diff --git a/GPy/kern/finite_dimensional.py b/GPy/kern/finite_dimensional.py index 421a3c5b..98c99628 100644 --- a/GPy/kern/finite_dimensional.py +++ b/GPy/kern/finite_dimensional.py @@ -19,7 +19,7 @@ class finite_dimensional(kernpart): self.D = D self.F = F self.G = G - self.G_1 ,tmp = pdinv(G) + self.G_1 ,L,Li,logdet = pdinv(G) self.n = F.shape[0] if weights is not None: assert weights.shape==(self.n,) diff --git a/GPy/models/GP_regression.py b/GPy/models/GP_regression.py index 885f13cc..f21c4591 100644 --- a/GPy/models/GP_regression.py +++ b/GPy/models/GP_regression.py @@ -71,7 +71,7 @@ class GP_regression(model): def set_param(self,p): self.kern.expand_param(p) self.K = self.kern.K(self.X,slices1=self.Xslices) - self.Ki,self.hld = pdinv(self.K) + self.Ki, self.L, self.Li, self.K_logdet = pdinv(self.K) def get_param(self): return self.kern.extract_param() @@ -90,7 +90,7 @@ class GP_regression(model): return -0.5*np.sum(np.multiply(self.Ki, self.Youter)) def log_likelihood(self): - complexity_term = -0.5*self.N*self.D*np.log(2.*np.pi) - self.D*self.hld + complexity_term = -0.5*self.N*self.D*np.log(2.*np.pi) - 0.5*self.D*self.K_logdet return complexity_term + self._model_fit_term() def dL_dK(self): diff --git a/GPy/models/generalized_FITC.py b/GPy/models/generalized_FITC.py index f6fef670..4ef36f0e 100644 --- a/GPy/models/generalized_FITC.py +++ b/GPy/models/generalized_FITC.py @@ -62,7 +62,7 @@ class generalized_FITC(model): def posterior_param(self): self.Knn_diag = self.kernel.Kdiag(self.X) self.Kmm = self.kernel.K(self.Z) - self.Kmmi, self.Kmm_hld = pdinv(self.Kmm) + self.Kmmi, self.Lmm, self.Lmmi, self.Kmm_logdet = pdinv(self.Kmm) self.Knm = self.kernel.K(self.X,self.Z) self.KmmiKmn = np.dot(self.Kmmi,self.Knm.T) self.Qnn = np.dot(self.Knm,self.KmmiKmn) @@ -72,10 +72,10 @@ class generalized_FITC(model): self.Taut = self.ep_approx.tau_tilde/(1.+ self.ep_approx.tau_tilde*self.Diag0) self.KmnTaut = self.Knm.T*self.Taut[None,:] self.KmnTautKnm = np.dot(self.KmnTaut, self.Knm) - self.Woodbury_inv, self.Woodbury_hld = pdinv(self.Kmm + self.KmnTautKnm) + self.Woodbury_inv, self.Wood_L, self.Wood_Li, self.Woodbury_logdet = pdinv(self.Kmm + self.KmnTautKnm) self.Qnn_diag = self.Knn_diag - np.diag(self.Qnn) + 1./self.ep_approx.tau_tilde self.Qi = -np.dot(self.KmnTaut.T, np.dot(self.Woodbury_inv,self.KmnTaut)) + np.diag(self.Taut) - self.hld = 0.5*np.sum(np.log(self.Diag0 + 1./self.ep_approx.tau_tilde)) - self.Kmm_hld + self.Woodbury_hld + self.hld = 0.5*np.sum(np.log(self.Diag0 + 1./self.ep_approx.tau_tilde)) - 0.5*self.Kmm_logdet + 0.5*self.Woodbury_logdet self.Diag = self.Diag0/(1.+ self.Diag0 * self.ep_approx.tau_tilde) self.P = (self.Diag / self.Diag0)[:,None] * self.Knm diff --git a/GPy/models/sparse_GP_regression.py b/GPy/models/sparse_GP_regression.py index 38aeef08..da19d80a 100644 --- a/GPy/models/sparse_GP_regression.py +++ b/GPy/models/sparse_GP_regression.py @@ -87,14 +87,10 @@ class sparse_GP_regression(GP_regression): self.V = self.beta*self.Y self.psi1V = np.dot(self.psi1, self.V) self.psi1VVpsi1 = np.dot(self.psi1V, self.psi1V.T) - self.Lm = jitchol(self.Kmm) - self.Lmi = chol_inv(self.Lm) - self.Kmmi = np.dot(self.Lmi.T, self.Lmi) + self.Kmmi, self.Lm, self.Lmi, self.Kmm_logdet = pdinv(self.Kmm) self.A = mdot(self.Lmi, self.psi2, self.Lmi.T) self.B = np.eye(self.M) + self.beta * self.A - self.LB = jitchol(self.B) - self.LBi = chol_inv(self.LB) - self.Bi = np.dot(self.LBi.T, self.LBi) + self.Bi, self.LB, self.LBi, self.B_logdet = pdinv(self.B) self.LLambdai = np.dot(self.LBi, self.Lmi) self.trace_K = self.psi0 - np.trace(self.A) self.LBL_inv = mdot(self.Lmi.T, self.Bi, self.Lmi) @@ -124,7 +120,7 @@ class sparse_GP_regression(GP_regression): """ A = -0.5*self.N*self.D*(np.log(2.*np.pi) - np.log(self.beta)) B = -0.5*self.beta*self.D*self.trace_K - C = -self.D * np.sum(np.log(np.diag(self.LB))) + C = -0.5*self.D * self.B_logdet D = -0.5*self.beta*self.trYYT E = +0.5*np.sum(self.psi1VVpsi1 * self.LBL_inv) return A+B+C+D+E diff --git a/GPy/util/linalg.py b/GPy/util/linalg.py index 8afffce3..f8f03d5f 100644 --- a/GPy/util/linalg.py +++ b/GPy/util/linalg.py @@ -78,23 +78,23 @@ def jitchol(A,maxtries=5): def pdinv(A): """ - Arguments - --------- :param A: A DxD pd numpy array - Returns - ------- - inv : the inverse of A - hld: 0.5* the log of the determinant of A + :rval Ai: the inverse of A + :rtype Ai: np.ndarray + :rval L: the Cholesky decomposition of A + :rtype L: np.ndarray + :rval Li: the Cholesky decomposition of Ai + :rtype Li: np.ndarray + :rval logdet: the log of the determinant of A + :rtype logdet: float64 """ L = jitchol(A) - hld = np.sum(np.log(np.diag(L))) + logdet = 2.*np.sum(np.log(np.diag(L))) + Li = chol_inv(L) + Ai = np.dot(Li.T,Li) #TODO: get the flapack routine form multiplying triangular matrices - inv = sp.lib.lapack.flapack.dpotri(L)[0] - # inv = linalg.flapack.dpotri(L,lower = 1)[0] - inv = np.tril(inv)+np.tril(inv,-1).T - - return inv, hld + return Ai, L, Li, logdet def chol_inv(L):