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merge by running cython

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James Hensman 2015-04-29 14:30:51 +01:00
commit a772a6120a
3 changed files with 856 additions and 228 deletions
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19
GPy/util/choleskies_cython.pyx
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@ -1,10 +1,11 @@
# Copyright James Hensman and Alan Saul 2015
#cython: wraparaound(False)
#cython: boundscheck(False)
#cython: nonecheck(False)
import numpy as np
cimport numpy as np
from . import linalg
def flat_to_triang(np.ndarray[double, ndim=2] flat, int M):
"""take a matrix N x D and return a M X M x D array where
@ -39,3 +40,17 @@ def triang_to_flat(np.ndarray[double, ndim=3] L):
return flat
def backprop_gradient(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L):
cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL).copy()
cdef int N = L.shape[0]
cdef int k, j, i
for k in range(N - 1, -1, -1):
for j in range(k + 1, N):
for i in range(j, N):
dL_dK[i, k] -= dL_dK[i, j] * L[j, k]
dL_dK[j, k] -= dL_dK[i, j] * L[i, k]
for j in range(k + 1, N):
dL_dK[j, k] /= L[k, k]
dL_dK[k, k] -= L[j, k] * dL_dK[j, k]
dL_dK[k, k] /= (2. * L[k, k])
return dL_dK