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preliminary reconfiguring or choleskies ordering

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This commit is contained in:
James Hensman 2015-05-05 14:13:38 +01:00
parent dde8e4136e
commit 5d1875ec44
6 changed files with 432 additions and 468 deletions
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32
GPy/util/choleskies.py
View file

@ -15,33 +15,33 @@ def safe_root(N):
return j
def _flat_to_triang_pure(flat_mat):
N, D = flat_mat.shape
D, N = flat_mat.shape
M = (-1 + safe_root(8*N+1))//2
ret = np.zeros((M, M, D))
count = 0
for m in range(M):
for mm in range(m+1):
for d in range(D):
ret.flat[d + m*D*M + mm*D] = flat_mat.flat[count];
ret = np.zeros((D, M, M))
for d in range(D):
count = 0
for m in range(M):
for mm in range(m+1):
ret[d,m, mm] = flat_mat[d, count];
count = count+1
return ret
def _flat_to_triang_cython(flat_mat):
N, D = flat_mat.shape
D, N = flat_mat.shape
M = (-1 + safe_root(8*N+1))//2
return choleskies_cython.flat_to_triang(flat_mat, M)
def _triang_to_flat_pure(L):
M, _, D = L.shape
D, _, M = L.shape
N = M*(M+1)//2
flat = np.empty((N, D))
count = 0;
for m in range(M):
for mm in range(m+1):
for d in range(D):
flat.flat[count] = L.flat[d + m*D*M + mm*D];
flat = np.empty((D, N))
for d in range(D):
count = 0;
for m in range(M):
for mm in range(m+1):
flat[d,count] = L[d, m, mm]
count = count +1
return flat
@ -74,7 +74,7 @@ def triang_to_cov(L):
return np.dstack([np.dot(L[:,:,i], L[:,:,i].T) for i in range(L.shape[-1])])
def multiple_dpotri(Ls):
return np.dstack([linalg.dpotri(np.asfortranarray(Ls[:,:,i]), lower=1)[0] for i in range(Ls.shape[-1])])
return np.array([linalg.dpotri(np.asfortranarray(Ls[i]), lower=1)[0] for i in range(Ls.shape[0])])
def indexes_to_fix_for_low_rank(rank, size):
"""

805
GPy/util/choleskies_cython.c
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File diff suppressed because it is too large Load diff

18
GPy/util/choleskies_cython.pyx
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@ -8,37 +8,37 @@ import numpy as np
cimport numpy as np
def flat_to_triang(np.ndarray[double, ndim=2] flat, int M):
"""take a matrix N x D and return a M X M x D array where
"""take a matrix D x N and return a D X M x M array where
N = M(M+1)/2
the lower triangluar portion of the d'th slice of the result is filled by the d'th column of flat.
"""
cdef int N = flat.shape[0]
cdef int D = flat.shape[1]
cdef int D = flat.shape[0]
cdef int N = flat.shape[1]
cdef int count = 0
cdef np.ndarray[double, ndim=3] ret = np.zeros((M, M, D))
cdef np.ndarray[double, ndim=3] ret = np.zeros((D, M, M))
cdef int d, m, mm
for d in range(D):
count = 0
for m in range(M):
for mm in range(m+1):
ret[m, mm, d] = flat[count,d]
ret[d, m, mm] = flat[d,count]
count += 1
return ret
def triang_to_flat(np.ndarray[double, ndim=3] L):
cdef int M = L.shape[0]
cdef int D = L.shape[2]
cdef int D = L.shape[0]
cdef int M = L.shape[1]
cdef int N = M*(M+1)/2
cdef int count = 0
cdef np.ndarray[double, ndim=2] flat = np.empty((N, D))
cdef np.ndarray[double, ndim=2] flat = np.empty((D, N))
cdef int d, m, mm
for d in range(D):
count = 0
for m in range(M):
for mm in range(m+1):
flat[count,d] = L[m, mm, d]
flat[d,count] = L[d, m, mm]
count += 1
return flat