Merge branch 'devel' of github.com:SheffieldML/GPy into devel

GPy/core/model.py

@@ -256,8 +256,9 @@ class Model(Parameterized):
             optimizer = optimization.get_optimizer(optimizer)
             opt = optimizer(start, model=self, max_iters=max_iters, **kwargs)
 
-        with VerboseOptimization(self, opt, maxiters=max_iters, verbose=messages, ipython_notebook=ipython_notebook):
+        with VerboseOptimization(self, opt, maxiters=max_iters, verbose=messages, ipython_notebook=ipython_notebook) as vo:
             opt.run(f_fp=self._objective_grads, f=self._objective, fp=self._grads)
+            vo.finish(opt)
 
         self.optimization_runs.append(opt)
 

GPy/core/parameterization/transformations.py

@@ -79,8 +79,10 @@ class Logexp(Transformation):
 
 
 class NormalTheta(Transformation):
+    "Do not use, not officially supported!"
     _instances = []
-    def __new__(cls, mu_indices, var_indices):
+    def __new__(cls, mu_indices=None, var_indices=None):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:
@@ -143,9 +145,10 @@ class NormalTheta(Transformation):
         self.var_indices = state[1]
 
 class NormalNaturalAntti(NormalTheta):
+    "Do not use, not officially supported!"
     _instances = []
-    _logexp = Logexp()
+    def __new__(cls, mu_indices=None, var_indices=None):
-    def __new__(cls, mu_indices, var_indices):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:
@@ -182,8 +185,10 @@ class NormalNaturalAntti(NormalTheta):
         return "natantti"
 
 class NormalEta(Transformation):
+    "Do not use, not officially supported!"
     _instances = []
-    def __new__(cls, mu_indices, var_indices):
+    def __new__(cls, mu_indices=None, var_indices=None):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:
@@ -223,8 +228,10 @@ class NormalEta(Transformation):
         return "eta"
 
 class NormalNaturalThroughTheta(NormalTheta):
+    "Do not use, not officially supported!"
     _instances = []
-    def __new__(cls, mu_indices, var_indices):
+    def __new__(cls, mu_indices=None, var_indices=None):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:
@@ -272,8 +279,10 @@ class NormalNaturalThroughTheta(NormalTheta):
 
 
 class NormalNaturalWhooot(NormalTheta):
+    "Do not use, not officially supported!"
     _instances = []
-    def __new__(cls, mu_indices, var_indices):
+    def __new__(cls, mu_indices=None, var_indices=None):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:
@@ -307,8 +316,10 @@ class NormalNaturalWhooot(NormalTheta):
         return "natgrad"
 
 class NormalNaturalThroughEta(NormalEta):
+    "Do not use, not officially supported!"
     _instances = []
-    def __new__(cls, mu_indices, var_indices):
+    def __new__(cls, mu_indices=None, var_indices=None):
+        "Do not use, not officially supported!"
         if cls._instances:
             cls._instances[:] = [instance for instance in cls._instances if instance()]
             for instance in cls._instances:

GPy/core/verbose_optimization.py

@@ -22,6 +22,7 @@ class VerboseOptimization(object):
             self.len_maxiters = len(str(maxiters))
             self.opt_name = opt.opt_name
             self.model.add_observer(self, self.print_status)
+            self.status = 'running'
 
             self.update()
 
@@ -65,7 +66,7 @@ class VerboseOptimization(object):
             else:
                 self.exps = exponents(self.fnow, self.current_gradient)
                 print 'Running {} Code:'.format(self.opt_name)
-                print ' {3:5s}   {0:{mi}s}   {1:11s}    {2:11s}'.format("i", "f", "|g|", "secs", mi=self.len_maxiters)
+                print ' {3:7s}   {0:{mi}s}   {1:11s}    {2:11s}'.format("i", "f", "|g|", "secs", mi=self.len_maxiters)
 
     def __enter__(self):
         self.start = time.time()
@@ -78,6 +79,7 @@ class VerboseOptimization(object):
                           ['evaluation', "{:>0{l}}".format(self.iteration, l=self.len_maxiters)],
                           ['objective', "{: > 12.3E}".format(self.fnow)],
                           ['||gradient||', "{: >+12.3E}".format(float(self.current_gradient))],
+                          ['status', "{:s}".format(self.status)],
                       ]
             #message = "Lik:{:5.3E} Grad:{:5.3E} Lik:{:5.3E} Len:{!s}".format(float(m.log_likelihood()), np.einsum('i,i->', grads, grads), float(m.likelihood.variance), " ".join(["{:3.2E}".format(l) for l in m.kern.lengthscale.values]))
             html_begin = """<style type="text/css">
@@ -109,7 +111,7 @@ class VerboseOptimization(object):
                 if b:
                     self.exps = n_exps
             print '\r',
-            print '{3:> 6.2g}  {0:>0{mi}g}  {1:> 12e}  {2:> 12e}'.format(self.iteration, float(self.fnow), float(self.current_gradient), time.time()-self.start, mi=self.len_maxiters), # print 'Iteration:', iteration, ' Objective:', fnow, '  Scale:', beta, '\r',
+            print '{3:> 7.2g}  {0:>0{mi}g}  {1:> 12e}  {2:> 12e}'.format(self.iteration, float(self.fnow), float(self.current_gradient), time.time()-self.start, mi=self.len_maxiters), # print 'Iteration:', iteration, ' Objective:', fnow, '  Scale:', beta, '\r',
             sys.stdout.flush()
 
     def print_status(self, me, which=None):
@@ -128,6 +130,9 @@ class VerboseOptimization(object):
         else:
             self.current_gradient = np.nan
 
+    def finish(self, opt):
+        self.status = opt.status
+
     def __exit__(self, type, value, traceback):
         if self.verbose:
             self.stop = time.time()

GPy/inference/__init__.py

@@ -1,2 +1,3 @@
 import latent_function_inference
-import optimization
+import optimization
+import mcmc

GPy/inference/mcmc/hmc.py

@@ -1,4 +1,4 @@
-# ## Copyright (c) 2014, Zhenwen Dai
+# ## Copyright (c) 2014 Mu Niu, Zhenwen Dai and GPy Authors
 # Licensed under the BSD 3-clause license (see LICENSE.txt)
 
 import numpy as np

GPy/inference/optimization/optimization.py

@@ -37,7 +37,7 @@ class Optimizer():
         self.x_opt = None
         self.funct_eval = None
         self.status = None
-        self.max_f_eval = int(max_f_eval)
+        self.max_f_eval = int(max_iters)
         self.max_iters = int(max_iters)
         self.bfgs_factor = bfgs_factor
         self.trace = None

GPy/inference/optimization/scg.py

@@ -61,6 +61,7 @@ def SCG(f, gradf, x, optargs=(), maxiters=500, max_f_eval=np.inf, display=True,
     function_eval = 1
     fnow = fold
     gradnew = gradf(x, *optargs) # Initial gradient.
+    function_eval += 1
     #if any(np.isnan(gradnew)):
     #    raise UnexpectedInfOrNan, "Gradient contribution resulted in a NaN value"
     current_grad = np.dot(gradnew, gradnew)
@@ -96,6 +97,7 @@ def SCG(f, gradf, x, optargs=(), maxiters=500, max_f_eval=np.inf, display=True,
             sigma = sigma0 / np.sqrt(kappa)
             xplus = x + sigma * d
             gplus = gradf(xplus, *optargs)
+            function_eval += 1
             theta = np.dot(d, (gplus - gradnew)) / sigma
 
         # Increase effective curvature and evaluate step size alpha.
@@ -111,10 +113,10 @@ def SCG(f, gradf, x, optargs=(), maxiters=500, max_f_eval=np.inf, display=True,
         fnew = f(xnew, *optargs)
         function_eval += 1
 
-#         if function_eval >= max_f_eval:
+        if function_eval >= max_f_eval:
-#             status = "maximum number of function evaluations exceeded"
+            status = "maximum number of function evaluations exceeded"
-#             break
+            break
-#             return x, flog, function_eval, status
+            return x, flog, function_eval, status
 
         Delta = 2.*(fnew - fold) / (alpha * mu)
         if Delta >= 0.:
@@ -156,6 +158,7 @@ def SCG(f, gradf, x, optargs=(), maxiters=500, max_f_eval=np.inf, display=True,
                 # Update variables for new position
                 gradold = gradnew
                 gradnew = gradf(x, *optargs)
+                function_eval += 1
                 current_grad = np.dot(gradnew, gradnew)
                 fold = fnew
                 # If the gradient is zero then we are done.

GPy/kern/__init__.py

@@ -13,6 +13,7 @@ from _src.ODE_UYC import ODE_UYC
 from _src.ODE_st import ODE_st
 from _src.ODE_t import ODE_t
 from _src.poly import Poly
+from _src.eq_ode2 import EQ_ODE2
 
 from _src.trunclinear import TruncLinear,TruncLinear_inf
 from _src.splitKern import SplitKern,DiffGenomeKern

GPy/models/bayesian_gplvm_minibatch.py

@@ -83,8 +83,8 @@ class BayesianGPLVMMiniBatch(SparseGPMiniBatch):
         """Get the gradients of the posterior distribution of X in its specific form."""
         return X.mean.gradient, X.variance.gradient
 
-    def _inner_parameters_changed(self, kern, X, Z, likelihood, Y, Y_metadata, Lm=None, dL_dKmm=None, subset_indices=None):
+    def _inner_parameters_changed(self, kern, X, Z, likelihood, Y, Y_metadata, Lm=None, dL_dKmm=None, subset_indices=None, **kw):
-        posterior, log_marginal_likelihood, grad_dict, current_values, value_indices = super(BayesianGPLVMMiniBatch, self)._inner_parameters_changed(kern, X, Z, likelihood, Y, Y_metadata, Lm=Lm, dL_dKmm=dL_dKmm, subset_indices=subset_indices)
+        posterior, log_marginal_likelihood, grad_dict, current_values, value_indices = super(BayesianGPLVMMiniBatch, self)._inner_parameters_changed(kern, X, Z, likelihood, Y, Y_metadata, Lm=Lm, dL_dKmm=dL_dKmm, subset_indices=subset_indices, **kw)
 
         if self.has_uncertain_inputs():
             current_values['meangrad'], current_values['vargrad'] = self.kern.gradients_qX_expectations(

GPy/models/sparse_gp_minibatch.py

@@ -97,7 +97,7 @@ Created on 3 Nov 2014
     def has_uncertain_inputs(self):
         return isinstance(self.X, VariationalPosterior)
 
-    def _inner_parameters_changed(self, kern, X, Z, likelihood, Y, Y_metadata, Lm=None, dL_dKmm=None, subset_indices=None):
+    def _inner_parameters_changed(self, kern, X, Z, likelihood, Y, Y_metadata, Lm=None, dL_dKmm=None, subset_indices=None, **kwargs):
         """
         This is the standard part, which usually belongs in parameters_changed.
 
@@ -117,7 +117,7 @@ Created on 3 Nov 2014
         algorithm.
         """
         try:
-            posterior, log_marginal_likelihood, grad_dict = self.inference_method.inference(kern, X, Z, likelihood, Y, Y_metadata, Lm=Lm, dL_dKmm=None)
+            posterior, log_marginal_likelihood, grad_dict = self.inference_method.inference(kern, X, Z, likelihood, Y, Y_metadata, Lm=Lm, dL_dKmm=None, **kwargs)
         except:
             posterior, log_marginal_likelihood, grad_dict = self.inference_method.inference(kern, X, Z, likelihood, Y, Y_metadata)
         current_values = {}