Added automatic computation of dKdiag_dtheta in kernpart.py using dK_dtheta.

GPy/kern/parts/kernpart.py

@@ -29,7 +29,11 @@ class Kernpart(object):
     def dK_dtheta(self,dL_dK,X,X2,target):
         raise NotImplementedError
     def dKdiag_dtheta(self,dL_dKdiag,X,target):
-        raise NotImplementedError
+        # In the base case compute this by calling dK_dtheta. Need to
+        # override for stationary covariances (for example) to save
+        # time.
+        for i in range(X.shape[0]):
+            self.dK_dtheta(dL_dKdiag[i], X[i, :][None, :], X2=None, target=target)
     def psi0(self,Z,mu,S,target):
         raise NotImplementedError
     def dpsi0_dtheta(self,dL_dpsi0,Z,mu,S,target):

GPy/kern/parts/mlp.py

@@ -96,34 +96,39 @@ class MLP(Kernpart):
             vec2 = (X2*X2).sum(1)
             target[1] += ((self._K_inner_prod/self._K_denom 
                            -.5*self._K_numer/denom3
-                           *(np.outer((self.weight_variance*vec1+self.bias_variance+1.), vec2) + np.outer(vec1, self.weight_variance*vec2 + self.bias_variance_1.)))*base_cov_grad).sum()
+                           *(np.outer((self.weight_variance*vec1+self.bias_variance+1.), vec2) + np.outer(vec1, self.weight_variance*vec2 + self.bias_variance+1.)))*base_cov_grad).sum()
             target[2] += ((1./self._K_denom 
                            -.5*self._K_numer/denom3 
-                           *((vec1[None, :]+vec2[:, None])*self.weight_variance
+                           *((vec1[:, None]+vec2[None, :])*self.weight_variance
                              + 2*self.bias_variance + 2.))*base_cov_grad).sum()
             
         target[0] += np.sum(self._K_dvar*dL_dK)
 
+
     def dK_dX(self, dL_dK, X, X2, target):
         """Derivative of the covariance matrix with respect to X"""
         self._K_computations(X, X2)
         gX = np.zeros((X2.shape[0], X.shape[1], X.shape[0]))
         
         for i in range(X.shape[0]):
-            gX[:, :, i] = self._dK_dX_point(X[i, :], X2)
-    
-    def _dK_dX_point(self, x, X2):
+            gX[:, :, i] = self._dK_dX_point(X, X2, i)
+            
+            
+    def _dK_dX_point(self, X, X2, i):
         """Gradient with respect to one point of X"""
-        inner_prod = np.dot(X2,x.T)
-        numer = inner_prod*self.weight_variance + self.bias_variance
-        vec1 = (x*x).sum(1)*self.weight_variance + self.bias_variance + 1.
+        
+        inner_prod = self._K_inner_prod[i, :].T
+        numer = self._K_numer[i, :].T
+        denom = self._K_denom[i, :].T
+        arg = self._K_asin_arg[i, :].T
+        vec1 = (X[i, :]*X[i, :]).sum()*self.weight_variance + self.bias_variance + 1.
         vec2 = (X2*X2).sum(1)*self.weight_variance + self.bias_variance + 1.
-        denom = np.sqrt(np.outer(vec2,vec1))
-        arg = numer/denom
+        #denom = np.sqrt(np.outer(vec2,vec1))
+        #arg = numer/denom
         gX = np.zeros(X2.shape)
         denom3 = denom*denom*denom
         for j in range(X2.shape[1]):
-            gX[:, j]=X2[:, j]/denom - vec2*x[:, j]*numer/denom3
+            gX[:, j]=X2[:, j]/denom - vec2*X[i, j]*numer/denom3
             gX[:, j] = four_over_tau*self.weight_variance*self.variance*gX[:, j]/np.sqrt(1-arg*arg)
 
     

GPy/util/datasets.py

@@ -203,17 +203,22 @@ def swiss_roll(N=3000):
     Y = mat_data['X_data'][:, 0:N].transpose()
     return {'Y': Y, 'X': mat_data['X_data'], 'info': "The first 3,000 points from the swiss roll data of Tennenbaum, de Silva and Langford (2001)."}
 
-def toy_rbf_1d(seed=default_seed):
+def toy_rbf_1d(seed=default_seed, num_samples=500):
+    """Samples 500 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)
-    numIn = 1
-    N = 500
-    X = np.random.uniform(low= -1.0, high=1.0, size=(N, numIn))
+    num_in = 1
+    X = np.random.uniform(low= -1.0, high=1.0, size=(num_samples, num_in))
     X.sort(axis=0)
-    rbf = GPy.kern.rbf(numIn, variance=1., lengthscale=np.array((0.25,)))
-    white = GPy.kern.white(numIn, variance=1e-2)
+    rbf = GPy.kern.rbf(num_in, variance=1., lengthscale=np.array((0.25,)))
+    white = GPy.kern.white(num_in, variance=1e-2)
     kernel = rbf + white
     K = kernel.K(X)
-    y = np.reshape(np.random.multivariate_normal(np.zeros(N), K), (N, 1))
+    y = np.reshape(np.random.multivariate_normal(np.zeros(num_samples), K), (num_samples, 1))
     return {'X':X, 'Y':y, 'info': "Samples 500 values of a function from an RBF covariance with very small noise for inputs uniformly distributed between -1 and 1."}
 
 def toy_rbf_1d_50(seed=default_seed):