diff --git a/GPy/core/sparse_gp.py b/GPy/core/sparse_gp.py index 09e84c12..dd0f6c2c 100644 --- a/GPy/core/sparse_gp.py +++ b/GPy/core/sparse_gp.py @@ -54,19 +54,21 @@ class SparseGP(GP): self.add_parameter(self.Z, index=0) self.parameters_changed() - - def parameters_changed(self): - self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.X_variance, self.Z, self.likelihood, self.Y) - - #The derivative of the bound wrt the inducing inputs Z ( unless they're all fixed) + def _update_gradients_Z(self, add=False): + #The derivative of the bound wrt the inducing inputs Z ( unless they're all fixed) if not self.Z.is_fixed: - self.Z.gradient = self.kern.gradients_X(self.grad_dict['dL_dKmm'], self.Z) + if add: self.Z.gradient += self.kern.gradients_X(self.grad_dict['dL_dKmm'], self.Z) + else: self.Z.gradient = self.kern.gradients_X(self.grad_dict['dL_dKmm'], self.Z) if self.X_variance is None: self.Z.gradient += self.kern.gradients_X(self.grad_dict['dL_dKnm'].T, self.Z, self.X) else: self.Z.gradient += self.kern.dpsi1_dZ(self.grad_dict['dL_dpsi1'], self.Z, self.X, self.X_variance) self.Z.gradient += self.kern.dpsi2_dZ(self.grad_dict['dL_dpsi2'], self.Z, self.X, self.X_variance) + def parameters_changed(self): + self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.X_variance, self.Z, self.likelihood, self.Y) + self._update_gradients_Z(add=False) + def _raw_predict(self, Xnew, X_variance_new=None, which_parts='all', full_cov=False): """ Make a prediction for the latent function values diff --git a/GPy/models/bayesian_gplvm.py b/GPy/models/bayesian_gplvm.py index acb04350..914ca4ae 100644 --- a/GPy/models/bayesian_gplvm.py +++ b/GPy/models/bayesian_gplvm.py @@ -72,9 +72,10 @@ class BayesianGPLVM(SparseGP, GPLVM): return 0.5 * (var_mean + var_S) - 0.5 * self.input_dim * self.num_data def parameters_changed(self): - super(BayesianGPLVM, self).parameters_changed() - self._log_marginal_likelihood -= self.KL_divergence() + self.posterior, self._log_marginal_likelihood, self.grad_dict = self.inference_method.inference(self.kern, self.X, self.X_variance, self.Z, self.likelihood, self.Y) + self._update_gradients_Z(add=False) + self._log_marginal_likelihood -= self.KL_divergence() dL_dmu, dL_dS = self.dL_dmuS() # dL: @@ -161,6 +162,38 @@ class BayesianGPLVM(SparseGP, GPLVM): return dim_reduction_plots.plot_steepest_gradient_map(self,*args,**kwargs) +class BayesianGPLVMWithMissingData(BayesianGPLVM): + def __init__(self, Y, input_dim, X=None, X_variance=None, init='PCA', num_inducing=10, + Z=None, kernel=None, inference_method=None, likelihood=None, name='bayesian gplvm', **kwargs): + from ..util.subarray_and_sorting import common_subarrays + self.subarrays = common_subarrays(Y) + import ipdb;ipdb.set_trace() + BayesianGPLVM.__init__(self, Y, input_dim, X=X, X_variance=X_variance, init=init, num_inducing=num_inducing, Z=Z, kernel=kernel, inference_method=inference_method, likelihood=likelihood, name=name, **kwargs) + + + def parameters_changed(self): + super(BayesianGPLVM, self).parameters_changed() + self._log_marginal_likelihood -= self.KL_divergence() + + dL_dmu, dL_dS = self.dL_dmuS() + + # dL: + self.q.mean.gradient = dL_dmu + self.q.variance.gradient = dL_dS + + # dKL: + self.q.mean.gradient -= self.X + self.q.variance.gradient -= (1. - (1. / (self.X_variance))) * 0.5 + +if __name__ == '__main__': + import numpy as np + X = np.random.randn(20,2) + W = np.linspace(0,1,10)[None,:] + Y = (X*W).sum(1) + missing = np.random.binomial(1,.1,size=Y.shape) + + pass + def latent_cost_and_grad(mu_S, kern, Z, dL_dpsi0, dL_dpsi1, dL_dpsi2): """ objective function for fitting the latent variables for test points