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changed the behaviour of pdinv: now returns L and Li as well as the inverse

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This commit is contained in:
James Hensman 2012-12-06 09:51:13 -08:00
parent 574f9f4e0a
commit c72d1b1a5b
5 changed files with 21 additions and 25 deletions
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10
GPy/models/sparse_GP_regression.py
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@ -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