ratquad working

This commit is contained in:
James Hensman 2014-02-24 09:55:16 +00:00
parent 6d2e462b5e
commit 88c080eece
3 changed files with 16 additions and 88 deletions

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@ -1,82 +0,0 @@
# Copyright (c) 2012, GPy authors (see AUTHORS.txt).
# Licensed under the BSD 3-clause license (see LICENSE.txt)
from kernpart import Kernpart
import numpy as np
class RationalQuadratic(Kernpart):
"""
rational quadratic kernel
.. math::
k(r) = \sigma^2 \\bigg( 1 + \\frac{r^2}{2 \ell^2} \\bigg)^{- \\alpha} \ \ \ \ \ \\text{ where } r^2 = (x-y)^2
:param input_dim: the number of input dimensions
:type input_dim: int (input_dim=1 is the only value currently supported)
:param variance: the variance :math:`\sigma^2`
:type variance: float
:param lengthscale: the lengthscale :math:`\ell`
:type lengthscale: float
:param power: the power :math:`\\alpha`
:type power: float
:rtype: Kernpart object
"""
def __init__(self,input_dim,variance=1.,lengthscale=1.,power=1.):
assert input_dim == 1, "For this kernel we assume input_dim=1"
self.input_dim = input_dim
self.num_params = 3
self.name = 'rat_quad'
self.variance = variance
self.lengthscale = lengthscale
self.power = power
def _get_params(self):
return np.hstack((self.variance,self.lengthscale,self.power))
def _set_params(self,x):
self.variance = x[0]
self.lengthscale = x[1]
self.power = x[2]
def _get_param_names(self):
return ['variance','lengthscale','power']
def K(self,X,X2,target):
if X2 is None: X2 = X
dist2 = np.square((X-X2.T)/self.lengthscale)
target += self.variance*(1 + dist2/2.)**(-self.power)
def Kdiag(self,X,target):
target += self.variance
def _param_grad_helper(self,dL_dK,X,X2,target):
if X2 is None: X2 = X
dist2 = np.square((X-X2.T)/self.lengthscale)
dvar = (1 + dist2/2.)**(-self.power)
dl = self.power * self.variance * dist2 / self.lengthscale * (1 + dist2/2.)**(-self.power-1)
dp = - self.variance * np.log(1 + dist2/2.) * (1 + dist2/2.)**(-self.power)
target[0] += np.sum(dvar*dL_dK)
target[1] += np.sum(dl*dL_dK)
target[2] += np.sum(dp*dL_dK)
def dKdiag_dtheta(self,dL_dKdiag,X,target):
target[0] += np.sum(dL_dKdiag)
# here self.lengthscale and self.power have no influence on Kdiag so target[1:] are unchanged
def gradients_X(self,dL_dK,X,X2,target):
"""derivative of the covariance matrix with respect to X."""
if X2 is None:
dist2 = np.square((X-X.T)/self.lengthscale)
dX = -2.*self.variance*self.power * (X-X.T)/self.lengthscale**2 * (1 + dist2/2./self.lengthscale)**(-self.power-1)
else:
dist2 = np.square((X-X2.T)/self.lengthscale)
dX = -self.variance*self.power * (X-X2.T)/self.lengthscale**2 * (1 + dist2/2./self.lengthscale)**(-self.power-1)
target += np.sum(dL_dK*dX,1)[:,np.newaxis]
def dKdiag_dX(self,dL_dKdiag,X,target):
pass

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@ -206,9 +206,19 @@ class ExpQuad(Stationary):
return -dist*self.K(X, X2) return -dist*self.K(X, X2)
class RatQuad(Stationary): class RatQuad(Stationary):
"""
Rational Quadratic Kernel
.. math::
k(r) = \sigma^2 \\bigg( 1 + \\frac{r^2}{2} \\bigg)^{- \\alpha}
"""
def __init__(self, input_dim, variance=1., lengthscale=None, power=2., ARD=False, name='ExpQuad'): def __init__(self, input_dim, variance=1., lengthscale=None, power=2., ARD=False, name='ExpQuad'):
super(RatQuad, self).__init__(input_dim, variance, lengthscale, ARD, name) super(RatQuad, self).__init__(input_dim, variance, lengthscale, ARD, name)
self.power = Param('power', power, Logexp) self.power = Param('power', power, Logexp())
self.add_parameters(self.power) self.add_parameters(self.power)
def K(self, X, X2=None): def K(self, X, X2=None):

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@ -58,7 +58,7 @@ def plot_fit(model, plot_limits=None, which_data_rows='all',
ax = fig.add_subplot(111) ax = fig.add_subplot(111)
X, Y = param_to_array(model.X, model.Y) X, Y = param_to_array(model.X, model.Y)
if model.has_uncertain_inputs(): X_variance = model.X_variance if hasattr(model, 'has_uncertain_inputs') and model.has_uncertain_inputs(): X_variance = model.X_variance
#work out what the inputs are for plotting (1D or 2D) #work out what the inputs are for plotting (1D or 2D)
fixed_dims = np.array([i for i,v in fixed_inputs]) fixed_dims = np.array([i for i,v in fixed_inputs])