merged. ish.

GPy/util/linalg.py

@@ -96,16 +96,21 @@ def jitchol(A, maxtries=5):
         num_tries = 1
         while num_tries <= maxtries and np.isfinite(jitter):
             try:
+                print jitter
                 L = linalg.cholesky(A + np.eye(A.shape[0]) * jitter, lower=True)
-                logging.warning('Added {} rounds of jitter, jitter of {:.10e}\n'.format(num_tries, jitter))
                 return L
             except:
                 jitter *= 10
+            finally:
                 num_tries += 1
+        raise linalg.LinAlgError, "not positive definite, even with jitter."
     import traceback
-    logging.warning('\n'.join(['Added {} rounds of jitter, jitter of {:.10e}'.format(num_tries-1, jitter),
-                                '  in '+traceback.format_list(traceback.extract_stack(limit=2)[-2:-1])[0][2:]]))
-    raise linalg.LinAlgError, "not positive definite, even with jitter."
+    try: raise
+    except:
+        logging.warning('\n'.join(['Added jitter of {:.10e}'.format(jitter),
+            '  in '+traceback.format_list(traceback.extract_stack(limit=2)[-2:-1])[0][2:]]))
+    import ipdb;ipdb.set_trace()
+    return L
 
 # def dtrtri(L, lower=1):
 #     """

GPy/util/warping_functions.py

@@ -1,17 +1,18 @@
 # Copyright (c) 2012, GPy authors (see AUTHORS.txt).
 # Licensed under the BSD 3-clause license (see LICENSE.txt)
 
-
 import numpy as np
+from GPy.core.parameterization import Parameterized, Param
+from ..core.parameterization.transformations import Logexp
 
-class WarpingFunction(object):
+class WarpingFunction(Parameterized):
     """
     abstract function for warping
     z = f(y)
     """
 
-    def __init__(self):
-        raise NotImplementedError
+    def __init__(self, name):
+        super(WarpingFunction, self).__init__(name=name)
 
     def f(self,y,psi):
         """function transformation
@@ -34,9 +35,10 @@ class WarpingFunction(object):
     def _get_param_names(self):
         raise NotImplementedError
 
-    def plot(self, psi, xmin, xmax):
+    def plot(self,  xmin, xmax):
+        psi = self.psi
         y = np.arange(xmin, xmax, 0.01)
-        f_y = self.f(y, psi)
+        f_y = self.f(y)
         from matplotlib import pyplot as plt
         plt.figure()
         plt.plot(y, f_y)
@@ -50,6 +52,7 @@ class TanhWarpingFunction(WarpingFunction):
         """n_terms specifies the number of tanh terms to be used"""
         self.n_terms = n_terms
         self.num_parameters = 3 * self.n_terms
+        super(TanhWarpingFunction, self).__init__(name='warp_tanh')
 
     def f(self,y,psi):
         """
@@ -163,8 +166,18 @@ class TanhWarpingFunction_d(WarpingFunction):
         """n_terms specifies the number of tanh terms to be used"""
         self.n_terms = n_terms
         self.num_parameters = 3 * self.n_terms + 1
+        self.psi = np.ones((self.n_terms, 3))
 
-    def f(self,y,psi):
+        super(TanhWarpingFunction_d, self).__init__(name='warp_tanh')
+        self.psi = Param('psi', self.psi)
+        self.psi[:, :2].constrain_positive()
+
+        self.d = Param('%s' % ('d'), 1.0, Logexp())
+        self.link_parameter(self.psi)
+        self.link_parameter(self.d)
+
+
+    def f(self,y):
         """
         Transform y with f using parameter vector psi
         psi = [[a,b,c]]
@@ -175,9 +188,9 @@ class TanhWarpingFunction_d(WarpingFunction):
         #1. check that number of params is consistent
         # assert psi.shape[0] == self.n_terms, 'inconsistent parameter dimensions'
         # assert psi.shape[1] == 4, 'inconsistent parameter dimensions'
-        mpsi = psi.copy()
-        d = psi[-1]
-        mpsi = mpsi[:self.num_parameters-1].reshape(self.n_terms, 3)
+
+        d = self.d
+        mpsi = self.psi
 
         #3. transform data
         z = d*y.copy()
@@ -187,7 +200,7 @@ class TanhWarpingFunction_d(WarpingFunction):
         return z
 
 
-    def f_inv(self, z, psi, max_iterations=1000, y=None):
+    def f_inv(self, z, max_iterations=1000, y=None):
         """
         calculate the numerical inverse of f
 
@@ -198,12 +211,12 @@ class TanhWarpingFunction_d(WarpingFunction):
         z = z.copy()
         if y is None:
             y = np.ones_like(z)
-            
+
         it = 0
         update = np.inf
 
         while it == 0 or (np.abs(update).sum() > 1e-10 and it < max_iterations):
-            update = (self.f(y, psi) - z)/self.fgrad_y(y, psi)
+            update = (self.f(y) - z)/self.fgrad_y(y)
             y -= update
             it += 1
         if it == max_iterations:
@@ -212,7 +225,7 @@ class TanhWarpingFunction_d(WarpingFunction):
         return y
 
 
-    def fgrad_y(self, y, psi, return_precalc = False):
+    def fgrad_y(self, y,return_precalc = False):
         """
         gradient of f w.r.t to y ([N x 1])
 
@@ -221,9 +234,8 @@ class TanhWarpingFunction_d(WarpingFunction):
         """
 
 
-        mpsi = psi.copy()
-        d = psi[-1]
-        mpsi = mpsi[:self.num_parameters-1].reshape(self.n_terms, 3)
+        d = self.d
+        mpsi = self.psi
 
         # vectorized version
 
@@ -240,7 +252,7 @@ class TanhWarpingFunction_d(WarpingFunction):
         return GRAD
 
 
-    def fgrad_y_psi(self, y, psi, return_covar_chain = False):
+    def fgrad_y_psi(self, y, return_covar_chain = False):
         """
         gradient of f w.r.t to y and psi
 
@@ -248,10 +260,10 @@ class TanhWarpingFunction_d(WarpingFunction):
 
         """
 
-        mpsi = psi.copy()
-        mpsi = mpsi[:self.num_parameters-1].reshape(self.n_terms, 3)
 
-        w, s, r, d = self.fgrad_y(y, psi, return_precalc = True)
+        mpsi = self.psi
+
+        w, s, r, d = self.fgrad_y(y, return_precalc = True)
 
         gradients = np.zeros((y.shape[0], y.shape[1], len(mpsi), 4))
         for i in range(len(mpsi)):