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eigenvalue decomposition of psi2

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This commit is contained in:
James Hensman 2013-05-01 15:08:55 +01:00
parent db3646c3f3
commit 9df555b51b
4 changed files with 19 additions and 7 deletions
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19
GPy/models/sparse_GP.py
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@ -76,8 +76,13 @@ class sparse_GP(GP):
assert self.likelihood.D == 1 #TODO: what if the likelihood is heterscedatic and there are multiple independent outputs?
if self.has_uncertain_inputs:
self.psi2_beta_scaled = (self.psi2*(self.likelihood.precision.flatten().reshape(self.N,1,1)/sf2)).sum(0)
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,self.psi2_beta_scaled.T,lower=1)
self.A, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp.T),lower=1)
evals, evecs = linalg.eigh(self.psi2_beta_scaled)
clipped_evals = np.clip(evals,0.,1e6) # TODO: make clipping configurable
if not np.allclose(evals, clipped_evals):
print "Warning: clipping posterior eigenvalues"
tmp = evecs*np.sqrt(clipped_evals)
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
self.A = tdot(tmp)
else:
tmp = self.psi1*(np.sqrt(self.likelihood.precision.flatten().reshape(1,self.N))/sf)
self.psi2_beta_scaled = tdot(tmp)
@ -86,8 +91,14 @@ class sparse_GP(GP):
else:
if self.has_uncertain_inputs:
self.psi2_beta_scaled = (self.psi2*(self.likelihood.precision/sf2)).sum(0)
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,self.psi2_beta_scaled.T,lower=1)
self.A, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp.T),lower=1)
evals, evecs = linalg.eigh(self.psi2_beta_scaled)
clipped_evals = np.clip(evals,0.,1e6) # TODO: make clipping configurable
if not np.allclose(evals, clipped_evals):
print "Warning: clipping posterior eigenvalues"
tmp = evecs*np.sqrt(clipped_evals)
self.psi2_beta_scaled = tdot(tmp)
tmp, _ = linalg.lapack.flapack.dtrtrs(self.Lm,np.asfortranarray(tmp),lower=1)
self.A = tdot(tmp)
else:
tmp = self.psi1*(np.sqrt(self.likelihood.precision)/sf)
self.psi2_beta_scaled = tdot(tmp)