=kernel1) m1 = GPy.models.GPRegression(X, Y.copy(), kernel=kernel1)
## optimize # optimize
#m1['white'].constrain_fixed(1e-5) m1['.*white'].constrain_fixed(1e-5)
#m1.randomize() m1.randomize()
##Gaussian GP model on corrupt data #Gaussian GP model on corrupt data
#m2 = GPy.models.GPRegression(X, Yc.copy(), kernel=kernel2) m2 = GPy.models.GPRegression(X, Yc.copy(), kernel=kernel2)
#m1['white'].constrain_fixed(1e-5) m2['.*white'].constrain_fixed(1e-5)
#m2.randomize() m2.randomize()
#Student t GP model on clean data #Student t GP model on clean data
t_distribution = GPy.likelihoods.StudentT(deg_free=deg_free, sigma2=edited_real_sd) t_distribution = GPy.likelihoods.StudentT(deg_free=deg_free, sigma2=edited_real_sd)
laplace_inf = GPy.inference.latent_function_inference.Laplace() laplace_inf = GPy.inference.latent_function_inference.Laplace()
m3 = GPy.core.GP(X, Y.copy(), kernel3, likelihood=t_distribution, inference_method=laplace_inf) m3 = GPy.core.GP(X, Y.copy(), kernel3, likelihood=t_distribution, inference_method=laplace_inf)
m3['t_noise'].constrain_bounded(1e-6, 10.) m3['.*t_noise'].constrain_bounded(1e-6, 10.)
m3['white'].constrain_fixed(1e-5) m3['.*white'].constrain_fixed(1e-5)
m3.randomize() m3.randomize()
debug = True
print m3
if debug:
m3.optimize(messages=1)
return m3
#Student t GP model on corrupt data #Student t GP model on corrupt data
t_distribution = GPy.likelihoods.StudentT(deg_free=deg_free, sigma2=edited_real_sd) t_distribution = GPy.likelihoods.StudentT(deg_free=deg_free, sigma2=edited_real_sd)
laplace_inf = GPy.inference.latent_function_inference.Laplace() laplace_inf = GPy.inference.latent_function_inference.Laplace()
m4 = GPy.core.GP(X, Yc.copy(), kernel4, likelihood=t_distribution, inference_method=laplace_inf) m4 = GPy.core.GP(X, Yc.copy(), kernel4, likelihood=t_distribution, inference_method=laplace_inf)
m4['t_noise'].constrain_bounded(1e-6, 10.) m4['.*t_noise'].constrain_bounded(1e-6, 10.)
m4['white'].constrain_fixed(1e-5) m4['.*white'].constrain_fixed(1e-5)
m4.randomize() m4.randomize()
print m4
debug=True
if debug:
m4.optimize(messages=1)
import pylab as pb
pb.plot(m4.X, m4.inference_method.f_hat)
pb.plot(m4.X, m4.Y, 'rx')
m4.plot()
print m4
return m4
if optimize: if optimize:
optimizer='scg' optimizer='scg'

2
GPy/examples/regression.py
View file

@ -284,7 +284,7 @@ def toy_poisson_rbf_1d_laplace(optimize=True, plot=True):
kern = GPy.kern.RBF(1) kern = GPy.kern.RBF(1)
poisson_lik = GPy.likelihoods.Poisson() poisson_lik = GPy.likelihoods.Poisson()
laplace_inf = GPy.inference.latent_function_inference.LaplaceInference() laplace_inf = GPy.inference.latent_function_inference.Laplace()
# create simple GP Model # create simple GP Model
m = GPy.core.GP(X, Y, kernel=kern, likelihood=poisson_lik, inference_method=laplace_inf) m = GPy.core.GP(X, Y, kernel=kern, likelihood=poisson_lik, inference_method=laplace_inf)

4
GPy/inference/latent_function_inference/laplace.py
View file

@ -11,7 +11,7 @@
#http://gaussianprocess.org/gpml/code. #http://gaussianprocess.org/gpml/code.
import numpy as np import numpy as np
from ...util.linalg import mdot, jitchol, dpotrs, dtrtrs, dpotri, symmetrify from ...util.linalg import mdot, jitchol, dpotrs, dtrtrs, dpotri, symmetrify, pdinv
from ...util.misc import param_to_array from ...util.misc import param_to_array
from posterior import Posterior from posterior import Posterior
import warnings import warnings
@ -149,7 +149,7 @@ class Laplace(object):
#compute vital matrices #compute vital matrices
C = np.dot(LiW12, K) C = np.dot(LiW12, K)
Ki_W_i = K - C.T.dot(C) Ki_W_i = K - C.T.dot(C) #Could this be wrong?
#compute the log marginal #compute the log marginal
log_marginal = -0.5*np.dot(Ki_f.flatten(), f_hat.flatten()) + likelihood.logpdf(f_hat, Y, extra_data=Y_metadata) - np.sum(np.log(np.diag(L))) log_marginal = -0.5*np.dot(Ki_f.flatten(), f_hat.flatten()) + likelihood.logpdf(f_hat, Y, extra_data=Y_metadata) - np.sum(np.log(np.diag(L)))

19
GPy/inference/latent_function_inference/var_dtc.py
View file

@ -19,12 +19,16 @@ class VarDTC(object):
""" """
const_jitter = 1e-6 const_jitter = 1e-6
def __init__(self): def __init__(self, limit=1):
#self._YYTfactor_cache = caching.cache() #self._YYTfactor_cache = caching.cache()
from ...util.caching import Cacher from ...util.caching import Cacher
self.get_trYYT = Cacher(self._get_trYYT, 1) self.get_trYYT = Cacher(self._get_trYYT, limit)
self.get_YYTfactor = Cacher(self._get_YYTfactor, 1) self.get_YYTfactor = Cacher(self._get_YYTfactor, limit)
def set_limit(self, limit):
self.get_trYYT.limit = limit
self.get_YYTfactor.limit = limit
def _get_trYYT(self, Y): def _get_trYYT(self, Y):
return param_to_array(np.sum(np.square(Y))) return param_to_array(np.sum(np.square(Y)))
@ -75,7 +79,7 @@ class VarDTC(object):
# kernel computations, using BGPLVM notation # kernel computations, using BGPLVM notation
Kmm = kern.K(Z) Kmm = kern.K(Z)
Lm = jitchol(Kmm) Lm = jitchol(Kmm+np.eye(Z.shape[0])*self.const_jitter)
# The rather complex computations of A # The rather complex computations of A
if uncertain_inputs: if uncertain_inputs:
@ -175,11 +179,14 @@ class VarDTC(object):
return post, log_marginal, grad_dict return post, log_marginal, grad_dict
class VarDTCMissingData(object): class VarDTCMissingData(object):
def __init__(self): def __init__(self, limit=1):
from ...util.caching import Cacher from ...util.caching import Cacher
self._Y = Cacher(self._subarray_computations, 1) self._Y = Cacher(self._subarray_computations, limit)
pass pass
def set_limit(self, limit):
self._Y.limit = limit
def _subarray_computations(self, Y): def _subarray_computations(self, Y):
inan = np.isnan(Y) inan = np.isnan(Y)
has_none = inan.any() has_none = inan.any()

2
GPy/kern/_src/coregionalize.py
View file

@ -51,8 +51,6 @@ class Coregionalize(Kern):
assert kappa.shape==(self.output_dim, ) assert kappa.shape==(self.output_dim, )
self.kappa = Param('kappa', kappa, Logexp()) self.kappa = Param('kappa', kappa, Logexp())
self.add_parameters(self.W, self.kappa) self.add_parameters(self.W, self.kappa)
self.parameters_changed()
def parameters_changed(self): def parameters_changed(self):
self.B = np.dot(self.W, self.W.T) + np.diag(self.kappa) self.B = np.dot(self.W, self.W.T) + np.diag(self.kappa)

6
GPy/kern/_src/kern.py
View file

@ -89,7 +89,7 @@ class Kern(Parameterized):
""" """
Returns the sensitivity for each dimension of this kernel. Returns the sensitivity for each dimension of this kernel.
""" """
return np.zeros(self.input_dim) return self.kern.input_sensitivity()
def __add__(self, other): def __add__(self, other):
""" Overloading of the '+' operator. for more control, see self.add """ """ Overloading of the '+' operator. for more control, see self.add """
@ -129,7 +129,7 @@ class Kern(Parameterized):
""" """
return self.prod(other, tensor=True) return self.prod(other, tensor=True)
def prod(self, other, tensor=False): def prod(self, other, tensor=False, name=None):
""" """
Multiply two kernels (either on the same space, or on the tensor Multiply two kernels (either on the same space, or on the tensor
product of the input space). product of the input space).
@ -142,4 +142,4 @@ class Kern(Parameterized):
""" """
assert isinstance(other, Kern), "only kernels can be added to kernels..." assert isinstance(other, Kern), "only kernels can be added to kernels..."
from prod import Prod from prod import Prod
return Prod(self, other, tensor) return Prod(self, other, tensor, name)

130
GPy/kern/_src/linear.py
View file

@ -6,10 +6,12 @@ import numpy as np
from scipy import weave from scipy import weave
from kern import Kern from kern import Kern
from ...util.linalg import tdot from ...util.linalg import tdot
from ...util.misc import fast_array_equal, param_to_array from ...util.misc import param_to_array
from ...core.parameterization import Param from ...core.parameterization import Param
from ...core.parameterization.transformations import Logexp from ...core.parameterization.transformations import Logexp
from ...util.caching import Cache_this from ...util.caching import Cache_this
from ...core.parameterization import variational
from psi_comp import linear_psi_comp
class Linear(Kern): class Linear(Kern):
""" """
@ -104,49 +106,113 @@ class Linear(Kern):
#---------------------------------------# #---------------------------------------#
def psi0(self, Z, variational_posterior): def psi0(self, Z, variational_posterior):
return np.sum(self.variances * self._mu2S(variational_posterior), 1) if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
gamma = variational_posterior.binary_prob
mu = variational_posterior.mean
S = variational_posterior.variance
return np.einsum('q,nq,nq->n',self.variances,gamma,np.square(mu)+S)
# return (self.variances*gamma*(np.square(mu)+S)).sum(axis=1)
else:
return np.sum(self.variances * self._mu2S(variational_posterior), 1)
def psi1(self, Z, variational_posterior): def psi1(self, Z, variational_posterior):
return self.K(variational_posterior.mean, Z) #the variance, it does nothing if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
gamma = variational_posterior.binary_prob
mu = variational_posterior.mean
return np.einsum('nq,q,mq,nq->nm',gamma,self.variances,Z,mu)
# return (self.variances*gamma*mu).sum(axis=1)
else:
return self.K(variational_posterior.mean, Z) #the variance, it does nothing
@Cache_this(limit=1) @Cache_this(limit=1)
def psi2(self, Z, variational_posterior): def psi2(self, Z, variational_posterior):
ZA = Z * self.variances if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
ZAinner = self._ZAinner(variational_posterior, Z) gamma = variational_posterior.binary_prob
return np.dot(ZAinner, ZA.T) mu = variational_posterior.mean
S = variational_posterior.variance
mu2 = np.square(mu)
variances2 = np.square(self.variances)
tmp = np.einsum('nq,q,mq,nq->nm',gamma,self.variances,Z,mu)
return np.einsum('nq,q,mq,oq,nq->nmo',gamma,variances2,Z,Z,mu2+S)+\
np.einsum('nm,no->nmo',tmp,tmp) - np.einsum('nq,q,mq,oq,nq->nmo',np.square(gamma),variances2,Z,Z,mu2)
else:
ZA = Z * self.variances
ZAinner = self._ZAinner(variational_posterior, Z)
return np.dot(ZAinner, ZA.T)
def update_gradients_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior): def update_gradients_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior):
#psi1 if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
self.update_gradients_full(dL_dpsi1, variational_posterior.mean, Z) gamma = variational_posterior.binary_prob
# psi0: mu = variational_posterior.mean
tmp = dL_dpsi0[:, None] * self._mu2S(variational_posterior) S = variational_posterior.variance
if self.ARD: self.variances.gradient += tmp.sum(0) mu2S = np.square(mu)+S
else: self.variances.gradient += tmp.sum()
#psi2 _dpsi2_dvariance, _, _, _, _ = linear_psi_comp._psi2computations(self.variances, Z, mu, S, gamma)
if self.ARD: grad = np.einsum('n,nq,nq->q',dL_dpsi0,gamma,mu2S) + np.einsum('nm,nq,mq,nq->q',dL_dpsi1,gamma,Z,mu) +\
tmp = dL_dpsi2[:, :, :, None] * (self._ZAinner(variational_posterior, Z)[:, :, None, :] * Z[None, None, :, :]) np.einsum('nmo,nmoq->q',dL_dpsi2,_dpsi2_dvariance)
self.variances.gradient += 2.*tmp.sum(0).sum(0).sum(0) if self.ARD:
self.variances.gradient = grad
else:
self.variances.gradient = grad.sum()
else: else:
self.variances.gradient += 2.*np.sum(dL_dpsi2 * self.psi2(Z, variational_posterior))/self.variances #psi1
self.update_gradients_full(dL_dpsi1, variational_posterior.mean, Z)
# psi0:
tmp = dL_dpsi0[:, None] * self._mu2S(variational_posterior)
if self.ARD: self.variances.gradient += tmp.sum(0)
else: self.variances.gradient += tmp.sum()
#psi2
if self.ARD:
tmp = dL_dpsi2[:, :, :, None] * (self._ZAinner(variational_posterior, Z)[:, :, None, :] * Z[None, None, :, :])
self.variances.gradient += 2.*tmp.sum(0).sum(0).sum(0)
else:
self.variances.gradient += 2.*np.sum(dL_dpsi2 * self.psi2(Z, variational_posterior))/self.variances
def gradients_Z_expectations(self, dL_dpsi1, dL_dpsi2, Z, variational_posterior): def gradients_Z_expectations(self, dL_dpsi1, dL_dpsi2, Z, variational_posterior):
#psi1 if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
grad = self.gradients_X(dL_dpsi1.T, Z, variational_posterior.mean) gamma = variational_posterior.binary_prob
#psi2 mu = variational_posterior.mean
self._weave_dpsi2_dZ(dL_dpsi2, Z, variational_posterior, grad) S = variational_posterior.variance
return grad _, _, _, _, _dpsi2_dZ = linear_psi_comp._psi2computations(self.variances, Z, mu, S, gamma)
grad = np.einsum('nm,nq,q,nq->mq',dL_dpsi1,gamma, self.variances,mu) +\
np.einsum('nmo,noq->mq',dL_dpsi2,_dpsi2_dZ)
return grad
else:
#psi1
grad = self.gradients_X(dL_dpsi1.T, Z, variational_posterior.mean)
#psi2
self._weave_dpsi2_dZ(dL_dpsi2, Z, variational_posterior, grad)
return grad
def gradients_qX_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior): def gradients_qX_expectations(self, dL_dpsi0, dL_dpsi1, dL_dpsi2, Z, variational_posterior):
grad_mu, grad_S = np.zeros(variational_posterior.mean.shape), np.zeros(variational_posterior.mean.shape) if isinstance(variational_posterior, variational.SpikeAndSlabPosterior):
# psi0 gamma = variational_posterior.binary_prob
grad_mu += dL_dpsi0[:, None] * (2.0 * variational_posterior.mean * self.variances) mu = variational_posterior.mean
grad_S += dL_dpsi0[:, None] * self.variances S = variational_posterior.variance
# psi1 mu2S = np.square(mu)+S
grad_mu += (dL_dpsi1[:, :, None] * (Z * self.variances)).sum(1) _, _dpsi2_dgamma, _dpsi2_dmu, _dpsi2_dS, _ = linear_psi_comp._psi2computations(self.variances, Z, mu, S, gamma)
# psi2
self._weave_dpsi2_dmuS(dL_dpsi2, Z, variational_posterior, grad_mu, grad_S) grad_gamma = np.einsum('n,q,nq->nq',dL_dpsi0,self.variances,mu2S) + np.einsum('nm,q,mq,nq->nq',dL_dpsi1,self.variances,Z,mu) +\
np.einsum('nmo,nmoq->nq',dL_dpsi2,_dpsi2_dgamma)
return grad_mu, grad_S grad_mu = np.einsum('n,nq,q,nq->nq',dL_dpsi0,gamma,2.*self.variances,mu) + np.einsum('nm,nq,q,mq->nq',dL_dpsi1,gamma,self.variances,Z) +\
np.einsum('nmo,nmoq->nq',dL_dpsi2,_dpsi2_dmu)
grad_S = np.einsum('n,nq,q->nq',dL_dpsi0,gamma,self.variances) + np.einsum('nmo,nmoq->nq',dL_dpsi2,_dpsi2_dS)
return grad_mu, grad_S, grad_gamma
else:
grad_mu, grad_S = np.zeros(variational_posterior.mean.shape), np.zeros(variational_posterior.mean.shape)
# psi0
grad_mu += dL_dpsi0[:, None] * (2.0 * variational_posterior.mean * self.variances)
grad_S += dL_dpsi0[:, None] * self.variances
# psi1
grad_mu += (dL_dpsi1[:, :, None] * (Z * self.variances)).sum(1)
# psi2
self._weave_dpsi2_dmuS(dL_dpsi2, Z, variational_posterior, grad_mu, grad_S)
return grad_mu, grad_S
#--------------------------------------------------# #--------------------------------------------------#
# Helpers for psi statistics # # Helpers for psi statistics #

1
GPy/kern/_src/periodic.py
View file

@ -34,7 +34,6 @@ class Periodic(Kern):
self.lengthscale = Param('lengthscale', np.float64(lengthscale), Logexp()) self.lengthscale = Param('lengthscale', np.float64(lengthscale), Logexp())
self.period = Param('period', np.float64(period), Logexp()) self.period = Param('period', np.float64(period), Logexp())
self.add_parameters(self.variance, self.lengthscale, self.period) self.add_parameters(self.variance, self.lengthscale, self.period)
self.parameters_changed()
def _cos(self, alpha, omega, phase): def _cos(self, alpha, omega, phase):
def f(x): def f(x):

20
GPy/kern/_src/prod.py
View file

@ -15,14 +15,16 @@ class Prod(Kern):
:rtype: kernel object :rtype: kernel object
""" """
def __init__(self, k1, k2, tensor=False): def __init__(self, k1, k2, tensor=False,name=None):
if tensor: if tensor:
super(Prod, self).__init__(k1.input_dim + k2.input_dim, k1.name + '_xx_' + k2.name) name = k1.name + '_xx_' + k2.name if name is None else name
super(Prod, self).__init__(k1.input_dim + k2.input_dim, name)
self.slice1 = slice(0,k1.input_dim) self.slice1 = slice(0,k1.input_dim)
self.slice2 = slice(k1.input_dim,k1.input_dim+k2.input_dim) self.slice2 = slice(k1.input_dim,k1.input_dim+k2.input_dim)
else: else:
assert k1.input_dim == k2.input_dim, "Error: The input spaces of the kernels to multiply don't have the same dimension." assert k1.input_dim == k2.input_dim, "Error: The input spaces of the kernels to multiply don't have the same dimension."
super(Prod, self).__init__(k1.input_dim, k1.name + '_x_' + k2.name) name = k1.name + '_x_' + k2.name if name is None else name
super(Prod, self).__init__(k1.input_dim, name)
self.slice1 = slice(0, self.input_dim) self.slice1 = slice(0, self.input_dim)
self.slice2 = slice(0, self.input_dim) self.slice2 = slice(0, self.input_dim)
self.k1 = k1 self.k1 = k1
@ -39,17 +41,17 @@ class Prod(Kern):
return self.k1.Kdiag(X[:,self.slice1]) * self.k2.Kdiag(X[:,self.slice2]) return self.k1.Kdiag(X[:,self.slice1]) * self.k2.Kdiag(X[:,self.slice2])
def update_gradients_full(self, dL_dK, X): def update_gradients_full(self, dL_dK, X):
self.k1.update_gradients_full(dL_dK*self.k2(X[:,self.slice2]), X[:,self.slice1]) self.k1.update_gradients_full(dL_dK*self.k2.K(X[:,self.slice2]), X[:,self.slice1])
self.k2.update_gradients_full(dL_dK*self.k1(X[:,self.slice1]), X[:,self.slice2]) self.k2.update_gradients_full(dL_dK*self.k1.K(X[:,self.slice1]), X[:,self.slice2])
def gradients_X(self, dL_dK, X, X2=None): def gradients_X(self, dL_dK, X, X2=None):
target = np.zeros(X.shape) target = np.zeros(X.shape)
if X2 is None: if X2 is None:
target[:,self.slice1] += self.k1.gradients_X(dL_dK*self.k2(X[:,self.slice2]), X[:,self.slice1], None) target[:,self.slice1] += self.k1.gradients_X(dL_dK*self.k2.K(X[:,self.slice2]), X[:,self.slice1], None)
target[:,self.slice2] += self.k2.gradients_X(dL_dK*self.k1(X[:,self.slice1]), X[:,self.slice2], None) target[:,self.slice2] += self.k2.gradients_X(dL_dK*self.k1.K(X[:,self.slice1]), X[:,self.slice2], None)
else: else:
target[:,self.slice1] += self.k1.gradients_X(dL_dK*self.k2(X[:,self.slice2], X2[:,self.slice2]), X[:,self.slice1], X2[:,self.slice1]) target[:,self.slice1] += self.k1.gradients_X(dL_dK*self.k2.K(X[:,self.slice2], X2[:,self.slice2]), X[:,self.slice1], X2[:,self.slice1])
target[:,self.slice2] += self.k2.gradients_X(dL_dK*self.k1(X[:,self.slice1], X2[:,self.slice1]), X[:,self.slice2], X2[:,self.slice2]) target[:,self.slice2] += self.k2.gradients_X(dL_dK*self.k1.K(X[:,self.slice1], X2[:,self.slice1]), X[:,self.slice2], X2[:,self.slice2])
return target return target
def gradients_X_diag(self, dL_dKdiag, X): def gradients_X_diag(self, dL_dKdiag, X):

0
GPy/kern/_src/rbf_psi_comp/__init__.py → GPy/kern/_src/psi_comp/__init__.py
View file

51
GPy/kern/_src/psi_comp/linear_psi_comp.py Normal file
View file

@ -0,0 +1,51 @@
# Copyright (c) 2012, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt)
"""
The package for the Psi statistics computation of the linear kernel for SSGPLVM
"""
import numpy as np
from GPy.util.caching import Cache_this
#@Cache_this(limit=1)
def _psi2computations(variance, Z, mu, S, gamma):
"""
Z - MxQ
mu - NxQ
S - NxQ
gamma - NxQ
"""
# here are the "statistics" for psi1 and psi2
# Produced intermediate results:
# _psi2 NxMxM
# _psi2_dvariance NxMxMxQ
# _psi2_dZ NxMxQ
# _psi2_dgamma NxMxMxQ
# _psi2_dmu NxMxMxQ
# _psi2_dS NxMxMxQ
mu2 = np.square(mu)
gamma2 = np.square(gamma)
variance2 = np.square(variance)
mu2S = mu2+S # NxQ
common_sum = np.einsum('nq,q,mq,nq->nm',gamma,variance,Z,mu) # NxM
_dpsi2_dvariance = np.einsum('nq,q,mq,oq->nmoq',2.*(gamma*mu2S-gamma2*mu2),variance,Z,Z)+\
np.einsum('nq,mq,nq,no->nmoq',gamma,Z,mu,common_sum)+\
np.einsum('nq,oq,nq,nm->nmoq',gamma,Z,mu,common_sum)
_dpsi2_dgamma = np.einsum('q,mq,oq,nq->nmoq',variance2,Z,Z,(mu2S-2.*gamma*mu2))+\
np.einsum('q,mq,nq,no->nmoq',variance,Z,mu,common_sum)+\
np.einsum('q,oq,nq,nm->nmoq',variance,Z,mu,common_sum)
_dpsi2_dmu = np.einsum('q,mq,oq,nq,nq->nmoq',variance2,Z,Z,mu,2.*(gamma-gamma2))+\
np.einsum('nq,q,mq,no->nmoq',gamma,variance,Z,common_sum)+\
np.einsum('nq,q,oq,nm->nmoq',gamma,variance,Z,common_sum)
_dpsi2_dS = np.einsum('nq,q,mq,oq->nmoq',gamma,variance2,Z,Z)
_dpsi2_dZ = 2.*(np.einsum('nq,q,mq,nq->nmq',gamma,variance2,Z,mu2S)+np.einsum('nq,q,nq,nm->nmq',gamma,variance,mu,common_sum)
-np.einsum('nq,q,mq,nq->nmq',gamma2,variance2,Z,mu2))
return _dpsi2_dvariance, _dpsi2_dgamma, _dpsi2_dmu, _dpsi2_dS, _dpsi2_dZ

20
GPy/kern/_src/rbf_psi_comp/ssrbf_psi_comp.py → GPy/kern/_src/psi_comp/ssrbf_psi_comp.py
View file

@ -6,22 +6,15 @@ The package for the psi statistics computation
""" """
import numpy as np import numpy as np
from GPy.util.caching import Cache_this
@Cache_this(limit=1)
def _Z_distances(Z): def _Z_distances(Z):
Zhat = 0.5 * (Z[:, None, :] + Z[None, :, :]) # M,M,Q Zhat = 0.5 * (Z[:, None, :] + Z[None, :, :]) # M,M,Q
Zdist = 0.5 * (Z[:, None, :] - Z[None, :, :]) # M,M,Q Zdist = 0.5 * (Z[:, None, :] - Z[None, :, :]) # M,M,Q
return Zhat, Zdist return Zhat, Zdist
# def _psi1computations(self, Z, vp): @Cache_this(limit=1)
# mu, S = vp.mean, vp.variance
# l2 = lengthscale **2
# denom = S[:, None, :] / l2 + 1. # N,1,Q
# dist = Z[None, :, :] - mu[:, None, :] # N,M,Q
# dist_sq = np.square(dist) / l2 / denom # N,M,Q
# exponent = -0.5 * np.sum(dist_sq + np.log(denom), -1)#N,M
# psi1 = self.variance * np.exp(exponent) # N,M
# return denom, dist, dist_sq, psi1
def _psi1computations(variance, lengthscale, Z, mu, S, gamma): def _psi1computations(variance, lengthscale, Z, mu, S, gamma):
""" """
Z - MxQ Z - MxQ
@ -49,7 +42,8 @@ def _psi1computations(variance, lengthscale, Z, mu, S, gamma):
_psi1_common = gamma[:,None,:] / (lengthscale2*_psi1_denom*_psi1_denom_sqrt) #Nx1xQ _psi1_common = gamma[:,None,:] / (lengthscale2*_psi1_denom*_psi1_denom_sqrt) #Nx1xQ
_psi1_exponent1 = np.log(gamma[:,None,:]) -0.5 * (_psi1_dist_sq + np.log(_psi1_denom)) # NxMxQ _psi1_exponent1 = np.log(gamma[:,None,:]) -0.5 * (_psi1_dist_sq + np.log(_psi1_denom)) # NxMxQ
_psi1_exponent2 = np.log(1.-gamma[:,None,:]) -0.5 * (np.square(Z[None,:,:])/lengthscale2) # NxMxQ _psi1_exponent2 = np.log(1.-gamma[:,None,:]) -0.5 * (np.square(Z[None,:,:])/lengthscale2) # NxMxQ
_psi1_exponent = np.log(np.exp(_psi1_exponent1) + np.exp(_psi1_exponent2)) #NxMxQ _psi1_exponent_max = np.maximum(_psi1_exponent1,_psi1_exponent2)
_psi1_exponent = _psi1_exponent_max+np.log(np.exp(_psi1_exponent1-_psi1_exponent_max) + np.exp(_psi1_exponent2-_psi1_exponent_max)) #NxMxQ
_psi1_exp_sum = _psi1_exponent.sum(axis=-1) #NxM _psi1_exp_sum = _psi1_exponent.sum(axis=-1) #NxM
_psi1_exp_dist_sq = np.exp(-0.5*_psi1_dist_sq) # NxMxQ _psi1_exp_dist_sq = np.exp(-0.5*_psi1_dist_sq) # NxMxQ
_psi1_exp_Z = np.exp(-0.5*np.square(Z[None,:,:])/lengthscale2) # 1xMxQ _psi1_exp_Z = np.exp(-0.5*np.square(Z[None,:,:])/lengthscale2) # 1xMxQ
@ -64,6 +58,7 @@ def _psi1computations(variance, lengthscale, Z, mu, S, gamma):
return _psi1, _dpsi1_dvariance, _dpsi1_dgamma, _dpsi1_dmu, _dpsi1_dS, _dpsi1_dZ, _dpsi1_dlengthscale return _psi1, _dpsi1_dvariance, _dpsi1_dgamma, _dpsi1_dmu, _dpsi1_dS, _dpsi1_dZ, _dpsi1_dlengthscale
@Cache_this(limit=1)
def _psi2computations(variance, lengthscale, Z, mu, S, gamma): def _psi2computations(variance, lengthscale, Z, mu, S, gamma):
""" """
Z - MxQ Z - MxQ
@ -95,7 +90,8 @@ def _psi2computations(variance, lengthscale, Z, mu, S, gamma):
_psi2_common = gamma[:,None,None,:]/(lengthscale2 * _psi2_denom * _psi2_denom_sqrt) # Nx1x1xQ _psi2_common = gamma[:,None,None,:]/(lengthscale2 * _psi2_denom * _psi2_denom_sqrt) # Nx1x1xQ
_psi2_exponent1 = -_psi2_Zdist_sq -_psi2_mudist_sq -0.5*np.log(_psi2_denom)+np.log(gamma[:,None,None,:]) #N,M,M,Q _psi2_exponent1 = -_psi2_Zdist_sq -_psi2_mudist_sq -0.5*np.log(_psi2_denom)+np.log(gamma[:,None,None,:]) #N,M,M,Q
_psi2_exponent2 = np.log(1.-gamma[:,None,None,:]) - 0.5*(_psi2_Z_sq_sum) # NxMxMxQ _psi2_exponent2 = np.log(1.-gamma[:,None,None,:]) - 0.5*(_psi2_Z_sq_sum) # NxMxMxQ
_psi2_exponent = np.log(np.exp(_psi2_exponent1) + np.exp(_psi2_exponent2)) _psi2_exponent_max = np.maximum(_psi2_exponent1, _psi2_exponent2)
_psi2_exponent = _psi2_exponent_max+np.log(np.exp(_psi2_exponent1-_psi2_exponent_max) + np.exp(_psi2_exponent2-_psi2_exponent_max))
_psi2_exp_sum = _psi2_exponent.sum(axis=-1) #NxM _psi2_exp_sum = _psi2_exponent.sum(axis=-1) #NxM
_psi2_q = np.square(variance) * np.exp(_psi2_exp_sum[:,:,:,None]-_psi2_exponent) # NxMxMxQ _psi2_q = np.square(variance) * np.exp(_psi2_exp_sum[:,:,:,None]-_psi2_exponent) # NxMxMxQ
_psi2_exp_dist_sq = np.exp(-_psi2_Zdist_sq -_psi2_mudist_sq) # NxMxMxQ _psi2_exp_dist_sq = np.exp(-_psi2_Zdist_sq -_psi2_mudist_sq) # NxMxMxQ

13
GPy/kern/_src/rbf.py
View file

@ -8,7 +8,7 @@ from ...util.misc import param_to_array
from stationary import Stationary from stationary import Stationary
from GPy.util.caching import Cache_this from GPy.util.caching import Cache_this
from ...core.parameterization import variational from ...core.parameterization import variational
from rbf_psi_comp import ssrbf_psi_comp from psi_comp import ssrbf_psi_comp
class RBF(Stationary): class RBF(Stationary):
""" """
@ -62,13 +62,18 @@ class RBF(Stationary):
#from psi1 #from psi1
self.variance.gradient += np.sum(dL_dpsi1 * _dpsi1_dvariance) self.variance.gradient += np.sum(dL_dpsi1 * _dpsi1_dvariance)
self.lengthscale.gradient = (dL_dpsi1[:,:,None]*_dpsi1_dlengthscale).reshape(-1,self.input_dim).sum(axis=0) if self.ARD:
self.lengthscale.gradient = (dL_dpsi1[:,:,None]*_dpsi1_dlengthscale).reshape(-1,self.input_dim).sum(axis=0)
else:
self.lengthscale.gradient = (dL_dpsi1[:,:,None]*_dpsi1_dlengthscale).sum()
#from psi2 #from psi2
self.variance.gradient += (dL_dpsi2 * _dpsi2_dvariance).sum() self.variance.gradient += (dL_dpsi2 * _dpsi2_dvariance).sum()
self.lengthscale.gradient += (dL_dpsi2[:,:,:,None] * _dpsi2_dlengthscale).reshape(-1,self.input_dim).sum(axis=0) if self.ARD:
return self.lengthscale.gradient += (dL_dpsi2[:,:,:,None] * _dpsi2_dlengthscale).reshape(-1,self.input_dim).sum(axis=0)
else:
self.lengthscale.gradient += (dL_dpsi2[:,:,:,None] * _dpsi2_dlengthscale).sum()
elif isinstance(variational_posterior, variational.NormalPosterior): elif isinstance(variational_posterior, variational.NormalPosterior):

2
GPy/kern/_src/ssrbf.py
View file

@ -7,7 +7,7 @@ import numpy as np
from ...util.linalg import tdot from ...util.linalg import tdot
from ...util.config import * from ...util.config import *
from stationary import Stationary from stationary import Stationary
from rbf_psi_comp import ssrbf_psi_comp from psi_comp import ssrbf_psi_comp
class SSRBF(Stationary): class SSRBF(Stationary):
""" """

32
GPy/kern/_src/sympykern.py
View file

@ -1,11 +1,10 @@
# Check Matthew Rocklin's blog post. # Check Matthew Rocklin's blog post.
try: try:
import sympy as sp import sympy as sp
sympy_available=True sympy_available=True
from sympy.utilities.lambdify import lambdify from sympy.utilities.lambdify import lambdify
except ImportError: except ImportError:
sympy_available=False sympy_available=False
exit()
import numpy as np import numpy as np
from kern import Kern from kern import Kern
@ -36,7 +35,7 @@ class Sympykern(Kern):
super(Sympykern, self).__init__(input_dim, name) super(Sympykern, self).__init__(input_dim, name)
self._sp_k = k self._sp_k = k
# pull the variable names out of the symbolic covariance function. # pull the variable names out of the symbolic covariance function.
sp_vars = [e for e in k.atoms() if e.is_Symbol] sp_vars = [e for e in k.atoms() if e.is_Symbol]
self._sp_x= sorted([e for e in sp_vars if e.name[0:2]=='x_'],key=lambda x:int(x.name[2:])) self._sp_x= sorted([e for e in sp_vars if e.name[0:2]=='x_'],key=lambda x:int(x.name[2:]))
@ -51,7 +50,7 @@ class Sympykern(Kern):
self._sp_kdiag = k self._sp_kdiag = k
for x, z in zip(self._sp_x, self._sp_z): for x, z in zip(self._sp_x, self._sp_z):
self._sp_kdiag = self._sp_kdiag.subs(z, x) self._sp_kdiag = self._sp_kdiag.subs(z, x)
# If it is a multi-output covariance, add an input for indexing the outputs. # If it is a multi-output covariance, add an input for indexing the outputs.
self._real_input_dim = x_dim self._real_input_dim = x_dim
# Check input dim is number of xs + 1 if output_dim is >1 # Check input dim is number of xs + 1 if output_dim is >1
@ -73,7 +72,7 @@ class Sympykern(Kern):
# Extract names of shared parameters (those without a subscript) # Extract names of shared parameters (those without a subscript)
self._sp_theta = [theta for theta in thetas if theta not in self._sp_theta_i and theta not in self._sp_theta_j] self._sp_theta = [theta for theta in thetas if theta not in self._sp_theta_i and theta not in self._sp_theta_j]
self.num_split_params = len(self._sp_theta_i) self.num_split_params = len(self._sp_theta_i)
self._split_theta_names = ["%s"%theta.name[:-2] for theta in self._sp_theta_i] self._split_theta_names = ["%s"%theta.name[:-2] for theta in self._sp_theta_i]
# Add split parameters to the model. # Add split parameters to the model.
@ -82,11 +81,11 @@ class Sympykern(Kern):
setattr(self, theta, Param(theta, np.ones(self.output_dim), None)) setattr(self, theta, Param(theta, np.ones(self.output_dim), None))
self.add_parameter(getattr(self, theta)) self.add_parameter(getattr(self, theta))
self.num_shared_params = len(self._sp_theta) self.num_shared_params = len(self._sp_theta)
for theta_i, theta_j in zip(self._sp_theta_i, self._sp_theta_j): for theta_i, theta_j in zip(self._sp_theta_i, self._sp_theta_j):
self._sp_kdiag = self._sp_kdiag.subs(theta_j, theta_i) self._sp_kdiag = self._sp_kdiag.subs(theta_j, theta_i)
else: else:
self.num_split_params = 0 self.num_split_params = 0
self._split_theta_names = [] self._split_theta_names = []
@ -107,10 +106,10 @@ class Sympykern(Kern):
derivative_arguments = self._sp_x + self._sp_theta derivative_arguments = self._sp_x + self._sp_theta
if self.output_dim > 1: if self.output_dim > 1:
derivative_arguments += self._sp_theta_i derivative_arguments += self._sp_theta_i
self.derivatives = {theta.name : sp.diff(self._sp_k,theta).simplify() for theta in derivative_arguments} self.derivatives = {theta.name : sp.diff(self._sp_k,theta).simplify() for theta in derivative_arguments}
self.diag_derivatives = {theta.name : sp.diff(self._sp_kdiag,theta).simplify() for theta in derivative_arguments} self.diag_derivatives = {theta.name : sp.diff(self._sp_kdiag,theta).simplify() for theta in derivative_arguments}
# This gives the parameters for the arg list. # This gives the parameters for the arg list.
self.arg_list = self._sp_x + self._sp_z + self._sp_theta self.arg_list = self._sp_x + self._sp_z + self._sp_theta
self.diag_arg_list = self._sp_x + self._sp_theta self.diag_arg_list = self._sp_x + self._sp_theta
@ -125,9 +124,6 @@ class Sympykern(Kern):
# generate the code for the covariance functions # generate the code for the covariance functions
self._gen_code() self._gen_code()
self.parameters_changed() # initializes caches
def __add__(self,other): def __add__(self,other):
return spkern(self._sp_k+other._sp_k) return spkern(self._sp_k+other._sp_k)
@ -141,7 +137,7 @@ class Sympykern(Kern):
for key in self.derivatives.keys(): for key in self.derivatives.keys():
setattr(self, '_Kdiag_diff_' + key, lambdify(self.diag_arg_list, self.diag_derivatives[key], 'numpy')) setattr(self, '_Kdiag_diff_' + key, lambdify(self.diag_arg_list, self.diag_derivatives[key], 'numpy'))
def K(self,X,X2=None): def K(self,X,X2=None):
self._K_computations(X, X2) self._K_computations(X, X2)
return self._K_function(**self._arguments) return self._K_function(**self._arguments)
@ -149,11 +145,11 @@ class Sympykern(Kern):
def Kdiag(self,X): def Kdiag(self,X):
self._K_computations(X) self._K_computations(X)
return self._Kdiag_function(**self._diag_arguments) return self._Kdiag_function(**self._diag_arguments)
def _param_grad_helper(self,partial,X,Z,target): def _param_grad_helper(self,partial,X,Z,target):
pass pass
def gradients_X(self, dL_dK, X, X2=None): def gradients_X(self, dL_dK, X, X2=None):
#if self._X is None or X.base is not self._X.base or X2 is not None: #if self._X is None or X.base is not self._X.base or X2 is not None:
self._K_computations(X, X2) self._K_computations(X, X2)
@ -172,7 +168,7 @@ class Sympykern(Kern):
gf = getattr(self, '_Kdiag_diff_' + x.name) gf = getattr(self, '_Kdiag_diff_' + x.name)
dX[:, i] = gf(**self._diag_arguments)*dL_dK dX[:, i] = gf(**self._diag_arguments)*dL_dK
return dX return dX
def update_gradients_full(self, dL_dK, X, X2=None): def update_gradients_full(self, dL_dK, X, X2=None):
# Need to extract parameters to local variables first # Need to extract parameters to local variables first
self._K_computations(X, X2) self._K_computations(X, X2)
@ -197,7 +193,7 @@ class Sympykern(Kern):
gradient += np.asarray([A[np.where(self._output_ind2==i)].T.sum() gradient += np.asarray([A[np.where(self._output_ind2==i)].T.sum()
for i in np.arange(self.output_dim)]) for i in np.arange(self.output_dim)])
setattr(parameter, 'gradient', gradient) setattr(parameter, 'gradient', gradient)
def update_gradients_diag(self, dL_dKdiag, X): def update_gradients_diag(self, dL_dKdiag, X):
self._K_computations(X) self._K_computations(X)
@ -213,7 +209,7 @@ class Sympykern(Kern):
setattr(parameter, 'gradient', setattr(parameter, 'gradient',
np.asarray([a[np.where(self._output_ind==i)].sum() np.asarray([a[np.where(self._output_ind==i)].sum()
for i in np.arange(self.output_dim)])) for i in np.arange(self.output_dim)]))
def _K_computations(self, X, X2=None): def _K_computations(self, X, X2=None):
"""Set up argument lists for the derivatives.""" """Set up argument lists for the derivatives."""
# Could check if this needs doing or not, there could # Could check if this needs doing or not, there could

2
GPy/likelihoods/likelihood.py
View file

@ -358,7 +358,7 @@ class Likelihood(Parameterized):
return dlogpdf_dtheta, dlogpdf_df_dtheta, d2logpdf_df2_dtheta return dlogpdf_dtheta, dlogpdf_df_dtheta, d2logpdf_df2_dtheta
def predictive_values(self, mu, var, full_cov=False, sampling=False, num_samples=10000): def predictive_values(self, mu, var, full_cov=False, sampling=True, num_samples=10000):
""" """
Compute mean, variance and conficence interval (percentiles 5 and 95) of the prediction. Compute mean, variance and conficence interval (percentiles 5 and 95) of the prediction.

6
GPy/mappings/kernel.py
View file

@ -17,7 +17,7 @@ class Kernel(Mapping):
:type X: ndarray :type X: ndarray
:param output_dim: dimension of output. :param output_dim: dimension of output.
:type output_dim: int :type output_dim: int
:param kernel: a GPy kernel, defaults to GPy.kern.rbf :param kernel: a GPy kernel, defaults to GPy.kern.RBF
:type kernel: GPy.kern.kern :type kernel: GPy.kern.kern
""" """
@ -25,7 +25,7 @@ class Kernel(Mapping):
def __init__(self, X, output_dim=1, kernel=None): def __init__(self, X, output_dim=1, kernel=None):
Mapping.__init__(self, input_dim=X.shape[1], output_dim=output_dim) Mapping.__init__(self, input_dim=X.shape[1], output_dim=output_dim)
if kernel is None: if kernel is None:
kernel = GPy.kern.rbf(self.input_dim) kernel = GPy.kern.RBF(self.input_dim)
self.kern = kernel self.kern = kernel
self.X = X self.X = X
self.num_data = X.shape[0] self.num_data = X.shape[0]
@ -43,7 +43,7 @@ class Kernel(Mapping):
def _set_params(self, x): def _set_params(self, x):
self.A = x[:self.num_data * self.output_dim].reshape(self.num_data, self.output_dim).copy() self.A = x[:self.num_data * self.output_dim].reshape(self.num_data, self.output_dim).copy()
self.bias = x[self.num_data*self.output_dim:].copy() self.bias = x[self.num_data*self.output_dim:].copy()
def randomize(self): def randomize(self):
self.A = np.random.randn(self.num_data, self.output_dim)/np.sqrt(self.num_data+1) self.A = np.random.randn(self.num_data, self.output_dim)/np.sqrt(self.num_data+1)
self.bias = np.random.randn(self.output_dim)/np.sqrt(self.num_data+1) self.bias = np.random.randn(self.output_dim)/np.sqrt(self.num_data+1)

1
GPy/models/bayesian_gplvm.py
View file

@ -49,7 +49,6 @@ class BayesianGPLVM(SparseGP):
SparseGP.__init__(self, X, Y, Z, kernel, likelihood, inference_method, name, **kwargs) SparseGP.__init__(self, X, Y, Z, kernel, likelihood, inference_method, name, **kwargs)
self.add_parameter(self.X, index=0) self.add_parameter(self.X, index=0)
self.parameters_changed()
def _getstate(self): def _getstate(self):
""" """

1
GPy/models/gp_regression.py
View file

@ -28,7 +28,6 @@ class GPRegression(GP):
likelihood = likelihoods.Gaussian() likelihood = likelihoods.Gaussian()
super(GPRegression, self).__init__(X, Y, kernel, likelihood, name='GP regression') super(GPRegression, self).__init__(X, Y, kernel, likelihood, name='GP regression')
self.parameters_changed()
def _getstate(self): def _getstate(self):
return GP._getstate(self) return GP._getstate(self)

159
GPy/models/mrd.py
View file

@ -1,14 +1,17 @@
# ## Copyright (c) 2013, GPy authors (see AUTHORS.txt). # ## Copyright (c) 2013, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt) # Licensed under the BSD 3-clause license (see LICENSE.txt)
from GPy.core import Model import numpy as np
from GPy.core import SparseGP
from GPy.util.linalg import PCA
import numpy
import itertools import itertools
import pylab import pylab
from GPy.kern import Kern
from GPy.models.bayesian_gplvm import BayesianGPLVM from ..core import Model, SparseGP
from ..util.linalg import PCA
from ..kern import Kern
from bayesian_gplvm import BayesianGPLVM
from ..core.parameterization.variational import NormalPosterior, NormalPrior
from ..inference.latent_function_inference.var_dtc import VarDTCMissingData
from ..likelihoods.gaussian import Gaussian
class MRD2(Model): class MRD2(Model):
""" """
@ -20,11 +23,101 @@ class MRD2(Model):
to match up, whereas the dimensionality p_d can differ. to match up, whereas the dimensionality p_d can differ.
:param [array-like] Ylist: List of datasets to apply MRD on :param [array-like] Ylist: List of datasets to apply MRD on
:param array-like q_mean: mean of starting latent space q in [n x q] :param input_dim: latent dimensionality
:param array-like q_variance: variance of starting latent space q in [n x q] :type input_dim: int
:param :class:`~GPy.inference.latent_function_inference :param array-like X: mean of starting latent space q in [n x q]
:param array-like X_variance: variance of starting latent space q in [n x q]
:param initx: initialisation method for the latent space :
* 'concat' - PCA on concatenation of all datasets
* 'single' - Concatenation of PCA on datasets, respectively
* 'random' - Random draw from a Normal(0,1)
:type initx: ['concat'|'single'|'random']
:param initz: initialisation method for inducing inputs
:type initz: 'permute'|'random'
:param num_inducing: number of inducing inputs to use
:param Z: initial inducing inputs
:param kernel: list of kernels or kernel to copy for each output
:type kernel: [GPy.kern.kern] | GPy.kern.kern | None (default)
:param :class:`~GPy.inference.latent_function_inference inference_method: the inference method to use
:param :class:`~GPy.likelihoods.likelihood.Likelihood` likelihood: the likelihood to use
:param str name: the name of this model
""" """
def __init__(self, Ylist, input_dim, X=None, X_variance=None,
initx = 'PCA', initz = 'permute',
num_inducing=10, Z=None, kernel=None,
inference_method=None, likelihood=None, name='mrd'):
super(MRD2, self).__init__(name)
# sort out the kernels
if kernel is None:
from ..kern import RBF
self.kern = [RBF(input_dim, ARD=1, name='Y_{}'.format(i)) for i in range(len(Ylist))]
elif isinstance(kernel, Kern):
self.kern = [kernel.copy(name='Y_{}'.format(i)) for i in range(len(Ylist))]
else:
assert len(kernel) == len(Ylist), "need one kernel per output"
assert all([isinstance(k, Kern) for k in kernel]), "invalid kernel object detected!"
self.input_dim = input_dim
self.num_inducing = num_inducing
self._in_init_ = True
X = self._init_X(initx, Ylist)
self.Z = self._init_Z(initz, X)
self.num_inducing = self.Z.shape[0] # ensure M==N if M>N
if X_variance is None:
X_variance = np.random.uniform(0,.2,X.shape)
self.variational_prior = NormalPrior()
self.X = NormalPosterior(X, X_variance)
if likelihood is None:
likelihood = Gaussian()
if inference_method is None:
if any(np.any(np.isnan(y)) for y in Ylist):
self.inference_method = VarDTCMissingData(limit=len(Ylist))
self.Ylist = Ylist
def parameters_changed(self):
for y in self.Ylist:
pass
def _init_X(self, init='PCA', likelihood_list=None):
if likelihood_list is None:
likelihood_list = self.likelihood_list
Ylist = []
for likelihood_or_Y in likelihood_list:
if type(likelihood_or_Y) is np.ndarray:
Ylist.append(likelihood_or_Y)
else:
Ylist.append(likelihood_or_Y.Y)
del likelihood_list
if init in "PCA_concat":
X = PCA(np.hstack(Ylist), self.input_dim)[0]
elif init in "PCA_single":
X = np.zeros((Ylist[0].shape[0], self.input_dim))
for qs, Y in itertools.izip(np.array_split(np.arange(self.input_dim), len(Ylist)), Ylist):
X[:, qs] = PCA(Y, len(qs))[0]
else: # init == 'random':
X = np.random.randn(Ylist[0].shape[0], self.input_dim)
self.X = X
return X
def _init_Z(self, init="permute", X=None):
if X is None:
X = self.X
if init in "permute":
Z = np.random.permutation(X.copy())[:self.num_inducing]
elif init in "random":
Z = np.random.randn(self.num_inducing, self.input_dim) * X.var()
self.Z = Z
return Z
class MRD(Model): class MRD(Model):
""" """
@ -84,7 +177,7 @@ class MRD(Model):
del self._in_init_ del self._in_init_
self.gref = self.bgplvms[0] self.gref = self.bgplvms[0]
nparams = numpy.array([0] + [SparseGP._get_params(g).size - g.Z.size for g in self.bgplvms]) nparams = np.array([0] + [SparseGP._get_params(g).size - g.Z.size for g in self.bgplvms])
self.nparams = nparams.cumsum() self.nparams = nparams.cumsum()
self.num_data = self.gref.num_data self.num_data = self.gref.num_data
@ -216,7 +309,7 @@ class MRD(Model):
X_var = self.gref.X_variance.ravel() X_var = self.gref.X_variance.ravel()
Z = self.gref.Z.ravel() Z = self.gref.Z.ravel()
thetas = [SparseGP._get_params(g)[g.Z.size:] for g in self.bgplvms] thetas = [SparseGP._get_params(g)[g.Z.size:] for g in self.bgplvms]
params = numpy.hstack([X, X_var, Z, numpy.hstack(thetas)]) params = np.hstack([X, X_var, Z, np.hstack(thetas)])
return params return params
# def _set_var_params(self, g, X, X_var, Z): # def _set_var_params(self, g, X, X_var, Z):
@ -239,13 +332,13 @@ class MRD(Model):
# set params for all: # set params for all:
for g, s, e in itertools.izip(self.bgplvms, self.nparams, self.nparams[1:]): for g, s, e in itertools.izip(self.bgplvms, self.nparams, self.nparams[1:]):
g._set_params(numpy.hstack([X, X_var, Z, thetas[s:e]])) g._set_params(np.hstack([X, X_var, Z, thetas[s:e]]))
# self._set_var_params(g, X, X_var, Z) # self._set_var_params(g, X, X_var, Z)
# self._set_kern_params(g, thetas[s:e].copy()) # self._set_kern_params(g, thetas[s:e].copy())
# g._compute_kernel_matrices() # g._compute_kernel_matrices()
# if self.auto_scale_factor: # if self.auto_scale_factor:
# g.scale_factor = numpy.sqrt(g.psi2.sum(0).mean() * g.likelihood.precision) # g.scale_factor = np.sqrt(g.psi2.sum(0).mean() * g.likelihood.precision)
# # self.scale_factor = numpy.sqrt(self.psi2.sum(0).mean() * self.likelihood.precision) # # self.scale_factor = np.sqrt(self.psi2.sum(0).mean() * self.likelihood.precision)
# g._computations() # g._computations()
@ -264,48 +357,18 @@ class MRD(Model):
dKLmu, dKLdS = self.gref.dKL_dmuS() dKLmu, dKLdS = self.gref.dKL_dmuS()
dLdmu -= dKLmu dLdmu -= dKLmu
dLdS -= dKLdS dLdS -= dKLdS
dLdmuS = numpy.hstack((dLdmu.flatten(), dLdS.flatten())).flatten() dLdmuS = np.hstack((dLdmu.flatten(), dLdS.flatten())).flatten()
dldzt1 = reduce(lambda a, b: a + b, (SparseGP._log_likelihood_gradients(g)[:self.MQ] for g in self.bgplvms)) dldzt1 = reduce(lambda a, b: a + b, (SparseGP._log_likelihood_gradients(g)[:self.MQ] for g in self.bgplvms))
return numpy.hstack((dLdmuS, return np.hstack((dLdmuS,
dldzt1, dldzt1,
numpy.hstack([numpy.hstack([g.dL_dtheta(), np.hstack([np.hstack([g.dL_dtheta(),
g.likelihood._gradients(\ g.likelihood._gradients(\
partial=g.partial_for_likelihood)]) \ partial=g.partial_for_likelihood)]) \
for g in self.bgplvms]))) for g in self.bgplvms])))
def _init_X(self, init='PCA', likelihood_list=None):
if likelihood_list is None:
likelihood_list = self.likelihood_list
Ylist = []
for likelihood_or_Y in likelihood_list:
if type(likelihood_or_Y) is numpy.ndarray:
Ylist.append(likelihood_or_Y)
else:
Ylist.append(likelihood_or_Y.Y)
del likelihood_list
if init in "PCA_concat":
X = PCA(numpy.hstack(Ylist), self.input_dim)[0]
elif init in "PCA_single":
X = numpy.zeros((Ylist[0].shape[0], self.input_dim))
for qs, Y in itertools.izip(numpy.array_split(numpy.arange(self.input_dim), len(Ylist)), Ylist):
X[:, qs] = PCA(Y, len(qs))[0]
else: # init == 'random':
X = numpy.random.randn(Ylist[0].shape[0], self.input_dim)
self.X = X
return X
def _init_Z(self, init="permute", X=None):
if X is None:
X = self.X
if init in "permute":
Z = numpy.random.permutation(X.copy())[:self.num_inducing]
elif init in "random":
Z = numpy.random.randn(self.num_inducing, self.input_dim) * X.var()
self.Z = Z
return Z
def _handle_plotting(self, fignum, axes, plotf, sharex=False, sharey=False): def _handle_plotting(self, fignum, axes, plotf, sharex=False, sharey=False):
if axes is None: if axes is None:
fig = pylab.figure(num=fignum) fig = pylab.figure(num=fignum)
@ -358,7 +421,7 @@ class MRD(Model):
""" """
if titles is None: if titles is None:
titles = [r'${}$'.format(name) for name in self.names] titles = [r'${}$'.format(name) for name in self.names]
ymax = reduce(max, [numpy.ceil(max(g.input_sensitivity())) for g in self.bgplvms]) ymax = reduce(max, [np.ceil(max(g.input_sensitivity())) for g in self.bgplvms])
def plotf(i, g, ax): def plotf(i, g, ax):
ax.set_ylim([0,ymax]) ax.set_ylim([0,ymax])
g.kern.plot_ARD(ax=ax, title=titles[i], *args, **kwargs) g.kern.plot_ARD(ax=ax, title=titles[i], *args, **kwargs)

20
GPy/models/ss_gplvm.py
View file

@ -36,7 +36,7 @@ class SSGPLVM(SparseGP):
X_variance = np.random.uniform(0,.1,X.shape) X_variance = np.random.uniform(0,.1,X.shape)
gamma = np.empty_like(X) # The posterior probabilities of the binary variable in the variational approximation gamma = np.empty_like(X) # The posterior probabilities of the binary variable in the variational approximation
gamma[:] = 0.5 gamma[:] = 0.5 + 0.01 * np.random.randn(X.shape[0], input_dim)
if Z is None: if Z is None:
Z = np.random.permutation(X.copy())[:num_inducing] Z = np.random.permutation(X.copy())[:num_inducing]
@ -48,11 +48,14 @@ class SSGPLVM(SparseGP):
if kernel is None: if kernel is None:
kernel = kern.SSRBF(input_dim) kernel = kern.SSRBF(input_dim)
self.variational_prior = SpikeAndSlabPrior(pi=0.5) # the prior probability of the latent binary variable b pi = np.empty((input_dim))
pi[:] = 0.5
self.variational_prior = SpikeAndSlabPrior(pi=pi) # the prior probability of the latent binary variable b
X = SpikeAndSlabPosterior(X, X_variance, gamma) X = SpikeAndSlabPosterior(X, X_variance, gamma)
SparseGP.__init__(self, X, Y, Z, kernel, likelihood, inference_method, name, **kwargs) SparseGP.__init__(self, X, Y, Z, kernel, likelihood, inference_method, name, **kwargs)
self.add_parameter(self.X, index=0) self.add_parameter(self.X, index=0)
self.add_parameter(self.variational_prior)
def parameters_changed(self): def parameters_changed(self):
super(SSGPLVM, self).parameters_changed() super(SSGPLVM, self).parameters_changed()
@ -63,9 +66,18 @@ class SSGPLVM(SparseGP):
# update for the KL divergence # update for the KL divergence
self.variational_prior.update_gradients_KL(self.X) self.variational_prior.update_gradients_KL(self.X)
def input_sensitivity(self):
if self.kern.ARD:
return self.kern.input_sensitivity()
else:
return self.variational_prior.pi
def plot_latent(self, plot_inducing=True, *args, **kwargs): def plot_latent(self, plot_inducing=True, *args, **kwargs):
pass import sys
#return plot_latent.plot_latent(self, plot_inducing=plot_inducing, *args, **kwargs) assert "matplotlib" in sys.modules, "matplotlib package has not been imported."
from ..plotting.matplot_dep import dim_reduction_plots
return dim_reduction_plots.plot_latent(self, plot_inducing=plot_inducing, *args, **kwargs)
def do_test_latents(self, Y): def do_test_latents(self, Y):
""" """

2
GPy/plotting/matplot_dep/dim_reduction_plots.py
View file

@ -20,7 +20,7 @@ def most_significant_input_dimensions(model, which_indices):
input_1, input_2 = 0, 1 input_1, input_2 = 0, 1
else: else:
try: try:
input_1, input_2 = np.argsort(model.kern.input_sensitivity())[::-1][:2] input_1, input_2 = np.argsort(model.input_sensitivity())[::-1][:2]
except: except:
raise ValueError, "cannot automatically determine which dimensions to plot, please pass 'which_indices'" raise ValueError, "cannot automatically determine which dimensions to plot, please pass 'which_indices'"
else: else:

2
GPy/plotting/matplot_dep/kernel_plots.py
View file

@ -23,7 +23,7 @@ def add_bar_labels(fig, ax, bars, bottom=0):
xi = patch.get_x() + patch.get_width() / 2. xi = patch.get_x() + patch.get_width() / 2.
va = 'top' va = 'top'
c = 'w' c = 'w'
t = TextPath((0, 0), "${xi}$".format(xi=xi), rotation=0, usetex=True, ha='center') t = TextPath((0, 0), "${xi}$".format(xi=xi), rotation=0, ha='center')
transform = transOffset transform = transOffset
if patch.get_extents().height <= t.get_extents().height + 3: if patch.get_extents().height <= t.get_extents().height + 3:
va = 'bottom' va = 'bottom'

45
GPy/plotting/matplot_dep/variational_plots.py
View file

@ -44,3 +44,48 @@ def plot(parameterized, fignum=None, ax=None, colors=None):
pb.draw() pb.draw()
fig.tight_layout(h_pad=.01) # , rect=(0, 0, 1, .95)) fig.tight_layout(h_pad=.01) # , rect=(0, 0, 1, .95))
return fig return fig
def plot_SpikeSlab(parameterized, fignum=None, ax=None, colors=None):
"""
Plot latent space X in 1D:
- if fig is given, create input_dim subplots in fig and plot in these
- if ax is given plot input_dim 1D latent space plots of X into each `axis`
- if neither fig nor ax is given create a figure with fignum and plot in there
colors:
colors of different latent space dimensions input_dim
"""
if ax is None:
fig = pb.figure(num=fignum, figsize=(8, min(12, (2 * parameterized.mean.shape[1]))))
if colors is None:
colors = pb.gca()._get_lines.color_cycle
pb.clf()
else:
colors = iter(colors)
plots = []
means, variances, gamma = param_to_array(parameterized.mean, parameterized.variance, parameterized.binary_prob)
x = np.arange(means.shape[0])
for i in range(means.shape[1]):
# mean and variance plot
a = fig.add_subplot(means.shape[1]*2, 1, 2*i + 1)
a.plot(means, c='k', alpha=.3)
plots.extend(a.plot(x, means.T[i], c=colors.next(), label=r"$\mathbf{{X_{{{}}}}}$".format(i)))
a.fill_between(x,
means.T[i] - 2 * np.sqrt(variances.T[i]),
means.T[i] + 2 * np.sqrt(variances.T[i]),
facecolor=plots[-1].get_color(),
alpha=.3)
a.legend(borderaxespad=0.)
a.set_xlim(x.min(), x.max())
if i < means.shape[1] - 1:
a.set_xticklabels('')
# binary prob plot
a = fig.add_subplot(means.shape[1]*2, 1, 2*i + 2)
a.bar(x,gamma[:,i],bottom=0.,linewidth=0,align='center')
a.set_xlim(x.min(), x.max())
a.set_ylim([0.,1.])
pb.draw()
fig.tight_layout(h_pad=.01) # , rect=(0, 0, 1, .95))
return fig

10
GPy/testing/likelihood_tests.py
View file

@ -10,7 +10,7 @@ from functools import partial
#np.random.seed(300) #np.random.seed(300)
#np.random.seed(7) #np.random.seed(7)
np.seterr(divide='raise') #np.seterr(divide='raise')
def dparam_partial(inst_func, *args): def dparam_partial(inst_func, *args):
""" """
If we have a instance method that needs to be called but that doesn't If we have a instance method that needs to be called but that doesn't
@ -350,7 +350,7 @@ class TestNoiseModels(object):
def t_logpdf(self, model, Y, f): def t_logpdf(self, model, Y, f):
print "\n{}".format(inspect.stack()[0][3]) print "\n{}".format(inspect.stack()[0][3])
print model print model
print model._get_params() #print model._get_params()
np.testing.assert_almost_equal( np.testing.assert_almost_equal(
model.pdf(f.copy(), Y.copy()), model.pdf(f.copy(), Y.copy()),
np.exp(model.logpdf(f.copy(), Y.copy())) np.exp(model.logpdf(f.copy(), Y.copy()))
@ -664,7 +664,8 @@ class LaplaceTests(unittest.TestCase):
print m1 print m1
print m2 print m2
m2._set_params(m1._get_params()) m2.parameters_changed()
#m2._set_params(m1._get_params())
#Predict for training points to get posterior mean and variance #Predict for training points to get posterior mean and variance
post_mean, post_var, _, _ = m1.predict(X) post_mean, post_var, _, _ = m1.predict(X)
@ -700,7 +701,8 @@ class LaplaceTests(unittest.TestCase):
np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), decimal=2) np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), decimal=2)
#Check marginals are the same with random #Check marginals are the same with random
m1.randomize() m1.randomize()
m2._set_params(m1._get_params()) #m2._set_params(m1._get_params())
m2.parameters_changed()
np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), decimal=2) np.testing.assert_almost_equal(m1.log_likelihood(), m2.log_likelihood(), decimal=2)
#Check they are checkgradding #Check they are checkgradding

21
GPy/testing/observable_tests.py
View file

@ -8,14 +8,17 @@ from GPy.core.parameterization.parameterized import Parameterized
from GPy.core.parameterization.param import Param from GPy.core.parameterization.param import Param
import numpy import numpy
# One trigger in init
_trigger_start = -1
class ParamTestParent(Parameterized): class ParamTestParent(Parameterized):
parent_changed_count = 0 parent_changed_count = _trigger_start
def parameters_changed(self): def parameters_changed(self):
self.parent_changed_count += 1 self.parent_changed_count += 1
class ParameterizedTest(Parameterized): class ParameterizedTest(Parameterized):
params_changed_count = 0 # One trigger after initialization
params_changed_count = _trigger_start
def parameters_changed(self): def parameters_changed(self):
self.params_changed_count += 1 self.params_changed_count += 1
def _set_params(self, params, trigger_parent=True): def _set_params(self, params, trigger_parent=True):
@ -92,29 +95,31 @@ class Test(unittest.TestCase):
def test_set_params(self): def test_set_params(self):
self.assertEqual(self.par.params_changed_count, 0, 'no params changed yet') self.assertEqual(self.par.params_changed_count, 0, 'no params changed yet')
self.par._set_params(numpy.ones(self.par.size)) self.par._param_array_[:] = 1
self.par._trigger_params_changed()
self.assertEqual(self.par.params_changed_count, 1, 'now params changed') self.assertEqual(self.par.params_changed_count, 1, 'now params changed')
self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count) self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count)
self.parent._set_params(numpy.ones(self.parent.size) * 2) self.par._param_array_[:] = 2
self.par._trigger_params_changed()
self.assertEqual(self.par.params_changed_count, 2, 'now params changed') self.assertEqual(self.par.params_changed_count, 2, 'now params changed')
self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count) self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count)
def test_priority_notify(self): def test_priority_notify(self):
self.assertEqual(self.par.params_changed_count, 0) self.assertEqual(self.par.params_changed_count, 0)
self.par._notify_observers(0, None) self.par.notify_observers(0, None)
self.assertEqual(self.par.params_changed_count, 1) self.assertEqual(self.par.params_changed_count, 1)
self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count) self.assertEqual(self.parent.parent_changed_count, self.par.params_changed_count)
self.par._notify_observers(0, -numpy.inf) self.par.notify_observers(0, -numpy.inf)
self.assertEqual(self.par.params_changed_count, 2) self.assertEqual(self.par.params_changed_count, 2)
self.assertEqual(self.parent.parent_changed_count, 1) self.assertEqual(self.parent.parent_changed_count, 1)
def test_priority(self): def test_priority(self):
self.par.add_observer(self, self._trigger, -1) self.par.add_observer(self, self._trigger, -1)
self.par.add_observer(self, self._trigger_priority, 0) self.par.add_observer(self, self._trigger_priority, 0)
self.par._notify_observers(0) self.par.notify_observers(0)
self.assertEqual(self._first, self._trigger_priority, 'priority should be first') self.assertEqual(self._first, self._trigger_priority, 'priority should be first')
self.assertEqual(self._second, self._trigger, 'priority should be first') self.assertEqual(self._second, self._trigger, 'priority should be first')
@ -123,7 +128,7 @@ class Test(unittest.TestCase):
self.par.add_observer(self, self._trigger, 1) self.par.add_observer(self, self._trigger, 1)
self.par.add_observer(self, self._trigger_priority, 0) self.par.add_observer(self, self._trigger_priority, 0)
self.par._notify_observers(0) self.par.notify_observers(0)
self.assertEqual(self._first, self._trigger, 'priority should be second') self.assertEqual(self._first, self._trigger, 'priority should be second')
self.assertEqual(self._second, self._trigger_priority, 'priority should be second') self.assertEqual(self._second, self._trigger_priority, 'priority should be second')

17
GPy/testing/parameterized_tests.py
View file

@ -22,6 +22,10 @@ class Test(unittest.TestCase):
self.test1.add_parameter(self.rbf, 0) self.test1.add_parameter(self.rbf, 0)
self.test1.add_parameter(self.param) self.test1.add_parameter(self.param)
x = np.linspace(-2,6,4)[:,None]
y = np.sin(x)
self.testmodel = GPy.models.GPRegression(x,y)
def test_add_parameter(self): def test_add_parameter(self):
self.assertEquals(self.rbf._parent_index_, 0) self.assertEquals(self.rbf._parent_index_, 0)
self.assertEquals(self.white._parent_index_, 1) self.assertEquals(self.white._parent_index_, 1)
@ -38,7 +42,6 @@ class Test(unittest.TestCase):
self.test1.add_parameter(self.white, 0) self.test1.add_parameter(self.white, 0)
self.assertListEqual(self.test1._fixes_.tolist(),[FIXED,UNFIXED,UNFIXED]) self.assertListEqual(self.test1._fixes_.tolist(),[FIXED,UNFIXED,UNFIXED])
def test_remove_parameter(self): def test_remove_parameter(self):
from GPy.core.parameterization.transformations import FIXED, UNFIXED, __fixed__, Logexp from GPy.core.parameterization.transformations import FIXED, UNFIXED, __fixed__, Logexp
self.white.fix() self.white.fix()
@ -89,6 +92,18 @@ class Test(unittest.TestCase):
self.assertEqual(self.rbf.constraints._offset, 0) self.assertEqual(self.rbf.constraints._offset, 0)
self.assertEqual(self.param.constraints._offset, 3) self.assertEqual(self.param.constraints._offset, 3)
def test_fixing_randomize(self):
self.white.fix(warning=False)
val = float(self.test1.white.variance)
self.test1.randomize()
self.assertEqual(val, self.white.variance)
def test_fixing_optimize(self):
self.testmodel.kern.lengthscale.fix()
val = float(self.testmodel.kern.lengthscale)
self.testmodel.randomize()
self.assertEqual(val, self.testmodel.kern.lengthscale)
if __name__ == "__main__": if __name__ == "__main__":
#import sys;sys.argv = ['', 'Test.test_add_parameter'] #import sys;sys.argv = ['', 'Test.test_add_parameter']
unittest.main() unittest.main()

10
GPy/testing/psi_stat_expectation_tests.py
View file

@ -9,8 +9,8 @@ import numpy as np
from GPy import testing from GPy import testing
import sys import sys
import numpy import numpy
from GPy.kern.parts.rbf import RBF from GPy.kern import RBF
from GPy.kern.parts.linear import Linear from GPy.kern import Linear
from copy import deepcopy from copy import deepcopy
__test__ = lambda: 'deep' in sys.argv __test__ = lambda: 'deep' in sys.argv
@ -36,7 +36,7 @@ class Test(unittest.TestCase):
indices = numpy.cumsum(i_s_dim_list).tolist() indices = numpy.cumsum(i_s_dim_list).tolist()
input_slices = [slice(a,b) for a,b in zip([None]+indices, indices)] input_slices = [slice(a,b) for a,b in zip([None]+indices, indices)]
#input_slices[2] = deepcopy(input_slices[1]) #input_slices[2] = deepcopy(input_slices[1])
input_slice_kern = GPy.kern.kern(9, input_slice_kern = GPy.kern.kern(9,
[ [
RBF(i_s_dim_list[0], np.random.rand(), np.random.rand(i_s_dim_list[0]), ARD=True), RBF(i_s_dim_list[0], np.random.rand(), np.random.rand(i_s_dim_list[0]), ARD=True),
RBF(i_s_dim_list[1], np.random.rand(), np.random.rand(i_s_dim_list[1]), ARD=True), RBF(i_s_dim_list[1], np.random.rand(), np.random.rand(i_s_dim_list[1]), ARD=True),
@ -51,8 +51,8 @@ class Test(unittest.TestCase):
# GPy.kern.bias(self.input_dim) + # GPy.kern.bias(self.input_dim) +
# GPy.kern.white(self.input_dim)), # GPy.kern.white(self.input_dim)),
(#GPy.kern.rbf(self.input_dim, np.random.rand(), np.random.rand(self.input_dim), ARD=True) (#GPy.kern.rbf(self.input_dim, np.random.rand(), np.random.rand(self.input_dim), ARD=True)
GPy.kern.linear(self.input_dim, np.random.rand(self.input_dim), ARD=True) GPy.kern.Linear(self.input_dim, np.random.rand(self.input_dim), ARD=True)
+GPy.kern.rbf(self.input_dim, np.random.rand(), np.random.rand(self.input_dim), ARD=True) +GPy.kern.RBF(self.input_dim, np.random.rand(), np.random.rand(self.input_dim), ARD=True)
# +GPy.kern.bias(self.input_dim) # +GPy.kern.bias(self.input_dim)
# +GPy.kern.white(self.input_dim)), # +GPy.kern.white(self.input_dim)),
), ),

64
GPy/testing/psi_stat_gradient_tests.py
View file

@ -25,10 +25,10 @@ class PsiStatModel(Model):
self.kern = kernel self.kern = kernel
self.psi_ = self.kern.__getattribute__(self.which)(self.Z, self.X, self.X_variance) self.psi_ = self.kern.__getattribute__(self.which)(self.Z, self.X, self.X_variance)
self.add_parameters(self.X, self.X_variance, self.Z, self.kern) self.add_parameters(self.X, self.X_variance, self.Z, self.kern)
def log_likelihood(self): def log_likelihood(self):
return self.kern.__getattribute__(self.which)(self.Z, self.X, self.X_variance).sum() return self.kern.__getattribute__(self.which)(self.Z, self.X, self.X_variance).sum()
def parameters_changed(self): def parameters_changed(self):
psimu, psiS = self.kern.__getattribute__("d" + self.which + "_dmuS")(numpy.ones_like(self.psi_), self.Z, self.X, self.X_variance) psimu, psiS = self.kern.__getattribute__("d" + self.which + "_dmuS")(numpy.ones_like(self.psi_), self.Z, self.X, self.X_variance)
self.X.gradient = psimu self.X.gradient = psimu
@ -43,9 +43,9 @@ class PsiStatModel(Model):
if self.which == 'psi0': dL_dpsi0 += 1 if self.which == 'psi0': dL_dpsi0 += 1
if self.which == 'psi1': dL_dpsi1 += 1 if self.which == 'psi1': dL_dpsi1 += 1
if self.which == 'psi2': dL_dpsi2 += 1 if self.which == 'psi2': dL_dpsi2 += 1
self.kern.update_gradients_variational(numpy.zeros([1,1]), self.kern.update_gradients_variational(numpy.zeros([1,1]),
dL_dpsi0, dL_dpsi0,
dL_dpsi1, dL_dpsi1,
dL_dpsi2, self.X, self.X_variance, self.Z) dL_dpsi2, self.X, self.X_variance, self.Z)
class DPsiStatTest(unittest.TestCase): class DPsiStatTest(unittest.TestCase):
@ -57,14 +57,14 @@ class DPsiStatTest(unittest.TestCase):
X_var = .5 * numpy.ones_like(X) + .4 * numpy.clip(numpy.random.randn(*X.shape), 0, 1) X_var = .5 * numpy.ones_like(X) + .4 * numpy.clip(numpy.random.randn(*X.shape), 0, 1)
Z = numpy.random.permutation(X)[:num_inducing] Z = numpy.random.permutation(X)[:num_inducing]
Y = X.dot(numpy.random.randn(input_dim, input_dim)) Y = X.dot(numpy.random.randn(input_dim, input_dim))
# kernels = [GPy.kern.linear(input_dim, ARD=True, variances=numpy.random.rand(input_dim)), GPy.kern.rbf(input_dim, ARD=True), GPy.kern.bias(input_dim)] # kernels = [GPy.kern.Linear(input_dim, ARD=True, variances=numpy.random.rand(input_dim)), GPy.kern.RBF(input_dim, ARD=True), GPy.kern.Bias(input_dim)]
kernels = [ kernels = [
GPy.kern.linear(input_dim), GPy.kern.Linear(input_dim),
GPy.kern.rbf(input_dim), GPy.kern.RBF(input_dim),
#GPy.kern.bias(input_dim), #GPy.kern.Bias(input_dim),
#GPy.kern.linear(input_dim) + GPy.kern.bias(input_dim), #GPy.kern.Linear(input_dim) + GPy.kern.Bias(input_dim),
#GPy.kern.rbf(input_dim) + GPy.kern.bias(input_dim) #GPy.kern.RBF(input_dim) + GPy.kern.Bias(input_dim)
] ]
def testPsi0(self): def testPsi0(self):
@ -73,7 +73,7 @@ class DPsiStatTest(unittest.TestCase):
num_inducing=self.num_inducing, kernel=k) num_inducing=self.num_inducing, kernel=k)
m.randomize() m.randomize()
assert m.checkgrad(), "{} x psi0".format("+".join(map(lambda x: x.name, k._parameters_))) assert m.checkgrad(), "{} x psi0".format("+".join(map(lambda x: x.name, k._parameters_)))
def testPsi1(self): def testPsi1(self):
for k in self.kernels: for k in self.kernels:
m = PsiStatModel('psi1', X=self.X, X_variance=self.X_var, Z=self.Z, m = PsiStatModel('psi1', X=self.X, X_variance=self.X_var, Z=self.Z,
@ -119,11 +119,11 @@ if __name__ == "__main__":
if interactive: if interactive:
# N, num_inducing, input_dim, input_dim = 30, 5, 4, 30 # N, num_inducing, input_dim, input_dim = 30, 5, 4, 30
# X = numpy.random.rand(N, input_dim) # X = numpy.random.rand(N, input_dim)
# k = GPy.kern.linear(input_dim) + GPy.kern.bias(input_dim) + GPy.kern.white(input_dim, 0.00001) # k = GPy.kern.Linear(input_dim) + GPy.kern.Bias(input_dim) + GPy.kern.White(input_dim, 0.00001)
# K = k.K(X) # K = k.K(X)
# Y = numpy.random.multivariate_normal(numpy.zeros(N), K, input_dim).T # Y = numpy.random.multivariate_normal(numpy.zeros(N), K, input_dim).T
# Y -= Y.mean(axis=0) # Y -= Y.mean(axis=0)
# k = GPy.kern.linear(input_dim) + GPy.kern.bias(input_dim) + GPy.kern.white(input_dim, 0.00001) # k = GPy.kern.Linear(input_dim) + GPy.kern.Bias(input_dim) + GPy.kern.White(input_dim, 0.00001)
# m = GPy.models.Bayesian_GPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing) # m = GPy.models.Bayesian_GPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing)
# m.randomize() # m.randomize()
# # self.assertTrue(m.checkgrad()) # # self.assertTrue(m.checkgrad())
@ -136,11 +136,11 @@ if __name__ == "__main__":
X_var = .5 * numpy.ones_like(X) + .1 * numpy.clip(numpy.random.randn(*X.shape), 0, 1) X_var = .5 * numpy.ones_like(X) + .1 * numpy.clip(numpy.random.randn(*X.shape), 0, 1)
Z = numpy.random.permutation(X)[:num_inducing] Z = numpy.random.permutation(X)[:num_inducing]
Y = X.dot(numpy.random.randn(input_dim, D)) Y = X.dot(numpy.random.randn(input_dim, D))
# kernel = GPy.kern.bias(input_dim) # kernel = GPy.kern.Bias(input_dim)
# #
# kernels = [GPy.kern.linear(input_dim), GPy.kern.rbf(input_dim), GPy.kern.bias(input_dim), # kernels = [GPy.kern.Linear(input_dim), GPy.kern.RBF(input_dim), GPy.kern.Bias(input_dim),
# GPy.kern.linear(input_dim) + GPy.kern.bias(input_dim), # GPy.kern.Linear(input_dim) + GPy.kern.Bias(input_dim),
# GPy.kern.rbf(input_dim) + GPy.kern.bias(input_dim)] # GPy.kern.RBF(input_dim) + GPy.kern.Bias(input_dim)]
# for k in kernels: # for k in kernels:
# m = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z, # m = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z,
@ -148,32 +148,32 @@ if __name__ == "__main__":
# assert m.checkgrad(), "{} x psi1".format("+".join(map(lambda x: x.name, k.parts))) # assert m.checkgrad(), "{} x psi1".format("+".join(map(lambda x: x.name, k.parts)))
# #
m0 = PsiStatModel('psi0', X=X, X_variance=X_var, Z=Z, m0 = PsiStatModel('psi0', X=X, X_variance=X_var, Z=Z,
num_inducing=num_inducing, kernel=GPy.kern.rbf(input_dim)+GPy.kern.bias(input_dim)) num_inducing=num_inducing, kernel=GPy.kern.RBF(input_dim)+GPy.kern.Bias(input_dim))
# m1 = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z, # m1 = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z,
# num_inducing=num_inducing, kernel=kernel) # num_inducing=num_inducing, kernel=kernel)
# m1 = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z, # m1 = PsiStatModel('psi1', X=X, X_variance=X_var, Z=Z,
# num_inducing=num_inducing, kernel=kernel) # num_inducing=num_inducing, kernel=kernel)
# m2 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z, # m2 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z,
# num_inducing=num_inducing, kernel=GPy.kern.rbf(input_dim)) # num_inducing=num_inducing, kernel=GPy.kern.RBF(input_dim))
# m3 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z, # m3 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z,
# num_inducing=num_inducing, kernel=GPy.kern.linear(input_dim, ARD=True, variances=numpy.random.rand(input_dim))) # num_inducing=num_inducing, kernel=GPy.kern.Linear(input_dim, ARD=True, variances=numpy.random.rand(input_dim)))
# + GPy.kern.bias(input_dim)) # + GPy.kern.Bias(input_dim))
# m = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z, # m = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z,
# num_inducing=num_inducing, # num_inducing=num_inducing,
# kernel=( # kernel=(
# GPy.kern.rbf(input_dim, ARD=1) # GPy.kern.RBF(input_dim, ARD=1)
# +GPy.kern.linear(input_dim, ARD=1) # +GPy.kern.Linear(input_dim, ARD=1)
# +GPy.kern.bias(input_dim)) # +GPy.kern.Bias(input_dim))
# ) # )
# m.ensure_default_constraints() # m.ensure_default_constraints()
m2 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z, m2 = PsiStatModel('psi2', X=X, X_variance=X_var, Z=Z,
num_inducing=num_inducing, kernel=( num_inducing=num_inducing, kernel=(
GPy.kern.rbf(input_dim, numpy.random.rand(), numpy.random.rand(input_dim), ARD=1) GPy.kern.RBF(input_dim, numpy.random.rand(), numpy.random.rand(input_dim), ARD=1)
#+GPy.kern.linear(input_dim, numpy.random.rand(input_dim), ARD=1) #+GPy.kern.Linear(input_dim, numpy.random.rand(input_dim), ARD=1)
#+GPy.kern.rbf(input_dim, numpy.random.rand(), numpy.random.rand(input_dim), ARD=1) #+GPy.kern.RBF(input_dim, numpy.random.rand(), numpy.random.rand(input_dim), ARD=1)
#+GPy.kern.rbf(input_dim, numpy.random.rand(), numpy.random.rand(), ARD=0) #+GPy.kern.RBF(input_dim, numpy.random.rand(), numpy.random.rand(), ARD=0)
+GPy.kern.bias(input_dim) +GPy.kern.Bias(input_dim)
+GPy.kern.white(input_dim) +GPy.kern.White(input_dim)
) )
) )
m2.ensure_default_constraints() m2.ensure_default_constraints()

12
GPy/testing/sparse_gplvm_tests.py
View file

@ -10,10 +10,10 @@ class sparse_GPLVMTests(unittest.TestCase):
def test_bias_kern(self): def test_bias_kern(self):
N, num_inducing, input_dim, D = 10, 3, 2, 4 N, num_inducing, input_dim, D = 10, 3, 2, 4
X = np.random.rand(N, input_dim) X = np.random.rand(N, input_dim)
k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.RBF(input_dim) + GPy.kern.White(input_dim, 0.00001)
K = k.K(X) K = k.K(X)
Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T
k = GPy.kern.bias(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.Bias(input_dim) + GPy.kern.White(input_dim, 0.00001)
m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing) m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing)
m.randomize() m.randomize()
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())
@ -21,10 +21,10 @@ class sparse_GPLVMTests(unittest.TestCase):
def test_linear_kern(self): def test_linear_kern(self):
N, num_inducing, input_dim, D = 10, 3, 2, 4 N, num_inducing, input_dim, D = 10, 3, 2, 4
X = np.random.rand(N, input_dim) X = np.random.rand(N, input_dim)
k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.RBF(input_dim) + GPy.kern.White(input_dim, 0.00001)
K = k.K(X) K = k.K(X)
Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T
k = GPy.kern.linear(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.Linear(input_dim) + GPy.kern.White(input_dim, 0.00001)
m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing) m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing)
m.randomize() m.randomize()
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())
@ -32,10 +32,10 @@ class sparse_GPLVMTests(unittest.TestCase):
def test_rbf_kern(self): def test_rbf_kern(self):
N, num_inducing, input_dim, D = 10, 3, 2, 4 N, num_inducing, input_dim, D = 10, 3, 2, 4
X = np.random.rand(N, input_dim) X = np.random.rand(N, input_dim)
k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.RBF(input_dim) + GPy.kern.White(input_dim, 0.00001)
K = k.K(X) K = k.K(X)
Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T
k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) k = GPy.kern.RBF(input_dim) + GPy.kern.White(input_dim, 0.00001)
m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing) m = SparseGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing)
m.randomize() m.randomize()
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())

54
GPy/testing/unit_tests.py
View file

@ -33,7 +33,7 @@ class GradientTests(unittest.TestCase):
# Get model type (GPRegression, SparseGPRegression, etc) # Get model type (GPRegression, SparseGPRegression, etc)
model_fit = getattr(GPy.models, model_type) model_fit = getattr(GPy.models, model_type)
# noise = GPy.kern.white(dimension) # noise = GPy.kern.White(dimension)
kern = kern # + noise kern = kern # + noise
if uncertain_inputs: if uncertain_inputs:
m = model_fit(X, Y, kernel=kern, X_variance=np.random.rand(X.shape[0], X.shape[1])) m = model_fit(X, Y, kernel=kern, X_variance=np.random.rand(X.shape[0], X.shape[1]))
@ -45,17 +45,17 @@ class GradientTests(unittest.TestCase):
def test_GPRegression_rbf_1d(self): def test_GPRegression_rbf_1d(self):
''' Testing the GP regression with rbf kernel with white kernel on 1d data ''' ''' Testing the GP regression with rbf kernel with white kernel on 1d data '''
rbf = GPy.kern.rbf(1) rbf = GPy.kern.RBF(1)
self.check_model(rbf, model_type='GPRegression', dimension=1) self.check_model(rbf, model_type='GPRegression', dimension=1)
def test_GPRegression_rbf_2D(self): def test_GPRegression_rbf_2D(self):
''' Testing the GP regression with rbf kernel on 2d data ''' ''' Testing the GP regression with rbf kernel on 2d data '''
rbf = GPy.kern.rbf(2) rbf = GPy.kern.RBF(2)
self.check_model(rbf, model_type='GPRegression', dimension=2) self.check_model(rbf, model_type='GPRegression', dimension=2)
def test_GPRegression_rbf_ARD_2D(self): def test_GPRegression_rbf_ARD_2D(self):
''' Testing the GP regression with rbf kernel on 2d data ''' ''' Testing the GP regression with rbf kernel on 2d data '''
k = GPy.kern.rbf(2, ARD=True) k = GPy.kern.RBF(2, ARD=True)
self.check_model(k, model_type='GPRegression', dimension=2) self.check_model(k, model_type='GPRegression', dimension=2)
def test_GPRegression_mlp_1d(self): def test_GPRegression_mlp_1d(self):
@ -65,7 +65,7 @@ class GradientTests(unittest.TestCase):
def test_GPRegression_poly_1d(self): def test_GPRegression_poly_1d(self):
''' Testing the GP regression with polynomial kernel with white kernel on 1d data ''' ''' Testing the GP regression with polynomial kernel with white kernel on 1d data '''
mlp = GPy.kern.poly(1, degree=5) mlp = GPy.kern.Poly(1, degree=5)
self.check_model(mlp, model_type='GPRegression', dimension=1) self.check_model(mlp, model_type='GPRegression', dimension=1)
def test_GPRegression_matern52_1D(self): def test_GPRegression_matern52_1D(self):
@ -100,80 +100,80 @@ class GradientTests(unittest.TestCase):
def test_GPRegression_exponential_1D(self): def test_GPRegression_exponential_1D(self):
''' Testing the GP regression with exponential kernel on 1d data ''' ''' Testing the GP regression with exponential kernel on 1d data '''
exponential = GPy.kern.exponential(1) exponential = GPy.kern.Exponential(1)
self.check_model(exponential, model_type='GPRegression', dimension=1) self.check_model(exponential, model_type='GPRegression', dimension=1)
def test_GPRegression_exponential_2D(self): def test_GPRegression_exponential_2D(self):
''' Testing the GP regression with exponential kernel on 2d data ''' ''' Testing the GP regression with exponential kernel on 2d data '''
exponential = GPy.kern.exponential(2) exponential = GPy.kern.Exponential(2)
self.check_model(exponential, model_type='GPRegression', dimension=2) self.check_model(exponential, model_type='GPRegression', dimension=2)
def test_GPRegression_exponential_ARD_2D(self): def test_GPRegression_exponential_ARD_2D(self):
''' Testing the GP regression with exponential kernel on 2d data ''' ''' Testing the GP regression with exponential kernel on 2d data '''
exponential = GPy.kern.exponential(2, ARD=True) exponential = GPy.kern.Exponential(2, ARD=True)
self.check_model(exponential, model_type='GPRegression', dimension=2) self.check_model(exponential, model_type='GPRegression', dimension=2)
def test_GPRegression_bias_kern_1D(self): def test_GPRegression_bias_kern_1D(self):
''' Testing the GP regression with bias kernel on 1d data ''' ''' Testing the GP regression with bias kernel on 1d data '''
bias = GPy.kern.bias(1) bias = GPy.kern.Bias(1)
self.check_model(bias, model_type='GPRegression', dimension=1) self.check_model(bias, model_type='GPRegression', dimension=1)
def test_GPRegression_bias_kern_2D(self): def test_GPRegression_bias_kern_2D(self):
''' Testing the GP regression with bias kernel on 2d data ''' ''' Testing the GP regression with bias kernel on 2d data '''
bias = GPy.kern.bias(2) bias = GPy.kern.Bias(2)
self.check_model(bias, model_type='GPRegression', dimension=2) self.check_model(bias, model_type='GPRegression', dimension=2)
def test_GPRegression_linear_kern_1D_ARD(self): def test_GPRegression_linear_kern_1D_ARD(self):
''' Testing the GP regression with linear kernel on 1d data ''' ''' Testing the GP regression with linear kernel on 1d data '''
linear = GPy.kern.linear(1, ARD=True) linear = GPy.kern.Linear(1, ARD=True)
self.check_model(linear, model_type='GPRegression', dimension=1) self.check_model(linear, model_type='GPRegression', dimension=1)
def test_GPRegression_linear_kern_2D_ARD(self): def test_GPRegression_linear_kern_2D_ARD(self):
''' Testing the GP regression with linear kernel on 2d data ''' ''' Testing the GP regression with linear kernel on 2d data '''
linear = GPy.kern.linear(2, ARD=True) linear = GPy.kern.Linear(2, ARD=True)
self.check_model(linear, model_type='GPRegression', dimension=2) self.check_model(linear, model_type='GPRegression', dimension=2)
def test_GPRegression_linear_kern_1D(self): def test_GPRegression_linear_kern_1D(self):
''' Testing the GP regression with linear kernel on 1d data ''' ''' Testing the GP regression with linear kernel on 1d data '''
linear = GPy.kern.linear(1) linear = GPy.kern.Linear(1)
self.check_model(linear, model_type='GPRegression', dimension=1) self.check_model(linear, model_type='GPRegression', dimension=1)
def test_GPRegression_linear_kern_2D(self): def test_GPRegression_linear_kern_2D(self):
''' Testing the GP regression with linear kernel on 2d data ''' ''' Testing the GP regression with linear kernel on 2d data '''
linear = GPy.kern.linear(2) linear = GPy.kern.Linear(2)
self.check_model(linear, model_type='GPRegression', dimension=2) self.check_model(linear, model_type='GPRegression', dimension=2)
def test_SparseGPRegression_rbf_white_kern_1d(self): def test_SparseGPRegression_rbf_white_kern_1d(self):
''' Testing the sparse GP regression with rbf kernel with white kernel on 1d data ''' ''' Testing the sparse GP regression with rbf kernel with white kernel on 1d data '''
rbf = GPy.kern.rbf(1) rbf = GPy.kern.RBF(1)
self.check_model(rbf, model_type='SparseGPRegression', dimension=1) self.check_model(rbf, model_type='SparseGPRegression', dimension=1)
def test_SparseGPRegression_rbf_white_kern_2D(self): def test_SparseGPRegression_rbf_white_kern_2D(self):
''' Testing the sparse GP regression with rbf kernel on 2d data ''' ''' Testing the sparse GP regression with rbf kernel on 2d data '''
rbf = GPy.kern.rbf(2) rbf = GPy.kern.RBF(2)
self.check_model(rbf, model_type='SparseGPRegression', dimension=2) self.check_model(rbf, model_type='SparseGPRegression', dimension=2)
def test_SparseGPRegression_rbf_linear_white_kern_1D(self): def test_SparseGPRegression_rbf_linear_white_kern_1D(self):
''' Testing the sparse GP regression with rbf kernel on 2d data ''' ''' Testing the sparse GP regression with rbf kernel on 2d data '''
rbflin = GPy.kern.rbf(1) + GPy.kern.linear(1) rbflin = GPy.kern.RBF(1) + GPy.kern.Linear(1)
self.check_model(rbflin, model_type='SparseGPRegression', dimension=1) self.check_model(rbflin, model_type='SparseGPRegression', dimension=1)
def test_SparseGPRegression_rbf_linear_white_kern_2D(self): def test_SparseGPRegression_rbf_linear_white_kern_2D(self):
''' Testing the sparse GP regression with rbf kernel on 2d data ''' ''' Testing the sparse GP regression with rbf kernel on 2d data '''
rbflin = GPy.kern.rbf(2) + GPy.kern.linear(2) rbflin = GPy.kern.RBF(2) + GPy.kern.Linear(2)
self.check_model(rbflin, model_type='SparseGPRegression', dimension=2) self.check_model(rbflin, model_type='SparseGPRegression', dimension=2)
#@unittest.expectedFailure #@unittest.expectedFailure
def test_SparseGPRegression_rbf_linear_white_kern_2D_uncertain_inputs(self): def test_SparseGPRegression_rbf_linear_white_kern_2D_uncertain_inputs(self):
''' Testing the sparse GP regression with rbf, linear kernel on 2d data with uncertain inputs''' ''' Testing the sparse GP regression with rbf, linear kernel on 2d data with uncertain inputs'''
rbflin = GPy.kern.rbf(2) + GPy.kern.linear(2) rbflin = GPy.kern.RBF(2) + GPy.kern.Linear(2)
raise unittest.SkipTest("This is not implemented yet!") raise unittest.SkipTest("This is not implemented yet!")
self.check_model(rbflin, model_type='SparseGPRegression', dimension=2, uncertain_inputs=1) self.check_model(rbflin, model_type='SparseGPRegression', dimension=2, uncertain_inputs=1)
#@unittest.expectedFailure #@unittest.expectedFailure
def test_SparseGPRegression_rbf_linear_white_kern_1D_uncertain_inputs(self): def test_SparseGPRegression_rbf_linear_white_kern_1D_uncertain_inputs(self):
''' Testing the sparse GP regression with rbf, linear kernel on 1d data with uncertain inputs''' ''' Testing the sparse GP regression with rbf, linear kernel on 1d data with uncertain inputs'''
rbflin = GPy.kern.rbf(1) + GPy.kern.linear(1) rbflin = GPy.kern.RBF(1) + GPy.kern.Linear(1)
raise unittest.SkipTest("This is not implemented yet!") raise unittest.SkipTest("This is not implemented yet!")
self.check_model(rbflin, model_type='SparseGPRegression', dimension=1, uncertain_inputs=1) self.check_model(rbflin, model_type='SparseGPRegression', dimension=1, uncertain_inputs=1)
@ -181,7 +181,7 @@ class GradientTests(unittest.TestCase):
""" Testing GPLVM with rbf + bias kernel """ """ Testing GPLVM with rbf + bias kernel """
N, input_dim, D = 50, 1, 2 N, input_dim, D = 50, 1, 2
X = np.random.rand(N, input_dim) X = np.random.rand(N, input_dim)
k = GPy.kern.rbf(input_dim, 0.5, 0.9 * np.ones((1,))) + GPy.kern.bias(input_dim, 0.1) + GPy.kern.white(input_dim, 0.05) k = GPy.kern.RBF(input_dim, 0.5, 0.9 * np.ones((1,))) + GPy.kern.Bias(input_dim, 0.1) + GPy.kern.White(input_dim, 0.05)
K = k.K(X) K = k.K(X)
Y = np.random.multivariate_normal(np.zeros(N), K, input_dim).T Y = np.random.multivariate_normal(np.zeros(N), K, input_dim).T
m = GPy.models.GPLVM(Y, input_dim, kernel=k) m = GPy.models.GPLVM(Y, input_dim, kernel=k)
@ -191,7 +191,7 @@ class GradientTests(unittest.TestCase):
""" Testing GPLVM with rbf + bias kernel """ """ Testing GPLVM with rbf + bias kernel """
N, input_dim, D = 50, 1, 2 N, input_dim, D = 50, 1, 2
X = np.random.rand(N, input_dim) X = np.random.rand(N, input_dim)
k = GPy.kern.linear(input_dim) + GPy.kern.bias(input_dim, 0.1) + GPy.kern.white(input_dim, 0.05) k = GPy.kern.Linear(input_dim) + GPy.kern.Bias(input_dim, 0.1) + GPy.kern.White(input_dim, 0.05)
K = k.K(X) K = k.K(X)
Y = np.random.multivariate_normal(np.zeros(N), K, input_dim).T Y = np.random.multivariate_normal(np.zeros(N), K, input_dim).T
m = GPy.models.GPLVM(Y, input_dim, init='PCA', kernel=k) m = GPy.models.GPLVM(Y, input_dim, init='PCA', kernel=k)
@ -201,7 +201,7 @@ class GradientTests(unittest.TestCase):
N = 20 N = 20
X = np.hstack([np.random.normal(5, 2, N / 2), np.random.normal(10, 2, N / 2)])[:, None] X = np.hstack([np.random.normal(5, 2, N / 2), np.random.normal(10, 2, N / 2)])[:, None]
Y = np.hstack([np.ones(N / 2), np.zeros(N / 2)])[:, None] Y = np.hstack([np.ones(N / 2), np.zeros(N / 2)])[:, None]
kernel = GPy.kern.rbf(1) kernel = GPy.kern.RBF(1)
m = GPy.models.GPClassification(X,Y,kernel=kernel) m = GPy.models.GPClassification(X,Y,kernel=kernel)
m.update_likelihood_approximation() m.update_likelihood_approximation()
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())
@ -211,7 +211,7 @@ class GradientTests(unittest.TestCase):
X = np.hstack([np.random.normal(5, 2, N / 2), np.random.normal(10, 2, N / 2)])[:, None] X = np.hstack([np.random.normal(5, 2, N / 2), np.random.normal(10, 2, N / 2)])[:, None]
Y = np.hstack([np.ones(N / 2), np.zeros(N / 2)])[:, None] Y = np.hstack([np.ones(N / 2), np.zeros(N / 2)])[:, None]
Z = np.linspace(0, 15, 4)[:, None] Z = np.linspace(0, 15, 4)[:, None]
kernel = GPy.kern.rbf(1) kernel = GPy.kern.RBF(1)
m = GPy.models.SparseGPClassification(X,Y,kernel=kernel,Z=Z) m = GPy.models.SparseGPClassification(X,Y,kernel=kernel,Z=Z)
#distribution = GPy.likelihoods.likelihood_functions.Bernoulli() #distribution = GPy.likelihoods.likelihood_functions.Bernoulli()
#likelihood = GPy.likelihoods.EP(Y, distribution) #likelihood = GPy.likelihoods.EP(Y, distribution)
@ -223,7 +223,7 @@ class GradientTests(unittest.TestCase):
def test_generalized_FITC(self): def test_generalized_FITC(self):
N = 20 N = 20
X = np.hstack([np.random.rand(N / 2) + 1, np.random.rand(N / 2) - 1])[:, None] X = np.hstack([np.random.rand(N / 2) + 1, np.random.rand(N / 2) - 1])[:, None]
k = GPy.kern.rbf(1) + GPy.kern.white(1) k = GPy.kern.RBF(1) + GPy.kern.White(1)
Y = np.hstack([np.ones(N/2),np.zeros(N/2)])[:,None] Y = np.hstack([np.ones(N/2),np.zeros(N/2)])[:,None]
m = GPy.models.FITCClassification(X, Y, kernel = k) m = GPy.models.FITCClassification(X, Y, kernel = k)
m.update_likelihood_approximation() m.update_likelihood_approximation()
@ -237,7 +237,7 @@ class GradientTests(unittest.TestCase):
Y2 = -np.sin(X2) + np.random.randn(*X2.shape) * 0.05 Y2 = -np.sin(X2) + np.random.randn(*X2.shape) * 0.05
Y = np.vstack((Y1, Y2)) Y = np.vstack((Y1, Y2))
k1 = GPy.kern.rbf(1) k1 = GPy.kern.RBF(1)
m = GPy.models.GPMultioutputRegression(X_list=[X1,X2],Y_list=[Y1,Y2],kernel_list=[k1]) m = GPy.models.GPMultioutputRegression(X_list=[X1,X2],Y_list=[Y1,Y2],kernel_list=[k1])
m.constrain_fixed('.*rbf_var', 1.) m.constrain_fixed('.*rbf_var', 1.)
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())
@ -250,7 +250,7 @@ class GradientTests(unittest.TestCase):
Y2 = -np.sin(X2) + np.random.randn(*X2.shape) * 0.05 Y2 = -np.sin(X2) + np.random.randn(*X2.shape) * 0.05
Y = np.vstack((Y1, Y2)) Y = np.vstack((Y1, Y2))
k1 = GPy.kern.rbf(1) k1 = GPy.kern.RBF(1)
m = GPy.models.SparseGPMultioutputRegression(X_list=[X1,X2],Y_list=[Y1,Y2],kernel_list=[k1]) m = GPy.models.SparseGPMultioutputRegression(X_list=[X1,X2],Y_list=[Y1,Y2],kernel_list=[k1])
m.constrain_fixed('.*rbf_var', 1.) m.constrain_fixed('.*rbf_var', 1.)
self.assertTrue(m.checkgrad()) self.assertTrue(m.checkgrad())

36
GPy/util/linalg.py
View file

@ -78,24 +78,24 @@ def force_F_ordered(A):
# return jitchol(A+np.eye(A.shape[0])*jitter, maxtries-1) # return jitchol(A+np.eye(A.shape[0])*jitter, maxtries-1)
def jitchol(A, maxtries=5): def jitchol(A, maxtries=5):
A = np.ascontiguousarray(A) A = np.ascontiguousarray(A)
L, info = lapack.dpotrf(A, lower=1) L, info = lapack.dpotrf(A, lower=1)
if info == 0: if info == 0:
return L return L
else: else:
diagA = np.diag(A) diagA = np.diag(A)
if np.any(diagA <= 0.): if np.any(diagA <= 0.):
raise linalg.LinAlgError, "not pd: non-positive diagonal elements" raise linalg.LinAlgError, "not pd: non-positive diagonal elements"
jitter = diagA.mean() * 1e-6 jitter = diagA.mean() * 1e-6
while maxtries > 0 and np.isfinite(jitter): while maxtries > 0 and np.isfinite(jitter):
print 'Warning: adding jitter of {:.10e}'.format(jitter) print 'Warning: adding jitter of {:.10e}'.format(jitter)
try: try:
return linalg.cholesky(A + np.eye(A.shape[0]).T * jitter, lower=True) return linalg.cholesky(A + np.eye(A.shape[0]).T * jitter, lower=True)
except: except:
jitter *= 10 jitter *= 10
finally: finally:
maxtries -= 1 maxtries -= 1
raise linalg.LinAlgError, "not positive definite, even with jitter." raise linalg.LinAlgError, "not positive definite, even with jitter."