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fiddling with cholesky backprop

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This commit is contained in:
James Hensman 2015-06-08 21:09:45 +01:00
parent 04c14a9b4c
commit 93076df259
6 changed files with 793 additions and 81 deletions
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28
GPy/util/choleskies_cython.pyx
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@ -76,12 +76,36 @@ def backprop_gradient_par(double[:,:] dL, double[:,:] L):
dL_dK[k, k] /= (2. * L[k, k])
return dL_dK
cdef extern from "cholesky_backprop.h":
#here's a pure C version...
cdef extern from "cholesky_backprop.h" nogil:
void chol_backprop(int N, double* dL, double* L)
def backprop_gradient_par_c(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L):
cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig
cdef int N = L.shape[0]
chol_backprop(N, <double*> dL_dK.data, <double*> L.data)
with nogil:
chol_backprop(N, <double*> dL_dK.data, <double*> L.data)
return dL_dK
# TODO: with the next release of cython, cimport scipy.linalg.cython_blas as blas, then blas the hell out of this.
def backprop_gradient_par2(double[:,:] dL, double[:,:] L):
"""
a very slow implementation, but the clearest I hope
"""
cdef double[:,:] dL_dK = np.tril(dL).copy()
cdef int N = L.shape[0]
cdef int k, j, i, iN, kN
for k in range(N - 1, -1, -1):
#pragma this loop:
for i in range(k+1, N):
dL_dK[i,+k] -= np.dot(dL_dK[i,k+1:], L[k+1:,k])
dL_dK[i,+k] -= np.dot(dL_dK[i:,i], L[i:,k])
for i in range(k+1, N):
dL_dK[i, k] /= L[k, k];
dL_dK[k, k] -= L[i, k] * dL_dK[i, k];
dL_dK[k, k] /= (2. * L[k, k]);
return np.asarray(dL_dK)