diff --git a/GPy/inference/latent_function_inference/svgp.py b/GPy/inference/latent_function_inference/svgp.py index 48484ae8..bf790f43 100644 --- a/GPy/inference/latent_function_inference/svgp.py +++ b/GPy/inference/latent_function_inference/svgp.py @@ -44,59 +44,61 @@ class SVGP(LatentFunctionInference): #compute the KL term KL = -0.5*logdetS.sum() + 0.5*np.sum(np.square(q_v_mean)) + 0.5*traceS.sum() - dL_dmv = q_v_mean*1 + dL_dmv = -q_v_mean*1 dL_dL = np.zeros_like(Lv) - for k in range(num_outputs): + for i in range(num_outputs): Lii = np.diagonal(Lv[i]) - diag = np.diagonal(dL_dL[i]) - diag = Lii - 1./Lii # write in place, need numpy 1.9+ + dL_dL[i] -= np.diag(Lii - 1./Lii) #quadrature for the likelihood F, dF_dmu, dF_dv, dF_dthetaL = likelihood.variational_expectations(Y, mu, var, Y_metadata=Y_metadata) #rescale the F term if working on a batch F, dF_dmu, dF_dv = F*batch_scale, dF_dmu*batch_scale, dF_dv*batch_scale + + #sum over the data for the gradients of the likelihood parameters if dF_dthetaL is not None: dF_dthetaL = dF_dthetaL.sum(1).sum(1)*batch_scale #mv dL_dmv += A.T.dot(dF_dmu) + # A + dL_dA_via_v = np.zeros(A.shape) + for i in range(num_outputs): + dL_dA_via_v += -2*(np.eye(num_inducing) - Sv[i]).dot(A.T * dF_dv[:,i]).T + #Kfu RiTm, _ = linalg.dtrtrs(R, q_v_mean, lower=1, trans=1) - dL_dKmn = np.zeros((num_inducing, num_data)) - for i in range(num_outputs): - tmp, _ = linalg.dtrtrs(R, np.eye(num_inducing)-Sv[i], trans=1, lower=1) - dL_dKmn += -2*np.dot(tmp, A.T*dF_dv[:,i]) + dL_dKmn, _ = linalg.dtrtrs(R, dL_dA_via_v.T, trans=1, lower=1) dL_dKmn += np.dot(RiTm, dF_dmu.T) #L for i in range(num_outputs): - dL_dL[i] += np.dot(Lv[i].T, A.T).dot(A*dF_dv[:,i][:,None]) + dL_dL[i] += 2*np.dot(Lv[i].T, A.T).dot(A*dF_dv[:,i][:,None]).T #R - dL_dR = np.zeros((num_inducing, num_inducing)) - for i in range(num_outputs): - tmp = np.eye(num_inducing) - Sv[i] - tmp = np.dot(tmp, A.T) - tmp = np.dot(tmp, A*dF_dv[:,i][:,None]) - tmp, _ = linalg.dtrtrs(R, tmp, trans=1, lower=1) - dL_dR += 2*tmp.T - dL_dR -= A.T.dot(dF_dmu).dot(RiTm.T) + dL_dR,_ = linalg.dtrtrs(R, -dL_dA_via_v.T.dot(A), trans=1, lower=1) + dL_dR -= A.T.dot(dF_dmu).dot(RiTm.T).T #backprop dL_dR for dL_dKmm dL_dKmm = choleskies.backprop_gradient(dL_dR, R) + dL_dKdiag = dF_dv.sum(1) #sum (gradients of) expected likelihood and KL part log_marginal = F.sum() - KL dL_dchol = choleskies.triang_to_flat(dL_dL) - grad_dict = {'dL_dKmm':dL_dKmm, 'dL_dKmn':dL_dKmn, 'dL_dKdiag': dF_dv.sum(1), 'dL_dm':dL_dmv, 'dL_dchol':dL_dchol, 'dL_dthetaL':dF_dthetaL} - if mean_function is not None: - grad_dict['dL_dmfZ'] = dF_dmfZ - dKL_dmfZ - grad_dict['dL_dmfX'] = dF_dmfX + grad_dict = {'dL_dKmm':dL_dKmm, 'dL_dKmn':dL_dKmn, 'dL_dKdiag': dL_dKdiag, 'dL_dm':dL_dmv, 'dL_dchol':dL_dchol, 'dL_dthetaL':dF_dthetaL} + #get the posterior in terms of u for GPy compat. q_u_mean = np.dot(R, q_v_mean) - return Posterior(mean=q_u_mean, cov=Sv.T, K=Kmm, prior_mean=0.), log_marginal, grad_dict + + Su = Sv.copy() + for i in range(num_outputs): + Su[i] = np.dot(R, Sv[i]).dot(R.T) + + + return Posterior(mean=q_u_mean, cov=Su.T, K=Kmm, prior_mean=0.), log_marginal, grad_dict