diff --git a/GPy/__init__.py b/GPy/__init__.py index 381d6232..0afa92e4 100644 --- a/GPy/__init__.py +++ b/GPy/__init__.py @@ -6,6 +6,6 @@ import kern import models import inference import util -import examples +#import examples #import examples TODO: discuss! from core import priors diff --git a/GPy/kern/Matern32.py b/GPy/kern/Matern32.py index 1270e3f9..cfad17c9 100644 --- a/GPy/kern/Matern32.py +++ b/GPy/kern/Matern32.py @@ -20,8 +20,10 @@ class Matern32(kernpart): :type D: int :param variance: the variance :math:`\sigma^2` :type variance: float - :param lengthscale: the lengthscale :math:`\ell_i` - :type lengthscale: np.ndarray of size (D,) + :param lengthscale: the vector of lengthscale :math:`\ell_i` + :type lengthscale: np.ndarray of size (1,) or (D,) depending on ARD + :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one single lengthscale parameter \ell), otherwise there is one lengthscale parameter per dimension. + :type ARD: Boolean :rtype: kernel object """ diff --git a/GPy/kern/Matern52.py b/GPy/kern/Matern52.py index 056da32d..84c71089 100644 --- a/GPy/kern/Matern52.py +++ b/GPy/kern/Matern52.py @@ -19,42 +19,53 @@ class Matern52(kernpart): :type D: int :param variance: the variance :math:`\sigma^2` :type variance: float - :param lengthscale: the lengthscales :math:`\ell_i` - :type lengthscale: np.ndarray of size (D,) + :param lengthscale: the vector of lengthscale :math:`\ell_i` + :type lengthscale: np.ndarray of size (1,) or (D,) depending on ARD + :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one single lengthscale parameter \ell), otherwise there is one lengthscale parameter per dimension. + :type ARD: Boolean :rtype: kernel object """ - def __init__(self,D,variance=1.,lengthscales=None): + def __init__(self,D,variance=1.,lengthscale=None,ARD=False): self.D = D - if lengthscales is not None: - assert lengthscales.shape==(self.D,) + self.ARD = ARD + if ARD == False: + self.Nparam = 2 + self.name = 'Mat32' + if lengthscale is not None: + assert lengthscale.shape == (1,) + else: + lengthscale = np.ones(1) else: - lengthscales = np.ones(self.D) - self.Nparam = self.D + 1 - self.name = 'Mat52' - self._set_params(np.hstack((variance,lengthscales))) + self.Nparam = self.D + 1 + self.name = 'Mat32_ARD' + if lengthscale is not None: + assert lengthscale.shape == (self.D,) + else: + lengthscale = np.ones(self.D) + self._set_params(np.hstack((variance,lengthscale))) def _get_params(self): """return the value of the parameters.""" - return np.hstack((self.variance,self.lengthscales)) + return np.hstack((self.variance,self.lengthscale)) def _set_params(self,x): """set the value of the parameters.""" - assert x.size==(self.D+1) + assert x.size == self.Nparam self.variance = x[0] - self.lengthscales = x[1:] + self.lengthscale = x[1:] def _get_param_names(self): """return parameter names.""" - if self.D==1: + if self.Nparam == 2: return ['variance','lengthscale'] else: - return ['variance']+['lengthscale_%i'%i for i in range(self.lengthscales.size)] + return ['variance']+['lengthscale_%i'%i for i in range(self.lengthscale.size)] def K(self,X,X2,target): """Compute the covariance matrix between X and X2.""" if X2 is None: X2 = X - dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscales),-1)) + dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscale),-1)) np.add(self.variance*(1+np.sqrt(5.)*dist+5./3*dist**2)*np.exp(-np.sqrt(5.)*dist), target,target) def Kdiag(self,X,target): @@ -64,13 +75,19 @@ class Matern52(kernpart): def dK_dtheta(self,partial,X,X2,target): """derivative of the covariance matrix with respect to the parameters.""" if X2 is None: X2 = X - dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscales),-1)) + dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscale),-1)) invdist = 1./np.where(dist!=0.,dist,np.inf) - dist2M = np.square(X[:,None,:]-X2[None,:,:])/self.lengthscales**3 + dist2M = np.square(X[:,None,:]-X2[None,:,:])/self.lengthscale**3 dvar = (1+np.sqrt(5.)*dist+5./3*dist**2)*np.exp(-np.sqrt(5.)*dist) - dl = (self.variance * 5./3 * dist * (1 + np.sqrt(5.)*dist ) * np.exp(-np.sqrt(5.)*dist))[:,:,np.newaxis] * dist2M*invdist[:,:,np.newaxis] target[0] += np.sum(dvar*partial) - target[1:] += (dl*partial[:,:,None]).sum(0).sum(0) + if self.ARD: + dl = (self.variance * 5./3 * dist * (1 + np.sqrt(5.)*dist ) * np.exp(-np.sqrt(5.)*dist))[:,:,np.newaxis] * dist2M*invdist[:,:,np.newaxis] + #dl = (self.variance* 3 * dist * np.exp(-np.sqrt(3.)*dist))[:,:,np.newaxis] * dist2M*invdist[:,:,np.newaxis] + target[1:] += (dl*partial[:,:,None]).sum(0).sum(0) + else: + dl = (self.variance * 5./3 * dist * (1 + np.sqrt(5.)*dist ) * np.exp(-np.sqrt(5.)*dist)) * dist2M.sum(-1)*invdist + #dl = (self.variance* 3 * dist * np.exp(-np.sqrt(3.)*dist)) * dist2M.sum(-1)*invdist + target[1] += np.sum(dl*partial) def dKdiag_dtheta(self,X,target): """derivative of the diagonal of the covariance matrix with respect to the parameters.""" @@ -79,8 +96,8 @@ class Matern52(kernpart): def dK_dX(self,partial,X,X2,target): """derivative of the covariance matrix with respect to X.""" if X2 is None: X2 = X - dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscales),-1))[:,:,None] - ddist_dX = (X[:,None,:]-X2[None,:,:])/self.lengthscales**2/np.where(dist!=0.,dist,np.inf) + dist = np.sqrt(np.sum(np.square((X[:,None,:]-X2[None,:,:])/self.lengthscale),-1))[:,:,None] + ddist_dX = (X[:,None,:]-X2[None,:,:])/self.lengthscale**2/np.where(dist!=0.,dist,np.inf) dK_dX = - np.transpose(self.variance*5./3*dist*(1+np.sqrt(5)*dist)*np.exp(-np.sqrt(5)*dist)*ddist_dX,(1,0,2)) target += np.sum(dK_dX*partial.T[:,:,None],0) @@ -104,18 +121,18 @@ class Matern52(kernpart): """ assert self.D == 1 def L(x,i): - return(5*np.sqrt(5)/self.lengthscales**3*F[i](x) + 15./self.lengthscales**2*F1[i](x)+ 3*np.sqrt(5)/self.lengthscales*F2[i](x) + F3[i](x)) + return(5*np.sqrt(5)/self.lengthscale**3*F[i](x) + 15./self.lengthscale**2*F1[i](x)+ 3*np.sqrt(5)/self.lengthscale*F2[i](x) + F3[i](x)) n = F.shape[0] G = np.zeros((n,n)) for i in range(n): for j in range(i,n): G[i,j] = G[j,i] = integrate.quad(lambda x : L(x,i)*L(x,j),lower,upper)[0] - G_coef = 3.*self.lengthscales**5/(400*np.sqrt(5)) + G_coef = 3.*self.lengthscale**5/(400*np.sqrt(5)) Flower = np.array([f(lower) for f in F])[:,None] F1lower = np.array([f(lower) for f in F1])[:,None] F2lower = np.array([f(lower) for f in F2])[:,None] - orig = 9./8*np.dot(Flower,Flower.T) + 9.*self.lengthscales**4/200*np.dot(F2lower,F2lower.T) - orig2 = 3./5*self.lengthscales**2 * ( np.dot(F1lower,F1lower.T) + 1./8*np.dot(Flower,F2lower.T) + 1./8*np.dot(F2lower,Flower.T)) + orig = 9./8*np.dot(Flower,Flower.T) + 9.*self.lengthscale**4/200*np.dot(F2lower,F2lower.T) + orig2 = 3./5*self.lengthscale**2 * ( np.dot(F1lower,F1lower.T) + 1./8*np.dot(Flower,F2lower.T) + 1./8*np.dot(F2lower,Flower.T)) return(1./self.variance* (G_coef*G + orig + orig2)) diff --git a/GPy/kern/constructors.py b/GPy/kern/constructors.py index 5f676d9b..883357aa 100644 --- a/GPy/kern/constructors.py +++ b/GPy/kern/constructors.py @@ -32,6 +32,8 @@ def rbf(D,variance=1., lengthscale=None,ARD=False): :type variance: float :param lengthscale: the lengthscale of the kernel :type lengthscale: float + :param ARD: Auto Relevance Determination (one lengthscale per dimension) + :type ARD: Boolean """ part = rbfpart(D,variance,lengthscale,ARD) return kern(D, [part]) @@ -74,13 +76,16 @@ def white(D,variance=1.): def exponential(D,variance=1., lengthscale=None, ARD=False): """ - Construct a exponential kernel. + Construct an exponential kernel - Arguments - --------- - D (int), obligatory - variance (float) - lengthscales (np.ndarray) + :param D: dimensionality of the kernel, obligatory + :type D: int + :param variance: the variance of the kernel + :type variance: float + :param lengthscale: the lengthscale of the kernel + :type lengthscale: float + :param ARD: Auto Relevance Determination (one lengthscale per dimension) + :type ARD: Boolean """ part = exponentialpart(D,variance, lengthscale, ARD) return kern(D, [part]) @@ -89,26 +94,32 @@ def Matern32(D,variance=1., lengthscale=None, ARD=False): """ Construct a Matern 3/2 kernel. - Arguments - --------- - D (int), obligatory - variance (float) - lengthscales (np.ndarray) + :param D: dimensionality of the kernel, obligatory + :type D: int + :param variance: the variance of the kernel + :type variance: float + :param lengthscale: the lengthscale of the kernel + :type lengthscale: float + :param ARD: Auto Relevance Determination (one lengthscale per dimension) + :type ARD: Boolean """ part = Matern32part(D,variance, lengthscale, ARD) return kern(D, [part]) -def Matern52(D,variance=1., lengthscales=None): +def Matern52(D,variance=1., lengthscale=None, ARD=False): """ Construct a Matern 5/2 kernel. - Arguments - --------- - D (int), obligatory - variance (float) - lengthscales (np.ndarray) + :param D: dimensionality of the kernel, obligatory + :type D: int + :param variance: the variance of the kernel + :type variance: float + :param lengthscale: the lengthscale of the kernel + :type lengthscale: float + :param ARD: Auto Relevance Determination (one lengthscale per dimension) + :type ARD: Boolean """ - part = Matern52part(D,variance, lengthscales) + part = Matern52part(D,variance, lengthscale, ARD) return kern(D, [part]) def bias(D,variance=1.): diff --git a/GPy/kern/exponential.py b/GPy/kern/exponential.py index 0ea1e922..6c463a63 100644 --- a/GPy/kern/exponential.py +++ b/GPy/kern/exponential.py @@ -19,8 +19,10 @@ class exponential(kernpart): :type D: int :param variance: the variance :math:`\sigma^2` :type variance: float - :param lengthscale: the lengthscales :math:`\ell_i` - :type lengthscale: np.ndarray of size (D,) + :param lengthscale: the vector of lengthscale :math:`\ell_i` + :type lengthscale: np.ndarray of size (1,) or (D,) depending on ARD + :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one single lengthscale parameter \ell), otherwise there is one lengthscale parameter per dimension. + :type ARD: Boolean :rtype: kernel object """ diff --git a/GPy/kern/rbf.py b/GPy/kern/rbf.py index 13ecaf86..62a9c46d 100644 --- a/GPy/kern/rbf.py +++ b/GPy/kern/rbf.py @@ -21,7 +21,7 @@ class rbf(kernpart): :param variance: the variance of the kernel :type variance: float :param lengthscale: the vector of lengthscale of the kernel - :type lengthscale: np.ndarray + :type lengthscale: np.ndarray od size (1,) or (D,) depending on ARD :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one single lengthscale parameter \ell), otherwise there is one lengthscale parameter per dimension. :type ARD: Boolean