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fixing EP and merging it with GP_regression

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Ricardo Andrade 2013-01-25 18:14:28 +00:00
parent b6ffb57263
commit 6a2e0a1fe5
7 changed files with 403 additions and 93 deletions
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12
GPy/inference/EP.py
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@ -60,7 +60,7 @@ class Full(EP):
def fit_EP(self):
"""
The expectation-propagation algorithm.
For nomenclature see Rasmussen & Williams 2006 (pag. 52-60)
For nomenclature see Rasmussen & Williams 2006.
"""
#Prior distribution parameters: p(f|X) = N(f|0,K)
#self.K = self.kernel.K(self.X,self.X)
@ -84,8 +84,6 @@ class Full(EP):
phi = np.empty(self.N,dtype=float)
mu_hat = np.empty(self.N,dtype=float)
sigma2_hat = np.empty(self.N,dtype=float)
self.mu_hat = mu_hat #TODO erase me
self.sigma2_hat = sigma2_hat #TODO erase me
#Approximation
epsilon_np1 = self.epsilon + 1.
@ -95,21 +93,16 @@ class Full(EP):
self.np2 = [self.v_tilde.copy()]
while epsilon_np1 > self.epsilon or epsilon_np2 > self.epsilon:
update_order = np.arange(self.N)
#random.shuffle(update_order) #TODO uncomment
random.shuffle(update_order)
for i in update_order:
#Cavity distribution parameters
self.tau_[i] = 1./self.Sigma[i,i] - self.eta*self.tau_tilde[i]
self.v_[i] = self.mu[i]/self.Sigma[i,i] - self.eta*self.v_tilde[i]
#Marginal moments
self.Z_hat[i], mu_hat[i], sigma2_hat[i] = self.likelihood.moments_match(i,self.tau_[i],self.v_[i])
self.mu_hat[i] = mu_hat[i] #TODO erase me
self.sigma2_hat[i] = sigma2_hat[i] #TODO erase me
#if i == 3:
# a = b
#Site parameters update
Delta_tau = self.delta/self.eta*(1./sigma2_hat[i] - 1./self.Sigma[i,i])
Delta_v = self.delta/self.eta*(mu_hat[i]/sigma2_hat[i] - self.mu[i]/self.Sigma[i,i])
print Delta_tau
self.tau_tilde[i] = self.tau_tilde[i] + Delta_tau
self.v_tilde[i] = self.v_tilde[i] + Delta_v
#Posterior distribution parameters update
@ -128,6 +121,7 @@ class Full(EP):
epsilon_np2 = sum((self.v_tilde-self.np2[-1])**2)/self.N
self.np1.append(self.tau_tilde.copy())
self.np2.append(self.v_tilde.copy())
return self.tau_tilde[:,None], self.v_tilde[:,None], self.Z_hat[:,None], self.tau_[:,None], self.v_[:,None]
class DTC(EP):
def fit_EP(self):