diff --git a/GPy/models/__init__.py b/GPy/models/__init__.py index 047658a4..3fcaffa8 100644 --- a/GPy/models/__init__.py +++ b/GPy/models/__init__.py @@ -3,7 +3,7 @@ from gp_regression import GPRegression from gp_classification import GPClassification -from sparse_gp_regression import SparseGPRegression +from sparse_gp_regression import SparseGPRegression, SparseGPRegressionUncertainInput from svigp_regression import SVIGPRegression from sparse_gp_classification import SparseGPClassification from gplvm import GPLVM diff --git a/GPy/models/sparse_gp_regression.py b/GPy/models/sparse_gp_regression.py index a45ea5cd..88b0d435 100644 --- a/GPy/models/sparse_gp_regression.py +++ b/GPy/models/sparse_gp_regression.py @@ -16,44 +16,83 @@ class SparseGPRegression(SparseGP): :param X: input observations :param Y: observed values :param kernel: a GPy kernel, defaults to rbf+white - :param normalize_X: whether to normalize the input data before computing (predictions will be in original scales) - :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 Z: inducing inputs (optional, see note) :type Z: np.ndarray (num_inducing x input_dim) | None + :param num_inducing: number of inducing points (ignored if Z is passed, see note) + :type num_inducing: int :rtype: model object - :param X_variance: The uncertainty in the measurements of X (Gaussian variance) - :type X_variance: np.ndarray (num_data x input_dim) | None + .. Note:: If no Z array is passed, num_inducing (default 10) points are selected from the data. Other wise num_inducing is ignored .. Note:: Multiple independent outputs are allowed using columns of Y """ - def __init__(self, X, Y, kernel=None, normalize_X=False, normalize_Y=False, Z=None, num_inducing=10, X_variance=None): + def __init__(self, X, Y, kernel=None, Z=None, num_inducing=10, X_variance=None): + num_data, input_dim = X.shape + # kern defaults to rbf (plus white for stability) if kernel is None: - kernel = kern.rbf(X.shape[1]) # + kern.white(X.shape[1], 1e-3) + kernel = kern.rbf(input_dim) + kern.white(input_dim, variance=1e-3) # Z defaults to a subset of the data if Z is None: - i = np.random.permutation(X.shape[0])[:num_inducing] + i = np.random.permutation(num_data)[:min(num_inducing, num_data)] Z = X[i].copy() else: - assert Z.shape[1] == X.shape[1] + assert Z.shape[1] == input_dim - # likelihood defaults to Gaussian - likelihood = likelihoods.Gaussian(Y, normalize=normalize_Y) + likelihood = likelihoods.Gaussian() - SparseGP.__init__(self, X, likelihood, kernel, Z=Z, normalize_X=normalize_X, X_variance=X_variance) + SparseGP.__init__(self, X, Y, Z, kernel, likelihood) self.ensure_default_constraints() - pass def _getstate(self): return SparseGP._getstate(self) - def _setstate(self, state): return SparseGP._setstate(self, state) - pass + + +class SparseGPRegressionUncertainInput(SparseGP): + """ + Gaussian Process model for regression with Gaussian variance on the inputs (X_variance) + + This is a thin wrapper around the SparseGP class, with a set of sensible defalts + + """ + + def __init__(self, X, X_variance, Y, kernel=None, Z=None, num_inducing=10): + """ + :param X: input observations + :type X: np.ndarray (num_data x input_dim) + :param X_variance: The uncertainty in the measurements of X (Gaussian variance, optional) + :type X_variance: np.ndarray (num_data x input_dim) + :param Y: observed values + :param kernel: a GPy kernel, defaults to rbf+white + :param Z: inducing inputs (optional, see note) + :type Z: np.ndarray (num_inducing x input_dim) | None + :param num_inducing: number of inducing points (ignored if Z is passed, see note) + :type num_inducing: int + :rtype: model object + + .. Note:: If no Z array is passed, num_inducing (default 10) points are selected from the data. Other wise num_inducing is ignored + .. Note:: Multiple independent outputs are allowed using columns of Y + """ + num_data, input_dim = X.shape + + # kern defaults to rbf (plus white for stability) + if kernel is None: + kernel = kern.rbf(input_dim) + kern.white(input_dim, variance=1e-3) + + # Z defaults to a subset of the data + if Z is None: + i = np.random.permutation(num_data)[:min(num_inducing, num_data)] + Z = X[i].copy() + else: + assert Z.shape[1] == input_dim + + likelihood = likelihoods.Gaussian() + + SparseGP.__init__(self, X, Y, Z, kernel, likelihood, X_variance=X_variance) + self.ensure_default_constraints()