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Merge branch 'devel' of github.com:SheffieldML/GPy into devel

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This commit is contained in:
Alan Saul 2015-07-18 14:14:37 +01:00
commit 8fbfb915b0
5 changed files with 49 additions and 54 deletions
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24
GPy/inference/latent_function_inference/inferenceX.py
View file

@ -45,17 +45,23 @@ class InferenceX(Model):
super(InferenceX, self).__init__(name)
self.likelihood = model.likelihood.copy()
self.kern = model.kern.copy()
if model.kern.useGPU:
from ...models import SSGPLVM
if isinstance(model, SSGPLVM):
self.kern.GPU_SSRBF(True)
else:
self.kern.GPU(True)
# if model.kern.useGPU:
# from ...models import SSGPLVM
# if isinstance(model, SSGPLVM):
# self.kern.GPU_SSRBF(True)
# else:
# self.kern.GPU(True)
from copy import deepcopy
self.posterior = deepcopy(model.posterior)
if hasattr(model, 'variational_prior'):
self.uncertain_input = True
self.variational_prior = model.variational_prior.copy()
from ...models.ss_gplvm import IBPPrior
from ...models.ss_mrd import IBPPrior_SSMRD
if isinstance(model.variational_prior, IBPPrior) or isinstance(model.variational_prior, IBPPrior_SSMRD):
from ...core.parameterization.variational import SpikeAndSlabPrior
self.variational_prior = SpikeAndSlabPrior(pi=05,learnPi=False, group_spike=False)
else:
self.variational_prior = model.variational_prior.copy()
else:
self.uncertain_input = False
if hasattr(model, 'inducing_inputs'):
@ -147,9 +153,9 @@ class InferenceX(Model):
from ...core.parameterization.variational import SpikeAndSlabPrior
if isinstance(self.variational_prior, SpikeAndSlabPrior):
# Update Log-likelihood
KL_div = self.variational_prior.KL_divergence(self.X, N=self.Y.shape[0])
KL_div = self.variational_prior.KL_divergence(self.X)
# update for the KL divergence
self.variational_prior.update_gradients_KL(self.X, N=self.Y.shape[0])
self.variational_prior.update_gradients_KL(self.X)
else:
# Update Log-likelihood
KL_div = self.variational_prior.KL_divergence(self.X)

2
GPy/kern/_src/rbf.py
View file

@ -20,7 +20,6 @@ class RBF(Stationary):
_support_GPU = True
def __init__(self, input_dim, variance=1., lengthscale=None, ARD=False, active_dims=None, name='rbf', useGPU=False):
super(RBF, self).__init__(input_dim, variance, lengthscale, ARD, active_dims, name, useGPU=useGPU)
self.psicomp = PSICOMP_RBF()
if self.useGPU:
self.psicomp = PSICOMP_RBF_GPU()
else:
@ -36,6 +35,7 @@ class RBF(Stationary):
dc = super(RBF, self).__getstate__()
if self.useGPU:
dc['psicomp'] = PSICOMP_RBF()
dc['useGPU'] = False
return dc
def __setstate__(self, state):

3
GPy/models/bayesian_gplvm_minibatch.py
View file

@ -64,9 +64,6 @@ class BayesianGPLVMMiniBatch(SparseGPMiniBatch):
self.logger.debug("creating inference_method var_dtc")
inference_method = VarDTC(limit=1 if not missing_data else Y.shape[1])
if kernel.useGPU and isinstance(inference_method, VarDTC_GPU):
kernel.psicomp.GPU_direct = True
super(BayesianGPLVMMiniBatch,self).__init__(X, Y, Z, kernel, likelihood=likelihood,
name=name, inference_method=inference_method,
normalizer=normalizer,

54
GPy/models/gp_var_gauss.py
View file

@ -15,7 +15,7 @@ log_2_pi = np.log(2*np.pi)
class GPVariationalGaussianApproximation(Model):
"""
The Variational Gaussian Approximation revisited implementation for regression
The Variational Gaussian Approximation revisited
@article{Opper:2009,
title = {The Variational Gaussian Approximation Revisited},
@ -25,44 +25,27 @@ class GPVariationalGaussianApproximation(Model):
pages = {786--792},
}
"""
def __init__(self, X, Y, kernel=None):
def __init__(self, X, Y, kernel, likelihood,Y_metadata=None):
Model.__init__(self,'Variational GP classification')
# accept the construction arguments
self.X = ObsAr(X)
if kernel is None:
kernel = kern.RBF(X.shape[1]) + kern.White(X.shape[1], 0.01)
self.kern = kernel
self.link_parameter(self.kern)
self.Y = Y
self.num_data, self.input_dim = self.X.shape
self.Y_metadata = Y_metadata
self.alpha = Param('alpha', np.zeros(self.num_data))
self.kern = kernel
self.likelihood = likelihood
self.link_parameter(self.kern)
self.link_parameter(self.likelihood)
self.alpha = Param('alpha', np.zeros((self.num_data,1))) # only one latent fn for now.
self.beta = Param('beta', np.ones(self.num_data))
self.link_parameter(self.alpha)
self.link_parameter(self.beta)
self.gh_x, self.gh_w = np.polynomial.hermite.hermgauss(20)
self.Ysign = np.where(Y==1, 1, -1).flatten()
def log_likelihood(self):
"""
Marginal log likelihood evaluation
"""
return self._log_lik
def likelihood_quadrature(self, m, v):
"""
Perform Gauss-Hermite quadrature over the log of the likelihood, with a fixed weight
"""
# assume probit for now.
X = self.gh_x[None, :]*np.sqrt(2.*v[:, None]) + (m*self.Ysign)[:, None]
p = stats.norm.cdf(X)
N = stats.norm.pdf(X)
F = np.log(p).dot(self.gh_w)
NoverP = N/p
dF_dm = (NoverP*self.Ysign[:,None]).dot(self.gh_w)
dF_dv = -0.5*(NoverP**2 + NoverP*X).dot(self.gh_w)
return F, dF_dm, dF_dv
def parameters_changed(self):
K = self.kern.K(self.X)
m = K.dot(self.alpha)
@ -71,13 +54,14 @@ class GPVariationalGaussianApproximation(Model):
A = np.eye(self.num_data) + BKB
Ai, LA, _, Alogdet = pdinv(A)
Sigma = np.diag(self.beta**-2) - Ai/self.beta[:, None]/self.beta[None, :] # posterior coavairance: need full matrix for gradients
var = np.diag(Sigma)
var = np.diag(Sigma).reshape(-1,1)
F, dF_dm, dF_dv = self.likelihood_quadrature(m, var)
F, dF_dm, dF_dv, dF_dthetaL = self.likelihood.variational_expectations(self.Y, m, var, Y_metadata=self.Y_metadata)
self.likelihood.gradient = dF_dthetaL.sum(1).sum(1)
dF_da = np.dot(K, dF_dm)
SigmaB = Sigma*self.beta
dF_db = -np.diag(Sigma.dot(np.diag(dF_dv)).dot(SigmaB))*2
KL = 0.5*(Alogdet + np.trace(Ai) - self.num_data + m.dot(self.alpha))
dF_db = -np.diag(Sigma.dot(np.diag(dF_dv.flatten())).dot(SigmaB))*2
KL = 0.5*(Alogdet + np.trace(Ai) - self.num_data + np.sum(m*self.alpha))
dKL_da = m
A_A2 = Ai - Ai.dot(Ai)
dKL_db = np.diag(np.dot(KB.T, A_A2))
@ -86,12 +70,12 @@ class GPVariationalGaussianApproximation(Model):
self.beta.gradient = dF_db - dKL_db
# K-gradients
dKL_dK = 0.5*(self.alpha[None, :]*self.alpha[:, None] + self.beta[:, None]*self.beta[None, :]*A_A2)
dKL_dK = 0.5*(self.alpha*self.alpha.T + self.beta[:, None]*self.beta[None, :]*A_A2)
tmp = Ai*self.beta[:, None]/self.beta[None, :]
dF_dK = self.alpha[:, None]*dF_dm[None, :] + np.dot(tmp*dF_dv, tmp.T)
dF_dK = self.alpha*dF_dm.T + np.dot(tmp*dF_dv, tmp.T)
self.kern.update_gradients_full(dF_dK - dKL_dK, self.X)
def predict(self, Xnew):
def _raw_predict(self, Xnew):
"""
Predict the function(s) at the new point(s) Xnew.
@ -105,4 +89,4 @@ class GPVariationalGaussianApproximation(Model):
Kxx = self.kern.Kdiag(Xnew)
var = Kxx - np.sum(WiKux*Kux, 0)
return 0.5*(1+erf(mu/np.sqrt(2.*(var+1))))
return mu, var.reshape(-1,1)

20
GPy/plotting/matplot_dep/visualize.py
View file

@ -451,7 +451,7 @@ class mocap_data_show(matplotlib_show):
self.initialize_axes_modify()
self.draw_vertices()
self.initialize_axes()
self.finalize_axes_modify()
#self.finalize_axes_modify()
self.draw_edges()
self.axes.figure.canvas.draw()
@ -470,12 +470,20 @@ class mocap_data_show(matplotlib_show):
self.line_handle[0].remove()
def finalize_axes(self):
self.axes.set_xlim(self.x_lim)
self.axes.set_ylim(self.y_lim)
self.axes.set_zlim(self.z_lim)
self.axes.auto_scale_xyz([-1., 1.], [-1., 1.], [-1., 1.])
# self.axes.set_xlim(self.x_lim)
# self.axes.set_ylim(self.y_lim)
# self.axes.set_zlim(self.z_lim)
# self.axes.auto_scale_xyz([-1., 1.], [-1., 1.], [-1., 1.])
# self.axes.set_aspect('equal')
extents = np.array([getattr(self.axes, 'get_{}lim'.format(dim))() for dim in 'xyz'])
sz = extents[:,1] - extents[:,0]
centers = np.mean(extents, axis=1)
maxsize = max(abs(sz))
r = maxsize/2
for ctr, dim in zip(centers, 'xyz'):
getattr(self.axes, 'set_{}lim'.format(dim))(ctr - r, ctr + r)
# self.axes.set_aspect('equal')
# self.axes.autoscale(enable=False)
def finalize_axes_modify(self):