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numerical stability in variational expectations

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This commit is contained in:
James Hensman 2014-10-16 17:32:37 +01:00
parent e0d3633ec3
commit d26beb215a
1 changed files with 4 additions and 3 deletions
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7
GPy/likelihoods/bernoulli.py
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@ -177,11 +177,12 @@ class Bernoulli(Likelihood):
(the distribution for y_i depends only on inverse link of f_i not on inverse link of f_(j!=i) (the distribution for y_i depends only on inverse link of f_i not on inverse link of f_(j!=i)
""" """
#d2logpdf_dlink2 = -y/(inv_link_f**2) - (1-y)/((1-inv_link_f)**2) #d2logpdf_dlink2 = -y/(inv_link_f**2) - (1-y)/((1-inv_link_f)**2)
state = np.seterr(divide='ignore')
# TODO check y \in {0, 1} or {-1, 1}
#d2logpdf_dlink2 = np.where(y, -1./np.square(inv_link_f), -1./np.square(1.-inv_link_f)) #d2logpdf_dlink2 = np.where(y, -1./np.square(inv_link_f), -1./np.square(1.-inv_link_f))
arg = np.where(y, inv_link_f, 1.-inv_link_f) arg = np.where(y, inv_link_f, 1.-inv_link_f)
return -1./np.square(arg) ret = -1./np.square(np.clip(arg, 1e-3, np.inf))
if np.any(np.isinf(ret)):
stop
return ret
def d3logpdf_dlink3(self, inv_link_f, y, Y_metadata=None): def d3logpdf_dlink3(self, inv_link_f, y, Y_metadata=None):
""" """