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added a rate to inverse calculation

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This commit is contained in:
beckdaniel 2016-03-02 16:54:03 +00:00
parent 91e625a9bd
commit 5534c45b0a
3 changed files with 173 additions and 23 deletions
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14
GPy/models/warped_gp.py
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@ -68,22 +68,22 @@ class WarpedGP(GP):
arg2 = np.ones(shape=gh_samples.shape).dot(mean.T)
return self.warping_function.f_inv(arg1 + arg2, y=pred_init)
def _get_warped_mean(self, mean, std, pred_init=None, deg_gauss_hermite=100):
def _get_warped_mean(self, mean, std, pred_init=None, deg_gauss_hermite=20):
"""
Calculate the warped mean by using Gauss-Hermite quadrature.
"""
gh_samples, gh_weights = np.polynomial.hermite.hermgauss(deg_gauss_hermite)
gh_samples = gh_samples[:,None]
gh_weights = gh_weights[None,:]
gh_samples = gh_samples[:, None]
gh_weights = gh_weights[None, :]
return gh_weights.dot(self._get_warped_term(mean, std, gh_samples)) / np.sqrt(np.pi)
def _get_warped_variance(self, mean, std, pred_init=None, deg_gauss_hermite=100):
def _get_warped_variance(self, mean, std, pred_init=None, deg_gauss_hermite=20):
"""
Calculate the warped variance by using Gauss-Hermite quadrature.
"""
gh_samples, gh_weights = np.polynomial.hermite.hermgauss(deg_gauss_hermite)
gh_samples = gh_samples[:,None]
gh_weights = gh_weights[None,:]
gh_samples = gh_samples[:, None]
gh_weights = gh_weights[None, :]
arg1 = gh_weights.dot(self._get_warped_term(mean, std, gh_samples,
pred_init=pred_init) ** 2) / np.sqrt(np.pi)
arg2 = self._get_warped_mean(mean, std, pred_init=pred_init,
@ -91,7 +91,7 @@ class WarpedGP(GP):
return arg1 - (arg2 ** 2)
def predict(self, Xnew, which_parts='all', pred_init=None, full_cov=False, Y_metadata=None,
median=False, deg_gauss_hermite=100, likelihood=None):
median=False, deg_gauss_hermite=20, likelihood=None):
"""
Prediction results depend on:
- The value of the self.predict_in_warped_space flag