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5fe0daa0b1
6 changed files with 167 additions and 111 deletions
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@ -203,7 +203,7 @@ class model(parameterised):
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else:
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else:
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self._set_params_transformed(initial_parameters)
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self._set_params_transformed(initial_parameters)
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def ensure_default_constraints(self, warn=False):
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def ensure_default_constraints(self):
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"""
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"""
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Ensure that any variables which should clearly be positive have been constrained somehow.
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Ensure that any variables which should clearly be positive have been constrained somehow.
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"""
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"""
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@ -214,11 +214,11 @@ class model(parameterised):
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for s in positive_strings:
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for s in positive_strings:
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for i in self.grep_param_names(s):
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for i in self.grep_param_names(s):
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if not (i in currently_constrained):
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if not (i in currently_constrained):
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to_make_positive.append(re.escape(param_names[i]))
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#to_make_positive.append(re.escape(param_names[i]))
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if warn:
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to_make_positive.append(i)
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print "Warning! constraining %s positive" % s
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if len(to_make_positive):
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if len(to_make_positive):
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self.constrain_positive('(' + '|'.join(to_make_positive) + ')')
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#self.constrain_positive('(' + '|'.join(to_make_positive) + ')')
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self.constrain_positive(np.asarray(to_make_positive))
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@ -411,9 +411,10 @@ class model(parameterised):
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"""
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"""
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return an array describing the sesitivity of the model to each input
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return an array describing the sesitivity of the model to each input
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NB. Right now, we're basing this on the lengthscales (or variances) of the kernel.
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NB. Right now, we're basing this on the lengthscales (or
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TODO: proper sensitivity analysis
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variances) of the kernel. TODO: proper sensitivity analysis
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"""
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where we integrate across the model inputs and evaluate the
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effect on the variance of the model output. """
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if not hasattr(self, 'kern'):
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if not hasattr(self, 'kern'):
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raise ValueError, "this model has no kernel"
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raise ValueError, "this model has no kernel"
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@ -86,7 +86,7 @@ def BGPLVM_oil(optimize=True, N=100, Q=10, M=15, max_f_eval=300):
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plt.sca(latent_axes)
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plt.sca(latent_axes)
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m.plot_latent()
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m.plot_latent()
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data_show = GPy.util.visualize.vector_show(y)
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data_show = GPy.util.visualize.vector_show(y)
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lvm_visualizer = GPy.util.visualize.lvm_dimselect(m.X[0, :], m, data_show, latent_axes=latent_axes, hist_axes=hist_axes)
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lvm_visualizer = GPy.util.visualize.lvm_dimselect(m.X[0, :], m, data_show, latent_axes=latent_axes, sense_axes=sense_axes)
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raw_input('Press enter to finish')
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raw_input('Press enter to finish')
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plt.close('all')
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plt.close('all')
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# # plot
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# # plot
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@ -5,6 +5,7 @@
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from kernpart import kernpart
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from kernpart import kernpart
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import numpy as np
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import numpy as np
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from ..util.linalg import tdot
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from ..util.linalg import tdot
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from scipy import weave
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class linear(kernpart):
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class linear(kernpart):
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"""
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"""
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@ -171,33 +172,91 @@ class linear(kernpart):
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self._psi_computations(Z, mu, S)
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self._psi_computations(Z, mu, S)
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AZZA = self.ZA.T[:, None, :, None] * self.ZA[None, :, None, :]
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AZZA = self.ZA.T[:, None, :, None] * self.ZA[None, :, None, :]
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AZZA = AZZA + AZZA.swapaxes(1, 2)
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AZZA = AZZA + AZZA.swapaxes(1, 2)
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target_S += (dL_dpsi2[:, :, :, None] * self.ZA[None, :, None, :] * self.ZA[None, None, :, :]).sum(1).sum(1)
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AZZA_2 = AZZA/2.
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dpsi2_dmu = (dL_dpsi2[:, :, :, None] * np.tensordot(mu, AZZA, (-1, 0))).sum(1).sum(1)
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#muAZZA = np.tensordot(mu,AZZA,(-1,0))
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target_mu += dpsi2_dmu
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#target_mu_dummy, target_S_dummy = np.zeros_like(target_mu), np.zeros_like(target_S)
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#target_mu_dummy += (dL_dpsi2[:, :, :, None] * muAZZA).sum(1).sum(1)
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#target_S_dummy += (dL_dpsi2[:, :, :, None] * self.ZA[None, :, None, :] * self.ZA[None, None, :, :]).sum(1).sum(1)
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#Using weave, we can exploiut the symmetry of this problem:
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code = """
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int n, m, mm,q,qq;
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double factor,tmp;
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#pragma omp parallel for private(m,mm,q,qq,factor,tmp)
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for(n=0;n<N;n++){
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for(m=0;m<M;m++){
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for(mm=0;mm<=m;mm++){
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//add in a factor of 2 for the off-diagonal terms (and then count them only once)
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if(m==mm)
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factor = dL_dpsi2(n,m,mm);
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else
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factor = 2.0*dL_dpsi2(n,m,mm);
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for(q=0;q<Q;q++){
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//take the dot product of mu[n,:] and AZZA[:,m,mm,q] TODO: blas!
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tmp = 0.0;
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for(qq=0;qq<Q;qq++){
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tmp += mu(n,qq)*AZZA(qq,m,mm,q);
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}
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target_mu(n,q) += factor*tmp;
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target_S(n,q) += factor*AZZA_2(q,m,mm,q);
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}
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}
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}
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}
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"""
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support_code = """
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#include <omp.h>
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#include <math.h>
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"""
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weave_options = {'headers' : ['<omp.h>'],
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'extra_compile_args': ['-fopenmp -O3'], #-march=native'],
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'extra_link_args' : ['-lgomp']}
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N,M,Q = mu.shape[0],Z.shape[0],mu.shape[1]
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weave.inline(code, support_code=support_code, libraries=['gomp'],
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arg_names=['N','M','Q','mu','AZZA','AZZA_2','target_mu','target_S','dL_dpsi2'],
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type_converters=weave.converters.blitz,**weave_options)
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def dpsi2_dZ(self, dL_dpsi2, Z, mu, S, target):
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def dpsi2_dZ(self, dL_dpsi2, Z, mu, S, target):
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self._psi_computations(Z, mu, S)
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self._psi_computations(Z, mu, S)
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# mu2_S = np.sum(self.mu2_S, 0) # Q,
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#psi2_dZ = dL_dpsi2[:, :, :, None] * self.variances * self.ZAinner[:, :, None, :]
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# import ipdb;ipdb.set_trace()
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#dummy_target = np.zeros_like(target)
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# psi2_dZ_real = np.zeros((mu.shape[0], Z.shape[0], Z.shape[1]))
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#dummy_target += psi2_dZ.sum(0).sum(0)
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# for n in range(mu.shape[0]):
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# for m in range(Z.shape[0]):
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AZA = self.variances*self.ZAinner
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# tmp = self.variances * (tdot(self._mu[n:n + 1].T) + np.diag(S[n]))
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code="""
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# psi2_dZ_real[n, m, :] = np.dot(tmp, (
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int n,m,mm,q;
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# self._Z[m:m + 1] * self.variances).T).T
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#pragma omp parallel for private(n,mm,q)
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# tmp = self._Z[m:m + 1] * self.variances
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for(m=0;m<M;m++){
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# tmp = np.dot(tmp, (tdot(self._mu[n:n + 1].T) + np.diag(S[n])))
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for(q=0;q<Q;q++){
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# psi2_dZ_real[n, m, :] = tmp * self.variances
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for(mm=0;mm<M;mm++){
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# for m_prime in range(Z.shape[0]):
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for(n=0;n<N;n++){
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# if m == m_prime:
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target(m,q) += dL_dpsi2(n,m,mm)*AZA(n,mm,q);
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# psi2_dZ_real[n, m, :] *= 2
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}
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# prod = (dL_dpsi2[:, :, :, None] * np.eye(Z.shape[0])[None, :, :, None] * (self.ZAinner * self.variances).swapaxes(0, 1)[:, :, None, :])
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}
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# psi2_dZ = prod.swapaxes(1, 2) + prod
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}
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psi2_dZ = dL_dpsi2[:, :, :, None] * self.variances * self.ZAinner[:, :, None, :]
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}
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target += psi2_dZ.sum(0).sum(0)
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"""
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# import ipdb;ipdb.set_trace()
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support_code = """
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# psi2_dZ_old = (dL_dpsi2[:, :, :, None] * (self.mu2_S[:, None, None, :] * (Z * np.square(self.variances)[None, :])[None, None, :, :])).sum(0).sum(1)
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#include <omp.h>
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# target += (dL_dpsi2[:, :, :, None] * psi2_dZ_real[:, :, None, :]).sum(0).sum(0) * 2 # (self.variances * np.dot(self.inner, self.ZA.T)).sum(1)
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#include <math.h>
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"""
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weave_options = {'headers' : ['<omp.h>'],
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'extra_compile_args': ['-fopenmp -O3'], #-march=native'],
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'extra_link_args' : ['-lgomp']}
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N,M,Q = mu.shape[0],Z.shape[0],mu.shape[1]
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weave.inline(code, support_code=support_code, libraries=['gomp'],
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arg_names=['N','M','Q','AZA','target','dL_dpsi2'],
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type_converters=weave.converters.blitz,**weave_options)
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#---------------------------------------#
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#---------------------------------------#
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# Precomputations #
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# Precomputations #
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@ -251,6 +251,7 @@ class EP(likelihood):
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R = R0.copy()
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R = R0.copy()
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Diag = Diag0.copy()
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Diag = Diag0.copy()
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Sigma_diag = Knn_diag
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Sigma_diag = Knn_diag
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RPT0 = np.dot(R0,P0.T)
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"""
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"""
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Initial values - Cavity distribution parameters:
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Initial values - Cavity distribution parameters:
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@ -306,13 +307,7 @@ class EP(likelihood):
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Iplus_Dprod_i = 1./(1.+ Diag0 * self.tau_tilde)
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Iplus_Dprod_i = 1./(1.+ Diag0 * self.tau_tilde)
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Diag = Diag0 * Iplus_Dprod_i
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Diag = Diag0 * Iplus_Dprod_i
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P = Iplus_Dprod_i[:,None] * P0
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P = Iplus_Dprod_i[:,None] * P0
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#Diag = Diag0/(1.+ Diag0 * self.tau_tilde)
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#P = (Diag / Diag0)[:,None] * P0
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RPT0 = np.dot(R0,P0.T)
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L = jitchol(np.eye(M) + np.dot(RPT0,((1. - Iplus_Dprod_i)/Diag0)[:,None]*RPT0.T))
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L = jitchol(np.eye(M) + np.dot(RPT0,((1. - Iplus_Dprod_i)/Diag0)[:,None]*RPT0.T))
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#L = jitchol(np.eye(M) + np.dot(RPT0,(1./Diag0 - Iplus_Dprod_i/Diag0)[:,None]*RPT0.T))
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#L = jitchol(np.eye(M) + np.dot(RPT0,(1./Diag0 - Diag/(Diag0**2))[:,None]*RPT0.T))
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R,info = linalg.lapack.flapack.dtrtrs(L,R0,lower=1)
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R,info = linalg.lapack.flapack.dtrtrs(L,R0,lower=1)
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RPT = np.dot(R,P.T)
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RPT = np.dot(R,P.T)
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Sigma_diag = Diag + np.sum(RPT.T*RPT.T,-1)
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Sigma_diag = Diag + np.sum(RPT.T*RPT.T,-1)
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@ -9,6 +9,12 @@ from .. import kern
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from scipy import stats, linalg
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from scipy import stats, linalg
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from sparse_GP import sparse_GP
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from sparse_GP import sparse_GP
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def backsub_both_sides(L,X):
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""" Return L^-T * X * L^-1, assumuing X is symmetrical and L is lower cholesky"""
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tmp,_ = linalg.lapack.flapack.dtrtrs(L,np.asfortranarray(X),lower=1,trans=1)
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return linalg.lapack.flapack.dtrtrs(L,np.asfortranarray(tmp.T),lower=1,trans=1)[0].T
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class generalized_FITC(sparse_GP):
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class generalized_FITC(sparse_GP):
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"""
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"""
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Naish-Guzman, A. and Holden, S. (2008) implemantation of EP with FITC.
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Naish-Guzman, A. and Holden, S. (2008) implemantation of EP with FITC.
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@ -33,7 +39,7 @@ class generalized_FITC(sparse_GP):
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self.Z = Z
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self.Z = Z
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self.M = self.Z.shape[0]
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self.M = self.Z.shape[0]
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self._precision = likelihood.precision
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self.true_precision = likelihood.precision
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sparse_GP.__init__(self, X, likelihood, kernel=kernel, Z=self.Z, X_variance=None, normalize_X=False)
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sparse_GP.__init__(self, X, likelihood, kernel=kernel, Z=self.Z, X_variance=None, normalize_X=False)
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@ -51,13 +57,16 @@ class generalized_FITC(sparse_GP):
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For a Gaussian (or direct: TODO) likelihood, no iteration is required:
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For a Gaussian (or direct: TODO) likelihood, no iteration is required:
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this function does nothing
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this function does nothing
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Diag(Knn - Qnn) is added to the noise term to use the tools already implemented in sparse_GP.
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The true precison is now 'true_precision' not 'precision'.
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"""
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"""
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if self.has_uncertain_inputs:
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if self.has_uncertain_inputs:
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raise NotImplementedError, "FITC approximation not implemented for uncertain inputs"
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raise NotImplementedError, "FITC approximation not implemented for uncertain inputs"
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else:
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else:
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self.likelihood.fit_FITC(self.Kmm,self.psi1,self.psi0)
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self.likelihood.fit_FITC(self.Kmm,self.psi1,self.psi0)
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self._precision = self.likelihood.precision # Save the true precision
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self.true_precision = self.likelihood.precision # Save the true precision
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self.likelihood.precision = self._precision/(1. + self._precision*self.Diag0[:,None]) # Add the diagonal element of the FITC approximation
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self.likelihood.precision = self.true_precision/(1. + self.true_precision*self.Diag0[:,None]) # Add the diagonal element of the FITC approximation
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self._set_params(self._get_params()) # update the GP
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self._set_params(self._get_params()) # update the GP
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def _FITC_computations(self):
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def _FITC_computations(self):
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@ -69,23 +78,23 @@ class generalized_FITC(sparse_GP):
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- removes the extra terms computed in the sparse_GP approximation
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- removes the extra terms computed in the sparse_GP approximation
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- computes the likelihood gradients wrt the true precision.
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- computes the likelihood gradients wrt the true precision.
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"""
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"""
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#NOTE the true precison is now '_precison' not 'precision'
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#NOTE the true precison is now 'true_precision' not 'precision'
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if self.likelihood.is_heteroscedastic:
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if self.likelihood.is_heteroscedastic:
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# Compute generalized FITC's diagonal term of the covariance
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# Compute generalized FITC's diagonal term of the covariance
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self.Qnn = mdot(self.psi1.T,self.Kmmi,self.psi1)
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self.Lmi,info = linalg.lapack.flapack.dtrtrs(self.Lm,np.eye(self.M),lower=1)
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Lmipsi1 = np.dot(self.Lmi,self.psi1)
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self.Qnn = np.dot(Lmipsi1.T,Lmipsi1)
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#self.Kmmi, Lm, Lmi, Kmm_logdet = pdinv(self.Kmm)
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#self.Qnn = mdot(self.psi1.T,self.Kmmi,self.psi1)
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#a = kj
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self.Diag0 = self.psi0 - np.diag(self.Qnn)
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self.Diag0 = self.psi0 - np.diag(self.Qnn)
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Iplus_Dprod_i = 1./(1.+ self.Diag0 * self._precision.flatten())
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Iplus_Dprod_i = 1./(1.+ self.Diag0 * self.true_precision.flatten())
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self.Diag = self.Diag0 * Iplus_Dprod_i
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self.Diag = self.Diag0 * Iplus_Dprod_i
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#self.Diag = self.Diag0/(1.+ self.Diag0 * self._precision.flatten())
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self.P = Iplus_Dprod_i[:,None] * self.psi1.T
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self.P = Iplus_Dprod_i[:,None] * self.psi1.T
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#self.P = (self.Diag / self.Diag0)[:,None] * self.psi1.T
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self.RPT0 = np.dot(self.Lmi,self.psi1)
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self.RPT0 = np.dot(self.Lmi,self.psi1)
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self.L = np.linalg.cholesky(np.eye(self.M) + np.dot(self.RPT0,((1. - Iplus_Dprod_i)/self.Diag0)[:,None]*self.RPT0.T))
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self.L = np.linalg.cholesky(np.eye(self.M) + np.dot(self.RPT0,((1. - Iplus_Dprod_i)/self.Diag0)[:,None]*self.RPT0.T))
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#self.L = np.linalg.cholesky(np.eye(self.M) + np.dot(self.RPT0,(1./self.Diag0 - Iplus_Dprod_i/self.Diag0)[:,None]*self.RPT0.T))
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#self.L = np.linalg.cholesky(np.eye(self.M) + np.dot(self.RPT0,(1./self.Diag0 - self.Diag/(self.Diag0**2))[:,None]*self.RPT0.T))
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self.R,info = linalg.flapack.dtrtrs(self.L,self.Lmi,lower=1)
|
self.R,info = linalg.flapack.dtrtrs(self.L,self.Lmi,lower=1)
|
||||||
self.RPT = np.dot(self.R,self.P.T)
|
self.RPT = np.dot(self.R,self.P.T)
|
||||||
self.Sigma = np.diag(self.Diag) + np.dot(self.RPT.T,self.RPT)
|
self.Sigma = np.diag(self.Diag) + np.dot(self.RPT.T,self.RPT)
|
||||||
|
|
@ -94,7 +103,16 @@ class generalized_FITC(sparse_GP):
|
||||||
self.mu = self.w + np.dot(self.P,self.gamma)
|
self.mu = self.w + np.dot(self.P,self.gamma)
|
||||||
|
|
||||||
# Remove extra term from dL_dpsi1
|
# Remove extra term from dL_dpsi1
|
||||||
self.dL_dpsi1 -= mdot(self.Kmmi,self.psi1*self.likelihood.precision.flatten().reshape(1,self.N)) #dB
|
self.dL_dpsi1 -= mdot(self.Lmi.T,Lmipsi1*self.likelihood.precision.flatten().reshape(1,self.N))
|
||||||
|
#self.Kmmi, Lm, Lmi, Kmm_logdet = pdinv(self.Kmm)
|
||||||
|
#self.dL_dpsi1 -= mdot(self.Kmmi,self.psi1*self.likelihood.precision.flatten().reshape(1,self.N)) #dB
|
||||||
|
|
||||||
|
#########333333
|
||||||
|
#self.Bi, self.LB, self.LBi, self.B_logdet = pdinv(self.B)
|
||||||
|
#########333333
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
else:
|
else:
|
||||||
raise NotImplementedError, "homoscedastic fitc not implemented"
|
raise NotImplementedError, "homoscedastic fitc not implemented"
|
||||||
# Remove extra term from dL_dpsi1
|
# Remove extra term from dL_dpsi1
|
||||||
|
|
@ -140,8 +158,11 @@ class generalized_FITC(sparse_GP):
|
||||||
A = -0.5*self.N*self.D*np.log(2.*np.pi) +0.5*np.sum(np.log(self.likelihood.precision)) -0.5*np.sum(self.V*self.likelihood.Y)
|
A = -0.5*self.N*self.D*np.log(2.*np.pi) +0.5*np.sum(np.log(self.likelihood.precision)) -0.5*np.sum(self.V*self.likelihood.Y)
|
||||||
else:
|
else:
|
||||||
A = -0.5*self.N*self.D*(np.log(2.*np.pi) + np.log(self.likelihood._variance)) -0.5*self.likelihood.precision*self.likelihood.trYYT
|
A = -0.5*self.N*self.D*(np.log(2.*np.pi) + np.log(self.likelihood._variance)) -0.5*self.likelihood.precision*self.likelihood.trYYT
|
||||||
C = -0.5*self.D * (self.B_logdet + self.M*np.log(sf2))
|
C = -self.D * (np.sum(np.log(np.diag(self.LB))) + 0.5*self.M*np.log(sf2))
|
||||||
D = 0.5*np.trace(self.Cpsi1VVpsi1)
|
#C = -0.5*self.D * (self.B_logdet + self.M*np.log(sf2))
|
||||||
|
D = 0.5*np.sum(np.square(self._LBi_Lmi_psi1V))
|
||||||
|
#self.Cpsi1VVpsi1 = np.dot(self.Cpsi1V,self.psi1V.T)
|
||||||
|
#D_ = 0.5*np.trace(self.Cpsi1VVpsi1)
|
||||||
return A+C+D
|
return A+C+D
|
||||||
|
|
||||||
def _raw_predict(self, Xnew, which_parts, full_cov=False):
|
def _raw_predict(self, Xnew, which_parts, full_cov=False):
|
||||||
|
|
|
||||||
|
|
@ -3,7 +3,7 @@
|
||||||
|
|
||||||
import numpy as np
|
import numpy as np
|
||||||
import pylab as pb
|
import pylab as pb
|
||||||
from ..util.linalg import mdot, jitchol, chol_inv, pdinv, trace_dot, tdot
|
from ..util.linalg import mdot, jitchol, tdot, symmetrify
|
||||||
from ..util.plot import gpplot
|
from ..util.plot import gpplot
|
||||||
from .. import kern
|
from .. import kern
|
||||||
from GP import GP
|
from GP import GP
|
||||||
|
|
@ -68,13 +68,11 @@ class sparse_GP(GP):
|
||||||
self.psi2 = None
|
self.psi2 = None
|
||||||
|
|
||||||
def _computations(self):
|
def _computations(self):
|
||||||
#TODO: find routine to multiply triangular matrices
|
|
||||||
|
|
||||||
sf = self.scale_factor
|
sf = self.scale_factor
|
||||||
sf2 = sf**2
|
sf2 = sf**2
|
||||||
|
|
||||||
#invert Kmm
|
#factor Kmm
|
||||||
self.Kmmi, self.Lm, self.Lmi, self.Kmm_logdet = pdinv(self.Kmm)
|
self.Lm = jitchol(self.Kmm)
|
||||||
|
|
||||||
#The rather complex computations of self.A
|
#The rather complex computations of self.A
|
||||||
if self.likelihood.is_heteroscedastic:
|
if self.likelihood.is_heteroscedastic:
|
||||||
|
|
@ -90,7 +88,6 @@ class sparse_GP(GP):
|
||||||
self.A = tdot(tmp)
|
self.A = tdot(tmp)
|
||||||
else:
|
else:
|
||||||
tmp = self.psi1*(np.sqrt(self.likelihood.precision.flatten().reshape(1,self.N))/sf)
|
tmp = self.psi1*(np.sqrt(self.likelihood.precision.flatten().reshape(1,self.N))/sf)
|
||||||
#self.psi2_beta_scaled = tdot(tmp)
|
|
||||||
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
||||||
self.A = tdot(tmp)
|
self.A = tdot(tmp)
|
||||||
else:
|
else:
|
||||||
|
|
@ -101,20 +98,16 @@ class sparse_GP(GP):
|
||||||
if not np.allclose(evals, clipped_evals):
|
if not np.allclose(evals, clipped_evals):
|
||||||
print "Warning: clipping posterior eigenvalues"
|
print "Warning: clipping posterior eigenvalues"
|
||||||
tmp = evecs*np.sqrt(clipped_evals)
|
tmp = evecs*np.sqrt(clipped_evals)
|
||||||
#self.psi2_beta_scaled = tdot(tmp)
|
|
||||||
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
||||||
self.A = tdot(tmp)
|
self.A = tdot(tmp)
|
||||||
else:
|
else:
|
||||||
tmp = self.psi1*(np.sqrt(self.likelihood.precision)/sf)
|
tmp = self.psi1*(np.sqrt(self.likelihood.precision)/sf)
|
||||||
#self.psi2_beta_scaled = tdot(tmp)
|
|
||||||
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
|
||||||
self.A = tdot(tmp)
|
self.A = tdot(tmp)
|
||||||
|
|
||||||
#invert B and compute C. C is the posterior covariance of u
|
#factor B
|
||||||
self.B = np.eye(self.M)/sf2 + self.A
|
self.B = np.eye(self.M)/sf2 + self.A
|
||||||
self.Bi, self.LB, self.LBi, self.B_logdet = pdinv(self.B)
|
self.LB = jitchol(self.B)
|
||||||
tmp = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(self.Bi),lower=1,trans=1)[0]
|
|
||||||
self.C = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp.T),lower=1,trans=1)[0]
|
|
||||||
|
|
||||||
self.V = (self.likelihood.precision/self.scale_factor)*self.likelihood.Y
|
self.V = (self.likelihood.precision/self.scale_factor)*self.likelihood.Y
|
||||||
self.psi1V = np.dot(self.psi1, self.V)
|
self.psi1V = np.dot(self.psi1, self.V)
|
||||||
|
|
@ -124,38 +117,6 @@ class sparse_GP(GP):
|
||||||
self._LBi_Lmi_psi1V,_ = linalg.lapack.flapack.dtrtrs(self.LB,np.asfortranarray(tmp),lower=1,trans=0)
|
self._LBi_Lmi_psi1V,_ = linalg.lapack.flapack.dtrtrs(self.LB,np.asfortranarray(tmp),lower=1,trans=0)
|
||||||
tmp,info2 = linalg.lapack.flapack.dpotrs(self.LB,tmp,lower=1)
|
tmp,info2 = linalg.lapack.flapack.dpotrs(self.LB,tmp,lower=1)
|
||||||
self.Cpsi1V,info3 = linalg.lapack.flapack.dtrtrs(self.Lm,tmp,lower=1,trans=1)
|
self.Cpsi1V,info3 = linalg.lapack.flapack.dtrtrs(self.Lm,tmp,lower=1,trans=1)
|
||||||
#self.Cpsi1V = np.dot(self.C,self.psi1V)
|
|
||||||
|
|
||||||
self.E = tdot(self.Cpsi1V/sf)
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
# Compute dL_dpsi # FIXME: this is untested for the heterscedastic + uncertin inputs case
|
|
||||||
self.dL_dpsi0 = - 0.5 * self.D * (self.likelihood.precision * np.ones([self.N,1])).flatten()
|
|
||||||
self.dL_dpsi1 = np.dot(self.Cpsi1V,self.V.T)
|
|
||||||
if self.likelihood.is_heteroscedastic:
|
|
||||||
if self.has_uncertain_inputs:
|
|
||||||
#self.dL_dpsi2 = 0.5 * self.likelihood.precision[:,None,None] * self.D * self.Kmmi[None,:,:] # dB
|
|
||||||
#self.dL_dpsi2 += - 0.5 * self.likelihood.precision[:,None,None]/sf2 * self.D * self.C[None,:,:] # dC
|
|
||||||
#self.dL_dpsi2 += - 0.5 * self.likelihood.precision[:,None,None]* self.E[None,:,:] # dD
|
|
||||||
self.dL_dpsi2 = 0.5*self.likelihood.precision[:,None,None]*(self.D*(self.Kmmi - self.C/sf2) -self.E)[None,:,:]
|
|
||||||
else:
|
|
||||||
#self.dL_dpsi1 += mdot(self.Kmmi,self.psi1*self.likelihood.precision.flatten().reshape(1,self.N)) #dB
|
|
||||||
#self.dL_dpsi1 += -mdot(self.C,self.psi1*self.likelihood.precision.flatten().reshape(1,self.N)/sf2) #dC
|
|
||||||
#self.dL_dpsi1 += -mdot(self.E,self.psi1*self.likelihood.precision.flatten().reshape(1,self.N)) #dD
|
|
||||||
self.dL_dpsi1 += np.dot(self.Kmmi - self.C/sf2 -self.E,self.psi1*self.likelihood.precision.reshape(1,self.N))
|
|
||||||
self.dL_dpsi2 = None
|
|
||||||
|
|
||||||
else:
|
|
||||||
self.dL_dpsi2 = 0.5*self.likelihood.precision*(self.D*(self.Kmmi - self.C/sf2) -self.E)
|
|
||||||
if self.has_uncertain_inputs:
|
|
||||||
#repeat for each of the N psi_2 matrices
|
|
||||||
self.dL_dpsi2 = np.repeat(self.dL_dpsi2[None,:,:],self.N,axis=0)
|
|
||||||
else:
|
|
||||||
#subsume back into psi1 (==Kmn)
|
|
||||||
self.dL_dpsi1 += 2.*np.dot(self.dL_dpsi2,self.psi1)
|
|
||||||
self.dL_dpsi2 = None
|
|
||||||
|
|
||||||
|
|
||||||
# Compute dL_dKmm
|
# Compute dL_dKmm
|
||||||
tmp = tdot(self._LBi_Lmi_psi1V)
|
tmp = tdot(self._LBi_Lmi_psi1V)
|
||||||
|
|
@ -165,23 +126,38 @@ class sparse_GP(GP):
|
||||||
tmp += self.D*np.eye(self.M)
|
tmp += self.D*np.eye(self.M)
|
||||||
self.dL_dKmm = backsub_both_sides(self.Lm,tmp)
|
self.dL_dKmm = backsub_both_sides(self.Lm,tmp)
|
||||||
|
|
||||||
|
# Compute dL_dpsi # FIXME: this is untested for the heterscedastic + uncertain inputs case
|
||||||
|
self.dL_dpsi0 = - 0.5 * self.D * (self.likelihood.precision * np.ones([self.N,1])).flatten()
|
||||||
|
self.dL_dpsi1 = np.dot(self.Cpsi1V,self.V.T)
|
||||||
|
dL_dpsi2_beta = 0.5*backsub_both_sides(self.Lm,self.D*np.eye(self.M) - self.DBi_plus_BiPBi)
|
||||||
|
if self.likelihood.is_heteroscedastic:
|
||||||
|
if self.has_uncertain_inputs:
|
||||||
|
self.dL_dpsi2 = self.likelihood.precision[:,None,None]*dL_dpsi2_beta[None,:,:]
|
||||||
|
else:
|
||||||
|
self.dL_dpsi1 += 2.*np.dot(dL_dpsi2_beta,self.psi1*self.likelihood.precision.reshape(1,self.N))
|
||||||
|
self.dL_dpsi2 = None
|
||||||
|
else:
|
||||||
|
dL_dpsi2 = self.likelihood.precision*dL_dpsi2_beta
|
||||||
|
if self.has_uncertain_inputs:
|
||||||
|
#repeat for each of the N psi_2 matrices
|
||||||
|
self.dL_dpsi2 = np.repeat(dL_dpsi2[None,:,:],self.N,axis=0)
|
||||||
|
else:
|
||||||
|
#subsume back into psi1 (==Kmn)
|
||||||
|
self.dL_dpsi1 += 2.*np.dot(dL_dpsi2,self.psi1)
|
||||||
|
self.dL_dpsi2 = None
|
||||||
|
|
||||||
|
|
||||||
#the partial derivative vector for the likelihood
|
#the partial derivative vector for the likelihood
|
||||||
if self.likelihood.Nparams ==0:
|
if self.likelihood.Nparams ==0:
|
||||||
#save computation here.
|
#save computation here.
|
||||||
self.partial_for_likelihood = None
|
self.partial_for_likelihood = None
|
||||||
elif self.likelihood.is_heteroscedastic:
|
elif self.likelihood.is_heteroscedastic:
|
||||||
raise NotImplementedError, "heteroscedatic derivates not implemented"
|
raise NotImplementedError, "heteroscedatic derivates not implemented"
|
||||||
#self.partial_for_likelihood = - 0.5 * self.D*self.likelihood.precision + 0.5 * (self.likelihood.Y**2).sum(1)*self.likelihood.precision**2 #dA
|
|
||||||
#self.partial_for_likelihood += 0.5 * self.D * (self.psi0*self.likelihood.precision**2 - (self.psi2*self.Kmmi[None,:,:]*self.likelihood.precision[:,None,None]**2).sum(1).sum(1)/sf2) #dB
|
|
||||||
#self.partial_for_likelihood += 0.5 * self.D * np.sum(self.Bi*self.A)*self.likelihood.precision #dC
|
|
||||||
#self.partial_for_likelihood += -np.diag(np.dot((self.C - 0.5 * mdot(self.C,self.psi2_beta_scaled,self.C) ) , self.psi1VVpsi1 ))*self.likelihood.precision #dD
|
|
||||||
else:
|
else:
|
||||||
#likelihood is not heterscedatic
|
#likelihood is not heterscedatic
|
||||||
self.partial_for_likelihood = - 0.5 * self.N*self.D*self.likelihood.precision + 0.5 * self.likelihood.trYYT*self.likelihood.precision**2
|
self.partial_for_likelihood = - 0.5 * self.N*self.D*self.likelihood.precision + 0.5 * self.likelihood.trYYT*self.likelihood.precision**2
|
||||||
self.partial_for_likelihood += 0.5 * self.D * (self.psi0.sum()*self.likelihood.precision**2 - np.trace(self.A)*self.likelihood.precision*sf2)
|
self.partial_for_likelihood += 0.5 * self.D * (self.psi0.sum()*self.likelihood.precision**2 - np.trace(self.A)*self.likelihood.precision*sf2)
|
||||||
#self.partial_for_likelihood += 0.5 * self.D * trace_dot(self.Bi,self.A)*self.likelihood.precision
|
self.partial_for_likelihood += self.likelihood.precision*(0.5*np.sum(self.A*self.DBi_plus_BiPBi) - np.sum(np.square(self._LBi_Lmi_psi1V)))
|
||||||
#self.partial_for_likelihood += self.likelihood.precision*(0.5*trace_dot(self.psi2_beta_scaled,self.E*sf2) - np.sum(np.square(self._LBi_Lmi_psi1V)))
|
|
||||||
self.partial_for_likelihood += self.likelihood.precision*(0.5*trace_dot(self.A,self.DBi_plus_BiPBi) - np.sum(np.square(self._LBi_Lmi_psi1V)))
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
@ -194,7 +170,7 @@ class sparse_GP(GP):
|
||||||
else:
|
else:
|
||||||
A = -0.5*self.N*self.D*(np.log(2.*np.pi) + np.log(self.likelihood._variance)) -0.5*self.likelihood.precision*self.likelihood.trYYT
|
A = -0.5*self.N*self.D*(np.log(2.*np.pi) + np.log(self.likelihood._variance)) -0.5*self.likelihood.precision*self.likelihood.trYYT
|
||||||
B = -0.5*self.D*(np.sum(self.likelihood.precision*self.psi0) - np.trace(self.A)*sf2)
|
B = -0.5*self.D*(np.sum(self.likelihood.precision*self.psi0) - np.trace(self.A)*sf2)
|
||||||
C = -0.5*self.D * (self.B_logdet + self.M*np.log(sf2))
|
C = -self.D * (np.sum(np.log(np.diag(self.LB))) + 0.5*self.M*np.log(sf2))
|
||||||
D = 0.5*np.sum(np.square(self._LBi_Lmi_psi1V))
|
D = 0.5*np.sum(np.square(self._LBi_Lmi_psi1V))
|
||||||
return A+B+C+D
|
return A+B+C+D
|
||||||
|
|
||||||
|
|
@ -258,22 +234,26 @@ class sparse_GP(GP):
|
||||||
"""
|
"""
|
||||||
dL_dZ = 2.*self.kern.dK_dX(self.dL_dKmm, self.Z) # factor of two becase of vertical and horizontal 'stripes' in dKmm_dZ
|
dL_dZ = 2.*self.kern.dK_dX(self.dL_dKmm, self.Z) # factor of two becase of vertical and horizontal 'stripes' in dKmm_dZ
|
||||||
if self.has_uncertain_inputs:
|
if self.has_uncertain_inputs:
|
||||||
dL_dZ += self.kern.dpsi1_dZ(self.dL_dpsi1,self.Z,self.X, self.X_variance)
|
dL_dZ += self.kern.dpsi1_dZ(self.dL_dpsi1, self.Z, self.X, self.X_variance)
|
||||||
dL_dZ += self.kern.dpsi2_dZ(self.dL_dpsi2, self.Z, self.X, self.X_variance)
|
dL_dZ += self.kern.dpsi2_dZ(self.dL_dpsi2, self.Z, self.X, self.X_variance)
|
||||||
else:
|
else:
|
||||||
dL_dZ += self.kern.dK_dX(self.dL_dpsi1,self.Z,self.X)
|
dL_dZ += self.kern.dK_dX(self.dL_dpsi1, self.Z, self.X)
|
||||||
return dL_dZ
|
return dL_dZ
|
||||||
|
|
||||||
def _raw_predict(self, Xnew, which_parts='all', full_cov=False):
|
def _raw_predict(self, Xnew, which_parts='all', full_cov=False):
|
||||||
"""Internal helper function for making predictions, does not account for normalization"""
|
"""Internal helper function for making predictions, does not account for normalization"""
|
||||||
|
|
||||||
Kx = self.kern.K(self.Z, Xnew)
|
Bi,_ = linalg.lapack.flapack.dpotri(self.LB,lower=0) # WTH? this lower switch should be 1, but that doesn't work!
|
||||||
mu = mdot(Kx.T, self.C/self.scale_factor, self.psi1V)
|
symmetrify(Bi)
|
||||||
|
Kmmi_LmiBLmi = backsub_both_sides(self.Lm,np.eye(self.M) - Bi)
|
||||||
|
|
||||||
|
Kx = self.kern.K(self.Z, Xnew, which_parts=which_parts)
|
||||||
|
mu = np.dot(Kx.T, self.Cpsi1V/self.scale_factor)
|
||||||
if full_cov:
|
if full_cov:
|
||||||
Kxx = self.kern.K(Xnew,which_parts=which_parts)
|
Kxx = self.kern.K(Xnew,which_parts=which_parts)
|
||||||
var = Kxx - mdot(Kx.T, (self.Kmmi - self.C/self.scale_factor**2), Kx) #NOTE this won't work for plotting
|
var = Kxx - mdot(Kx.T, Kmmi_LmiBLmi, Kx) #NOTE this won't work for plotting
|
||||||
else:
|
else:
|
||||||
Kxx = self.kern.Kdiag(Xnew,which_parts=which_parts)
|
Kxx = self.kern.Kdiag(Xnew,which_parts=which_parts)
|
||||||
var = Kxx - np.sum(Kx*np.dot(self.Kmmi - self.C/self.scale_factor**2, Kx),0)
|
var = Kxx - np.sum(Kx*np.dot(Kmmi_LmiBLmi, Kx),0)
|
||||||
|
|
||||||
return mu,var[:,None]
|
return mu,var[:,None]
|
||||||
|
|
|
||||||
Loading…
Add table
Add a link
Reference in a new issue