mirror of
https://github.com/SheffieldML/GPy.git
synced 2026-06-05 14:55:15 +02:00
Various doc string edits and consistency changes in comments.
This commit is contained in:
parent
7bb7c0a08c
commit
c140b2118a
5 changed files with 218 additions and 79 deletions
|
|
@ -6,8 +6,8 @@ from GPy.core.model import Model
|
|||
|
||||
class GPBase(Model):
|
||||
"""
|
||||
Gaussian Process Model for holding shared behaviour between
|
||||
sprase_GP and GP models
|
||||
Gaussian process base model for holding shared behaviour between
|
||||
sparse_GP and GP models.
|
||||
"""
|
||||
|
||||
def __init__(self, X, likelihood, kernel, normalize_X=False):
|
||||
|
|
@ -35,8 +35,7 @@ class GPBase(Model):
|
|||
|
||||
def getstate(self):
|
||||
"""
|
||||
Get the current state of the class,
|
||||
here just all the indices, rest can get recomputed
|
||||
Get the current state of the class, here we return everything that is needed to recompute the model.
|
||||
"""
|
||||
return Model.getstate(self) + [self.X,
|
||||
self.num_data,
|
||||
|
|
@ -63,14 +62,6 @@ class GPBase(Model):
|
|||
Plot the GP's view of the world, where the data is normalized and the
|
||||
likelihood is Gaussian.
|
||||
|
||||
:param samples: the number of a posteriori samples to plot
|
||||
:param which_data: which if the training data to plot (default all)
|
||||
:type which_data: 'all' or a slice object to slice self.X, self.Y
|
||||
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
|
||||
:param which_parts: which of the kernel functions to plot (additively)
|
||||
:type which_parts: 'all', or list of bools
|
||||
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
|
||||
|
||||
Plot the posterior of the GP.
|
||||
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
|
||||
- In two dimsensions, a contour-plot shows the mean predicted function
|
||||
|
|
@ -78,6 +69,22 @@ class GPBase(Model):
|
|||
|
||||
Can plot only part of the data and part of the posterior functions
|
||||
using which_data and which_functions
|
||||
|
||||
:param samples: the number of a posteriori samples to plot
|
||||
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
|
||||
:param which_data: which if the training data to plot (default all)
|
||||
:type which_data: 'all' or a slice object to slice self.X, self.Y
|
||||
:param which_parts: which of the kernel functions to plot (additively)
|
||||
:type which_parts: 'all', or list of bools
|
||||
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
|
||||
:type resolution: int
|
||||
:param full_cov:
|
||||
:type full_cov: bool
|
||||
:param fignum: figure to plot on.
|
||||
:type fignum: figure number
|
||||
:param ax: axes to plot on.
|
||||
:type ax: axes handle
|
||||
|
||||
"""
|
||||
if which_data == 'all':
|
||||
which_data = slice(None)
|
||||
|
|
@ -118,12 +125,41 @@ class GPBase(Model):
|
|||
|
||||
def plot(self, plot_limits=None, which_data='all', which_parts='all', resolution=None, levels=20, samples=0, fignum=None, ax=None, fixed_inputs=[], linecol=Tango.colorsHex['darkBlue'],fillcol=Tango.colorsHex['lightBlue']):
|
||||
"""
|
||||
TODO: Docstrings!
|
||||
|
||||
Plot the GP with noise where the likelihood is Gaussian.
|
||||
|
||||
Plot the posterior of the GP.
|
||||
- In one dimension, the function is plotted with a shaded region identifying two standard deviations.
|
||||
- In two dimsensions, a contour-plot shows the mean predicted function
|
||||
- In higher dimensions, we've no implemented this yet !TODO!
|
||||
|
||||
Can plot only part of the data and part of the posterior functions
|
||||
using which_data and which_functions
|
||||
|
||||
:param plot_limits: The limits of the plot. If 1D [xmin,xmax], if 2D [[xmin,ymin],[xmax,ymax]]. Defaluts to data limits
|
||||
:type plot_limits: np.array
|
||||
:param which_data: which if the training data to plot (default all)
|
||||
:type which_data: 'all' or a slice object to slice self.X, self.Y
|
||||
:param which_parts: which of the kernel functions to plot (additively)
|
||||
:type which_parts: 'all', or list of bools
|
||||
:param resolution: the number of intervals to sample the GP on. Defaults to 200 in 1D and 50 (a 50x50 grid) in 2D
|
||||
:type resolution: int
|
||||
:param levels: number of levels to plot in a contour plot.
|
||||
:type levels: int
|
||||
:param samples: the number of a posteriori samples to plot
|
||||
:type samples: int
|
||||
:param fignum: figure to plot on.
|
||||
:type fignum: figure number
|
||||
:param ax: axes to plot on.
|
||||
:type ax: axes handle
|
||||
:param fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
|
||||
:type fixed_inputs: a list of tuples
|
||||
:param linecol: color of line to plot.
|
||||
:type linecol:
|
||||
:param fillcol: color of fill
|
||||
:type fillcol:
|
||||
:param levels: for 2D plotting, the number of contour levels to use
|
||||
is ax is None, create a new figure
|
||||
|
||||
fixed_inputs: a list of tuple [(i,v), (i,v)...], specifying that input index i should be set to value v.
|
||||
"""
|
||||
# TODO include samples
|
||||
if which_data == 'all':
|
||||
|
|
|
|||
|
|
@ -24,15 +24,17 @@ class Model(Parameterized):
|
|||
self.preferred_optimizer = 'scg'
|
||||
# self._set_params(self._get_params()) has been taken out as it should only be called on leaf nodes
|
||||
def log_likelihood(self):
|
||||
raise NotImplementedError, "this needs to be implemented to use the Model class"
|
||||
raise NotImplementedError, "this needs to be implemented to use the model class"
|
||||
def _log_likelihood_gradients(self):
|
||||
raise NotImplementedError, "this needs to be implemented to use the Model class"
|
||||
raise NotImplementedError, "this needs to be implemented to use the model class"
|
||||
|
||||
def getstate(self):
|
||||
"""
|
||||
Get the current state of the class.
|
||||
|
||||
Inherited from Parameterized, so add those parameters to the state
|
||||
:return: list of states from the model.
|
||||
|
||||
"""
|
||||
return Parameterized.getstate(self) + \
|
||||
[self.priors, self.optimization_runs,
|
||||
|
|
@ -41,8 +43,10 @@ class Model(Parameterized):
|
|||
def setstate(self, state):
|
||||
"""
|
||||
set state from previous call to getstate
|
||||
|
||||
call Parameterized with the rest of the state
|
||||
|
||||
:param state: the state of the model.
|
||||
:type state: list as returned from getstate.
|
||||
"""
|
||||
self.preferred_optimizer = state.pop()
|
||||
self.sampling_runs = state.pop()
|
||||
|
|
@ -52,21 +56,22 @@ class Model(Parameterized):
|
|||
|
||||
def set_prior(self, regexp, what):
|
||||
"""
|
||||
Sets priors on the Model parameters.
|
||||
|
||||
Arguments
|
||||
---------
|
||||
regexp -- string, regexp, or integer array
|
||||
what -- instance of a Prior class
|
||||
Sets priors on the model parameters.
|
||||
|
||||
Notes
|
||||
-----
|
||||
Asserts that the Prior is suitable for the constraint. If the
|
||||
Asserts that the prior is suitable for the constraint. If the
|
||||
wrong constraint is in place, an error is raised. If no
|
||||
constraint is in place, one is added (warning printed).
|
||||
|
||||
For tied parameters, the Prior will only be "counted" once, thus
|
||||
a Prior object is only inserted on the first tied index
|
||||
For tied parameters, the prior will only be "counted" once, thus
|
||||
a prior object is only inserted on the first tied index
|
||||
|
||||
:param regexp: regular expression of parameters on which priors need to be set.
|
||||
:type param: string, regexp, or integer array
|
||||
:param what: prior to set on parameter.
|
||||
:type what: GPy.core.Prior type
|
||||
|
||||
"""
|
||||
if self.priors is None:
|
||||
self.priors = [None for i in range(self._get_params().size)]
|
||||
|
|
@ -76,12 +81,12 @@ class Model(Parameterized):
|
|||
# check tied situation
|
||||
tie_partial_matches = [tie for tie in self.tied_indices if (not set(tie).isdisjoint(set(which))) & (not set(tie) == set(which))]
|
||||
if len(tie_partial_matches):
|
||||
raise ValueError, "cannot place Prior across partial ties"
|
||||
raise ValueError, "cannot place prior across partial ties"
|
||||
tie_matches = [tie for tie in self.tied_indices if set(which) == set(tie) ]
|
||||
if len(tie_matches) > 1:
|
||||
raise ValueError, "cannot place Prior across multiple ties"
|
||||
raise ValueError, "cannot place prior across multiple ties"
|
||||
elif len(tie_matches) == 1:
|
||||
which = which[:1] # just place a Prior object on the first parameter
|
||||
which = which[:1] # just place a prior object on the first parameter
|
||||
|
||||
|
||||
# check constraints are okay
|
||||
|
|
@ -93,7 +98,7 @@ class Model(Parameterized):
|
|||
else:
|
||||
constrained_positive_indices = np.zeros(shape=(0,))
|
||||
bad_constraints = np.setdiff1d(self.all_constrained_indices(), constrained_positive_indices)
|
||||
assert not np.any(which[:, None] == bad_constraints), "constraint and Prior incompatible"
|
||||
assert not np.any(which[:, None] == bad_constraints), "constraint and prior incompatible"
|
||||
unconst = np.setdiff1d(which, constrained_positive_indices)
|
||||
if len(unconst):
|
||||
print "Warning: constraining parameters to be positive:"
|
||||
|
|
@ -101,17 +106,22 @@ class Model(Parameterized):
|
|||
print '\n'
|
||||
self.constrain_positive(unconst)
|
||||
elif what.domain is REAL:
|
||||
assert not np.any(which[:, None] == self.all_constrained_indices()), "constraint and Prior incompatible"
|
||||
assert not np.any(which[:, None] == self.all_constrained_indices()), "constraint and prior incompatible"
|
||||
else:
|
||||
raise ValueError, "Prior not recognised"
|
||||
raise ValueError, "prior not recognised"
|
||||
|
||||
# store the Prior in a local list
|
||||
# store the prior in a local list
|
||||
for w in which:
|
||||
self.priors[w] = what
|
||||
|
||||
def get_gradient(self, name, return_names=False):
|
||||
"""
|
||||
Get Model gradient(s) by name. The name is applied as a regular expression and all parameters that match that regular expression are returned.
|
||||
Get model gradient(s) by name. The name is applied as a regular expression and all parameters that match that regular expression are returned.
|
||||
|
||||
:param name: the name of parameters required (as a regular expression).
|
||||
:type name: regular expression
|
||||
:param return_names: whether or not to return the names matched (default False)
|
||||
:type return_names: bool
|
||||
"""
|
||||
matches = self.grep_param_names(name)
|
||||
if len(matches):
|
||||
|
|
@ -151,14 +161,14 @@ class Model(Parameterized):
|
|||
|
||||
def randomize(self):
|
||||
"""
|
||||
Randomize the Model.
|
||||
Make this draw from the Prior if one exists, else draw from N(0,1)
|
||||
Randomize the model.
|
||||
Make this draw from the prior if one exists, else draw from N(0,1)
|
||||
"""
|
||||
# first take care of all parameters (from N(0,1))
|
||||
x = self._get_params_transformed()
|
||||
x = np.random.randn(x.size)
|
||||
self._set_params_transformed(x)
|
||||
# now draw from Prior where possible
|
||||
# now draw from prior where possible
|
||||
x = self._get_params()
|
||||
if self.priors is not None:
|
||||
[np.put(x, i, p.rvs(1)) for i, p in enumerate(self.priors) if not p is None]
|
||||
|
|
@ -168,21 +178,30 @@ class Model(Parameterized):
|
|||
|
||||
def optimize_restarts(self, num_restarts=10, robust=False, verbose=True, parallel=False, num_processes=None, **kwargs):
|
||||
"""
|
||||
Perform random restarts of the Model, and set the Model to the best
|
||||
Perform random restarts of the model, and set the model to the best
|
||||
seen solution.
|
||||
|
||||
If the robust flag is set, exceptions raised during optimizations will
|
||||
be handled silently. If _all_ runs fail, the Model is reset to the
|
||||
be handled silently. If _all_ runs fail, the model is reset to the
|
||||
existing parameter values.
|
||||
|
||||
Notes
|
||||
-----
|
||||
:param num_restarts: number of restarts to use (default 10)
|
||||
:type num_restarts: int
|
||||
:param robust: whether to handle exceptions silently or not (default False)
|
||||
:type robust: bool
|
||||
:param parallel: whether to run each restart as a separate process. It relies on the multiprocessing module.
|
||||
:type parallel: bool
|
||||
:param num_processes: number of workers in the multiprocessing pool
|
||||
:type numprocesses: int
|
||||
**kwargs are passed to the optimizer. They can be:
|
||||
:max_f_eval: maximum number of function evaluations
|
||||
:messages: whether to display during optimisation
|
||||
:verbose: whether to show informations about the current restart
|
||||
:parallel: whether to run each restart as a separate process. It relies on the multiprocessing module.
|
||||
:num_processes: number of workers in the multiprocessing pool
|
||||
:param max_f_eval: maximum number of function evaluations
|
||||
:type max_f_eval: int
|
||||
:param max_iters: maximum number of iterations
|
||||
:type max_iters: int
|
||||
:param messages: whether to display during optimisation
|
||||
:type messages: bool
|
||||
|
||||
..Note: If num_processes is None, the number of workes in the multiprocessing pool is automatically
|
||||
set to the number of processors on the current machine.
|
||||
|
|
@ -230,8 +249,13 @@ class Model(Parameterized):
|
|||
self._set_params_transformed(initial_parameters)
|
||||
|
||||
def ensure_default_constraints(self):
|
||||
"""
|
||||
Ensure that any variables which should clearly be positive have been constrained somehow.
|
||||
"""
|
||||
Ensure that any variables which should clearly be positive
|
||||
have been constrained somehow. The method performs a regular
|
||||
expression search on parameter names looking for the terms
|
||||
'variance', 'lengthscale', 'precision' and 'kappa'. If any of
|
||||
these terms are present in the name the parameter is
|
||||
constrained positive.
|
||||
"""
|
||||
positive_strings = ['variance', 'lengthscale', 'precision', 'kappa']
|
||||
# param_names = self._get_param_names()
|
||||
|
|
@ -246,11 +270,15 @@ class Model(Parameterized):
|
|||
|
||||
def objective_function(self, x):
|
||||
"""
|
||||
The objective function passed to the optimizer. It combines the likelihood and the priors.
|
||||
The objective function passed to the optimizer. It combines
|
||||
the likelihood and the priors.
|
||||
|
||||
Failures are handled robustly. The algorithm will try several times to
|
||||
return the objective, and will raise the original exception if it
|
||||
the objective cannot be computed.
|
||||
|
||||
:param x: the parameters of the model.
|
||||
:parameter type: np.array
|
||||
"""
|
||||
try:
|
||||
self._set_params_transformed(x)
|
||||
|
|
@ -267,8 +295,11 @@ class Model(Parameterized):
|
|||
Gets the gradients from the likelihood and the priors.
|
||||
|
||||
Failures are handled robustly. The algorithm will try several times to
|
||||
return the objective, and will raise the original exception if it
|
||||
return the gradients, and will raise the original exception if it
|
||||
the objective cannot be computed.
|
||||
|
||||
:param x: the parameters of the model.
|
||||
:parameter type: np.array
|
||||
"""
|
||||
try:
|
||||
self._set_params_transformed(x)
|
||||
|
|
@ -282,6 +313,13 @@ class Model(Parameterized):
|
|||
return obj_grads
|
||||
|
||||
def objective_and_gradients(self, x):
|
||||
"""
|
||||
Compute the objective function of the model and the gradient of the model at the point given by x.
|
||||
|
||||
:param x: the point at which gradients are to be computed.
|
||||
:type np.array:
|
||||
"""
|
||||
|
||||
try:
|
||||
self._set_params_transformed(x)
|
||||
obj_f = -self.log_likelihood() - self.log_prior()
|
||||
|
|
@ -297,11 +335,13 @@ class Model(Parameterized):
|
|||
|
||||
def optimize(self, optimizer=None, start=None, **kwargs):
|
||||
"""
|
||||
Optimize the Model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
|
||||
Optimize the model using self.log_likelihood and self.log_likelihood_gradient, as well as self.priors.
|
||||
kwargs are passed to the optimizer. They can be:
|
||||
|
||||
:max_f_eval: maximum number of function evaluations
|
||||
:param max_f_eval: maximum number of function evaluations
|
||||
:type max_f_eval: int
|
||||
:messages: whether to display during optimisation
|
||||
:type messages: bool
|
||||
:param optimzer: which optimizer to use (defaults to self.preferred optimizer)
|
||||
:type optimzer: string TODO: valid strings?
|
||||
"""
|
||||
|
|
@ -327,14 +367,14 @@ class Model(Parameterized):
|
|||
self.optimization_runs.append(sgd)
|
||||
|
||||
def Laplace_covariance(self):
|
||||
"""return the covariance matric of a Laplace approximatino at the current (stationary) point"""
|
||||
# TODO add in the Prior contributions for MAP estimation
|
||||
"""return the covariance matrix of a Laplace approximation at the current (stationary) point."""
|
||||
# TODO add in the prior contributions for MAP estimation
|
||||
# TODO fix the hessian for tied, constrained and fixed components
|
||||
if hasattr(self, 'log_likelihood_hessian'):
|
||||
A = -self.log_likelihood_hessian()
|
||||
|
||||
else:
|
||||
print "numerically calculating hessian. please be patient!"
|
||||
print "numerically calculating Hessian. please be patient!"
|
||||
x = self._get_params()
|
||||
def f(x):
|
||||
self._set_params(x)
|
||||
|
|
@ -348,8 +388,8 @@ class Model(Parameterized):
|
|||
return A
|
||||
|
||||
def Laplace_evidence(self):
|
||||
"""Returns an estiamte of the Model evidence based on the Laplace approximation.
|
||||
Uses a numerical estimate of the hessian if none is available analytically"""
|
||||
"""Returns an estiamte of the model evidence based on the Laplace approximation.
|
||||
Uses a numerical estimate of the Hessian if none is available analytically."""
|
||||
A = self.Laplace_covariance()
|
||||
try:
|
||||
hld = np.sum(np.log(np.diag(jitchol(A)[0])))
|
||||
|
|
@ -370,27 +410,28 @@ class Model(Parameterized):
|
|||
log_prior = self.log_prior()
|
||||
obj_funct = '\nLog-likelihood: {0:.3e}'.format(log_like)
|
||||
if len(''.join(strs)) != 0:
|
||||
obj_funct += ', Log Prior: {0:.3e}, LL+Prior = {0:.3e}'.format(log_prior, log_like + log_prior)
|
||||
obj_funct += ', Log prior: {0:.3e}, LL+prior = {0:.3e}'.format(log_prior, log_like + log_prior)
|
||||
obj_funct += '\n\n'
|
||||
s[0] = obj_funct + s[0]
|
||||
s[0] += "|{h:^{col}}".format(h='Prior', col=width)
|
||||
s[0] += "|{h:^{col}}".format(h='prior', col=width)
|
||||
s[1] += '-' * (width + 1)
|
||||
|
||||
for p in range(2, len(strs) + 2):
|
||||
s[p] += '|{Prior:^{width}}'.format(Prior=strs[p - 2], width=width)
|
||||
s[p] += '|{prior:^{width}}'.format(prior=strs[p - 2], width=width)
|
||||
|
||||
return '\n'.join(s)
|
||||
|
||||
|
||||
def checkgrad(self, target_param=None, verbose=False, step=1e-6, tolerance=1e-3):
|
||||
"""
|
||||
Check the gradient of the Model by comparing to a numerical estimate.
|
||||
If the verbose flag is passed, invividual components are tested (and printed)
|
||||
Check the gradient of the ,odel by comparing to a numerical
|
||||
estimate. If the verbose flag is passed, invividual
|
||||
components are tested (and printed)
|
||||
|
||||
:param verbose: If True, print a "full" checking of each parameter
|
||||
:type verbose: bool
|
||||
:param step: The size of the step around which to linearise the objective
|
||||
:type step: float (defaul 1e-6)
|
||||
:type step: float (default 1e-6)
|
||||
:param tolerance: the tolerance allowed (see note)
|
||||
:type tolerance: float (default 1e-3)
|
||||
|
||||
|
|
@ -467,15 +508,15 @@ class Model(Parameterized):
|
|||
|
||||
def input_sensitivity(self):
|
||||
"""
|
||||
return an array describing the sesitivity of the Model to each input
|
||||
return an array describing the sesitivity of the model to each input
|
||||
|
||||
NB. Right now, we're basing this on the lengthscales (or
|
||||
variances) of the kernel. TODO: proper sensitivity analysis
|
||||
where we integrate across the Model inputs and evaluate the
|
||||
effect on the variance of the Model output. """
|
||||
where we integrate across the model inputs and evaluate the
|
||||
effect on the variance of the model output. """
|
||||
|
||||
if not hasattr(self, 'kern'):
|
||||
raise ValueError, "this Model has no kernel"
|
||||
raise ValueError, "this model has no kernel"
|
||||
|
||||
k = [p for p in self.kern.parts if p.name in ['rbf', 'linear', 'rbf_inv']]
|
||||
if (not len(k) == 1) or (not k[0].ARD):
|
||||
|
|
|
|||
|
|
@ -14,7 +14,10 @@ class kern(Parameterized):
|
|||
"""
|
||||
This is the main kernel class for GPy. It handles multiple (additive) kernel functions, and keeps track of variaous things like which parameters live where.
|
||||
|
||||
The technical code for kernels is divided into _parts_ (see e.g. rbf.py). This obnject contains a list of parts, which are computed additively. For multiplication, special _prod_ parts are used.
|
||||
The technical code for kernels is divided into _parts_ (see
|
||||
e.g. rbf.py). This object contains a list of parts, which are
|
||||
computed additively. For multiplication, special _prod_ parts
|
||||
are used.
|
||||
|
||||
:param input_dim: The dimensionality of the kernel's input space
|
||||
:type input_dim: int
|
||||
|
|
@ -149,7 +152,7 @@ class kern(Parameterized):
|
|||
return g
|
||||
|
||||
def compute_param_slices(self):
|
||||
"""create a set of slices that can index the parameters of each part"""
|
||||
"""create a set of slices that can index the parameters of each part."""
|
||||
self.param_slices = []
|
||||
count = 0
|
||||
for p in self.parts:
|
||||
|
|
@ -200,11 +203,19 @@ class kern(Parameterized):
|
|||
"""
|
||||
return self.prod(other)
|
||||
|
||||
def __pow__(self, other, tensor=False):
|
||||
"""
|
||||
Shortcut for tensor `prod`.
|
||||
"""
|
||||
return self.prod(other, tensor=True)
|
||||
|
||||
def prod(self, other, tensor=False):
|
||||
"""
|
||||
multiply two kernels (either on the same space, or on the tensor product of the input space)
|
||||
multiply two kernels (either on the same space, or on the tensor product of the input space).
|
||||
:param other: the other kernel to be added
|
||||
:type other: GPy.kern
|
||||
:param tensor: whether or not to use the tensor space (default is false).
|
||||
:type tensor: bool
|
||||
"""
|
||||
K1 = self.copy()
|
||||
K2 = other.copy()
|
||||
|
|
@ -273,7 +284,7 @@ class kern(Parameterized):
|
|||
[p._set_params(x[s]) for p, s in zip(self.parts, self.param_slices)]
|
||||
|
||||
def _get_param_names(self):
|
||||
# this is a bit nasty: we wat to distinguish between parts with the same name by appending a count
|
||||
# this is a bit nasty: we want to distinguish between parts with the same name by appending a count
|
||||
part_names = np.array([k.name for k in self.parts], dtype=np.str)
|
||||
counts = [np.sum(part_names == ni) for i, ni in enumerate(part_names)]
|
||||
cum_counts = [np.sum(part_names[i:] == ni) for i, ni in enumerate(part_names)]
|
||||
|
|
@ -295,11 +306,13 @@ class kern(Parameterized):
|
|||
|
||||
def dK_dtheta(self, dL_dK, X, X2=None):
|
||||
"""
|
||||
:param dL_dK: An array of dL_dK derivaties, dL_dK
|
||||
:type dL_dK: Np.ndarray (N x num_inducing)
|
||||
Compute the gradient of the covariance function with respect to the parameters.
|
||||
|
||||
:param dL_dK: An array of gradients of the objective function with respect to the covariance function.
|
||||
:type dL_dK: Np.ndarray (num_samples x num_inducing)
|
||||
:param X: Observed data inputs
|
||||
:type X: np.ndarray (N x input_dim)
|
||||
:param X2: Observed dara inputs (optional, defaults to X)
|
||||
:type X: np.ndarray (num_samples x input_dim)
|
||||
:param X2: Observed data inputs (optional, defaults to X)
|
||||
:type X2: np.ndarray (num_inducing x input_dim)
|
||||
"""
|
||||
assert X.shape[1] == self.input_dim
|
||||
|
|
@ -312,6 +325,14 @@ class kern(Parameterized):
|
|||
return self._transform_gradients(target)
|
||||
|
||||
def dK_dX(self, dL_dK, X, X2=None):
|
||||
"""Compute the gradient of the covariance function with respect to X.
|
||||
|
||||
:param dL_dK: An array of gradients of the objective function with respect to the covariance function.
|
||||
:type dL_dK: np.ndarray (num_samples x num_inducing)
|
||||
:param X: Observed data inputs
|
||||
:type X: np.ndarray (num_samples x input_dim)
|
||||
:param X2: Observed data inputs (optional, defaults to X)
|
||||
:type X2: np.ndarray (num_inducing x input_dim)"""
|
||||
if X2 is None:
|
||||
X2 = X
|
||||
target = np.zeros_like(X)
|
||||
|
|
@ -322,6 +343,7 @@ class kern(Parameterized):
|
|||
return target
|
||||
|
||||
def Kdiag(self, X, which_parts='all'):
|
||||
"""Compute the diagonal of the covariance function for inputs X."""
|
||||
if which_parts == 'all':
|
||||
which_parts = [True] * self.Nparts
|
||||
assert X.shape[1] == self.input_dim
|
||||
|
|
@ -330,6 +352,7 @@ class kern(Parameterized):
|
|||
return target
|
||||
|
||||
def dKdiag_dtheta(self, dL_dKdiag, X):
|
||||
"""Compute the gradient of the diagonal of the covariance function with respect to the parameters."""
|
||||
assert X.shape[1] == self.input_dim
|
||||
assert dL_dKdiag.size == X.shape[0]
|
||||
target = np.zeros(self.num_params)
|
||||
|
|
@ -373,16 +396,18 @@ class kern(Parameterized):
|
|||
return target
|
||||
|
||||
def dpsi1_dmuS(self, dL_dpsi1, Z, mu, S):
|
||||
"""return shapes are N,num_inducing,input_dim"""
|
||||
"""return shapes are num_samples,num_inducing,input_dim"""
|
||||
target_mu, target_S = np.zeros((2, mu.shape[0], mu.shape[1]))
|
||||
[p.dpsi1_dmuS(dL_dpsi1, Z[:, i_s], mu[:, i_s], S[:, i_s], target_mu[:, i_s], target_S[:, i_s]) for p, i_s in zip(self.parts, self.input_slices)]
|
||||
return target_mu, target_S
|
||||
|
||||
def psi2(self, Z, mu, S):
|
||||
"""
|
||||
Computer the psi2 statistics for the covariance function.
|
||||
|
||||
:param Z: np.ndarray of inducing inputs (num_inducing x input_dim)
|
||||
:param mu, S: np.ndarrays of means and variances (each N x input_dim)
|
||||
:returns psi2: np.ndarray (N,num_inducing,num_inducing)
|
||||
:param mu, S: np.ndarrays of means and variances (each num_samples x input_dim)
|
||||
:returns psi2: np.ndarray (num_samples,num_inducing,num_inducing)
|
||||
"""
|
||||
target = np.zeros((mu.shape[0], Z.shape[0], Z.shape[0]))
|
||||
[p.psi2(Z[:, i_s], mu[:, i_s], S[:, i_s], target) for p, i_s in zip(self.parts, self.input_slices)]
|
||||
|
|
@ -406,6 +431,7 @@ class kern(Parameterized):
|
|||
return target
|
||||
|
||||
def dpsi2_dtheta(self, dL_dpsi2, Z, mu, S):
|
||||
"""Gradient of the psi2 statistics with respect to the parameters."""
|
||||
target = np.zeros(self.num_params)
|
||||
[p.dpsi2_dtheta(dL_dpsi2, Z[:, i_s], mu[:, i_s], S[:, i_s], target[ps]) for p, i_s, ps in zip(self.parts, self.input_slices, self.param_slices)]
|
||||
|
||||
|
|
@ -509,3 +535,36 @@ class kern(Parameterized):
|
|||
pb.title("k(x1,x2 ; %0.1f,%0.1f)" % (x[0, 0], x[0, 1]))
|
||||
else:
|
||||
raise NotImplementedError, "Cannot plot a kernel with more than two input dimensions"
|
||||
|
||||
def objective_and_gradients_dK_dtheta(self, param, X, X2=None):
|
||||
self._set_param(param)
|
||||
K = self.K(X, X2)
|
||||
f = K.sum()
|
||||
dL_dK = np.ones_like(K)
|
||||
g = self.dK_dtheta(param, dL_dK, X, X2)
|
||||
return f, g
|
||||
|
||||
def objective_and_gradients_dK_dX(self, param, X, X2=None):
|
||||
self._set_param(param)
|
||||
K = self.K(X, X2)
|
||||
f = K.sum()
|
||||
dL_dK = np.ones_like(K)
|
||||
g = self.dK_dX(param, dL_dK, X, X2)
|
||||
return f, g
|
||||
|
||||
def objective_and_gradients_dKdiag_dtheta(self, param, X, X2=None):
|
||||
self._set_param(param)
|
||||
Kdiag = self.Kdiag(X)
|
||||
f = Kdiag.sum()
|
||||
dL_dK = np.ones_like(Kdiag)
|
||||
g = self.dKdiag_dtheta(param, dL_dK, X)
|
||||
return f, g
|
||||
|
||||
def objective_and_gradients_dKdiag_dX(self, param, X, X2=None):
|
||||
self._set_param(param)
|
||||
Kdiag = self.Kdiag(X)
|
||||
f = Kdiag.sum()
|
||||
dL_dK = np.ones_like(Kdiag)
|
||||
g = self.dK_dX(param, dL_dK, X)
|
||||
return f, g
|
||||
|
||||
|
|
|
|||
|
|
@ -23,3 +23,7 @@ Can we comment up some of the list incomprehensions in hierarchical.py??
|
|||
Need to tidy up classification.py,
|
||||
many examples include help that doesn't apply
|
||||
(it is suggested that you can try different approximation types)
|
||||
|
||||
Shall we overload the ** operator to have tensor products?
|
||||
|
||||
People aren't filling the doc strings in as they go *everyone* needs to get in the habit of this (and modifying them as they edit, or correcting them when there is a problem).
|
||||
|
|
|
|||
|
|
@ -42,8 +42,7 @@ class KernelTests(unittest.TestCase):
|
|||
self.assertTrue(m.checkgrad())
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
print "Running unit tests, please be (very) patient..."
|
||||
unittest.main()
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue