diff --git a/GPy/likelihoods/likelihood.py b/GPy/likelihoods/likelihood.py index 1295245c..4f3f2e37 100644 --- a/GPy/likelihoods/likelihood.py +++ b/GPy/likelihoods/likelihood.py @@ -70,7 +70,7 @@ class Likelihood(Parameterized): """ raise NotImplementedError - def log_predictive_density(self, y_test, mu_star, var_star): + def log_predictive_density(self, y_test, mu_star, var_star, Y_metadata=None): """ Calculation of the log predictive density @@ -87,13 +87,46 @@ class Likelihood(Parameterized): assert y_test.shape==mu_star.shape assert y_test.shape==var_star.shape assert y_test.shape[1] == 1 - def integral_generator(y, m, v): + + flat_y_test = y_test.flatten() + flat_mu_star = mu_star.flatten() + flat_var_star = var_star.flatten() + + if Y_metadata is not None: + #Need to zip individual elements of Y_metadata aswell + Y_metadata_flat = {} + if Y_metadata is not None: + for key, val in Y_metadata.items(): + Y_metadata_flat[key] = np.atleast_1d(val).reshape(-1,1) + + zipped_values = [] + + for i in range(y_test.shape[0]): + y_m = {} + for key, val in Y_metadata_flat.items(): + if np.isscalar(val) or val.shape[0] == 1: + y_m[key] = val + else: + #Won't broadcast yet + y_m[key] = val[i] + zipped_values.append((flat_y_test[i], flat_mu_star[i], flat_var_star[i], y_m)) + else: + #Otherwise just pass along None's + zipped_values = zip(flat_y_test, flat_mu_star, flat_var_star, [None]*y_test.shape[0]) + + def integral_generator(y, m, v, y_m): """Generate a function which can be integrated to give p(Y*|Y) = int p(Y*|f*)p(f*|Y) df*""" def f(f_star): - return self.pdf(f_star, y)*np.exp(-(1./(2*v))*np.square(m-f_star)) + #exponent = np.exp(-(1./(2*v))*np.square(m-f_star)) + #from GPy.util.misc import safe_exp + #exponent = safe_exp(exponent) + #return self.pdf(f_star, y, y_m)*exponent + + #More stable in the log space + return np.exp(self.logpdf(f_star, y, y_m) -(1./(2*v))*np.square(m-f_star)) return f - scaled_p_ystar, accuracy = zip(*[quad(integral_generator(y, m, v), -np.inf, np.inf) for y, m, v in zip(y_test.flatten(), mu_star.flatten(), var_star.flatten())]) + scaled_p_ystar, accuracy = zip(*[quad(integral_generator(y, m, v, y_m), -np.inf, np.inf) for y, m, v, y_m in zipped_values]) scaled_p_ystar = np.array(scaled_p_ystar).reshape(-1,1) p_ystar = scaled_p_ystar/np.sqrt(2*np.pi*var_star) return np.log(p_ystar)