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few bugs fixed in periodic kernels

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This commit is contained in:
Nicolas 2013-01-21 18:03:24 +00:00
parent 8d98e09b9e
commit b66eab22fb
4 changed files with 86 additions and 70 deletions
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6
GPy/kern/constructors.py
View file

@ -215,7 +215,7 @@ def periodic_exponential(D=1,variance=1., lengthscale=None, period=2*np.pi,n_fre
:param n_freq: the number of frequencies considered for the periodic subspace
:type n_freq: int
"""
part = periodic_exponentialpart(D,variance, lengthscale, ARD)
part = periodic_exponentialpart(D,variance, lengthscale, period, n_freq, lower, upper)
return kern(D, [part])
def periodic_Matern32(D,variance=1., lengthscale=None, period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi):
@ -233,7 +233,7 @@ def periodic_Matern32(D,variance=1., lengthscale=None, period=2*np.pi,n_freq=10,
:param n_freq: the number of frequencies considered for the periodic subspace
:type n_freq: int
"""
part = periodic_Matern32part(D,variance, lengthscale, ARD)
part = periodic_Matern32part(D,variance, lengthscale, period, n_freq, lower, upper)
return kern(D, [part])
def periodic_Matern52(D,variance=1., lengthscale=None, period=2*np.pi,n_freq=10,lower=0.,upper=4*np.pi):
@ -251,5 +251,5 @@ def periodic_Matern52(D,variance=1., lengthscale=None, period=2*np.pi,n_freq=10,
:param n_freq: the number of frequencies considered for the periodic subspace
:type n_freq: int
"""
part = periodic_Matern52part(D,variance, lengthscale, ARD)
part = periodic_Matern52part(D,variance, lengthscale, period, n_freq, lower, upper)
return kern(D, [part])

26
GPy/kern/periodic_Matern32.py
View file

@ -32,7 +32,7 @@ class periodic_Matern32(kernpart):
self.Nparam = 3
self.n_freq = n_freq
self.n_basis = 2*n_freq
self.set_param(np.hstack((variance,lengthscale,period)))
self._set_params(np.hstack((variance,lengthscale,period)))
def _cos(self,alpha,omega,phase):
def f(x):
@ -47,14 +47,14 @@ class periodic_Matern32(kernpart):
def _int_computation(self,r1,omega1,phi1,r2,omega2,phi2):
Gint1 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + 1./(omega1-omega2.T)*( np.sin((omega1-omega2.T)*self.upper+phi1-phi2.T) - np.sin((omega1-omega2.T)*self.lower+phi1-phi2.T) )
Gint2 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + np.cos(phi1-phi2.T)*(self.upper-self.lower)
Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
#Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
Gint = np.dot(r1,r2.T)/2 * np.where(np.isnan(Gint1),Gint2,Gint1)
return Gint
def get_param(self):
def _get_params(self):
"""return the value of the parameters."""
return np.hstack((self.variance,self.lengthscale,self.period))
def set_param(self,x):
def _set_params(self,x):
"""set the value of the parameters."""
assert x.size==3
self.variance = x[0]
@ -71,7 +71,7 @@ class periodic_Matern32(kernpart):
self.G = self.Gram_matrix()
self.Gi = np.linalg.inv(self.G)
def get_param_names(self):
def _get_param_names(self):
"""return parameter names."""
return ['variance','lengthscale','period']
@ -88,11 +88,18 @@ class periodic_Matern32(kernpart):
def K(self,X,X2,target):
"""Compute the covariance matrix between X and X2."""
if X2 is None: X2 = X
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
if X2 is None:
FX2 = FX
else:
FX2 = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X2)
np.add(mdot(FX,self.Gi,FX2.T), target,target)
def Kdiag(self,X,target):
"""Compute the diagonal of the covariance matrix associated to X."""
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
np.add(target,np.diag(mdot(FX,self.Gi,FX.T)),target)
def dK_dtheta(self,partial,X,X2,target):
"""derivative of the covariance matrix with respect to the parameters (shape is NxMxNparam)"""
if X2 is None: X2 = X
@ -133,14 +140,14 @@ class periodic_Matern32(kernpart):
IPPprim1 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + 1./(omega-omega1.T)*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi/2))
IPPprim2 = self.upper*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi/2) + self.upper*np.cos(phi-phi1.T))
IPPprim2 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + self.lower*np.cos(phi-phi1.T))
IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPprim = np.where(np.isnan(IPPprim1),IPPprim2,IPPprim1)
IPPint1 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.upper+phi-phi1.T-np.pi)
IPPint1 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi)
IPPint2 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./2*self.upper**2*np.cos(phi-phi1.T)
IPPint2 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./2*self.lower**2*np.cos(phi-phi1.T)
IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPint = np.where(np.isnan(IPPint1),IPPint2,IPPint1)
dLa_dper2 = np.column_stack((-self.a[1]*self.basis_omega/self.period, -2*self.a[2]*self.basis_omega**2/self.period))
@ -163,6 +170,3 @@ class periodic_Matern32(kernpart):
target[1] += np.sum(dK_dlen*partial)
#np.add(target[:,:,2],dK_dper, target[:,:,2])
target[2] += np.sum(dK_dper*partial)

27
GPy/kern/periodic_Matern52.py
View file

@ -32,29 +32,31 @@ class periodic_Matern52(kernpart):
self.Nparam = 3
self.n_freq = n_freq
self.n_basis = 2*n_freq
self.set_param(np.hstack((variance,lengthscale,period)))
self._set_params(np.hstack((variance,lengthscale,period)))
def _cos(self,alpha,omega,phase):
def f(x):
return alpha*np.cos(omega*x+phase)
return f
def _cos_factorization(self,alpha,omega,phase):
r1 = np.sum(alpha*np.cos(phase),axis=1)[:,None]
r2 = np.sum(alpha*np.sin(phase),axis=1)[:,None]
r = np.sqrt(r1**2 + r2**2)
psi = np.where(r1 != 0, (np.arctan(r2/r1) + (r1<0.)*np.pi),np.arcsin(r2))
return r,omega[:,0:1], psi
def _int_computation(self,r1,omega1,phi1,r2,omega2,phi2):
Gint1 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + 1./(omega1-omega2.T)*( np.sin((omega1-omega2.T)*self.upper+phi1-phi2.T) - np.sin((omega1-omega2.T)*self.lower+phi1-phi2.T) )
Gint2 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + np.cos(phi1-phi2.T)*(self.upper-self.lower)
Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
#Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
Gint = np.dot(r1,r2.T)/2 * np.where(np.isnan(Gint1),Gint2,Gint1)
return Gint
def get_param(self):
def _get_params(self):
"""return the value of the parameters."""
return np.hstack((self.variance,self.lengthscale,self.period))
def set_param(self,x):
def _set_params(self,x):
"""set the value of the parameters."""
assert x.size==3
self.variance = x[0]
@ -71,7 +73,7 @@ class periodic_Matern52(kernpart):
self.G = self.Gram_matrix()
self.Gi = np.linalg.inv(self.G)
def get_param_names(self):
def _get_param_names(self):
"""return parameter names."""
return ['variance','lengthscale','period']
@ -90,11 +92,18 @@ class periodic_Matern52(kernpart):
def K(self,X,X2,target):
"""Compute the covariance matrix between X and X2."""
if X2 is None: X2 = X
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
if X2 is None:
FX2 = FX
else:
FX2 = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X2)
np.add(mdot(FX,self.Gi,FX2.T), target,target)
def Kdiag(self,X,target):
"""Compute the diagonal of the covariance matrix associated to X."""
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
np.add(target,np.diag(mdot(FX,self.Gi,FX.T)),target)
def dK_dtheta(self,partial,X,X2,target):
"""derivative of the covariance matrix with respect to the parameters (shape is NxMxNparam)"""
if X2 is None: X2 = X
@ -137,14 +146,14 @@ class periodic_Matern52(kernpart):
IPPprim1 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + 1./(omega-omega1.T)*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi/2))
IPPprim2 = self.upper*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi/2) + self.upper*np.cos(phi-phi1.T))
IPPprim2 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + self.lower*np.cos(phi-phi1.T))
IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPprim = np.where(np.isnan(IPPprim1),IPPprim2,IPPprim1)
IPPint1 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.upper+phi-phi1.T-np.pi)
IPPint1 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi)
IPPint2 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./2*self.upper**2*np.cos(phi-phi1.T)
IPPint2 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./2*self.lower**2*np.cos(phi-phi1.T)
IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPint = np.where(np.isnan(IPPint1),IPPint2,IPPint1)
dLa_dper2 = np.column_stack((-self.a[1]*self.basis_omega/self.period, -2*self.a[2]*self.basis_omega**2/self.period, -3*self.a[3]*self.basis_omega**3/self.period))
@ -173,5 +182,3 @@ class periodic_Matern52(kernpart):
target[1] += np.sum(dK_dlen*partial)
#np.add(target[:,:,2],dK_dper, target[:,:,2])
target[2] += np.sum(dK_dper*partial)

29
GPy/kern/periodic_exponential.py
View file

@ -32,29 +32,31 @@ class periodic_exponential(kernpart):
self.Nparam = 3
self.n_freq = n_freq
self.n_basis = 2*n_freq
self.set_param(np.hstack((variance,lengthscale,period)))
self._set_params(np.hstack((variance,lengthscale,period)))
def _cos(self,alpha,omega,phase):
def f(x):
return alpha*np.cos(omega*x+phase)
return f
def _cos_factorization(self,alpha,omega,phase):
r1 = np.sum(alpha*np.cos(phase),axis=1)[:,None]
r2 = np.sum(alpha*np.sin(phase),axis=1)[:,None]
r = np.sqrt(r1**2 + r2**2)
psi = np.where(r1 != 0, (np.arctan(r2/r1) + (r1<0.)*np.pi),np.arcsin(r2))
return r,omega[:,0:1], psi
def _int_computation(self,r1,omega1,phi1,r2,omega2,phi2):
Gint1 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + 1./(omega1-omega2.T)*( np.sin((omega1-omega2.T)*self.upper+phi1-phi2.T) - np.sin((omega1-omega2.T)*self.lower+phi1-phi2.T) )
Gint2 = 1./(omega1+omega2.T)*( np.sin((omega1+omega2.T)*self.upper+phi1+phi2.T) - np.sin((omega1+omega2.T)*self.lower+phi1+phi2.T)) + np.cos(phi1-phi2.T)*(self.upper-self.lower)
Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
#Gint2[0,0] = 2.*(self.upper-self.lower)*np.cos(phi1[0,0])*np.cos(phi2[0,0])
Gint = np.dot(r1,r2.T)/2 * np.where(np.isnan(Gint1),Gint2,Gint1)
return Gint
def get_param(self):
def _get_params(self):
"""return the value of the parameters."""
return np.hstack((self.variance,self.lengthscale,self.period))
def set_param(self,x):
def _set_params(self,x):
"""set the value of the parameters."""
assert x.size==3
self.variance = x[0]
@ -71,7 +73,7 @@ class periodic_exponential(kernpart):
self.G = self.Gram_matrix()
self.Gi = np.linalg.inv(self.G)
def get_param_names(self):
def _get_param_names(self):
"""return parameter names."""
return ['variance','lengthscale','period']
@ -81,18 +83,23 @@ class periodic_exponential(kernpart):
Lp = np.column_stack((self.basis_phi,self.basis_phi+np.pi/2))
r,omega,phi = self._cos_factorization(La,Lo,Lp)
Gint = self._int_computation( r,omega,phi, r,omega,phi)
Flower = np.array(self._cos(self.basis_alpha,self.basis_omega,self.basis_phi)(self.lower))[:,None]
return(self.lengthscale/(2*self.variance) * Gint + 1./self.variance*np.dot(Flower,Flower.T))
def K(self,X,X2,target):
"""Compute the covariance matrix between X and X2."""
if X2 is None: X2 = X
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
if X2 is None:
FX2 = FX
else:
FX2 = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X2)
np.add(mdot(FX,self.Gi,FX2.T), target,target)
def Kdiag(self,X,target):
"""Compute the diagonal of the covariance matrix associated to X."""
FX = self._cos(self.basis_alpha[None,:],self.basis_omega[None,:],self.basis_phi[None,:])(X)
np.add(target,np.diag(mdot(FX,self.Gi,FX.T)),target)
def dK_dtheta(self,partial,X,X2,target):
"""derivative of the covariance matrix with respect to the parameters (shape is NxMxNparam)"""
if X2 is None: X2 = X
@ -131,14 +138,14 @@ class periodic_exponential(kernpart):
IPPprim1 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + 1./(omega-omega1.T)*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi/2))
IPPprim2 = self.upper*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi/2) + self.upper*np.cos(phi-phi1.T))
IPPprim2 -= self.lower*(1./(omega+omega1.T)*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi/2) + self.lower*np.cos(phi-phi1.T))
IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPprim2[0,0] = 2*(self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPprim = np.where(np.isnan(IPPprim1),IPPprim2,IPPprim1)
IPPint1 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.upper+phi-phi1.T-np.pi)
IPPint1 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./(omega-omega1.T)**2*np.cos((omega-omega1.T)*self.lower+phi-phi1.T-np.pi)
IPPint2 = 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.upper+phi+phi1.T-np.pi) + 1./2*self.upper**2*np.cos(phi-phi1.T)
IPPint2 -= 1./(omega+omega1.T)**2*np.cos((omega+omega1.T)*self.lower+phi+phi1.T-np.pi) + 1./2*self.lower**2*np.cos(phi-phi1.T)
IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
#IPPint2[0,0] = (self.upper**2 - self.lower**2)*np.cos(phi[0,0])*np.cos(phi1[0,0])
IPPint = np.where(np.isnan(IPPint1),IPPint2,IPPint1)
dLa_dper2 = np.column_stack((-self.a[1]*self.basis_omega/self.period))
@ -160,5 +167,3 @@ class periodic_exponential(kernpart):
target[1] += np.sum(dK_dlen*partial)
#np.add(target[:,:,2],dK_dper, target[:,:,2])
target[2] += np.sum(dK_dper*partial)