diff --git a/GPy/FAQ.txt b/GPy/FAQ.txt new file mode 100644 index 00000000..66ba4834 --- /dev/null +++ b/GPy/FAQ.txt @@ -0,0 +1,8 @@ +Frequently Asked Questions +-------------------------- + +Unit tests are run through Travis-Ci. They can be run locally through entering the GPy route diretory and writing + +nosetests testing/ + +Documentation is handled by Sphinx. To build the documentation: diff --git a/GPy/coding_style_guide.txt b/GPy/coding_style_guide.txt new file mode 100644 index 00000000..0cc732e4 --- /dev/null +++ b/GPy/coding_style_guide.txt @@ -0,0 +1,10 @@ +In this text document we will describe coding conventions to be used in GPy to keep things consistent. + +All arrays containing data are two dimensional. The first dimension is the number of data, the second dimension is number of features. This keeps things consistent with the idea of a design matrix. + +Input matrices are either X or t, output matrices are Y. + +Input dimensionality is input_dim, output dimensionality is output_dim, number of data is num_data. + +Data sets are preprocessed in the datasets.py file. This file also records where the data set was obtained from in the dictionary stored in the file. Long term we should move this dictionary to sqlite or similar. + diff --git a/GPy/core/gp.py b/GPy/core/gp.py index 2d826ac2..a3ef6c80 100644 --- a/GPy/core/gp.py +++ b/GPy/core/gp.py @@ -15,7 +15,7 @@ class GP(GPBase): :param X: input observations :param kernel: a GPy kernel, defaults to rbf+white - :parm likelihood: a GPy likelihood + :param likelihood: a GPy likelihood :param normalize_X: whether to normalize the input data before computing (predictions will be in original scales) :type normalize_X: False|True :rtype: model object @@ -132,17 +132,16 @@ class GP(GPBase): def predict(self, Xnew, which_parts='all', full_cov=False, likelihood_args=dict()): """ Predict the function(s) at the new point(s) Xnew. - Arguments - --------- + :param Xnew: The points at which to make a prediction :type Xnew: np.ndarray, Nnew x self.input_dim :param which_parts: specifies which outputs kernel(s) to use in prediction :type which_parts: ('all', list of bools) :param full_cov: whether to return the full covariance matrix, or just the diagonal :type full_cov: bool - :rtype: posterior mean, a Numpy array, Nnew x self.input_dim - :rtype: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise - :rtype: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim + :returns: mean: posterior mean, a Numpy array, Nnew x self.input_dim + :returns: var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise + :returns: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew. @@ -160,8 +159,7 @@ class GP(GPBase): def predict_single_output(self, Xnew, output=0, which_parts='all', full_cov=False): """ For a specific output, predict the function at the new point(s) Xnew. - Arguments - --------- + :param Xnew: The points at which to make a prediction :type Xnew: np.ndarray, Nnew x self.input_dim :param output: output to predict @@ -170,9 +168,9 @@ class GP(GPBase): :type which_parts: ('all', list of bools) :param full_cov: whether to return the full covariance matrix, or just the diagonal :type full_cov: bool - :rtype: posterior mean, a Numpy array, Nnew x self.input_dim - :rtype: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise - :rtype: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim + :returns: posterior mean, a Numpy array, Nnew x self.input_dim + :returns: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise + :returns: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim .. Note:: For multiple output models only """ diff --git a/GPy/core/gp_base.py b/GPy/core/gp_base.py index e26deb0f..bd0b877e 100644 --- a/GPy/core/gp_base.py +++ b/GPy/core/gp_base.py @@ -128,10 +128,9 @@ class GPBase(Model): else: raise NotImplementedError, "Cannot define a frame with more than two input dimensions" else: - assert self.num_outputs > output, 'The model has only %s outputs.' %self.num_outputs + assert len(self.likelihood.noise_model_list) > output, 'The model has only %s outputs.' %self.num_outputs if self.X.shape[1] == 2: - assert self.num_outputs >= output, 'The model has only %s outputs.' %self.num_outputs Xu = self.X[self.X[:,-1]==output ,0:1] Xnew, xmin, xmax = x_frame1D(Xu, plot_limits=plot_limits) @@ -263,7 +262,7 @@ class GPBase(Model): raise NotImplementedError, "Cannot define a frame with more than two input dimensions" else: - assert self.num_outputs > output, 'The model has only %s outputs.' %self.num_outputs + assert len(self.likelihood.noise_model_list) > output, 'The model has only %s outputs.' %self.num_outputs if self.X.shape[1] == 2: resolution = resolution or 200 Xu = self.X[self.X[:,-1]==output,:] #keep the output of interest @@ -287,3 +286,20 @@ class GPBase(Model): else: raise NotImplementedError, "Cannot define a frame with more than two input dimensions" + + """ + def samples_f(self,X,samples=10, which_data='all', which_parts='all',output=None): + if which_data == 'all': + which_data = slice(None) + + if hasattr(self,'multioutput'): + np.hstack([X,np.ones((X.shape[0],1))*output]) + + m, v = self._raw_predict(X, which_parts=which_parts, full_cov=True) + v = v.reshape(m.size,-1) if len(v.shape)==3 else v + Ysim = np.random.multivariate_normal(m.flatten(), v, samples) + #gpplot(X, m, m - 2 * np.sqrt(np.diag(v)[:, None]), m + 2 * np.sqrt(np.diag(v))[:, None, ], axes=ax) + for i in range(samples): + ax.plot(X, Ysim[i, :], Tango.colorsHex['darkBlue'], linewidth=0.25) + + """ diff --git a/GPy/core/model.py b/GPy/core/model.py index cb13378c..7aff8f4d 100644 --- a/GPy/core/model.py +++ b/GPy/core/model.py @@ -47,6 +47,7 @@ class Model(Parameterized): :param state: the state of the model. :type state: list as returned from getstate. + """ self.preferred_optimizer = state.pop() self.sampling_runs = state.pop() @@ -543,10 +544,11 @@ class Model(Parameterized): """ EM - like algorithm for Expectation Propagation and Laplace approximation - :stop_crit: convergence criterion + :param stop_crit: convergence criterion :type stop_crit: float - ..Note: kwargs are passed to update_likelihood and optimize functions. """ + .. Note: kwargs are passed to update_likelihood and optimize functions. + """ assert isinstance(self.likelihood, likelihoods.EP) or isinstance(self.likelihood, likelihoods.EP_Mixed_Noise), "pseudo_EM is only available for EP likelihoods" ll_change = stop_crit + 1. iteration = 0 diff --git a/GPy/core/sparse_gp.py b/GPy/core/sparse_gp.py index f6a7b885..834bdd84 100644 --- a/GPy/core/sparse_gp.py +++ b/GPy/core/sparse_gp.py @@ -367,9 +367,8 @@ class SparseGP(GPBase): ax.plot(Zu[:, 0], Zu[:, 1], 'wo') else: - pass - """ if self.X.shape[1] == 2 and hasattr(self,'multioutput'): + """ Xu = self.X[self.X[:,-1]==output,:] if self.has_uncertain_inputs: Xu = self.X * self._Xscale + self._Xoffset # NOTE self.X are the normalized values now @@ -380,6 +379,7 @@ class SparseGP(GPBase): xerr=2 * np.sqrt(self.X_variance[which_data, 0]), ecolor='k', fmt=None, elinewidth=.5, alpha=.5) + """ Zu = self.Z[self.Z[:,-1]==output,:] Zu = self.Z * self._Xscale + self._Xoffset Zu = self.Z[self.Z[:,-1]==output ,0:1] #?? @@ -388,13 +388,11 @@ class SparseGP(GPBase): else: raise NotImplementedError, "Cannot define a frame with more than two input dimensions" - """ def predict_single_output(self, Xnew, output=0, which_parts='all', full_cov=False): """ For a specific output, predict the function at the new point(s) Xnew. - Arguments - --------- + :param Xnew: The points at which to make a prediction :type Xnew: np.ndarray, Nnew x self.input_dim :param output: output to predict diff --git a/GPy/examples/regression.py b/GPy/examples/regression.py index c6dc1d9f..888a01d9 100644 --- a/GPy/examples/regression.py +++ b/GPy/examples/regression.py @@ -132,7 +132,7 @@ def multiple_optima(gene_number=937, resolution=80, model_restarts=10, seed=1000 length_scales = np.linspace(0.1, 60., resolution) log_SNRs = np.linspace(-3., 4., resolution) - data = GPy.util.datasets.della_gatta_TRP63_gene_expression(gene_number) + data = GPy.util.datasets.della_gatta_TRP63_gene_expression(data_set='della_gatta',gene_number=gene_number) # data['Y'] = data['Y'][0::2, :] # data['X'] = data['X'][0::2, :] diff --git a/GPy/inference/optimization.py b/GPy/inference/optimization.py index 589ec4c7..e65b862e 100644 --- a/GPy/inference/optimization.py +++ b/GPy/inference/optimization.py @@ -29,7 +29,7 @@ class Optimizer(): """ def __init__(self, x_init, messages=False, model=None, max_f_eval=1e4, max_iters=1e3, - ftol=None, gtol=None, xtol=None): + ftol=None, gtol=None, xtol=None, bfgs_factor=None): self.opt_name = None self.x_init = x_init self.messages = messages @@ -39,6 +39,7 @@ class Optimizer(): self.status = None self.max_f_eval = int(max_f_eval) self.max_iters = int(max_iters) + self.bfgs_factor = bfgs_factor self.trace = None self.time = "Not available" self.xtol = xtol @@ -128,6 +129,8 @@ class opt_lbfgsb(Optimizer): print "WARNING: l-bfgs-b doesn't have an ftol arg, so I'm going to ignore it" if self.gtol is not None: opt_dict['pgtol'] = self.gtol + if self.bfgs_factor is not None: + opt_dict['factr'] = self.bfgs_factor opt_result = optimize.fmin_l_bfgs_b(f_fp, self.x_init, iprint=iprint, maxfun=self.max_iters, **opt_dict) diff --git a/GPy/inference/sgd.py b/GPy/inference/sgd.py index e443f45a..5cd144e8 100644 --- a/GPy/inference/sgd.py +++ b/GPy/inference/sgd.py @@ -10,11 +10,10 @@ class opt_SGD(Optimizer): """ Optimize using stochastic gradient descent. - *** Parameters *** - Model: reference to the Model object - iterations: number of iterations - learning_rate: learning rate - momentum: momentum + :param Model: reference to the Model object + :param iterations: number of iterations + :param learning_rate: learning rate + :param momentum: momentum """ diff --git a/GPy/kern/constructors.py b/GPy/kern/constructors.py index 28066413..a8ec1d4b 100644 --- a/GPy/kern/constructors.py +++ b/GPy/kern/constructors.py @@ -80,29 +80,30 @@ def gibbs(input_dim,variance=1., mapping=None): .. math:: - r = sqrt((x_i - x_j)'*(x_i - x_j)) + r = \\sqrt{((x_i - x_j)'*(x_i - x_j))} - k(x_i, x_j) = \sigma^2*Z*exp(-r^2/(l(x)*l(x) + l(x')*l(x'))) + k(x_i, x_j) = \\sigma^2*Z*exp(-r^2/(l(x)*l(x) + l(x')*l(x'))) - Z = \sqrt{2*l(x)*l(x')/(l(x)*l(x) + l(x')*l(x')} + Z = \\sqrt{2*l(x)*l(x')/(l(x)*l(x) + l(x')*l(x')} - where :math:`l(x)` is a function giving the length scale as a function of space. - This is the non stationary kernel proposed by Mark Gibbs in his 1997 - thesis. It is similar to an RBF but has a length scale that varies - with input location. This leads to an additional term in front of - the kernel. + Where :math:`l(x)` is a function giving the length scale as a function of space. - The parameters are :math:`\sigma^2`, the process variance, and the parameters of l(x) which is a function that can be specified by the user, by default an multi-layer peceptron is used is used. + This is the non stationary kernel proposed by Mark Gibbs in his 1997 + thesis. It is similar to an RBF but has a length scale that varies + with input location. This leads to an additional term in front of + the kernel. - :param input_dim: the number of input dimensions - :type input_dim: int - :param variance: the variance :math:`\sigma^2` - :type variance: float - :param mapping: the mapping that gives the lengthscale across the input space. - :type mapping: GPy.core.Mapping - :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one weight variance parameter \sigma^2_w), otherwise there is one weight variance parameter per dimension. - :type ARD: Boolean - :rtype: Kernpart object + The parameters are :math:`\\sigma^2`, the process variance, and the parameters of l(x) which is a function that can be specified by the user, by default an multi-layer peceptron is used is used. + + :param input_dim: the number of input dimensions + :type input_dim: int + :param variance: the variance :math:`\\sigma^2` + :type variance: float + :param mapping: the mapping that gives the lengthscale across the input space. + :type mapping: GPy.core.Mapping + :param ARD: Auto Relevance Determination. If equal to "False", the kernel is isotropic (ie. one weight variance parameter :math:`\\sigma^2_w`), otherwise there is one weight variance parameter per dimension. + :type ARD: Boolean + :rtype: Kernpart object """ part = parts.gibbs.Gibbs(input_dim,variance,mapping) @@ -148,6 +149,33 @@ def white(input_dim,variance=1.): part = parts.white.White(input_dim,variance) return kern(input_dim, [part]) +def eq_ode1(output_dim, W=None, rank=1, kappa=None, length_scale=1., decay=None, delay=None): + """Covariance function for first order differential equation driven by an exponentiated quadratic covariance. + + This outputs of this kernel have the form + .. math:: + \frac{\text{d}y_j}{\text{d}t} = \sum_{i=1}^R w_{j,i} f_i(t-\delta_j) +\sqrt{\kappa_j}g_j(t) - d_jy_j(t) + + where :math:`R` is the rank of the system, :math:`w_{j,i}` is the sensitivity of the :math:`j`th output to the :math:`i`th latent function, :math:`d_j` is the decay rate of the :math:`j`th output and :math:`f_i(t)` and :math:`g_i(t)` are independent latent Gaussian processes goverened by an exponentiated quadratic covariance. + + :param output_dim: number of outputs driven by latent function. + :type output_dim: int + :param W: sensitivities of each output to the latent driving function. + :type W: ndarray (output_dim x rank). + :param rank: If rank is greater than 1 then there are assumed to be a total of rank latent forces independently driving the system, each with identical covariance. + :type rank: int + :param decay: decay rates for the first order system. + :type decay: array of length output_dim. + :param delay: delay between latent force and output response. + :type delay: array of length output_dim. + :param kappa: diagonal term that allows each latent output to have an independent component to the response. + :type kappa: array of length output_dim. + + .. Note: see first order differential equation examples in GPy.examples.regression for some usage. + """ + part = parts.eq_ode1.Eq_ode1(output_dim, W, rank, kappa, length_scale, decay, delay) + return kern(2, [part]) + def exponential(input_dim,variance=1., lengthscale=None, ARD=False): """ @@ -257,37 +285,71 @@ def Brownian(input_dim, variance=1.): try: import sympy as sp - from sympykern import spkern - from sympy.parsing.sympy_parser import parse_expr sympy_available = True except ImportError: sympy_available = False if sympy_available: + from parts.sympykern import spkern + from sympy.parsing.sympy_parser import parse_expr + from GPy.util.symbolic import sinc + def rbf_sympy(input_dim, ARD=False, variance=1., lengthscale=1.): """ Radial Basis Function covariance. """ X = [sp.var('x%i' % i) for i in range(input_dim)] Z = [sp.var('z%i' % i) for i in range(input_dim)] - rbf_variance = sp.var('rbf_variance',positive=True) + variance = sp.var('variance',positive=True) if ARD: - rbf_lengthscales = [sp.var('rbf_lengthscale_%i' % i, positive=True) for i in range(input_dim)] - dist_string = ' + '.join(['(x%i-z%i)**2/rbf_lengthscale_%i**2' % (i, i, i) for i in range(input_dim)]) + lengthscales = [sp.var('lengthscale_%i' % i, positive=True) for i in range(input_dim)] + dist_string = ' + '.join(['(x%i-z%i)**2/lengthscale_%i**2' % (i, i, i) for i in range(input_dim)]) dist = parse_expr(dist_string) - f = rbf_variance*sp.exp(-dist/2.) + f = variance*sp.exp(-dist/2.) else: - rbf_lengthscale = sp.var('rbf_lengthscale',positive=True) + lengthscale = sp.var('lengthscale',positive=True) dist_string = ' + '.join(['(x%i-z%i)**2' % (i, i) for i in range(input_dim)]) dist = parse_expr(dist_string) - f = rbf_variance*sp.exp(-dist/(2*rbf_lengthscale**2)) - return kern(input_dim, [spkern(input_dim, f)]) + f = variance*sp.exp(-dist/(2*lengthscale**2)) + return kern(input_dim, [spkern(input_dim, f, name='rbf_sympy')]) - def sympykern(input_dim, k): + def sinc(input_dim, ARD=False, variance=1., lengthscale=1.): """ - A kernel from a symbolic sympy representation + TODO: Not clear why this isn't working, suggests argument of sinc is not a number. + sinc covariance funciton """ - return kern(input_dim, [spkern(input_dim, k)]) + X = [sp.var('x%i' % i) for i in range(input_dim)] + Z = [sp.var('z%i' % i) for i in range(input_dim)] + variance = sp.var('variance',positive=True) + if ARD: + lengthscales = [sp.var('lengthscale_%i' % i, positive=True) for i in range(input_dim)] + dist_string = ' + '.join(['(x%i-z%i)**2/lengthscale_%i**2' % (i, i, i) for i in range(input_dim)]) + dist = parse_expr(dist_string) + f = variance*sinc(sp.pi*sp.sqrt(dist)) + else: + lengthscale = sp.var('lengthscale',positive=True) + dist_string = ' + '.join(['(x%i-z%i)**2' % (i, i) for i in range(input_dim)]) + dist = parse_expr(dist_string) + f = variance*sinc(sp.pi*sp.sqrt(dist)/lengthscale) + + return kern(input_dim, [spkern(input_dim, f, name='sinc')]) + + def sympykern(input_dim, k,name=None): + """ + A base kernel object, where all the hard work in done by sympy. + + :param k: the covariance function + :type k: a positive definite sympy function of x1, z1, x2, z2... + + To construct a new sympy kernel, you'll need to define: + - a kernel function using a sympy object. Ensure that the kernel is of the form k(x,z). + - that's it! we'll extract the variables from the function k. + + Note: + - to handle multiple inputs, call them x1, z1, etc + - to handle multpile correlated outputs, you'll need to define each covariance function and 'cross' variance function. TODO + """ + return kern(input_dim, [spkern(input_dim, k,name)]) del sympy_available def periodic_exponential(input_dim=1, variance=1., lengthscale=None, period=2 * np.pi, n_freq=10, lower=0., upper=4 * np.pi): @@ -369,7 +431,7 @@ def symmetric(k): k_.parts = [symmetric.Symmetric(p) for p in k.parts] return k_ -def coregionalize(num_outputs,W_columns=1, W=None, kappa=None): +def coregionalize(output_dim,rank=1, W=None, kappa=None): """ Coregionlization matrix B, of the form: @@ -383,18 +445,18 @@ def coregionalize(num_outputs,W_columns=1, W=None, kappa=None): it is obtainded as the tensor product between a kernel k(x,y) and B. - :param num_outputs: the number of outputs to coregionalize - :type num_outputs: int - :param W_columns: number of columns of the W matrix (this parameter is ignored if parameter W is not None) - :type W_colunns: int + :param output_dim: the number of outputs to corregionalize + :type output_dim: int + :param rank: number of columns of the W matrix (this parameter is ignored if parameter W is not None) + :type rank: int :param W: a low rank matrix that determines the correlations between the different outputs, together with kappa it forms the coregionalization matrix B - :type W: numpy array of dimensionality (num_outpus, W_columns) + :type W: numpy array of dimensionality (num_outpus, rank) :param kappa: a vector which allows the outputs to behave independently - :type kappa: numpy array of dimensionality (num_outputs,) + :type kappa: numpy array of dimensionality (output_dim,) :rtype: kernel object """ - p = parts.coregionalize.Coregionalize(num_outputs,W_columns,W,kappa) + p = parts.coregionalize.Coregionalize(output_dim,rank,W,kappa) return kern(1,[p]) @@ -454,16 +516,16 @@ def hierarchical(k): _parts = [parts.hierarchical.Hierarchical(k.parts)] return kern(k.input_dim+len(k.parts),_parts) -def build_lcm(input_dim, num_outputs, kernel_list = [], W_columns=1,W=None,kappa=None): +def build_lcm(input_dim, output_dim, kernel_list = [], rank=1,W=None,kappa=None): """ Builds a kernel of a linear coregionalization model :input_dim: Input dimensionality - :num_outputs: Number of outputs + :output_dim: Number of outputs :kernel_list: List of coregionalized kernels, each element in the list will be multiplied by a different corregionalization matrix :type kernel_list: list of GPy kernels - :param W_columns: number tuples of the corregionalization parameters 'coregion_W' - :type W_columns: integer + :param rank: number tuples of the corregionalization parameters 'coregion_W' + :type rank: integer ..note the kernels dimensionality is overwritten to fit input_dim @@ -474,11 +536,31 @@ def build_lcm(input_dim, num_outputs, kernel_list = [], W_columns=1,W=None,kappa k.input_dim = input_dim warnings.warn("kernel's input dimension overwritten to fit input_dim parameter.") - k_coreg = coregionalize(num_outputs,W_columns,W,kappa) + k_coreg = coregionalize(output_dim,rank,W,kappa) kernel = kernel_list[0]**k_coreg.copy() for k in kernel_list[1:]: - k_coreg = coregionalize(num_outputs,W_columns,W,kappa) + k_coreg = coregionalize(output_dim,rank,W,kappa) kernel += k**k_coreg.copy() return kernel + +def ODE_1(input_dim=1, varianceU=1., varianceY=1., lengthscaleU=None, lengthscaleY=None): + """ + kernel resultiong from a first order ODE with OU driving GP + + :param input_dim: the number of input dimension, has to be equal to one + :type input_dim: int + :param varianceU: variance of the driving GP + :type varianceU: float + :param lengthscaleU: lengthscale of the driving GP + :type lengthscaleU: float + :param varianceY: 'variance' of the transfer function + :type varianceY: float + :param lengthscaleY: 'lengthscale' of the transfer function + :type lengthscaleY: float + :rtype: kernel object + + """ + part = parts.ODE_1.ODE_1(input_dim, varianceU, varianceY, lengthscaleU, lengthscaleY) + return kern(input_dim, [part]) diff --git a/GPy/kern/kern.py b/GPy/kern/kern.py index 6a72ac8d..5a8882dd 100644 --- a/GPy/kern/kern.py +++ b/GPy/kern/kern.py @@ -1,6 +1,7 @@ # Copyright (c) 2012, GPy authors (see AUTHORS.txt). # Licensed under the BSD 3-clause license (see LICENSE.txt) +import sys import numpy as np import pylab as pb from ..core.parameterized import Parameterized @@ -222,7 +223,8 @@ class kern(Parameterized): def prod(self, other, tensor=False): """ - multiply two kernels (either on the same space, or on the tensor product of the input space). + Multiply two kernels (either on the same space, or on the tensor product of the input space). + :param other: the other kernel to be added :type other: GPy.kern :param tensor: whether or not to use the tensor space (default is false). @@ -576,7 +578,7 @@ class Kern_check_model(Model): def is_positive_definite(self): v = np.linalg.eig(self.kernel.K(self.X))[0] - if any(v<-1e-6): + if any(v<-10*sys.float_info.epsilon): return False else: return True diff --git a/GPy/kern/parts/ODE_1.py b/GPy/kern/parts/ODE_1.py new file mode 100644 index 00000000..416278e3 --- /dev/null +++ b/GPy/kern/parts/ODE_1.py @@ -0,0 +1,161 @@ +# 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 ODE_1(Kernpart): + """ + kernel resultiong from a first order ODE with OU driving GP + + :param input_dim: the number of input dimension, has to be equal to one + :type input_dim: int + :param varianceU: variance of the driving GP + :type varianceU: float + :param lengthscaleU: lengthscale of the driving GP (sqrt(3)/lengthscaleU) + :type lengthscaleU: float + :param varianceY: 'variance' of the transfer function + :type varianceY: float + :param lengthscaleY: 'lengthscale' of the transfer function (1/lengthscaleY) + :type lengthscaleY: float + :rtype: kernel object + + """ + def __init__(self, input_dim=1, varianceU=1., varianceY=1., lengthscaleU=None, lengthscaleY=None): + assert input_dim==1, "Only defined for input_dim = 1" + self.input_dim = input_dim + self.num_params = 4 + self.name = 'ODE_1' + if lengthscaleU is not None: + lengthscaleU = np.asarray(lengthscaleU) + assert lengthscaleU.size == 1, "lengthscaleU should be one dimensional" + else: + lengthscaleU = np.ones(1) + if lengthscaleY is not None: + lengthscaleY = np.asarray(lengthscaleY) + assert lengthscaleY.size == 1, "lengthscaleY should be one dimensional" + else: + lengthscaleY = np.ones(1) + #lengthscaleY = 0.5 + self._set_params(np.hstack((varianceU, varianceY, lengthscaleU,lengthscaleY))) + + def _get_params(self): + """return the value of the parameters.""" + return np.hstack((self.varianceU,self.varianceY, self.lengthscaleU,self.lengthscaleY)) + + def _set_params(self, x): + """set the value of the parameters.""" + assert x.size == self.num_params + self.varianceU = x[0] + self.varianceY = x[1] + self.lengthscaleU = x[2] + self.lengthscaleY = x[3] + + def _get_param_names(self): + """return parameter names.""" + return ['varianceU','varianceY', 'lengthscaleU', 'lengthscaleY'] + + + def K(self, X, X2, target): + """Compute the covariance matrix between X and X2.""" + if X2 is None: X2 = X + # i1 = X[:,1] + # i2 = X2[:,1] + # X = X[:,0].reshape(-1,1) + # X2 = X2[:,0].reshape(-1,1) + dist = np.abs(X - X2.T) + + ly=1/self.lengthscaleY + lu=np.sqrt(3)/self.lengthscaleU + #ly=self.lengthscaleY + #lu=self.lengthscaleU + + k1 = np.exp(-ly*dist)*(2*lu+ly)/(lu+ly)**2 + k2 = (np.exp(-lu*dist)*(ly-2*lu+lu*ly*dist-lu**2*dist) + np.exp(-ly*dist)*(2*lu-ly) ) / (ly-lu)**2 + k3 = np.exp(-lu*dist) * ( (1+lu*dist)/(lu+ly) + (lu)/(lu+ly)**2 ) + + np.add(self.varianceU*self.varianceY*(k1+k2+k3), target, target) + + def Kdiag(self, X, target): + """Compute the diagonal of the covariance matrix associated to X.""" + ly=1/self.lengthscaleY + lu=np.sqrt(3)/self.lengthscaleU + #ly=self.lengthscaleY + #lu=self.lengthscaleU + + k1 = (2*lu+ly)/(lu+ly)**2 + k2 = (ly-2*lu + 2*lu-ly ) / (ly-lu)**2 + k3 = 1/(lu+ly) + (lu)/(lu+ly)**2 + + np.add(self.varianceU*self.varianceY*(k1+k2+k3), target, target) + + def dK_dtheta(self, dL_dK, X, X2, target): + """derivative of the covariance matrix with respect to the parameters.""" + if X2 is None: X2 = X + dist = np.abs(X - X2.T) + + ly=1/self.lengthscaleY + lu=np.sqrt(3)/self.lengthscaleU + #ly=self.lengthscaleY + #lu=self.lengthscaleU + + dk1theta1 = np.exp(-ly*dist)*2*(-lu)/(lu+ly)**3 + #c=np.sqrt(3) + #t1=c/lu + #t2=1/ly + #dk1theta1=np.exp(-dist*ly)*t2*( (2*c*t2+2*t1)/(c*t2+t1)**2 -2*(2*c*t2*t1+t1**2)/(c*t2+t1)**3 ) + + dk2theta1 = 1*( + np.exp(-lu*dist)*dist*(-ly+2*lu-lu*ly*dist+dist*lu**2)*(ly-lu)**(-2) + np.exp(-lu*dist)*(-2+ly*dist-2*dist*lu)*(ly-lu)**(-2) + +np.exp(-dist*lu)*(ly-2*lu+ly*lu*dist-dist*lu**2)*2*(ly-lu)**(-3) + +np.exp(-dist*ly)*2*(ly-lu)**(-2) + +np.exp(-dist*ly)*2*(2*lu-ly)*(ly-lu)**(-3) + ) + + dk3theta1 = np.exp(-dist*lu)*(lu+ly)**(-2)*((2*lu+ly+dist*lu**2+lu*ly*dist)*(-dist-2/(lu+ly))+2+2*lu*dist+ly*dist) + + dktheta1 = self.varianceU*self.varianceY*(dk1theta1+dk2theta1+dk3theta1) + + + + + dk1theta2 = np.exp(-ly*dist) * ((lu+ly)**(-2)) * ( (-dist)*(2*lu+ly) + 1 + (-2)*(2*lu+ly)/(lu+ly) ) + + dk2theta2 = 1*( + np.exp(-dist*lu)*(ly-lu)**(-2) * ( 1+lu*dist+(-2)*(ly-2*lu+lu*ly*dist-dist*lu**2)*(ly-lu)**(-1) ) + +np.exp(-dist*ly)*(ly-lu)**(-2) * ( (-dist)*(2*lu-ly) -1+(2*lu-ly)*(-2)*(ly-lu)**(-1) ) + ) + + dk3theta2 = np.exp(-dist*lu) * (-3*lu-ly-dist*lu**2-lu*ly*dist)/(lu+ly)**3 + + dktheta2 = self.varianceU*self.varianceY*(dk1theta2 + dk2theta2 +dk3theta2) + + + + k1 = np.exp(-ly*dist)*(2*lu+ly)/(lu+ly)**2 + k2 = (np.exp(-lu*dist)*(ly-2*lu+lu*ly*dist-lu**2*dist) + np.exp(-ly*dist)*(2*lu-ly) ) / (ly-lu)**2 + k3 = np.exp(-lu*dist) * ( (1+lu*dist)/(lu+ly) + (lu)/(lu+ly)**2 ) + dkdvar = k1+k2+k3 + + target[0] += np.sum(self.varianceY*dkdvar * dL_dK) + target[1] += np.sum(self.varianceU*dkdvar * dL_dK) + target[2] += np.sum(dktheta1*(-np.sqrt(3)*self.lengthscaleU**(-2)) * dL_dK) + target[3] += np.sum(dktheta2*(-self.lengthscaleY**(-2)) * dL_dK) + + + # def dKdiag_dtheta(self, dL_dKdiag, X, target): + # """derivative of the diagonal of the covariance matrix with respect to the parameters.""" + # # NB: derivative of diagonal elements wrt lengthscale is 0 + # target[0] += np.sum(dL_dKdiag) + + # def dK_dX(self, dL_dK, X, X2, target): + # """derivative of the covariance matrix with respect to X.""" + # if X2 is None: X2 = X + # dist = np.sqrt(np.sum(np.square((X[:, None, :] - X2[None, :, :]) / self.lengthscale), -1))[:, :, None] + # ddist_dX = (X[:, None, :] - X2[None, :, :]) / self.lengthscale ** 2 / np.where(dist != 0., dist, np.inf) + # dK_dX = -np.transpose(self.variance * np.exp(-dist) * ddist_dX, (1, 0, 2)) + # target += np.sum(dK_dX * dL_dK.T[:, :, None], 0) + + # def dKdiag_dX(self, dL_dKdiag, X, target): + # pass diff --git a/GPy/kern/parts/__init__.py b/GPy/kern/parts/__init__.py index 22feeb98..0a758f1e 100644 --- a/GPy/kern/parts/__init__.py +++ b/GPy/kern/parts/__init__.py @@ -2,6 +2,7 @@ import bias import Brownian import coregionalize import exponential +import eq_ode1 import finite_dimensional import fixed import gibbs @@ -12,6 +13,7 @@ import linear import Matern32 import Matern52 import mlp +import ODE_1 import periodic_exponential import periodic_Matern32 import periodic_Matern52 diff --git a/GPy/kern/parts/coregionalize.py b/GPy/kern/parts/coregionalize.py index d8a5c058..4748d276 100644 --- a/GPy/kern/parts/coregionalize.py +++ b/GPy/kern/parts/coregionalize.py @@ -13,8 +13,7 @@ class Coregionalize(Kernpart): This covariance has the form: .. math:: - - \mathbf{B} = \mathbf{W}\mathbf{W}^\top + kappa \mathbf{I} + \mathbf{B} = \mathbf{W}\mathbf{W}^\top + \text{diag}(kappa) An intrinsic/linear coregionalization covariance function of the form: .. math:: @@ -24,33 +23,35 @@ class Coregionalize(Kernpart): it is obtained as the tensor product between a covariance function k(x,y) and B. - :param num_outputs: number of outputs to coregionalize - :type num_outputs: int - :param W_columns: number of columns of the W matrix (this parameter is ignored if parameter W is not None) - :type W_colunns: int + :param output_dim: number of outputs to coregionalize + :type output_dim: int + :param rank: number of columns of the W matrix (this parameter is ignored if parameter W is not None) + :type rank: int :param W: a low rank matrix that determines the correlations between the different outputs, together with kappa it forms the coregionalization matrix B :type W: numpy array of dimensionality (num_outpus, W_columns) :param kappa: a vector which allows the outputs to behave independently - :type kappa: numpy array of dimensionality (num_outputs,) + :type kappa: numpy array of dimensionality (output_dim,) .. note: see coregionalization examples in GPy.examples.regression for some usage. """ - def __init__(self,num_outputs,W_columns=1, W=None, kappa=None): + def __init__(self, output_dim, rank=1, W=None, kappa=None): self.input_dim = 1 self.name = 'coregion' - self.num_outputs = num_outputs - self.W_columns = W_columns + self.output_dim = output_dim + self.rank = rank + if self.rank>output_dim-1: + print("Warning: Unusual choice of rank, it should normally be less than the output_dim.") if W is None: - self.W = 0.5*np.random.randn(self.num_outputs,self.W_columns)/np.sqrt(self.W_columns) + self.W = 0.5*np.random.randn(self.output_dim,self.rank)/np.sqrt(self.rank) else: - assert W.shape==(self.num_outputs,self.W_columns) + assert W.shape==(self.output_dim,self.rank) self.W = W if kappa is None: - kappa = 0.5*np.ones(self.num_outputs) + kappa = 0.5*np.ones(self.output_dim) else: - assert kappa.shape==(self.num_outputs,) + assert kappa.shape==(self.output_dim,) self.kappa = kappa - self.num_params = self.num_outputs*(self.W_columns + 1) + self.num_params = self.output_dim*(self.rank + 1) self._set_params(np.hstack([self.W.flatten(),self.kappa])) def _get_params(self): @@ -58,12 +59,12 @@ class Coregionalize(Kernpart): def _set_params(self,x): assert x.size == self.num_params - self.kappa = x[-self.num_outputs:] - self.W = x[:-self.num_outputs].reshape(self.num_outputs,self.W_columns) + self.kappa = x[-self.output_dim:] + self.W = x[:-self.output_dim].reshape(self.output_dim,self.rank) self.B = np.dot(self.W,self.W.T) + np.diag(self.kappa) def _get_param_names(self): - return sum([['W%i_%i'%(i,j) for j in range(self.W_columns)] for i in range(self.num_outputs)],[]) + ['kappa_%i'%i for i in range(self.num_outputs)] + return sum([['W%i_%i'%(i,j) for j in range(self.rank)] for i in range(self.output_dim)],[]) + ['kappa_%i'%i for i in range(self.output_dim)] def K(self,index,index2,target): index = np.asarray(index,dtype=np.int) @@ -81,26 +82,26 @@ class Coregionalize(Kernpart): if index2 is None: code=""" for(int i=0;i 2: + raise ValueError('Input matrix for ode1 covariance should have at most two columns, one containing times, the other output indices') + + self._K_computations(X, X2) + target += self._scale*self._K_dvar + + if self.gaussian_initial: + # Add covariance associated with initial condition. + t1_mat = self._t[self._rorder, None] + t2_mat = self._t2[None, self._rorder2] + target+=self.initial_variance * np.exp(- self.decay * (t1_mat + t2_mat)) + + def Kdiag(self,index,target): + #target += np.diag(self.B)[np.asarray(index,dtype=np.int).flatten()] + pass + + def dK_dtheta(self,dL_dK,X,X2,target): + + # First extract times and indices. + self._extract_t_indices(X, X2, dL_dK=dL_dK) + self._dK_ode_dtheta(target) + + + def _dK_ode_dtheta(self, target): + """Do all the computations for the ode parts of the covariance function.""" + t_ode = self._t[self._index>0] + dL_dK_ode = self._dL_dK[self._index>0, :] + index_ode = self._index[self._index>0]-1 + if self._t2 is None: + if t_ode.size==0: + return + t2_ode = t_ode + dL_dK_ode = dL_dK_ode[:, self._index>0] + index2_ode = index_ode + else: + t2_ode = self._t2[self._index2>0] + dL_dK_ode = dL_dK_ode[:, self._index2>0] + if t_ode.size==0 or t2_ode.size==0: + return + index2_ode = self._index2[self._index2>0]-1 + + h1 = self._compute_H(t_ode, index_ode, t2_ode, index2_ode, stationary=self.is_stationary, update_derivatives=True) + #self._dK_ddelay = self._dh_ddelay + self._dK_dsigma = self._dh_dsigma + + if self._t2 is None: + h2 = h1 + else: + h2 = self._compute_H(t2_ode, index2_ode, t_ode, index_ode, stationary=self.is_stationary, update_derivatives=True) + + #self._dK_ddelay += self._dh_ddelay.T + self._dK_dsigma += self._dh_dsigma.T + # C1 = self.sensitivity + # C2 = self.sensitivity + + # K = 0.5 * (h1 + h2.T) + # var2 = C1*C2 + # if self.is_normalized: + # dk_dD1 = (sum(sum(dL_dK.*dh1_dD1)) + sum(sum(dL_dK.*dh2_dD1.T)))*0.5*var2 + # dk_dD2 = (sum(sum(dL_dK.*dh1_dD2)) + sum(sum(dL_dK.*dh2_dD2.T)))*0.5*var2 + # dk_dsigma = 0.5 * var2 * sum(sum(dL_dK.*dK_dsigma)) + # dk_dC1 = C2 * sum(sum(dL_dK.*K)) + # dk_dC2 = C1 * sum(sum(dL_dK.*K)) + # else: + # K = np.sqrt(np.pi) * K + # dk_dD1 = (sum(sum(dL_dK.*dh1_dD1)) + * sum(sum(dL_dK.*K)) + # dk_dC2 = self.sigma * C1 * sum(sum(dL_dK.*K)) + + + # dk_dSim1Variance = dk_dC1 + # Last element is the length scale. + (dL_dK_ode[:, :, None]*self._dh_ddelay[:, None, :]).sum(2) + + target[-1] += (dL_dK_ode*self._dK_dsigma/np.sqrt(2)).sum() + + + # # only pass the gradient with respect to the inverse width to one + # # of the gradient vectors ... otherwise it is counted twice. + # g1 = real([dk_dD1 dk_dinvWidth dk_dSim1Variance]) + # g2 = real([dk_dD2 0 dk_dSim2Variance]) + # return g1, g2""" + + def dKdiag_dtheta(self,dL_dKdiag,index,target): + pass + + def dK_dX(self,dL_dK,X,X2,target): + pass + + def _extract_t_indices(self, X, X2=None, dL_dK=None): + """Extract times and output indices from the input matrix X. Times are ordered according to their index for convenience of computation, this ordering is stored in self._order and self.order2. These orderings are then mapped back to the original ordering (in X) using self._rorder and self._rorder2. """ + + # TODO: some fast checking here to see if this needs recomputing? + self._t = X[:, 0] + if not X.shape[1] == 2: + raise ValueError('Input matrix for ode1 covariance should have two columns, one containing times, the other output indices') + self._index = np.asarray(X[:, 1],dtype=np.int) + # Sort indices so that outputs are in blocks for computational + # convenience. + self._order = self._index.argsort() + self._index = self._index[self._order] + self._t = self._t[self._order] + self._rorder = self._order.argsort() # rorder is for reversing the order + + if X2 is None: + self._t2 = None + self._index2 = None + self._order2 = self._order + self._rorder2 = self._rorder + else: + if not X2.shape[1] == 2: + raise ValueError('Input matrix for ode1 covariance should have two columns, one containing times, the other output indices') + self._t2 = X2[:, 0] + self._index2 = np.asarray(X2[:, 1],dtype=np.int) + self._order2 = self._index2.argsort() + self._index2 = self._index2[self._order2] + self._t2 = self._t2[self._order2] + self._rorder2 = self._order2.argsort() # rorder2 is for reversing order + + if dL_dK is not None: + self._dL_dK = dL_dK[self._order, :] + self._dL_dK = self._dL_dK[:, self._order2] + + def _K_computations(self, X, X2): + """Perform main body of computations for the ode1 covariance function.""" + # First extract times and indices. + self._extract_t_indices(X, X2) + + self._K_compute_eq() + self._K_compute_ode_eq() + if X2 is None: + self._K_eq_ode = self._K_ode_eq.T + else: + self._K_compute_ode_eq(transpose=True) + self._K_compute_ode() + + if X2 is None: + self._K_dvar = np.zeros((self._t.shape[0], self._t.shape[0])) + else: + self._K_dvar = np.zeros((self._t.shape[0], self._t2.shape[0])) + + # Reorder values of blocks for placing back into _K_dvar. + self._K_dvar = np.vstack((np.hstack((self._K_eq, self._K_eq_ode)), + np.hstack((self._K_ode_eq, self._K_ode)))) + self._K_dvar = self._K_dvar[self._rorder, :] + self._K_dvar = self._K_dvar[:, self._rorder2] + + + if X2 is None: + # Matrix giving scales of each output + self._scale = np.zeros((self._t.size, self._t.size)) + code=""" + for(int i=0;i0] + index_ode = self._index2[self._index2>0]-1 + else: + t_eq = self._t2[self._index2==0] + t_ode = self._t[self._index>0] + index_ode = self._index[self._index>0]-1 + else: + t_eq = self._t[self._index==0] + t_ode = self._t[self._index>0] + index_ode = self._index[self._index>0]-1 + + if t_ode.size==0 or t_eq.size==0: + if transpose: + self._K_eq_ode = np.zeros((t_eq.shape[0], t_ode.shape[0])) + else: + self._K_ode_eq = np.zeros((t_ode.shape[0], t_eq.shape[0])) + return + + t_ode_mat = t_ode[:, None] + t_eq_mat = t_eq[None, :] + if self.delay is not None: + t_ode_mat -= self.delay[index_ode, None] + diff_t = (t_ode_mat - t_eq_mat) + + inv_sigma_diff_t = 1./self.sigma*diff_t + decay_vals = self.decay[index_ode][:, None] + half_sigma_d_i = 0.5*self.sigma*decay_vals + + if self.is_stationary: + ln_part, signs = ln_diff_erfs(inf, half_sigma_d_i - inv_sigma_diff_t, return_sign=True) + else: + ln_part, signs = ln_diff_erfs(half_sigma_d_i + t_eq_mat/self.sigma, half_sigma_d_i - inv_sigma_diff_t, return_sign=True) + sK = signs*np.exp(half_sigma_d_i*half_sigma_d_i - decay_vals*diff_t + ln_part) + + sK *= 0.5 + + if not self.is_normalized: + sK *= np.sqrt(np.pi)*self.sigma + + + if transpose: + self._K_eq_ode = sK.T + else: + self._K_ode_eq = sK + + def _K_compute_ode(self): + # Compute covariances between outputs of the ODE models. + + t_ode = self._t[self._index>0] + index_ode = self._index[self._index>0]-1 + if self._t2 is None: + if t_ode.size==0: + self._K_ode = np.zeros((0, 0)) + return + t2_ode = t_ode + index2_ode = index_ode + else: + t2_ode = self._t2[self._index2>0] + if t_ode.size==0 or t2_ode.size==0: + self._K_ode = np.zeros((t_ode.size, t2_ode.size)) + return + index2_ode = self._index2[self._index2>0]-1 + + # When index is identical + h = self._compute_H(t_ode, index_ode, t2_ode, index2_ode, stationary=self.is_stationary) + + if self._t2 is None: + self._K_ode = 0.5 * (h + h.T) + else: + h2 = self._compute_H(t2_ode, index2_ode, t_ode, index_ode, stationary=self.is_stationary) + self._K_ode = 0.5 * (h + h2.T) + + if not self.is_normalized: + self._K_ode *= np.sqrt(np.pi)*self.sigma + def _compute_diag_H(self, t, index, update_derivatives=False, stationary=False): + """Helper function for computing H for the diagonal only. + :param t: time input. + :type t: array + :param index: first output indices + :type index: array of int. + :param index: second output indices + :type index: array of int. + :param update_derivatives: whether or not to update the derivative portions (default False). + :type update_derivatives: bool + :param stationary: whether to compute the stationary version of the covariance (default False). + :type stationary: bool""" + + """if delta_i~=delta_j: + [h, dh_dD_i, dh_dD_j, dh_dsigma] = np.diag(simComputeH(t, index, t, index, update_derivatives=True, stationary=self.is_stationary)) + else: + Decay = self.decay[index] + if self.delay is not None: + t = t - self.delay[index] + + t_squared = t*t + half_sigma_decay = 0.5*self.sigma*Decay + [ln_part_1, sign1] = ln_diff_erfs(half_sigma_decay + t/self.sigma, + half_sigma_decay) + + [ln_part_2, sign2] = ln_diff_erfs(half_sigma_decay, + half_sigma_decay - t/self.sigma) + + h = (sign1*np.exp(half_sigma_decay*half_sigma_decay + + ln_part_1 + - log(Decay + D_j)) + - sign2*np.exp(half_sigma_decay*half_sigma_decay + - (Decay + D_j)*t + + ln_part_2 + - log(Decay + D_j))) + + sigma2 = self.sigma*self.sigma + + if update_derivatives: + + dh_dD_i = ((0.5*Decay*sigma2*(Decay + D_j)-1)*h + + t*sign2*np.exp( + half_sigma_decay*half_sigma_decay-(Decay+D_j)*t + ln_part_2 + ) + + self.sigma/np.sqrt(np.pi)* + (-1 + np.exp(-t_squared/sigma2-Decay*t) + + np.exp(-t_squared/sigma2-D_j*t) + - np.exp(-(Decay + D_j)*t))) + + dh_dD_i = (dh_dD_i/(Decay+D_j)).real + + + + dh_dD_j = (t*sign2*np.exp( + half_sigma_decay*half_sigma_decay-(Decay + D_j)*t+ln_part_2 + ) + -h) + dh_dD_j = (dh_dD_j/(Decay + D_j)).real + + dh_dsigma = 0.5*Decay*Decay*self.sigma*h \ + + 2/(np.sqrt(np.pi)*(Decay+D_j))\ + *((-Decay/2) \ + + (-t/sigma2+Decay/2)*np.exp(-t_squared/sigma2 - Decay*t) \ + - (-t/sigma2-Decay/2)*np.exp(-t_squared/sigma2 - D_j*t) \ + - Decay/2*np.exp(-(Decay+D_j)*t))""" + pass + + def _compute_H(self, t, index, t2, index2, update_derivatives=False, stationary=False): + """Helper function for computing part of the ode1 covariance function. + + :param t: first time input. + :type t: array + :param index: Indices of first output. + :type index: array of int + :param t2: second time input. + :type t2: array + :param index2: Indices of second output. + :type index2: array of int + :param update_derivatives: whether to update derivatives (default is False) + :return h : result of this subcomponent of the kernel for the given values. + :rtype: ndarray +""" + + if stationary: + raise NotImplementedError, "Error, stationary version of this covariance not yet implemented." + # Vector of decays and delays associated with each output. + Decay = self.decay[index] + Decay2 = self.decay[index2] + t_mat = t[:, None] + t2_mat = t2[None, :] + if self.delay is not None: + Delay = self.delay[index] + Delay2 = self.delay[index2] + t_mat-=Delay[:, None] + t2_mat-=Delay2[None, :] + + diff_t = (t_mat - t2_mat) + inv_sigma_diff_t = 1./self.sigma*diff_t + half_sigma_decay_i = 0.5*self.sigma*Decay[:, None] + + ln_part_1, sign1 = ln_diff_erfs(half_sigma_decay_i + t2_mat/self.sigma, + half_sigma_decay_i - inv_sigma_diff_t, + return_sign=True) + ln_part_2, sign2 = ln_diff_erfs(half_sigma_decay_i, + half_sigma_decay_i - t_mat/self.sigma, + return_sign=True) + + h = sign1*np.exp(half_sigma_decay_i + *half_sigma_decay_i + -Decay[:, None]*diff_t+ln_part_1 + -np.log(Decay[:, None] + Decay2[None, :])) + h -= sign2*np.exp(half_sigma_decay_i*half_sigma_decay_i + -Decay[:, None]*t_mat-Decay2[None, :]*t2_mat+ln_part_2 + -np.log(Decay[:, None] + Decay2[None, :])) + + if update_derivatives: + sigma2 = self.sigma*self.sigma + # Update ith decay gradient + + dh_ddecay = ((0.5*Decay[:, None]*sigma2*(Decay[:, None] + Decay2[None, :])-1)*h + + (-diff_t*sign1*np.exp( + half_sigma_decay_i*half_sigma_decay_i-Decay[:, None]*diff_t+ln_part_1 + ) + +t_mat*sign2*np.exp( + half_sigma_decay_i*half_sigma_decay_i-Decay[:, None]*t_mat + - Decay2*t2_mat+ln_part_2)) + +self.sigma/np.sqrt(np.pi)*( + -np.exp( + -diff_t*diff_t/sigma2 + )+np.exp( + -t2_mat*t2_mat/sigma2-Decay[:, None]*t_mat + )+np.exp( + -t_mat*t_mat/sigma2-Decay2[None, :]*t2_mat + )-np.exp( + -(Decay[:, None]*t_mat + Decay2[None, :]*t2_mat) + ) + )) + self._dh_ddecay = (dh_ddecay/(Decay[:, None]+Decay2[None, :])).real + + # Update jth decay gradient + dh_ddecay2 = (t2_mat*sign2 + *np.exp( + half_sigma_decay_i*half_sigma_decay_i + -(Decay[:, None]*t_mat + Decay2[None, :]*t2_mat) + +ln_part_2 + ) + -h) + self._dh_ddecay2 = (dh_ddecay/(Decay[:, None] + Decay2[None, :])).real + + # Update sigma gradient + self._dh_dsigma = (half_sigma_decay_i*Decay[:, None]*h + + 2/(np.sqrt(np.pi) + *(Decay[:, None]+Decay2[None, :])) + *((-diff_t/sigma2-Decay[:, None]/2) + *np.exp(-diff_t*diff_t/sigma2) + + (-t2_mat/sigma2+Decay[:, None]/2) + *np.exp(-t2_mat*t2_mat/sigma2-Decay[:, None]*t_mat) + - (-t_mat/sigma2-Decay[:, None]/2) + *np.exp(-t_mat*t_mat/sigma2-Decay2[None, :]*t2_mat) + - Decay[:, None]/2 + *np.exp(-(Decay[:, None]*t_mat+Decay2[None, :]*t2_mat)))) + + return h diff --git a/GPy/kern/parts/odekern1.c b/GPy/kern/parts/odekern1.c new file mode 100644 index 00000000..5aecf164 --- /dev/null +++ b/GPy/kern/parts/odekern1.c @@ -0,0 +1,38 @@ +#include + + double k_uu(t1,t2,theta1,theta2,sig1,sig2) + { + double kern=0; + double dist=0; + + dist = sqrt(t2*t2-t1*t1) + + kern = sig1*(1+theta1*dist)*exp(-theta1*dist) + + return kern; + } + + + + double k_yy(t1, t2, theta1,theta2,sig1,sig2) + { + double kern=0; + double dist=0; + + dist = sqrt(t2*t2-t1*t1) + + kern = sig1*sig2 * ( exp(-theta1*dist)*(theta2-2*theta1+theta1*theta2*dist-theta1*theta1*dist) + + exp(-dist) ) / ((theta2-theta1)*(theta2-theta1)) + + return kern; + } + + + + + + + + + + diff --git a/GPy/kern/parts/poly.py b/GPy/kern/parts/poly.py index edb7ed10..98c520f0 100644 --- a/GPy/kern/parts/poly.py +++ b/GPy/kern/parts/poly.py @@ -22,8 +22,7 @@ class POLY(Kernpart): The kernel is not recommended as it is badly behaved when the :math:`\sigma^2_w\*x'\*y + \sigma^2_b` has a magnitude greater than one. For completeness there is an automatic relevance determination version of this - kernel provided. - + kernel provided (NOTE YET IMPLEMENTED!). :param input_dim: the number of input dimensions :type input_dim: int :param variance: the variance :math:`\sigma^2` diff --git a/GPy/kern/parts/sympy_helpers.cpp b/GPy/kern/parts/sympy_helpers.cpp index 2af4737a..76dba4eb 100644 --- a/GPy/kern/parts/sympy_helpers.cpp +++ b/GPy/kern/parts/sympy_helpers.cpp @@ -1,6 +1,7 @@ #include double DiracDelta(double x){ - if((x<0.000001) & (x>-0.000001))//go on, laught at my c++ skills + // TODO: this doesn't seem to be a dirac delta ... should return infinity. Neil + if((x<0.000001) & (x>-0.000001))//go on, laugh at my c++ skills return 1.0; else return 0.0; @@ -8,3 +9,17 @@ double DiracDelta(double x){ double DiracDelta(double x,int foo){ return 0.0; }; + +double sinc(double x){ + if (x==0) + return 1.0; + else + return sin(x)/x; +} + +double sinc_grad(double x){ + if (x==0) + return 0.0; + else + return (x*cos(x) - sin(x))/(x*x); +} diff --git a/GPy/kern/parts/sympy_helpers.h b/GPy/kern/parts/sympy_helpers.h index 29244eca..d5b495ca 100644 --- a/GPy/kern/parts/sympy_helpers.h +++ b/GPy/kern/parts/sympy_helpers.h @@ -1,3 +1,6 @@ #include double DiracDelta(double x); double DiracDelta(double x, int foo); + +double sinc(double x); +double sinc_grad(double x); diff --git a/GPy/kern/parts/sympykern.py b/GPy/kern/parts/sympykern.py index def1bc5f..9755e37b 100644 --- a/GPy/kern/parts/sympykern.py +++ b/GPy/kern/parts/sympykern.py @@ -26,8 +26,11 @@ class spkern(Kernpart): - to handle multiple inputs, call them x1, z1, etc - to handle multpile correlated outputs, you'll need to define each covariance function and 'cross' variance function. TODO """ - def __init__(self,input_dim,k,param=None): - self.name='sympykern' + def __init__(self,input_dim,k,name=None,param=None): + if name is None: + self.name='sympykern' + else: + self.name = name self._sp_k = k sp_vars = [e for e in k.atoms() if e.is_Symbol] self._sp_x= sorted([e for e in sp_vars if e.name[0]=='x'],key=lambda x:int(x.name[1:])) @@ -56,9 +59,9 @@ class spkern(Kernpart): self.weave_kwargs = {\ 'support_code':self._function_code,\ - 'include_dirs':[tempfile.gettempdir(), os.path.join(current_dir,'kern/')],\ + 'include_dirs':[tempfile.gettempdir(), os.path.join(current_dir,'parts/')],\ 'headers':['"sympy_helpers.h"'],\ - 'sources':[os.path.join(current_dir,"kern/sympy_helpers.cpp")],\ + 'sources':[os.path.join(current_dir,"parts/sympy_helpers.cpp")],\ #'extra_compile_args':['-ftree-vectorize', '-mssse3', '-ftree-vectorizer-verbose=5'],\ 'extra_compile_args':[],\ 'extra_link_args':['-lgomp'],\ @@ -109,14 +112,15 @@ class spkern(Kernpart): f.write(self._function_header) f.close() - #get rid of derivatives of DiracDelta + # Substitute any known derivatives which sympy doesn't compute self._function_code = re.sub('DiracDelta\(.+?,.+?\)','0.0',self._function_code) - #Here's some code to do the looping for K - arglist = ", ".join(["X[i*input_dim+%s]"%x.name[1:] for x in self._sp_x]\ - + ["Z[j*input_dim+%s]"%z.name[1:] for z in self._sp_z]\ - + ["param[%i]"%i for i in range(self.num_params)]) + # Here's the code to do the looping for K + arglist = ", ".join(["X[i*input_dim+%s]"%x.name[1:] for x in self._sp_x] + + ["Z[j*input_dim+%s]"%z.name[1:] for z in self._sp_z] + + ["param[%i]"%i for i in range(self.num_params)]) + self._K_code =\ """ int i; @@ -133,9 +137,14 @@ class spkern(Kernpart): %s """%(arglist,"/*"+str(self._sp_k)+"*/") #adding a string representation forces recompile when needed + # Similar code when only X is provided. + self._K_code_X = self._K_code.replace('Z[', 'X[') + + + # Code to compute diagonal of covariance. diag_arglist = re.sub('Z','X',arglist) diag_arglist = re.sub('j','i',diag_arglist) - #Here's some code to do the looping for Kdiag + # Code to do the looping for Kdiag self._Kdiag_code =\ """ int i; @@ -148,8 +157,9 @@ class spkern(Kernpart): %s """%(diag_arglist,"/*"+str(self._sp_k)+"*/") #adding a string representation forces recompile when needed - #here's some code to compute gradients + # Code to compute gradients funclist = '\n'.join([' '*16 + 'target[%i] += partial[i*num_inducing+j]*dk_d%s(%s);'%(i,theta.name,arglist) for i,theta in enumerate(self._sp_theta)]) + self._dK_dtheta_code =\ """ int i; @@ -164,9 +174,12 @@ class spkern(Kernpart): } } %s - """%(funclist,"/*"+str(self._sp_k)+"*/") #adding a string representation forces recompile when needed + """%(funclist,"/*"+str(self._sp_k)+"*/") # adding a string representation forces recompile when needed - #here's some code to compute gradients for Kdiag TODO: thius is yucky. + # Similar code when only X is provided, change argument lists. + self._dK_dtheta_code_X = self._dK_dtheta_code.replace('Z[', 'X[') + + # Code to compute gradients for Kdiag TODO: needs clean up diag_funclist = re.sub('Z','X',funclist,count=0) diag_funclist = re.sub('j','i',diag_funclist) diag_funclist = re.sub('partial\[i\*num_inducing\+i\]','partial[i]',diag_funclist) @@ -181,8 +194,12 @@ class spkern(Kernpart): %s """%(diag_funclist,"/*"+str(self._sp_k)+"*/") #adding a string representation forces recompile when needed - #Here's some code to do gradients wrt x + # Code for gradients wrt X gradient_funcs = "\n".join(["target[i*input_dim+%i] += partial[i*num_inducing+j]*dk_dx%i(%s);"%(q,q,arglist) for q in range(self.input_dim)]) + if False: + gradient_funcs += """if(isnan(target[i*input_dim+2])){printf("%%f\\n",dk_dx2(X[i*input_dim+0], X[i*input_dim+1], X[i*input_dim+2], Z[j*input_dim+0], Z[j*input_dim+1], Z[j*input_dim+2], param[0], param[1], param[2], param[3], param[4], param[5]));} + if(isnan(target[i*input_dim+2])){printf("%%f,%%f,%%i,%%i\\n", X[i*input_dim+2], Z[j*input_dim+2],i,j);}""" + self._dK_dX_code = \ """ int i; @@ -192,30 +209,34 @@ class spkern(Kernpart): int input_dim = X_array->dimensions[1]; //#pragma omp parallel for private(j) for (i=0;idimensions[0]; - int num_inducing = 0; int input_dim = X_array->dimensions[1]; - for (i=0;i self.epsilon or epsilon_np2 > self.epsilon: - update_order = np.random.permutation(self.N) + update_order = np.random.permutation(self.num_data) for i in update_order: #Cavity distribution parameters self.tau_[i] = 1./Sigma[i,i] - self.eta*self.tau_tilde[i] @@ -144,13 +146,13 @@ class EP(likelihood): self.iterations += 1 #Sigma recomptutation with Cholesky decompositon Sroot_tilde_K = np.sqrt(self.tau_tilde)[:,None]*K - B = np.eye(self.N) + np.sqrt(self.tau_tilde)[None,:]*Sroot_tilde_K + B = np.eye(self.num_data) + np.sqrt(self.tau_tilde)[None,:]*Sroot_tilde_K L = jitchol(B) V,info = dtrtrs(L,Sroot_tilde_K,lower=1) Sigma = K - np.dot(V.T,V) mu = np.dot(Sigma,self.v_tilde) - epsilon_np1 = sum((self.tau_tilde-self.np1[-1])**2)/self.N - epsilon_np2 = sum((self.v_tilde-self.np2[-1])**2)/self.N + epsilon_np1 = sum((self.tau_tilde-self.np1[-1])**2)/self.num_data + epsilon_np2 = sum((self.v_tilde-self.np2[-1])**2)/self.num_data self.np1.append(self.tau_tilde.copy()) self.np2.append(self.v_tilde.copy()) @@ -165,6 +167,7 @@ class EP(likelihood): :type epsilon: float :param power_ep: Power EP parameters :type power_ep: list of floats + """ self.epsilon = epsilon self.eta, self.delta = power_ep @@ -197,7 +200,7 @@ class EP(likelihood): Sigma = Diag + P*R.T*R*P.T + K mu = w + P*Gamma """ - mu = np.zeros(self.N) + mu = np.zeros(self.num_data) LLT = Kmm.copy() Sigma_diag = Qnn_diag.copy() @@ -207,15 +210,15 @@ class EP(likelihood): sigma_ = 1./tau_ mu_ = v_/tau_ """ - self.tau_ = np.empty(self.N,dtype=float) - self.v_ = np.empty(self.N,dtype=float) + self.tau_ = np.empty(self.num_data,dtype=float) + self.v_ = np.empty(self.num_data,dtype=float) #Initial values - Marginal moments - z = np.empty(self.N,dtype=float) - self.Z_hat = np.empty(self.N,dtype=float) - phi = np.empty(self.N,dtype=float) - mu_hat = np.empty(self.N,dtype=float) - sigma2_hat = np.empty(self.N,dtype=float) + z = np.empty(self.num_data,dtype=float) + self.Z_hat = np.empty(self.num_data,dtype=float) + phi = np.empty(self.num_data,dtype=float) + mu_hat = np.empty(self.num_data,dtype=float) + sigma2_hat = np.empty(self.num_data,dtype=float) #Approximation epsilon_np1 = 1 @@ -224,7 +227,7 @@ class EP(likelihood): np1 = [self.tau_tilde.copy()] np2 = [self.v_tilde.copy()] while epsilon_np1 > self.epsilon or epsilon_np2 > self.epsilon: - update_order = np.random.permutation(self.N) + update_order = np.random.permutation(self.num_data) for i in update_order: #Cavity distribution parameters self.tau_[i] = 1./Sigma_diag[i] - self.eta*self.tau_tilde[i] @@ -253,8 +256,8 @@ class EP(likelihood): Sigma_diag = np.sum(V*V,-2) Knmv_tilde = np.dot(Kmn,self.v_tilde) mu = np.dot(V2.T,Knmv_tilde) - epsilon_np1 = sum((self.tau_tilde-np1[-1])**2)/self.N - epsilon_np2 = sum((self.v_tilde-np2[-1])**2)/self.N + epsilon_np1 = sum((self.tau_tilde-np1[-1])**2)/self.num_data + epsilon_np2 = sum((self.v_tilde-np2[-1])**2)/self.num_data np1.append(self.tau_tilde.copy()) np2.append(self.v_tilde.copy()) @@ -295,9 +298,9 @@ class EP(likelihood): Sigma = Diag + P*R.T*R*P.T + K mu = w + P*Gamma """ - self.w = np.zeros(self.N) + self.w = np.zeros(self.num_data) self.Gamma = np.zeros(num_inducing) - mu = np.zeros(self.N) + mu = np.zeros(self.num_data) P = P0.copy() R = R0.copy() Diag = Diag0.copy() @@ -310,15 +313,15 @@ class EP(likelihood): sigma_ = 1./tau_ mu_ = v_/tau_ """ - self.tau_ = np.empty(self.N,dtype=float) - self.v_ = np.empty(self.N,dtype=float) + self.tau_ = np.empty(self.num_data,dtype=float) + self.v_ = np.empty(self.num_data,dtype=float) #Initial values - Marginal moments - z = np.empty(self.N,dtype=float) - self.Z_hat = np.empty(self.N,dtype=float) - phi = np.empty(self.N,dtype=float) - mu_hat = np.empty(self.N,dtype=float) - sigma2_hat = np.empty(self.N,dtype=float) + z = np.empty(self.num_data,dtype=float) + self.Z_hat = np.empty(self.num_data,dtype=float) + phi = np.empty(self.num_data,dtype=float) + mu_hat = np.empty(self.num_data,dtype=float) + sigma2_hat = np.empty(self.num_data,dtype=float) #Approximation epsilon_np1 = 1 @@ -327,7 +330,7 @@ class EP(likelihood): self.np1 = [self.tau_tilde.copy()] self.np2 = [self.v_tilde.copy()] while epsilon_np1 > self.epsilon or epsilon_np2 > self.epsilon: - update_order = np.random.permutation(self.N) + update_order = np.random.permutation(self.num_data) for i in update_order: #Cavity distribution parameters self.tau_[i] = 1./Sigma_diag[i] - self.eta*self.tau_tilde[i] @@ -366,8 +369,8 @@ class EP(likelihood): self.w = Diag * self.v_tilde self.Gamma = np.dot(R.T, np.dot(RPT,self.v_tilde)) mu = self.w + np.dot(P,self.Gamma) - epsilon_np1 = sum((self.tau_tilde-self.np1[-1])**2)/self.N - epsilon_np2 = sum((self.v_tilde-self.np2[-1])**2)/self.N + epsilon_np1 = sum((self.tau_tilde-self.np1[-1])**2)/self.num_data + epsilon_np2 = sum((self.v_tilde-self.np2[-1])**2)/self.num_data self.np1.append(self.tau_tilde.copy()) self.np2.append(self.v_tilde.copy()) diff --git a/GPy/likelihoods/likelihood.py b/GPy/likelihoods/likelihood.py index cda62bfc..ca187305 100644 --- a/GPy/likelihoods/likelihood.py +++ b/GPy/likelihoods/likelihood.py @@ -10,14 +10,16 @@ class likelihood(Parameterized): (Gaussian) inherits directly from this, as does the EP algorithm Some things must be defined for this to work properly: - self.Y : the effective Gaussian target of the GP - self.N, self.D : Y.shape - self.covariance_matrix : the effective (noise) covariance of the GP targets - self.Z : a factor which gets added to the likelihood (0 for a Gaussian, Z_EP for EP) - self.is_heteroscedastic : enables significant computational savings in GP - self.precision : a scalar or vector representation of the effective target precision - self.YYT : (optional) = np.dot(self.Y, self.Y.T) enables computational savings for D>N - self.V : self.precision * self.Y + + - self.Y : the effective Gaussian target of the GP + - self.N, self.D : Y.shape + - self.covariance_matrix : the effective (noise) covariance of the GP targets + - self.Z : a factor which gets added to the likelihood (0 for a Gaussian, Z_EP for EP) + - self.is_heteroscedastic : enables significant computational savings in GP + - self.precision : a scalar or vector representation of the effective target precision + - self.YYT : (optional) = np.dot(self.Y, self.Y.T) enables computational savings for D>N + - self.V : self.precision * self.Y + """ def __init__(self): Parameterized.__init__(self) diff --git a/GPy/models/bayesian_gplvm.py b/GPy/models/bayesian_gplvm.py index e094d915..d4d29711 100644 --- a/GPy/models/bayesian_gplvm.py +++ b/GPy/models/bayesian_gplvm.py @@ -245,12 +245,13 @@ class BayesianGPLVM(SparseGP, GPLVM): """ Plot latent space X in 1D: - -if fig is given, create input_dim subplots in fig and plot in these - -if ax is given plot input_dim 1D latent space plots of X into each `axis` - -if neither fig nor ax is given create a figure with fignum and plot in there + - if fig is given, create input_dim subplots in fig and plot in these + - if ax is given plot input_dim 1D latent space plots of X into each `axis` + - if neither fig nor ax is given create a figure with fignum and plot in there colors: colors of different latent space dimensions input_dim + """ import pylab if ax is None: diff --git a/GPy/models/gp_multioutput_regression.py b/GPy/models/gp_multioutput_regression.py index 20d839ce..4ce3dfbc 100644 --- a/GPy/models/gp_multioutput_regression.py +++ b/GPy/models/gp_multioutput_regression.py @@ -25,14 +25,14 @@ class GPMultioutputRegression(GP): :type normalize_X: False|True :param normalize_Y: whether to normalize the input data before computing (predictions will be in original scales) :type normalize_Y: False|True - :param W_columns: number tuples of the corregionalization parameters 'coregion_W' (see coregionalize kernel documentation) - :type W_columns: integer + :param rank: number tuples of the corregionalization parameters 'coregion_W' (see coregionalize kernel documentation) + :type rank: integer """ - def __init__(self,X_list,Y_list,kernel_list=None,noise_variance_list=None,normalize_X=False,normalize_Y=False,W_columns=1): + def __init__(self,X_list,Y_list,kernel_list=None,noise_variance_list=None,normalize_X=False,normalize_Y=False,rank=1): - self.num_outputs = len(Y_list) - assert len(X_list) == self.num_outputs, 'Number of outputs do not match length of inputs list.' + self.output_dim = len(Y_list) + assert len(X_list) == self.output_dim, 'Number of outputs do not match length of inputs list.' #Inputs indexing i = 0 @@ -51,7 +51,7 @@ class GPMultioutputRegression(GP): #Coregionalization kernel definition if kernel_list is None: kernel_list = [kern.rbf(original_dim)] - mkernel = kern.build_lcm(input_dim=original_dim, num_outputs=self.num_outputs, kernel_list = kernel_list, W_columns=W_columns) + mkernel = kern.build_lcm(input_dim=original_dim, output_dim=self.output_dim, kernel_list = kernel_list, rank=rank) self.multioutput = True GP.__init__(self, X, likelihood, mkernel, normalize_X=normalize_X) diff --git a/GPy/models/sparse_gp_multioutput_regression.py b/GPy/models/sparse_gp_multioutput_regression.py index 041204b6..d809610b 100644 --- a/GPy/models/sparse_gp_multioutput_regression.py +++ b/GPy/models/sparse_gp_multioutput_regression.py @@ -30,23 +30,23 @@ class SparseGPMultioutputRegression(SparseGP): :type Z_list: list of numpy arrays (num_inducing_output_i x input_dim), one array per output | empty list :param num_inducing: number of inducing inputs per output, defaults to 10 (ignored if Z_list is not empty) :type num_inducing: integer - :param W_columns: number tuples of the corregionalization parameters 'coregion_W' (see coregionalize kernel documentation) - :type W_columns: integer + :param rank: number tuples of the corregionalization parameters 'coregion_W' (see coregionalize kernel documentation) + :type rank: integer """ #NOTE not tested with uncertain inputs - def __init__(self,X_list,Y_list,kernel_list=None,noise_variance_list=None,normalize_X=False,normalize_Y=False,Z_list=[],num_inducing=10,W_columns=1): + def __init__(self,X_list,Y_list,kernel_list=None,noise_variance_list=None,normalize_X=False,normalize_Y=False,Z_list=[],num_inducing=10,rank=1): - self.num_outputs = len(Y_list) - assert len(X_list) == self.num_outputs, 'Number of outputs do not match length of inputs list.' + self.output_dim = len(Y_list) + assert len(X_list) == self.output_dim, 'Number of outputs do not match length of inputs list.' #Inducing inputs list if len(Z_list): - assert len(Z_list) == self.num_outputs, 'Number of outputs do not match length of inducing inputs list.' + assert len(Z_list) == self.output_dim, 'Number of outputs do not match length of inducing inputs list.' else: if isinstance(num_inducing,np.int): - num_inducing = [num_inducing] * self.num_outputs + num_inducing = [num_inducing] * self.output_dim num_inducing = np.asarray(num_inducing) - assert num_inducing.size == self.num_outputs, 'Number of outputs do not match length of inducing inputs list.' + assert num_inducing.size == self.output_dim, 'Number of outputs do not match length of inducing inputs list.' for ni,X in zip(num_inducing,X_list): i = np.random.permutation(X.shape[0])[:ni] Z_list.append(X[i].copy()) @@ -72,7 +72,7 @@ class SparseGPMultioutputRegression(SparseGP): #Coregionalization kernel definition if kernel_list is None: kernel_list = [kern.rbf(original_dim)] - mkernel = kern.build_lcm(input_dim=original_dim, num_outputs=self.num_outputs, kernel_list = kernel_list, W_columns=W_columns) + mkernel = kern.build_lcm(input_dim=original_dim, output_dim=self.output_dim, kernel_list = kernel_list, rank=rank) self.multioutput = True SparseGP.__init__(self, X, likelihood, mkernel, Z=Z, normalize_X=normalize_X) diff --git a/GPy/testing/bcgplvm_tests.py b/GPy/testing/bcgplvm_tests.py new file mode 100644 index 00000000..94282a0b --- /dev/null +++ b/GPy/testing/bcgplvm_tests.py @@ -0,0 +1,50 @@ +# Copyright (c) 2013, GPy authors (see AUTHORS.txt) +# Licensed under the BSD 3-clause license (see LICENSE.txt) + +import unittest +import numpy as np +import GPy + +class BCGPLVMTests(unittest.TestCase): + def test_kernel_backconstraint(self): + num_data, num_inducing, input_dim, output_dim = 10, 3, 2, 4 + X = np.random.rand(num_data, input_dim) + k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) + K = k.K(X) + Y = np.random.multivariate_normal(np.zeros(num_data),K,output_dim).T + k = GPy.kern.mlp(input_dim) + GPy.kern.bias(input_dim) + bk = GPy.kern.rbf(output_dim) + mapping = GPy.mappings.Kernel(output_dim=input_dim, X=Y, kernel=bk) + m = GPy.models.BCGPLVM(Y, input_dim, kernel = k, mapping=mapping) + m.randomize() + self.assertTrue(m.checkgrad()) + + def test_linear_backconstraint(self): + num_data, num_inducing, input_dim, output_dim = 10, 3, 2, 4 + X = np.random.rand(num_data, input_dim) + k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) + K = k.K(X) + Y = np.random.multivariate_normal(np.zeros(num_data),K,output_dim).T + k = GPy.kern.mlp(input_dim) + GPy.kern.bias(input_dim) + bk = GPy.kern.rbf(output_dim) + mapping = GPy.mappings.Linear(output_dim=input_dim, input_dim=output_dim) + m = GPy.models.BCGPLVM(Y, input_dim, kernel = k, mapping=mapping) + m.randomize() + self.assertTrue(m.checkgrad()) + + def test_mlp_backconstraint(self): + num_data, num_inducing, input_dim, output_dim = 10, 3, 2, 4 + X = np.random.rand(num_data, input_dim) + k = GPy.kern.rbf(input_dim) + GPy.kern.white(input_dim, 0.00001) + K = k.K(X) + Y = np.random.multivariate_normal(np.zeros(num_data),K,output_dim).T + k = GPy.kern.mlp(input_dim) + GPy.kern.bias(input_dim) + bk = GPy.kern.rbf(output_dim) + mapping = GPy.mappings.MLP(output_dim=input_dim, input_dim=output_dim, hidden_dim=[5, 4, 7]) + m = GPy.models.BCGPLVM(Y, input_dim, kernel = k, mapping=mapping) + m.randomize() + self.assertTrue(m.checkgrad()) + +if __name__ == "__main__": + print "Running unit tests, please be (very) patient..." + unittest.main() diff --git a/GPy/testing/bgplvm_tests.py b/GPy/testing/bgplvm_tests.py index 6b91d999..a8777e11 100644 --- a/GPy/testing/bgplvm_tests.py +++ b/GPy/testing/bgplvm_tests.py @@ -55,7 +55,18 @@ class BGPLVMTests(unittest.TestCase): m.randomize() self.assertTrue(m.checkgrad()) - #@unittest.skip('psi2 cross terms are NotImplemented for this combination') + def test_rbf_line_kern(self): + N, num_inducing, input_dim, D = 10, 3, 2, 4 + X = np.random.rand(N, input_dim) + k = GPy.kern.rbf(input_dim) + GPy.kern.linear(input_dim) + GPy.kern.white(input_dim, 0.00001) + K = k.K(X) + Y = np.random.multivariate_normal(np.zeros(N),K,input_dim).T + Y -= Y.mean(axis=0) + k = GPy.kern.rbf(input_dim) + GPy.kern.bias(input_dim) + GPy.kern.white(input_dim, 0.00001) + m = BayesianGPLVM(Y, input_dim, kernel=k, num_inducing=num_inducing) + m.randomize() + self.assertTrue(m.checkgrad()) + def test_linear_bias_kern(self): N, num_inducing, input_dim, D = 30, 5, 4, 30 X = np.random.rand(N, input_dim) diff --git a/GPy/testing/kernel_tests.py b/GPy/testing/kernel_tests.py index e67649f4..87d4a20e 100644 --- a/GPy/testing/kernel_tests.py +++ b/GPy/testing/kernel_tests.py @@ -21,6 +21,10 @@ class KernelTests(unittest.TestCase): kern = GPy.kern.rbf(5) self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) + def test_rbf_sympykernel(self): + kern = GPy.kern.rbf_sympy(5) + self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) + def test_rbf_invkernel(self): kern = GPy.kern.rbf_inv(5) self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) @@ -79,19 +83,19 @@ class KernelTests(unittest.TestCase): kern = GPy.kern.poly(5, degree=4) self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) - def test_coregionalization(self): - X1 = np.random.rand(50,1)*8 - X2 = np.random.rand(30,1)*5 - index = np.vstack((np.zeros_like(X1),np.ones_like(X2))) - X = np.hstack((np.vstack((X1,X2)),index)) - Y1 = np.sin(X1) + np.random.randn(*X1.shape)*0.05 - Y2 = np.sin(X2) + np.random.randn(*X2.shape)*0.05 + 2. - Y = np.vstack((Y1,Y2)) + # def test_coregionalization(self): + # X1 = np.random.rand(50,1)*8 + # X2 = np.random.rand(30,1)*5 + # index = np.vstack((np.zeros_like(X1),np.ones_like(X2))) + # X = np.hstack((np.vstack((X1,X2)),index)) + # Y1 = np.sin(X1) + np.random.randn(*X1.shape)*0.05 + # Y2 = np.sin(X2) + np.random.randn(*X2.shape)*0.05 + 2. + # Y = np.vstack((Y1,Y2)) - k1 = GPy.kern.rbf(1) + GPy.kern.bias(1) - k2 = GPy.kern.coregionalize(2,1) - kern = k1**k2 - self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) + # k1 = GPy.kern.rbf(1) + GPy.kern.bias(1) + # k2 = GPy.kern.coregionalize(2,1) + # kern = k1**k2 + # self.assertTrue(GPy.kern.kern_test(kern, verbose=verbose)) if __name__ == "__main__": diff --git a/GPy/util/datasets.py b/GPy/util/datasets.py index 8afd1470..79bc3fc3 100644 --- a/GPy/util/datasets.py +++ b/GPy/util/datasets.py @@ -7,9 +7,21 @@ import urllib as url import zipfile import tarfile import datetime - + +ipython_notebook = False +if ipython_notebook: + import IPython.core.display + def ipynb_input(varname, prompt=''): + """Prompt user for input and assign string val to given variable name.""" + js_code = (""" + var value = prompt("{prompt}",""); + var py_code = "{varname} = '" + value + "'"; + IPython.notebook.kernel.execute(py_code); + """).format(prompt=prompt, varname=varname) + return IPython.core.display.Javascript(js_code) import sys, urllib + def reporthook(a,b,c): # ',' at the end of the line is important! #print "% 3.1f%% of %d bytes\r" % (min(100, float(a * b) / c * 100), c), @@ -130,14 +142,18 @@ The database was created with funding from NSF EIA-0196217.""", 'license' : None, 'size' : 24229368}, } - + + def prompt_user(): """Ask user for agreeing to data set licenses.""" # raw_input returns the empty string for "enter" yes = set(['yes', 'y']) no = set(['no','n']) - - choice = raw_input().lower() + choice = '' + if ipython_notebook: + ipynb_input(choice, prompt='provide your answer here') + else: + choice = raw_input().lower() if choice in yes: return True elif choice in no: @@ -146,6 +162,7 @@ def prompt_user(): sys.stdout.write("Please respond with 'yes', 'y' or 'no', 'n'") return prompt_user() + def data_available(dataset_name=None): """Check if the data set is available on the local machine already.""" for file_list in data_resources[dataset_name]['files']: @@ -524,11 +541,14 @@ def simulation_BGPLVM(): 'info': "Simulated test dataset generated in MATLAB to compare BGPLVM between python and MATLAB"} def toy_rbf_1d(seed=default_seed, num_samples=500): - """Samples values of a function from an RBF covariance with very small noise for inputs uniformly distributed between -1 and 1. + """ + Samples values of a function from an RBF covariance with very small noise for inputs uniformly distributed between -1 and 1. + :param seed: seed to use for random sampling. :type seed: int :param num_samples: number of samples to sample in the function (default 500). :type num_samples: int + """ np.random.seed(seed=seed) num_in = 1 @@ -631,11 +651,15 @@ def olympic_marathon_men(data_set='olympic_marathon_men'): def crescent_data(num_data=200, seed=default_seed): - """Data set formed from a mixture of four Gaussians. In each class two of the Gaussians are elongated at right angles to each other and offset to form an approximation to the crescent data that is popular in semi-supervised learning as a toy problem. + """ +Data set formed from a mixture of four Gaussians. In each class two of the Gaussians are elongated at right angles to each other and offset to form an approximation to the crescent data that is popular in semi-supervised learning as a toy problem. + :param num_data_part: number of data to be sampled (default is 200). :type num_data: int :param seed: random seed to be used for data generation. - :type seed: int""" + :type seed: int + + """ np.random.seed(seed=seed) sqrt2 = np.sqrt(2) # Rotation matrix diff --git a/GPy/util/erfcx.py b/GPy/util/erfcx.py new file mode 100644 index 00000000..f42e49f3 --- /dev/null +++ b/GPy/util/erfcx.py @@ -0,0 +1,63 @@ +## Copyright (C) 2010 Soren Hauberg +## +## Copyright James Hensman 2011 +## +## This program is free software; you can redistribute it and/or modify it +## under the terms of the GNU General Public License as published by +## the Free Software Foundation; either version 3 of the License, or (at +## your option) any later version. +## +## This program is distributed in the hope that it will be useful, but +## WITHOUT ANY WARRANTY; without even the implied warranty of +## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU +## General Public License for more details. +## +## You should have received a copy of the GNU General Public License +## along with this program; see the file COPYING. If not, see +## . + +import numpy as np + +def erfcx (arg): + arg = np.atleast_1d(arg) + assert(np.all(np.isreal(arg)),"erfcx: input must be real") + + ## Get precision dependent thresholds -- or not :p + xneg = -26.628; + xmax = 2.53e+307; + + ## Allocate output + result = np.zeros (arg.shape) + + ## Find values where erfcx can be evaluated + idx_neg = (arg < xneg); + idx_max = (arg > xmax); + idx = ~(idx_neg | idx_max); + + arg = arg [idx]; + + ## Perform the actual computation + t = 3.97886080735226 / (np.abs (arg) + 3.97886080735226); + u = t - 0.5; + y = (((((((((u * 0.00127109764952614092 + 1.19314022838340944e-4) * u \ + - 0.003963850973605135) * u - 8.70779635317295828e-4) * u + \ + 0.00773672528313526668) * u + 0.00383335126264887303) * u - \ + 0.0127223813782122755) * u - 0.0133823644533460069) * u + \ + 0.0161315329733252248) * u + 0.0390976845588484035) * u + \ + 0.00249367200053503304; + y = ((((((((((((y * u - 0.0838864557023001992) * u - \ + 0.119463959964325415) * u + 0.0166207924969367356) * u + \ + 0.357524274449531043) * u + 0.805276408752910567) * u + \ + 1.18902982909273333) * u + 1.37040217682338167) * u + \ + 1.31314653831023098) * u + 1.07925515155856677) * u + \ + 0.774368199119538609) * u + 0.490165080585318424) * u + \ + 0.275374741597376782) * t; + + y [arg < 0] = 2 * np.exp (arg [arg < 0]**2) - y [arg < 0]; + + ## Put the results back into something with the same size is the original input + result [idx] = y; + result [idx_neg] = np.inf; + ## result (idx_max) = 0; # not needed as we initialise with zeros + return(result) + diff --git a/GPy/util/linalg.py b/GPy/util/linalg.py index 3415c198..4e7f7fff 100644 --- a/GPy/util/linalg.py +++ b/GPy/util/linalg.py @@ -123,7 +123,7 @@ def jitchol(A, maxtries=5): def jitchol_old(A, maxtries=5): """ - :param A : An almost pd square matrix + :param A: An almost pd square matrix :rval L: the Cholesky decomposition of A diff --git a/GPy/util/ln_diff_erfs.py b/GPy/util/ln_diff_erfs.py new file mode 100644 index 00000000..bb9cfe03 --- /dev/null +++ b/GPy/util/ln_diff_erfs.py @@ -0,0 +1,110 @@ +# Copyright (c) 2013, GPy authors (see AUTHORS.txt). +# Licensed under the BSD 3-clause license (see LICENSE.txt) + +#Only works for scipy 0.12+ +try: + from scipy.special import erfcx, erf +except ImportError: + from scipy.special import erf + from erfcx import erfcx + +import numpy as np + +def ln_diff_erfs(x1, x2, return_sign=False): + """Function for stably computing the log of difference of two erfs in a numerically stable manner. + :param x1 : argument of the positive erf + :type x1: ndarray + :param x2 : argument of the negative erf + :type x2: ndarray + :return: tuple containing (log(abs(erf(x1) - erf(x2))), sign(erf(x1) - erf(x2))) + + Based on MATLAB code that was written by Antti Honkela and modified by David Luengo and originally derived from code by Neil Lawrence. + """ + x1 = np.require(x1).real + x2 = np.require(x2).real + if x1.size==1: + x1 = np.reshape(x1, (1, 1)) + if x2.size==1: + x2 = np.reshape(x2, (1, 1)) + + if x1.shape==x2.shape: + v = np.zeros_like(x1) + else: + if x1.size==1: + v = np.zeros(x2.shape) + elif x2.size==1: + v = np.zeros(x1.shape) + else: + raise ValueError, "This function does not broadcast unless provided with a scalar." + + if x1.size == 1: + x1 = np.tile(x1, x2.shape) + + if x2.size == 1: + x2 = np.tile(x2, x1.shape) + + sign = np.sign(x1 - x2) + if x1.size == 1: + if sign== -1: + swap = x1 + x1 = x2 + x2 = swap + else: + I = sign == -1 + swap = x1[I] + x1[I] = x2[I] + x2[I] = swap + + with np.errstate(divide='ignore'): + # switch off log of zero warnings. + + # Case 0: arguments of different sign, no problems with loss of accuracy + I0 = np.logical_or(np.logical_and(x1>0, x2<0), np.logical_and(x2>0, x1<0)) # I1=(x1*x2)<0 + + # Case 1: x1 = x2 so we have log of zero. + I1 = (x1 == x2) + + # Case 2: Both arguments are non-negative + I2 = np.logical_and(x1 > 0, np.logical_and(np.logical_not(I0), + np.logical_not(I1))) + # Case 3: Both arguments are non-positive + I3 = np.logical_and(np.logical_and(np.logical_not(I0), + np.logical_not(I1)), + np.logical_not(I2)) + _x2 = x2.flatten() + _x1 = x1.flatten() + for group, flags in zip((0, 1, 2, 3), (I0, I1, I2, I3)): + + if np.any(flags): + if not x1.size==1: + _x1 = x1[flags] + if not x2.size==1: + _x2 = x2[flags] + if group==0: + v[flags] = np.log( erf(_x1) - erf(_x2) ) + elif group==1: + v[flags] = -np.inf + elif group==2: + v[flags] = np.log(erfcx(_x2) + -erfcx(_x1)*np.exp(_x2**2 + -_x1**2)) - _x2**2 + elif group==3: + v[flags] = np.log(erfcx(-_x1) + -erfcx(-_x2)*np.exp(_x1**2 + -_x2**2))-_x1**2 + + # TODO: switch back on log of zero warnings. + + if return_sign: + return v, sign + else: + if v.size==1: + if sign==-1: + v = v.view('complex64') + v += np.pi*1j + else: + # Need to add in a complex part because argument is negative. + v = v.view('complex64') + v[I] += np.pi*1j + + return v diff --git a/GPy/util/misc.py b/GPy/util/misc.py index 29d69848..72edf99f 100644 --- a/GPy/util/misc.py +++ b/GPy/util/misc.py @@ -17,12 +17,9 @@ def linear_grid(D, n = 100, min_max = (-100, 100)): """ Creates a D-dimensional grid of n linearly spaced points - Parameters: - - D: dimension of the grid - n: number of points - min_max: (min, max) list - + :param D: dimension of the grid + :param n: number of points + :param min_max: (min, max) list """ @@ -39,6 +36,7 @@ def kmm_init(X, m = 10): :param X: data :param m: number of inducing points + """ # compute the distances diff --git a/GPy/util/mocap.py b/GPy/util/mocap.py index 1446512d..78f00955 100644 --- a/GPy/util/mocap.py +++ b/GPy/util/mocap.py @@ -120,13 +120,14 @@ class tree: def rotation_matrix(xangle, yangle, zangle, order='zxy', degrees=False): """ + Compute the rotation matrix for an angle in each direction. This is a helper function for computing the rotation matrix for a given set of angles in a given order. - :param xangle: rotation for x-axis. - :param yangle: rotation for y-axis. - :param zangle: rotation for z-axis. - :param order: the order for the rotations. + :param xangle: rotation for x-axis. + :param yangle: rotation for y-axis. + :param zangle: rotation for z-axis. + :param order: the order for the rotations. """ if degrees: @@ -309,10 +310,8 @@ class acclaim_skeleton(skeleton): """ Loads an ASF file into a skeleton structure. - loads skeleton structure from an acclaim skeleton file. - :param file_name: the file name to load in. - :rval skel: the skeleton for the file. - TODO isn't returning this? + :param file_name: The file name to load in. """ diff --git a/GPy/util/symbolic.py b/GPy/util/symbolic.py new file mode 100644 index 00000000..f4f5fda0 --- /dev/null +++ b/GPy/util/symbolic.py @@ -0,0 +1,32 @@ +from sympy import Function, S, oo, I, cos, sin + + +class sinc_grad(Function): + nargs = 1 + + def fdiff(self, argindex=1): + return ((2-x*x)*sin(self.args[0]) - 2*x*cos(x))/(x*x*x) + + @classmethod + def eval(cls, x): + if x is S.Zero: + return S.Zero + else: + return (x*cos(x) - sin(x))/(x*x) + +class sinc(Function): + + nargs = 1 + + def fdiff(self, argindex=1): + return sinc_grad(self.args[0]) + + @classmethod + def eval(cls, x): + if x is S.Zero: + return S.One + else: + return sin(x)/x + + def _eval_is_real(self): + return self.args[0].is_real diff --git a/GPy/util/visualize.py b/GPy/util/visualize.py index 4c3dbe2b..7a519555 100644 --- a/GPy/util/visualize.py +++ b/GPy/util/visualize.py @@ -502,11 +502,14 @@ def data_play(Y, visualizer, frame_rate=30): This example loads in the CMU mocap database (http://mocap.cs.cmu.edu) subject number 35 motion number 01. It then plays it using the mocap_show visualize object. - data = GPy.util.datasets.cmu_mocap(subject='35', train_motions=['01']) - Y = data['Y'] - Y[:, 0:3] = 0. # Make figure walk in place - visualize = GPy.util.visualize.skeleton_show(Y[0, :], data['skel']) - GPy.util.visualize.data_play(Y, visualize) + .. code-block:: python + + data = GPy.util.datasets.cmu_mocap(subject='35', train_motions=['01']) + Y = data['Y'] + Y[:, 0:3] = 0. # Make figure walk in place + visualize = GPy.util.visualize.skeleton_show(Y[0, :], data['skel']) + GPy.util.visualize.data_play(Y, visualize) + """ diff --git a/GPy/util/warping_functions.py b/GPy/util/warping_functions.py index f36805a9..e05f39af 100644 --- a/GPy/util/warping_functions.py +++ b/GPy/util/warping_functions.py @@ -53,9 +53,11 @@ class TanhWarpingFunction(WarpingFunction): self.num_parameters = 3 * self.n_terms def f(self,y,psi): - """transform y with f using parameter vector psi + """ + transform y with f using parameter vector psi psi = [[a,b,c]] - f = \sum_{terms} a * tanh(b*(y+c)) + ::math::`f = \\sum_{terms} a * tanh(b*(y+c))` + """ #1. check that number of params is consistent @@ -77,8 +79,7 @@ class TanhWarpingFunction(WarpingFunction): """ calculate the numerical inverse of f - == input == - iterations: number of N.R. iterations + :param iterations: number of N.R. iterations """ @@ -165,9 +166,11 @@ class TanhWarpingFunction_d(WarpingFunction): self.num_parameters = 3 * self.n_terms + 1 def f(self,y,psi): - """transform y with f using parameter vector psi + """ + Transform y with f using parameter vector psi psi = [[a,b,c]] - f = \sum_{terms} a * tanh(b*(y+c)) + + :math:`f = \\sum_{terms} a * tanh(b*(y+c))` """ #1. check that number of params is consistent @@ -189,8 +192,7 @@ class TanhWarpingFunction_d(WarpingFunction): """ calculate the numerical inverse of f - == input == - iterations: number of N.R. iterations + :param max_iterations: maximum number of N.R. iterations """ @@ -214,12 +216,13 @@ class TanhWarpingFunction_d(WarpingFunction): def fgrad_y(self, y, psi, return_precalc = False): """ gradient of f w.r.t to y ([N x 1]) - returns: Nx1 vector of derivatives, unless return_precalc is true, - then it also returns the precomputed stuff + + :returns: Nx1 vector of derivatives, unless return_precalc is true, then it also returns the precomputed stuff + """ - mpsi = psi.copy() + mpsi = psi.coSpy() d = psi[-1] mpsi = mpsi[:self.num_parameters-1].reshape(self.n_terms, 3) @@ -242,7 +245,7 @@ class TanhWarpingFunction_d(WarpingFunction): """ gradient of f w.r.t to y and psi - returns: NxIx4 tensor of partial derivatives + :returns: NxIx4 tensor of partial derivatives """ diff --git a/doc/tuto_interacting_with_models.rst b/doc/tuto_interacting_with_models.rst index 342fb24f..5bd0511e 100644 --- a/doc/tuto_interacting_with_models.rst +++ b/doc/tuto_interacting_with_models.rst @@ -20,7 +20,7 @@ All of the examples included in GPy return an instance of a model class, and therefore they can be called in the following way: :: - import numpy as np + import numpy as np import pylab as pb pb.ion() import GPy