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Added numerical clipping

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This commit is contained in:
Alan Saul 2015-04-10 09:58:11 +01:00
parent 5c9d458978
commit debc2f1a0e
1 changed files with 6 additions and 5 deletions
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11
GPy/util/misc.py
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@ -2,13 +2,14 @@
# Licensed under the BSD 3-clause license (see LICENSE.txt) # Licensed under the BSD 3-clause license (see LICENSE.txt)
import numpy as np import numpy as np
from scipy.special import cbrt
from .config import * from .config import *
_lim_val = np.finfo(np.float64).max _lim_val = np.finfo(np.float64).max
_lim_val_exp = np.log(_lim_val) _lim_val_exp = np.log(_lim_val)
_lim_val_square = np.sqrt(_lim_val) _lim_val_square = np.sqrt(_lim_val)
_lim_val_cube = np.power(_lim_val, -3) _lim_val_cube = cbrt(_lim_val)
def safe_exp(f): def safe_exp(f):
clip_f = np.clip(f, -np.inf, _lim_val_exp) clip_f = np.clip(f, -np.inf, _lim_val_exp)
@ -39,8 +40,8 @@ def chain_2(d2f_dg2, dg_dx, df_dg, d2g_dx2):
return d2f_dg2 return d2f_dg2
if len(d2f_dg2) > 1 and d2f_dg2.shape[-1] > 1: if len(d2f_dg2) > 1 and d2f_dg2.shape[-1] > 1:
raise NotImplementedError('Not implemented for matricies yet') raise NotImplementedError('Not implemented for matricies yet')
#dg_dx_2 = np.clip(dg_dx, 1e-12, _lim_val_square)**2 dg_dx_2 = np.clip(dg_dx, -np.inf, _lim_val_square)**2
dg_dx_2 = dg_dx**2 #dg_dx_2 = dg_dx**2
return d2f_dg2*(dg_dx_2) + df_dg*d2g_dx2 return d2f_dg2*(dg_dx_2) + df_dg*d2g_dx2
def chain_3(d3f_dg3, dg_dx, d2f_dg2, d2g_dx2, df_dg, d3g_dx3): def chain_3(d3f_dg3, dg_dx, d2f_dg2, d2g_dx2, df_dg, d3g_dx3):
@ -55,8 +56,8 @@ def chain_3(d3f_dg3, dg_dx, d2f_dg2, d2g_dx2, df_dg, d3g_dx3):
if ( (len(d2f_dg2) > 1 and d2f_dg2.shape[-1] > 1) if ( (len(d2f_dg2) > 1 and d2f_dg2.shape[-1] > 1)
or (len(d3f_dg3) > 1 and d3f_dg3.shape[-1] > 1)): or (len(d3f_dg3) > 1 and d3f_dg3.shape[-1] > 1)):
raise NotImplementedError('Not implemented for matricies yet') raise NotImplementedError('Not implemented for matricies yet')
#dg_dx_3 = np.clip(dg_dx, 1e-12, _lim_val_cube)**3 dg_dx_3 = np.clip(dg_dx, -np.inf, _lim_val_cube)**3
dg_dx_3 = dg_dx**3 #dg_dx_3 = dg_dx**3
return d3f_dg3*(dg_dx_3) + 3*d2f_dg2*dg_dx*d2g_dx2 + df_dg*d3g_dx3 return d3f_dg3*(dg_dx_3) + 3*d2f_dg2*dg_dx*d2g_dx2 + df_dg*d3g_dx3
def opt_wrapper(m, **kwargs): def opt_wrapper(m, **kwargs):