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used scipy.weave to improve the speed of rbf grads

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for large number of input dimensions with ARD, wqe have approx tenfold
speedup.
This commit is contained in:
James Hensman 2013-05-30 09:29:26 +01:00
parent d461f5f9bf
commit dc33aa1b8c
1 changed files with 45 additions and 7 deletions
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52
GPy/kern/rbf.py
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@ -56,6 +56,13 @@ class rbf(kernpart):
self._Z, self._mu, self._S = np.empty(shape=(3,1)) self._Z, self._mu, self._S = np.empty(shape=(3,1))
self._X, self._X2, self._params = np.empty(shape=(3,1)) self._X, self._X2, self._params = np.empty(shape=(3,1))
#a set of optional args to pass to weave
self.weave_options = {'headers' : ['<omp.h>'],
'extra_compile_args': ['-fopenmp -O3'], #-march=native'],
'extra_link_args' : ['-lgomp']}
def _get_params(self): def _get_params(self):
return np.hstack((self.variance,self.lengthscale)) return np.hstack((self.variance,self.lengthscale))
@ -85,8 +92,43 @@ class rbf(kernpart):
self._K_computations(X,X2) self._K_computations(X,X2)
target[0] += np.sum(self._K_dvar*dL_dK) target[0] += np.sum(self._K_dvar*dL_dK)
if self.ARD: if self.ARD:
if X2 is None: X2 = X dvardLdK = self._K_dvar*dL_dK
[np.add(target[1+q:2+q],(self.variance/self.lengthscale[q]**3)*np.sum(self._K_dvar*dL_dK*np.square(X[:,q][:,None]-X2[:,q][None,:])),target[1+q:2+q]) for q in range(self.D)] var_len3 = self.variance/np.power(self.lengthscale,3)
if X2 is None:
#save computation for the symmetrical case
dvardLdK += dvardLdK.T
code = """
int q,i,j;
double tmp;
for(q=0; q<D; q++){
tmp = 0;
for(i=0; i<N; i++){
for(j=0; j<i; j++){
tmp += (X(i,q)-X(j,q))*(X(i,q)-X(j,q))*dvardLdK(i,j);
}
}
target(q+1) += var_len3(q)*tmp;
}
"""
N,M,D = X.shape[0], X.shape[0], self.D
else:
code = """
int q,i,j;
double tmp;
for(q=0; q<D; q++){
tmp = 0;
for(i=0; i<N; i++){
for(j=0; j<M; j++){
tmp += (X(i,q)-X2(j,q))*(X(i,q)-X2(j,q))*dvardLdK(i,j);
}
}
target(q+1) += var_len3(q)*tmp;
}
"""
N,M,D = X.shape[0], X2.shape[0], self.D
#[np.add(target[1+q:2+q],var_len3[q]*np.sum(dvardLdK*np.square(X[:,q][:,None]-X2[:,q][None,:])),target[1+q:2+q]) for q in range(self.D)]
weave.inline(code, arg_names=['N','M','D','X','X2','target','dvardLdK','var_len3'],
type_converters=weave.converters.blitz,**self.weave_options)
else: else:
target[1] += (self.variance/self.lengthscale)*np.sum(self._K_dvar*self._K_dist2*dL_dK) target[1] += (self.variance/self.lengthscale)*np.sum(self._K_dvar*self._K_dist2*dL_dK)
@ -227,10 +269,6 @@ class rbf(kernpart):
self._Z, self._mu, self._S = Z, mu,S self._Z, self._mu, self._S = Z, mu,S
def weave_psi2(self,mu,Zhat): def weave_psi2(self,mu,Zhat):
weave_options = {'headers' : ['<omp.h>'],
'extra_compile_args': ['-fopenmp -O3'], #-march=native'],
'extra_link_args' : ['-lgomp']}
N,Q = mu.shape N,Q = mu.shape
M = Zhat.shape[0] M = Zhat.shape[0]
@ -288,6 +326,6 @@ class rbf(kernpart):
""" """
weave.inline(code, support_code=support_code, libraries=['gomp'], weave.inline(code, support_code=support_code, libraries=['gomp'],
arg_names=['N','M','Q','mu','Zhat','mudist_sq','mudist','lengthscale2','_psi2_denom','psi2_Zdist_sq','psi2_exponent','half_log_psi2_denom','psi2','variance_sq'], arg_names=['N','M','Q','mu','Zhat','mudist_sq','mudist','lengthscale2','_psi2_denom','psi2_Zdist_sq','psi2_exponent','half_log_psi2_denom','psi2','variance_sq'],
type_converters=weave.converters.blitz,**weave_options) type_converters=weave.converters.blitz,**self.weave_options)
return mudist,mudist_sq, psi2_exponent, psi2 return mudist,mudist_sq, psi2_exponent, psi2