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https://github.com/SheffieldML/GPy.git
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merged variational posterior changes
This commit is contained in:
Max Zwiessele
commit
d29fa56af2
43 changed files with 1424 additions and 1936 deletions
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@ -3,6 +3,7 @@
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from posterior import Posterior
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from ...util.linalg import jitchol, backsub_both_sides, tdot, dtrtrs, dtrtri, dpotri, dpotrs, symmetrify
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from ...core.parameterization.variational import VariationalPosterior
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import numpy as np
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from ...util.misc import param_to_array
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log_2_pi = np.log(2*np.pi)
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@ -23,13 +24,13 @@ class VarDTC(object):
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from ...util.caching import Cacher
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self.get_trYYT = Cacher(self._get_trYYT, 1)
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self.get_YYTfactor = Cacher(self._get_YYTfactor, 1)
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def _get_trYYT(self, Y):
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return param_to_array(np.sum(np.square(Y)))
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def _get_YYTfactor(self, Y):
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"""
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find a matrix L which satisfies LLT = YYT.
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find a matrix L which satisfies LLT = YYT.
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Note that L may have fewer columns than Y.
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"""
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@ -38,28 +39,26 @@ class VarDTC(object):
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return param_to_array(Y)
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else:
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return jitchol(tdot(Y))
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def get_VVTfactor(self, Y, prec):
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return Y * prec # TODO chache this, and make it effective
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def inference(self, kern, X, X_variance, Z, likelihood, Y):
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"""Inference for normal sparseGP"""
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uncertain_inputs = False
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psi0, psi1, psi2 = _compute_psi(kern, X, Z)
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return self._inference(kern, psi0, psi1, psi2, Z, likelihood, Y, uncertain_inputs)
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def inference_latent(self, kern, posterior_variational, Z, likelihood, Y):
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"""Inference for GPLVM with uncertain inputs"""
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uncertain_inputs = True
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psi0, psi1, psi2 = _compute_psi_latent(kern, posterior_variational, Z)
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return self._inference(kern, psi0, psi1, psi2, Z, likelihood, Y, uncertain_inputs)
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def _inference(self, kern, psi0, psi1, psi2, Z, likelihood, Y, uncertain_inputs):
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def inference(self, kern, X, Z, likelihood, Y):
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if isinstance(X, VariationalPosterior):
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uncertain_inputs = True
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psi0 = kern.psi0(Z, X)
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psi1 = kern.psi1(Z, X)
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psi2 = kern.psi2(Z, X)
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else:
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uncertain_inputs = False
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psi0 = kern.Kdiag(X)
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psi1 = kern.K(X, Z)
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psi2 = None
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#see whether we're using variational uncertain inputs
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_, output_dim = Y.shape
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#see whether we've got a different noise variance for each datum
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beta = 1./np.squeeze(likelihood.variance)
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@ -69,16 +68,16 @@ class VarDTC(object):
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VVT_factor = beta*Y
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#VVT_factor = beta*Y
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trYYT = self.get_trYYT(Y)
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# do the inference:
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het_noise = beta.size < 1
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num_inducing = Z.shape[0]
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num_data = Y.shape[0]
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# kernel computations, using BGPLVM notation
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Kmm = kern.K(Z)
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Kmm = kern.K(Z)
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Lm = jitchol(Kmm)
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# The rather complex computations of A
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if uncertain_inputs:
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if het_noise:
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@ -124,33 +123,33 @@ class VarDTC(object):
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dL_dKmm = backsub_both_sides(Lm, delit)
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# derivatives of L w.r.t. psi
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dL_dpsi0, dL_dpsi1, dL_dpsi2 = _compute_dL_dpsi(num_inducing, num_data, output_dim, beta, Lm,
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VVT_factor, Cpsi1Vf, DBi_plus_BiPBi,
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dL_dpsi0, dL_dpsi1, dL_dpsi2 = _compute_dL_dpsi(num_inducing, num_data, output_dim, beta, Lm,
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VVT_factor, Cpsi1Vf, DBi_plus_BiPBi,
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psi1, het_noise, uncertain_inputs)
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# log marginal likelihood
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log_marginal = _compute_log_marginal_likelihood(likelihood, num_data, output_dim, beta, het_noise,
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log_marginal = _compute_log_marginal_likelihood(likelihood, num_data, output_dim, beta, het_noise,
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psi0, A, LB, trYYT, data_fit)
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#put the gradients in the right places
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partial_for_likelihood = _compute_partial_for_likelihood(likelihood,
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het_noise, uncertain_inputs, LB,
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_LBi_Lmi_psi1Vf, DBi_plus_BiPBi, Lm, A,
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psi0, psi1, beta,
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partial_for_likelihood = _compute_partial_for_likelihood(likelihood,
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het_noise, uncertain_inputs, LB,
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_LBi_Lmi_psi1Vf, DBi_plus_BiPBi, Lm, A,
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psi0, psi1, beta,
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data_fit, num_data, output_dim, trYYT)
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#likelihood.update_gradients(partial_for_likelihood)
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if uncertain_inputs:
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dpsi0':dL_dpsi0,
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'dL_dpsi1':dL_dpsi1,
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'dL_dpsi2':dL_dpsi2,
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dpsi0':dL_dpsi0,
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'dL_dpsi1':dL_dpsi1,
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'dL_dpsi2':dL_dpsi2,
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'partial_for_likelihood':partial_for_likelihood}
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else:
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dKdiag':dL_dpsi0,
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'dL_dKnm':dL_dpsi1,
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dKdiag':dL_dpsi0,
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'dL_dKnm':dL_dpsi1,
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'partial_for_likelihood':partial_for_likelihood}
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#get sufficient things for posterior prediction
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@ -181,7 +180,7 @@ class VarDTCMissingData(object):
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from ...util.caching import Cacher
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self._Y = Cacher(self._subarray_computations, 1)
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pass
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def _subarray_computations(self, Y):
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inan = np.isnan(Y)
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has_none = inan.any()
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@ -202,19 +201,18 @@ class VarDTCMissingData(object):
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self._subarray_indices = [[slice(None),slice(None)]]
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return [Y], [(Y**2).sum()]
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def inference(self, kern, X, X_variance, Z, likelihood, Y):
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"""Inference for normal sparseGP"""
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uncertain_inputs = False
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psi0, psi1, psi2 = _compute_psi(kern, X, Z)
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return self._inference(kern, psi0, psi1, psi2, Z, likelihood, Y, uncertain_inputs)
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def inference(self, kern, X, Z, likelihood, Y):
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if isinstance(X, VariationalPosterior):
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uncertain_inputs = True
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psi0 = kern.psi0(Z, X)
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psi1 = kern.psi1(Z, X)
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psi2 = kern.psi2(Z, X)
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else:
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uncertain_inputs = False
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psi0 = kern.Kdiag(X)
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psi1 = kern.K(X, Z)
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psi2 = None
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def inference_latent(self, kern, posterior_variational, Z, likelihood, Y):
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"""Inference for GPLVM with uncertain inputs"""
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uncertain_inputs = True
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psi0, psi1, psi2 = _compute_psi_latent(kern, posterior_variational, Z)
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return self._inference(kern, psi0, psi1, psi2, Z, likelihood, Y, uncertain_inputs)
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def _inference(self, kern, psi0_all, psi1_all, psi2_all, Z, likelihood, Y, uncertain_inputs):
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Ys, traces = self._Y(Y)
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beta_all = 1./likelihood.variance
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het_noise = beta_all.size != 1
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@ -226,15 +224,15 @@ class VarDTCMissingData(object):
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dL_dpsi1_all = np.zeros((Y.shape[0], num_inducing))
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if uncertain_inputs:
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dL_dpsi2_all = np.zeros((Y.shape[0], num_inducing, num_inducing))
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partial_for_likelihood = 0
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woodbury_vector = np.zeros((num_inducing, Y.shape[1]))
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woodbury_inv_all = np.zeros((num_inducing, num_inducing, Y.shape[1]))
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dL_dKmm = 0
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log_marginal = 0
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Kmm = kern.K(Z)
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#factor Kmm
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#factor Kmm
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Lm = jitchol(Kmm)
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if uncertain_inputs: LmInv = dtrtri(Lm)
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@ -242,11 +240,11 @@ class VarDTCMissingData(object):
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full_VVT_factor = VVT_factor_all.shape[1] == Y.shape[1]
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if not full_VVT_factor:
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psi1V = np.dot(Y.T*beta_all, psi1_all).T
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for y, trYYT, [v, ind] in itertools.izip(Ys, traces, self._subarray_indices):
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if het_noise: beta = beta_all[ind]
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else: beta = beta_all[0]
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VVT_factor = (beta*y)
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VVT_factor_all[v, ind].flat = VVT_factor.flat
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output_dim = y.shape[1]
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@ -256,7 +254,7 @@ class VarDTCMissingData(object):
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if uncertain_inputs: psi2 = psi2_all[v, :]
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else: psi2 = None
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num_data = psi1.shape[0]
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if uncertain_inputs:
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if het_noise: psi2_beta = psi2 * (beta.flatten().reshape(num_data, 1, 1)).sum(0)
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else: psi2_beta = psi2.sum(0) * beta
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@ -270,13 +268,13 @@ class VarDTCMissingData(object):
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# factor B
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B = np.eye(num_inducing) + A
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LB = jitchol(B)
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psi1Vf = psi1.T.dot(VVT_factor)
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tmp, _ = dtrtrs(Lm, psi1Vf, lower=1, trans=0)
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_LBi_Lmi_psi1Vf, _ = dtrtrs(LB, tmp, lower=1, trans=0)
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tmp, _ = dtrtrs(LB, _LBi_Lmi_psi1Vf, lower=1, trans=1)
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Cpsi1Vf, _ = dtrtrs(Lm, tmp, lower=1, trans=1)
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# data fit and derivative of L w.r.t. Kmm
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delit = tdot(_LBi_Lmi_psi1Vf)
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data_fit = np.trace(delit)
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@ -287,34 +285,34 @@ class VarDTCMissingData(object):
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dL_dKmm += backsub_both_sides(Lm, delit)
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# derivatives of L w.r.t. psi
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dL_dpsi0, dL_dpsi1, dL_dpsi2 = _compute_dL_dpsi(num_inducing, num_data, output_dim, beta, Lm,
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VVT_factor, Cpsi1Vf, DBi_plus_BiPBi,
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dL_dpsi0, dL_dpsi1, dL_dpsi2 = _compute_dL_dpsi(num_inducing, num_data, output_dim, beta, Lm,
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VVT_factor, Cpsi1Vf, DBi_plus_BiPBi,
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psi1, het_noise, uncertain_inputs)
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#import ipdb;ipdb.set_trace()
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dL_dpsi0_all[v] += dL_dpsi0
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dL_dpsi1_all[v, :] += dL_dpsi1
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if uncertain_inputs:
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dL_dpsi2_all[v, :] += dL_dpsi2
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# log marginal likelihood
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log_marginal += _compute_log_marginal_likelihood(likelihood, num_data, output_dim, beta, het_noise,
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log_marginal += _compute_log_marginal_likelihood(likelihood, num_data, output_dim, beta, het_noise,
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psi0, A, LB, trYYT, data_fit)
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#put the gradients in the right places
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partial_for_likelihood += _compute_partial_for_likelihood(likelihood,
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het_noise, uncertain_inputs, LB,
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_LBi_Lmi_psi1Vf, DBi_plus_BiPBi, Lm, A,
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psi0, psi1, beta,
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partial_for_likelihood += _compute_partial_for_likelihood(likelihood,
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het_noise, uncertain_inputs, LB,
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_LBi_Lmi_psi1Vf, DBi_plus_BiPBi, Lm, A,
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psi0, psi1, beta,
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data_fit, num_data, output_dim, trYYT)
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if full_VVT_factor: woodbury_vector[:, ind] = Cpsi1Vf
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else:
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print 'foobar'
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tmp, _ = dtrtrs(Lm, psi1V, lower=1, trans=0)
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tmp, _ = dpotrs(LB, tmp, lower=1)
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woodbury_vector[:, ind] = dtrtrs(Lm, tmp, lower=1, trans=1)[0]
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#import ipdb;ipdb.set_trace()
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Bi, _ = dpotri(LB, lower=1)
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symmetrify(Bi)
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@ -325,15 +323,15 @@ class VarDTCMissingData(object):
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# gradients:
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if uncertain_inputs:
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dpsi0':dL_dpsi0_all,
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'dL_dpsi1':dL_dpsi1_all,
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'dL_dpsi2':dL_dpsi2_all,
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dpsi0':dL_dpsi0_all,
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'dL_dpsi1':dL_dpsi1_all,
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'dL_dpsi2':dL_dpsi2_all,
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'partial_for_likelihood':partial_for_likelihood}
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else:
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dKdiag':dL_dpsi0_all,
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'dL_dKnm':dL_dpsi1_all,
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grad_dict = {'dL_dKmm': dL_dKmm,
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'dL_dKdiag':dL_dpsi0_all,
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'dL_dKnm':dL_dpsi1_all,
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'partial_for_likelihood':partial_for_likelihood}
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#get sufficient things for posterior prediction
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@ -350,26 +348,13 @@ class VarDTCMissingData(object):
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#Bi = -dpotri(LB_all, lower=1)[0]
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#from ...util import diag
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#diag.add(Bi, 1)
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#woodbury_inv = backsub_both_sides(Lm, Bi)
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post = Posterior(woodbury_inv=woodbury_inv_all, woodbury_vector=woodbury_vector, K=Kmm, mean=None, cov=None, K_chol=Lm)
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return post, log_marginal, grad_dict
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def _compute_psi(kern, X, Z):
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psi0 = kern.Kdiag(X)
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psi1 = kern.K(X, Z)
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psi2 = None
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return psi0, psi1, psi2
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def _compute_psi_latent(kern, posterior_variational, Z):
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psi0 = kern.psi0(Z, posterior_variational)
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psi1 = kern.psi1(Z, posterior_variational)
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psi2 = kern.psi2(Z, posterior_variational)
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return psi0, psi1, psi2
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def _compute_dL_dpsi(num_inducing, num_data, output_dim, beta, Lm, VVT_factor, Cpsi1Vf, DBi_plus_BiPBi, psi1, het_noise, uncertain_inputs):
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dL_dpsi0 = -0.5 * output_dim * (beta * np.ones([num_data, 1])).flatten()
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dL_dpsi1 = np.dot(VVT_factor, Cpsi1Vf.T)
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