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REVERT a53690ab7f, flapack back substitued in

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Max Zwiessele 2013-05-31 12:09:11 +01:00
parent 43c2f8af87
commit 4eebf99bfb
15 changed files with 96 additions and 101 deletions
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10
GPy/likelihoods/EP.py
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@ -123,7 +123,7 @@ class EP(likelihood):
Sroot_tilde_K = np.sqrt(self.tau_tilde)[:,None]*K
B = np.eye(self.N) + np.sqrt(self.tau_tilde)[None,:]*Sroot_tilde_K
L = jitchol(B)
V, info = linalg.lapack.dtrtrs(L, Sroot_tilde_K, lower=1)
V,info = linalg.lapack.flapack.dtrtrs(L,Sroot_tilde_K,lower=1)
Sigma = K - np.dot(V.T,V)
mu = np.dot(Sigma,self.v_tilde)
epsilon_np1 = sum((self.tau_tilde-self.np1[-1])**2)/self.N
@ -209,7 +209,7 @@ class EP(likelihood):
DSYR(LLT,Kmn[:,i].copy(),Delta_tau) #LLT = LLT + np.outer(Kmn[:,i],Kmn[:,i])*Delta_tau
L = jitchol(LLT)
#cholUpdate(L,Kmn[:,i]*np.sqrt(Delta_tau))
V, info = linalg.lapack.dtrtrs(L, Kmn, lower=1)
V,info = linalg.lapack.flapack.dtrtrs(L,Kmn,lower=1)
Sigma_diag = np.sum(V*V,-2)
si = np.sum(V.T*V[:,i],-1)
mu += (Delta_v-Delta_tau*mu[i])*si
@ -217,8 +217,8 @@ class EP(likelihood):
#Sigma recomputation with Cholesky decompositon
LLT = LLT0 + np.dot(Kmn*self.tau_tilde[None,:],Kmn.T)
L = jitchol(LLT)
V, info = linalg.lapack.dtrtrs(L, Kmn, lower=1)
V2, info = linalg.lapack.dtrtrs(L.T, V, lower=0)
V,info = linalg.lapack.flapack.dtrtrs(L,Kmn,lower=1)
V2,info = linalg.lapack.flapack.dtrtrs(L.T,V,lower=0)
Sigma_diag = np.sum(V*V,-2)
Knmv_tilde = np.dot(Kmn,self.v_tilde)
mu = np.dot(V2.T,Knmv_tilde)
@ -320,7 +320,7 @@ class EP(likelihood):
Diag = Diag0 * Iplus_Dprod_i
P = Iplus_Dprod_i[:,None] * P0
L = jitchol(np.eye(M) + np.dot(RPT0,((1. - Iplus_Dprod_i)/Diag0)[:,None]*RPT0.T))
R, info = linalg.lapack.dtrtrs(L, R0, lower=1)
R,info = linalg.lapack.flapack.dtrtrs(L,R0,lower=1)
RPT = np.dot(R,P.T)
Sigma_diag = Diag + np.sum(RPT.T*RPT.T,-1)
self.w = Diag * self.v_tilde