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bug fix for mcmc sampler and add test case

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This commit is contained in:
Zhenwen Dai 2016-03-10 18:37:53 +00:00
parent ba74e29aee
commit f2b813551a
2 changed files with 18 additions and 5 deletions
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8
GPy/inference/mcmc/samplers.py
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@ -37,16 +37,14 @@ class Metropolis_Hastings(object):
def sample(self, Ntotal=10000, Nburn=1000, Nthin=10, tune=True, tune_throughout=False, tune_interval=400):
current = self.model.optimizer_array
fcurrent = self.model.log_likelihood() + self.model.log_prior() + \
self.model._log_det_jacobian()
fcurrent = self.model.log_likelihood() + self.model.log_prior()
accepted = np.zeros(Ntotal,dtype=np.bool)
for it in range(Ntotal):
print("sample %d of %d\r"%(it,Ntotal),end="\t")
print("sample %d of %d\r"%(it+1,Ntotal),end="")
sys.stdout.flush()
prop = np.random.multivariate_normal(current, self.cov*self.scale*self.scale)
self.model.optimizer_array = prop
fprop = self.model.log_likelihood() + self.model.log_prior() + \
self.model._log_det_jacobian()
fprop = self.model.log_likelihood() + self.model.log_prior()
if fprop>fcurrent:#sample accepted, going 'uphill'
accepted[it] = True