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predictino working nicely for laplace

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James Hensman 2014-02-05 17:52:17 +00:00
parent 80629e00b6
commit 75241ecf89
2 changed files with 15 additions and 5 deletions
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11
GPy/inference/latent_function_inference/laplace.py
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@ -11,7 +11,7 @@
#http://gaussianprocess.org/gpml/code.
import numpy as np
from ...util.linalg import mdot, jitchol, pddet, dpotrs, dtrtrs
from ...util.linalg import mdot, jitchol, pddet, dpotrs, dtrtrs, dpotri, symmetrify
from ...util.misc import param_to_array
from functools import partial as partial_func
from posterior import Posterior
@ -216,8 +216,15 @@ class LaplaceInference(object):
B = np.eye(K.shape[0]) + W_12*K*W_12.T
L = jitchol(B)
LiW12, _ = dtrtrs(L, np.diag(W_12[:,0]), lower=1, trans=0)
LiW12, _ = dtrtrs(L, np.diagflat(W_12), lower=1, trans=0)
K_Wi_i = np.dot(LiW12.T, LiW12) # R = W12BiW12, in R&W p 126, eq 5.25
#here's a better way to compute the required matrix.
# you could do the model finding witha backsub, instead of a dot...
#L2 = L/W_12
#K_Wi_i_2 , _= dpotri(L2)
#symmetrify(K_Wi_i_2)
return K_Wi_i, L, LiW12