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Fixed quadrature for bernoulli likelihood, started adding Gaussian likelihood derivatives for quadrature

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This commit is contained in:
Alan Saul 2014-12-19 17:53:32 +00:00
parent 2de2217473
commit 935f2016db
5 changed files with 23 additions and 35 deletions
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6
GPy/likelihoods/bernoulli.py
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@ -133,7 +133,7 @@ class Bernoulli(Likelihood):
"""
#objective = y*np.log(inv_link_f) + (1.-y)*np.log(inv_link_f)
p = np.where(y==1, inv_link_f, 1.-inv_link_f)
return np.log(np.clip(p, 1e-6 ,np.inf))
return np.log(np.clip(p, 1e-9 ,np.inf))
def dlogpdf_dlink(self, inv_link_f, y, Y_metadata=None):
"""
@ -152,7 +152,7 @@ class Bernoulli(Likelihood):
"""
#grad = (y/inv_link_f) - (1.-y)/(1-inv_link_f)
#grad = np.where(y, 1./inv_link_f, -1./(1-inv_link_f))
ff = np.clip(inv_link_f, 1e-6, 1-1e-6)
ff = np.clip(inv_link_f, 1e-9, 1-1e-9)
denom = np.where(y, ff, -(1-ff))
return 1./denom
@ -180,7 +180,7 @@ class Bernoulli(Likelihood):
#d2logpdf_dlink2 = -y/(inv_link_f**2) - (1-y)/((1-inv_link_f)**2)
#d2logpdf_dlink2 = np.where(y, -1./np.square(inv_link_f), -1./np.square(1.-inv_link_f))
arg = np.where(y, inv_link_f, 1.-inv_link_f)
ret = -1./np.square(np.clip(arg, 1e-3, np.inf))
ret = -1./np.square(np.clip(arg, 1e-9, 1e9))
if np.any(np.isinf(ret)):
stop
return ret