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Merge branch 'devel' of github.com:SheffieldML/GPy into devel

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This commit is contained in:
Alan Saul 2015-05-26 16:02:31 +01:00
commit f43df8798a
20 changed files with 15370 additions and 857 deletions
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8
GPy/core/gp.py
View file

@ -208,6 +208,7 @@ class GP(Model):
Kxx = kern.Kdiag(_Xnew)
var = Kxx - np.sum(WiKx*Kx, 0)
var = var.reshape(-1, 1)
var[var<0.] = 0.
#force mu to be a column vector
if len(mu.shape)==1: mu = mu[:,None]
@ -229,13 +230,14 @@ class GP(Model):
:param Y_metadata: metadata about the predicting point to pass to the likelihood
:param kern: The kernel to use for prediction (defaults to the model
kern). this is useful for examining e.g. subprocesses.
:returns: (mean, var, lower_upper):
:returns: (mean, var):
mean: posterior mean, a Numpy array, Nnew x self.input_dim
var: posterior variance, a Numpy array, Nnew x 1 if full_cov=False, Nnew x Nnew otherwise
lower_upper: lower and upper boundaries of the 95% confidence intervals, Numpy arrays, Nnew x self.input_dim
If full_cov and self.input_dim > 1, the return shape of var is Nnew x Nnew x self.input_dim. If self.input_dim == 1, the return shape is Nnew x Nnew.
This is to allow for different normalizations of the output dimensions.
Note: If you want the predictive quantiles (e.g. 95% confidence interval) use :py:func:"~GPy.core.gp.GP.predict_quantiles".
"""
#predict the latent function values
mu, var = self._raw_predict(Xnew, full_cov=full_cov, kern=kern)
@ -255,7 +257,7 @@ class GP(Model):
:param quantiles: tuple of quantiles, default is (2.5, 97.5) which is the 95% interval
:type quantiles: tuple
:returns: list of quantiles for each X and predictive quantiles for interval combination
:rtype: [np.ndarray (Xnew x self.input_dim), np.ndarray (Xnew x self.input_dim)]
:rtype: [np.ndarray (Xnew x self.output_dim), np.ndarray (Xnew x self.output_dim)]
"""
m, v = self._raw_predict(X, full_cov=False)
if self.normalizer is not None:

4
GPy/core/model.py
View file

@ -76,7 +76,7 @@ class Model(Parameterized):
jobs = []
pool = mp.Pool(processes=num_processes)
for i in range(num_restarts):
self.randomize()
if i>0: self.randomize()
job = pool.apply_async(opt_wrapper, args=(self,), kwds=kwargs)
jobs.append(job)
@ -90,7 +90,7 @@ class Model(Parameterized):
for i in range(num_restarts):
try:
if not parallel:
self.randomize()
if i>0: self.randomize()
self.optimize(**kwargs)
else:
self.optimization_runs.append(jobs[i].get())

5
GPy/core/parameterization/param.py
View file

@ -38,6 +38,11 @@ class Param(Parameterizable, ObsAr):
Fixing parameters will fix them to the value they are right now. If you change
the fixed value, it will be fixed to the new value!
Important Note:
Multilevel indexing (e.g. self[:2][1:]) is not supported and might lead to unexpected behaviour.
Try to index in one go, using boolean indexing or the numpy builtin
np.index function.
See :py:class:`GPy.core.parameterized.Parameterized` for more details on constraining etc.
"""

49
GPy/core/parameterization/variational.py
View file

@ -36,8 +36,9 @@ class NormalPrior(VariationalPrior):
variational_posterior.variance.gradient -= (1. - (1. / (variational_posterior.variance))) * 0.5
class SpikeAndSlabPrior(VariationalPrior):
def __init__(self, pi=None, learnPi=False, variance = 1.0, name='SpikeAndSlabPrior', **kw):
def __init__(self, pi=None, learnPi=False, variance = 1.0, group_spike=False, name='SpikeAndSlabPrior', **kw):
super(SpikeAndSlabPrior, self).__init__(name=name, **kw)
self.group_spike = group_spike
self.variance = Param('variance',variance)
self.learnPi = learnPi
if learnPi:
@ -50,7 +51,10 @@ class SpikeAndSlabPrior(VariationalPrior):
def KL_divergence(self, variational_posterior):
mu = variational_posterior.mean
S = variational_posterior.variance
gamma = variational_posterior.gamma.values
if self.group_spike:
gamma = variational_posterior.gamma.values[0]
else:
gamma = variational_posterior.gamma.values
if len(self.pi.shape)==2:
idx = np.unique(variational_posterior.gamma._raveled_index()/gamma.shape[-1])
pi = self.pi[idx]
@ -65,14 +69,21 @@ class SpikeAndSlabPrior(VariationalPrior):
def update_gradients_KL(self, variational_posterior):
mu = variational_posterior.mean
S = variational_posterior.variance
gamma = variational_posterior.gamma.values
if self.group_spike:
gamma = variational_posterior.gamma.values[0]
else:
gamma = variational_posterior.gamma.values
if len(self.pi.shape)==2:
idx = np.unique(variational_posterior.gamma._raveled_index()/gamma.shape[-1])
pi = self.pi[idx]
else:
pi = self.pi
variational_posterior.binary_prob.gradient -= np.log((1-pi)/pi*gamma/(1.-gamma))+((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
if self.group_spike:
dgamma = np.log((1-pi)/pi*gamma/(1.-gamma))/variational_posterior.num_data
else:
dgamma = np.log((1-pi)/pi*gamma/(1.-gamma))
variational_posterior.binary_prob.gradient -= dgamma+((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
mu.gradient -= gamma*mu/self.variance
S.gradient -= (1./self.variance - 1./S) * gamma /2.
if self.learnPi:
@ -154,13 +165,31 @@ class SpikeAndSlabPosterior(VariationalPosterior):
'''
The SpikeAndSlab distribution for variational approximations.
'''
def __init__(self, means, variances, binary_prob, name='latent space'):
def __init__(self, means, variances, binary_prob, group_spike=False, sharedX=False, name='latent space'):
"""
binary_prob : the probability of the distribution on the slab part.
"""
super(SpikeAndSlabPosterior, self).__init__(means, variances, name)
self.gamma = Param("binary_prob",binary_prob,Logistic(0.,1.))
self.link_parameter(self.gamma)
self.group_spike = group_spike
self.sharedX = sharedX
if sharedX:
self.mean.fix(warning=False)
self.variance.fix(warning=False)
if group_spike:
self.gamma_group = Param("binary_prob_group",binary_prob.mean(axis=0),Logistic(1e-6,1.-1e-6))
self.gamma = Param("binary_prob",binary_prob, __fixed__)
self.link_parameters(self.gamma_group,self.gamma)
else:
self.gamma = Param("binary_prob",binary_prob,Logistic(1e-6,1.-1e-6))
self.link_parameter(self.gamma)
def propogate_val(self):
if self.group_spike:
self.gamma.values[:] = self.gamma_group.values
def collate_gradient(self):
if self.group_spike:
self.gamma_group.gradient = self.gamma.gradient.reshape(self.gamma.shape).sum(axis=0)
def set_gradients(self, grad):
self.mean.gradient, self.variance.gradient, self.gamma.gradient = grad
@ -179,15 +208,15 @@ class SpikeAndSlabPosterior(VariationalPosterior):
n.parameters[dc['variance']._parent_index_] = dc['variance']
n.parameters[dc['binary_prob']._parent_index_] = dc['binary_prob']
n._gradient_array_ = None
oversize = self.size - self.mean.size - self.variance.size
n.size = n.mean.size + n.variance.size + oversize
oversize = self.size - self.mean.size - self.variance.size - self.gamma.size
n.size = n.mean.size + n.variance.size + n.gamma.size + oversize
n.ndim = n.mean.ndim
n.shape = n.mean.shape
n.num_data = n.mean.shape[0]
n.input_dim = n.mean.shape[1] if n.ndim != 1 else 1
return n
else:
return super(VariationalPrior, self).__getitem__(s)
return super(SpikeAndSlabPosterior, self).__getitem__(s)
def plot(self, *args, **kwargs):
"""

2
GPy/core/svgp.py
View file

@ -46,7 +46,7 @@ class SVGP(SparseGP):
num_latent_functions = Y.shape[1]
self.m = Param('q_u_mean', np.zeros((self.num_inducing, num_latent_functions)))
chol = choleskies.triang_to_flat(np.tile(np.eye(self.num_inducing)[:,:,None], (1,1,num_latent_functions)))
chol = choleskies.triang_to_flat(np.tile(np.eye(self.num_inducing)[None,:,:], (num_latent_functions, 1,1)))
self.chol = Param('q_u_chol', chol)
self.link_parameter(self.chol)
self.link_parameter(self.m)

37
GPy/core/verbose_optimization.py
View file

@ -5,9 +5,10 @@ from __future__ import print_function
import numpy as np
import sys
import time
import datetime
def exponents(fnow, current_grad):
exps = [np.abs(np.float(fnow)), current_grad]
exps = [np.abs(np.float(fnow)), 1 if current_grad is np.nan else current_grad]
return np.sign(exps) * np.log10(exps).astype(int)
class VerboseOptimization(object):
@ -23,6 +24,7 @@ class VerboseOptimization(object):
self.model.add_observer(self, self.print_status)
self.status = 'running'
self.clear = clear_after_finish
self.deltat = .2
self.update()
@ -74,16 +76,31 @@ class VerboseOptimization(object):
else:
self.exps = exponents(self.fnow, self.current_gradient)
print('Running {} Code:'.format(self.opt_name))
print(' {3:7s} {0:{mi}s} {1:11s} {2:11s}'.format("i", "f", "|g|", "secs", mi=self.len_maxiters))
print(' {3:7s} {0:{mi}s} {1:11s} {2:11s}'.format("i", "f", "|g|", "runtime", mi=self.len_maxiters))
def __enter__(self):
self.start = time.time()
return self
def print_out(self):
def print_out(self, seconds):
if seconds<60:
ms = (seconds%1)*100
self.timestring = "{s:0>2d}s{ms:0>2d}".format(s=int(seconds), ms=int(ms))
else:
m, s = divmod(seconds, 60)
if m>59:
h, m = divmod(m, 60)
if h>23:
d, h = divmod(h, 24)
self.timestring = '{d:0>2d}d{h:0>2d}h{m:0>2d}'.format(m=int(m), h=int(h), d=int(d))
else:
self.timestring = '{h:0>2d}h{m:0>2d}m{s:0>2d}'.format(m=int(m), s=int(s), h=int(h))
else:
ms = (seconds%1)*100
self.timestring = '{m:0>2d}m{s:0>2d}s{ms:0>2d}'.format(m=int(m), s=int(s), ms=int(ms))
if self.ipython_notebook:
names_vals = [['optimizer', "{:s}".format(self.opt_name)],
['runtime [s]', "{:> g}".format(time.time()-self.start)],
['runtime', "{:>s}".format(self.timestring)],
['evaluation', "{:>0{l}}".format(self.iteration, l=self.len_maxiters)],
['objective', "{: > 12.3E}".format(self.fnow)],
['||gradient||', "{: >+12.3E}".format(float(self.current_gradient))],
@ -120,14 +137,18 @@ class VerboseOptimization(object):
if b:
self.exps = n_exps
print('\r', end=' ')
print('{3:> 7.2g} {0:>0{mi}g} {1:> 12e} {2:> 12e}'.format(self.iteration, float(self.fnow), float(self.current_gradient), time.time()-self.start, mi=self.len_maxiters), end=' ') # print 'Iteration:', iteration, ' Objective:', fnow, ' Scale:', beta, '\r',
print('{3:} {0:>0{mi}g} {1:> 12e} {2:> 12e}'.format(self.iteration, float(self.fnow), float(self.current_gradient), "{:>8s}".format(self.timestring), mi=self.len_maxiters), end=' ') # print 'Iteration:', iteration, ' Objective:', fnow, ' Scale:', beta, '\r',
sys.stdout.flush()
def print_status(self, me, which=None):
self.update()
seconds = time.time()-self.start
#sys.stdout.write(" "*len(self.message))
self.print_out()
self.deltat += seconds
if self.deltat > .2:
self.print_out(seconds)
self.deltat = 0
self.iteration += 1
@ -153,11 +174,11 @@ class VerboseOptimization(object):
if self.verbose:
self.stop = time.time()
self.model.remove_observer(self)
self.print_out()
self.print_out(self.stop - self.start)
if not self.ipython_notebook:
print()
print('Optimization finished in {0:.5g} Seconds'.format(self.stop-self.start))
print('Runtime: {}'.format("{:>9s}".format(self.timestring)))
print('Optimization status: {0}'.format(self.status))
print()
elif self.clear:

6
GPy/examples/dimensionality_reduction.py
View file

@ -353,13 +353,13 @@ def ssgplvm_simulation(optimize=True, verbose=1,
Y = Ylist[0]
k = kern.Linear(Q, ARD=True) # + kern.white(Q, _np.exp(-2)) # + kern.bias(Q)
# k = kern.RBF(Q, ARD=True, lengthscale=10.)
m = SSGPLVM(Y, Q, init="pca", num_inducing=num_inducing, kernel=k)
m = SSGPLVM(Y, Q, init="rand", num_inducing=num_inducing, kernel=k, group_spike=True)
m.X.variance[:] = _np.random.uniform(0, .01, m.X.shape)
m.likelihood.variance = .1
m.likelihood.variance = .01
if optimize:
print("Optimizing model:")
m.optimize('scg', messages=verbose, max_iters=max_iters,
m.optimize('bfgs', messages=verbose, max_iters=max_iters,
gtol=.05)
if plot:
m.X.plot("SSGPLVM Latent Space 1D")

59
GPy/inference/latent_function_inference/svgp.py
View file

@ -3,6 +3,7 @@ from ...util import linalg
from ...util import choleskies
import numpy as np
from .posterior import Posterior
from scipy.linalg.blas import dgemm, dsymm, dtrmm
class SVGP(LatentFunctionInference):
@ -16,16 +17,13 @@ class SVGP(LatentFunctionInference):
S = np.empty((num_outputs, num_inducing, num_inducing))
[np.dot(L[:,:,i], L[:,:,i].T, S[i,:,:]) for i in range(num_outputs)]
S = S.swapaxes(0,2)
[np.dot(L[i,:,:], L[i,:,:].T, S[i,:,:]) for i in range(num_outputs)]
#Si,_ = linalg.dpotri(np.asfortranarray(L), lower=1)
Si = choleskies.multiple_dpotri(L)
logdetS = np.array([2.*np.sum(np.log(np.abs(np.diag(L[:,:,i])))) for i in range(L.shape[-1])])
logdetS = np.array([2.*np.sum(np.log(np.abs(np.diag(L[i,:,:])))) for i in range(L.shape[0])])
if np.any(np.isinf(Si)):
raise ValueError("Cholesky representation unstable")
#S = S + np.eye(S.shape[0])*1e-5*np.max(np.max(S))
#Si, Lnew, _,_ = linalg.pdinv(S)
#compute mean function stuff
if mean_function is not None:
@ -35,27 +33,31 @@ class SVGP(LatentFunctionInference):
prior_mean_u = np.zeros((num_inducing, num_outputs))
prior_mean_f = np.zeros((num_data, num_outputs))
#compute kernel related stuff
Kmm = kern.K(Z)
Knm = kern.K(X, Z)
Kmn = kern.K(Z, X)
Knn_diag = kern.Kdiag(X)
Kmmi, Lm, Lmi, logdetKmm = linalg.pdinv(Kmm)
Lm = linalg.jitchol(Kmm)
logdetKmm = 2.*np.sum(np.log(np.diag(Lm)))
Kmmi, _ = linalg.dpotri(Lm)
#compute the marginal means and variances of q(f)
A = np.dot(Knm, Kmmi)
mu = prior_mean_f + np.dot(A, q_u_mean - prior_mean_u)
#v = Knn_diag[:,None] - np.sum(A*Knm,1)[:,None] + np.sum(A[:,:,None] * np.einsum('ij,jlk->ilk', A, S),1)
v = Knn_diag[:,None] - np.sum(A*Knm,1)[:,None] + np.sum(A[:,:,None] * linalg.ij_jlk_to_ilk(A, S),1)
A, _ = linalg.dpotrs(Lm, Kmn)
mu = prior_mean_f + np.dot(A.T, q_u_mean - prior_mean_u)
v = np.empty((num_data, num_outputs))
for i in range(num_outputs):
tmp = dtrmm(1.0,L[i].T, A, lower=0, trans_a=0)
v[:,i] = np.sum(np.square(tmp),0)
v += (Knn_diag - np.sum(A*Kmn,0))[:,None]
#compute the KL term
Kmmim = np.dot(Kmmi, q_u_mean)
KLs = -0.5*logdetS -0.5*num_inducing + 0.5*logdetKmm + 0.5*np.sum(Kmmi[:,:,None]*S,0).sum(0) + 0.5*np.sum(q_u_mean*Kmmim,0)
KLs = -0.5*logdetS -0.5*num_inducing + 0.5*logdetKmm + 0.5*np.sum(Kmmi[None,:,:]*S,1).sum(1) + 0.5*np.sum(q_u_mean*Kmmim,0)
KL = KLs.sum()
#gradient of the KL term (assuming zero mean function)
dKL_dm = Kmmim.copy()
dKL_dS = 0.5*(Kmmi[:,:,None] - Si)
dKL_dKmm = 0.5*num_outputs*Kmmi - 0.5*Kmmi.dot(S.sum(-1)).dot(Kmmi) - 0.5*Kmmim.dot(Kmmim.T)
dKL_dS = 0.5*(Kmmi[None,:,:] - Si)
dKL_dKmm = 0.5*num_outputs*Kmmi - 0.5*Kmmi.dot(S.sum(0)).dot(Kmmi) - 0.5*Kmmim.dot(Kmmim.T)
if mean_function is not None:
#adjust KL term for mean function
@ -80,17 +82,20 @@ class SVGP(LatentFunctionInference):
dF_dthetaL = dF_dthetaL.sum(1).sum(1)*batch_scale
#derivatives of expected likelihood, assuming zero mean function
Adv = A.T[:,:,None]*dF_dv[None,:,:] # As if dF_Dv is diagonal
Admu = A.T.dot(dF_dmu)
AdvA = np.dstack([np.dot(A.T, Adv[:,:,i].T) for i in range(num_outputs)])
#tmp = np.einsum('ijk,jlk->il', AdvA, S).dot(Kmmi)
tmp = linalg.ijk_jlk_to_il(AdvA, S).dot(Kmmi)
dF_dKmm = -Admu.dot(Kmmim.T) + AdvA.sum(-1) - tmp - tmp.T
Adv = A[None,:,:]*dF_dv.T[:,None,:] # As if dF_Dv is diagonal, D, M, N
Admu = A.dot(dF_dmu)
Adv = np.ascontiguousarray(Adv) # makes for faster operations later...(inc dsymm)
AdvA = np.dot(Adv.reshape(-1, num_data),A.T).reshape(num_outputs, num_inducing, num_inducing )
tmp = np.sum([np.dot(a,s) for a, s in zip(AdvA, S)],0).dot(Kmmi)
dF_dKmm = -Admu.dot(Kmmim.T) + AdvA.sum(0) - tmp - tmp.T
dF_dKmm = 0.5*(dF_dKmm + dF_dKmm.T) # necessary? GPy bug?
#tmp = 2.*(np.einsum('ij,jlk->ilk', Kmmi,S) - np.eye(num_inducing)[:,:,None])
tmp = 2.*(linalg.ij_jlk_to_ilk(Kmmi, S) - np.eye(num_inducing)[:,:,None])
#dF_dKmn = np.einsum('ijk,jlk->il', tmp, Adv) + Kmmim.dot(dF_dmu.T)
dF_dKmn = linalg.ijk_jlk_to_il(tmp, Adv) + Kmmim.dot(dF_dmu.T)
tmp = S.reshape(-1, num_inducing).dot(Kmmi).reshape(num_outputs, num_inducing , num_inducing )
tmp = 2.*(tmp - np.eye(num_inducing)[None, :,:])
dF_dKmn = Kmmim.dot(dF_dmu.T)
for a,b in zip(tmp, Adv):
dF_dKmn += np.dot(a.T, b)
dF_dm = Admu
dF_dS = AdvA
@ -106,11 +111,11 @@ class SVGP(LatentFunctionInference):
log_marginal = F.sum() - KL
dL_dm, dL_dS, dL_dKmm, dL_dKmn = dF_dm - dKL_dm, dF_dS- dKL_dS, dF_dKmm- dKL_dKmm, dF_dKmn
dL_dchol = np.dstack([2.*np.dot(dL_dS[:,:,i], L[:,:,i]) for i in range(num_outputs)])
dL_dchol = 2.*np.array([np.dot(a,b) for a, b in zip(dL_dS, L) ])
dL_dchol = choleskies.triang_to_flat(dL_dchol)
grad_dict = {'dL_dKmm':dL_dKmm, 'dL_dKmn':dL_dKmn, 'dL_dKdiag': dF_dv.sum(1), 'dL_dm':dL_dm, '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
return Posterior(mean=q_u_mean, cov=S, K=Kmm, prior_mean=prior_mean_u), log_marginal, grad_dict
return Posterior(mean=q_u_mean, cov=S.T, K=Kmm, prior_mean=prior_mean_u), log_marginal, grad_dict

2
GPy/kern/_src/mlp.py
View file

@ -78,7 +78,7 @@ class MLP(Kern):
*((vec1[:, None]+vec2[None, :])*self.weight_variance
+ 2*self.bias_variance + 2.))*base_cov_grad).sum()
def update_gradients_diag(self, X):
def update_gradients_diag(self, dL_dKdiag, X):
self._K_diag_computations(X)
self.variance.gradient = np.sum(self._K_diag_dvar*dL_dKdiag)

2
GPy/kern/_src/stationary.py
View file

@ -15,7 +15,7 @@ from ...util.caching import Cache_this
try:
import stationary_cython
except ImportError:
print('warning: failed to import cython module: falling back to numpy')
print('warning in sationary: failed to import cython module: falling back to numpy')
config.set('cython', 'working', 'false')

14772
GPy/kern/_src/stationary_cython.c
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File diff suppressed because it is too large Load diff

25
GPy/kern/_src/stationary_cython.pyx
View file

@ -1,7 +1,9 @@
#cython: boundscheck=False
#cython: nonecheck=False
#cython: wraparound=False
import numpy as np
cimport numpy as np
from cython.parallel import prange
ctypedef np.float64_t DTYPE_t
@ -22,7 +24,18 @@ def grad_X(int N, int D, int M,
cdef double *grad = <double*> _grad.data
_grad_X(N, D, M, X, X2, tmp, grad) # return nothing, work in place.
def lengthscale_grads(int N, int M, int Q,
def grad_X_cython(int N, int D, int M, double[:,:] X, double[:,:] X2, double[:,:] tmp, double[:,:] grad):
cdef int n,d,nd,m
for nd in prange(N*D, nogil=True):
n = nd/D
d = nd%D
grad[n,d] = 0.0
for m in range(M):
grad[n,d] += tmp[n,m]*(X[n,d]-X2[m,d])
def lengthscale_grads_in_c(int N, int M, int Q,
np.ndarray[DTYPE_t, ndim=2] _tmp,
np.ndarray[DTYPE_t, ndim=2] _X,
np.ndarray[DTYPE_t, ndim=2] _X2,
@ -33,4 +46,14 @@ def lengthscale_grads(int N, int M, int Q,
cdef double *grad = <double*> _grad.data
_lengthscale_grads(N, M, Q, tmp, X, X2, grad) # return nothing, work in place.
def lengthscale_grads(int N, int M, int Q, double[:,:] tmp, double[:,:] X, double[:,:] X2, double[:] grad):
cdef int q, n, m
cdef double gradq, dist
for q in range(Q):
grad[q] = 0.0
for n in range(N):
for m in range(M):
dist = X[n,q] - X2[m,q]
grad[q] += tmp[n,m]*dist*dist

37
GPy/kern/_src/stationary_utils.c
View file

@ -1,19 +1,36 @@
void _grad_X(int N, int D, int M, double* X, double* X2, double* tmp, double* grad){
int n,m,d;
double retnd;
//#pragma omp parallel for private(n,d, retnd, m)
for(d=0;d<D;d++){
for(n=0;n<N;n++){
retnd = 0.0;
for(m=0;m<M;m++){
retnd += tmp[n*M+m]*(X[n*D+d]-X2[m*D+d]);
}
grad[n*D+d] = retnd;
int n,d,nd,m;
#pragma omp parallel for private(nd,n,d, retnd, m)
for(nd=0;nd<(D*N);nd++){
n = nd/D;
d = nd%D;
retnd = 0.0;
for(m=0;m<M;m++){
retnd += tmp[n*M+m]*(X[nd]-X2[m*D+d]);
}
grad[nd] = retnd;
}
} //grad_X
void _lengthscale_grads_unsafe(int N, int M, int Q, double* tmp, double* X, double* X2, double* grad){
int n,m,nm,q,nQ,mQ;
double dist;
#pragma omp parallel for private(n,m,nm,q,nQ,mQ,dist)
for(nm=0; nm<(N*M); nm++){
n = nm/M;
m = nm%M;
nQ = n*Q;
mQ = m*Q;
for(q=0; q<Q; q++){
dist = X[nQ+q]-X2[mQ+q];
grad[q] += tmp[nm]*dist*dist;
}
}
} //lengthscale_grads
void _lengthscale_grads(int N, int M, int Q, double* tmp, double* X, double* X2, double* grad){
int n,m,q;
double gradq, dist;
@ -33,3 +50,5 @@ for(q=0; q<Q; q++){

3
GPy/likelihoods/likelihood.py
View file

@ -143,7 +143,7 @@ class Likelihood(Parameterized):
p_ystar, _ = zip(*[quad(integral_generator(yi, mi, vi, yi_m), -np.inf, np.inf)
for yi, mi, vi, yi_m in zipped_values])
p_ystar = np.array(p_ystar).reshape(-1, 1)
p_ystar = np.array(p_ystar).reshape(*y_test.shape)
return np.log(p_ystar)
def log_predictive_density_sampling(self, y_test, mu_star, var_star, Y_metadata=None, num_samples=1000):
@ -173,6 +173,7 @@ class Likelihood(Parameterized):
from scipy.misc import logsumexp
log_p_ystar = -np.log(num_samples) + logsumexp(self.logpdf(fi_samples, y_test, Y_metadata=Y_metadata), axis=1)
log_p_ystar = np.array(log_p_ystar).reshape(*y_test.shape)
return log_p_ystar

112
GPy/models/ss_gplvm.py
View file

@ -5,11 +5,95 @@ import numpy as np
from ..core.sparse_gp_mpi import SparseGP_MPI
from .. import kern
from ..core.parameterization import Param
from ..likelihoods import Gaussian
from ..core.parameterization.variational import SpikeAndSlabPrior, SpikeAndSlabPosterior
from ..core.parameterization.variational import SpikeAndSlabPrior, SpikeAndSlabPosterior,VariationalPrior
from ..inference.latent_function_inference.var_dtc_parallel import update_gradients, VarDTC_minibatch
from ..kern._src.psi_comp.ssrbf_psi_gpucomp import PSICOMP_SSRBF_GPU
class IBPPosterior(SpikeAndSlabPosterior):
'''
The SpikeAndSlab distribution for variational approximations.
'''
def __init__(self, means, variances, binary_prob, tau=None, sharedX=False, name='latent space'):
"""
binary_prob : the probability of the distribution on the slab part.
"""
from ..core.parameterization.transformations import Logexp
super(IBPPosterior, self).__init__(means, variances, binary_prob, group_spike=True, name=name)
self.sharedX = sharedX
if sharedX:
self.mean.fix(warning=False)
self.variance.fix(warning=False)
self.tau = Param("tau_", np.ones((self.gamma_group.shape[0],2)), Logexp())
self.link_parameter(self.tau)
def set_gradients(self, grad):
self.mean.gradient, self.variance.gradient, self.gamma.gradient, self.tau.gradient = grad
def __getitem__(self, s):
if isinstance(s, (int, slice, tuple, list, np.ndarray)):
import copy
n = self.__new__(self.__class__, self.name)
dc = self.__dict__.copy()
dc['mean'] = self.mean[s]
dc['variance'] = self.variance[s]
dc['binary_prob'] = self.binary_prob[s]
dc['tau'] = self.tau
dc['parameters'] = copy.copy(self.parameters)
n.__dict__.update(dc)
n.parameters[dc['mean']._parent_index_] = dc['mean']
n.parameters[dc['variance']._parent_index_] = dc['variance']
n.parameters[dc['binary_prob']._parent_index_] = dc['binary_prob']
n.parameters[dc['tau']._parent_index_] = dc['tau']
n._gradient_array_ = None
oversize = self.size - self.mean.size - self.variance.size - self.gamma.size - self.tau.size
n.size = n.mean.size + n.variance.size + n.gamma.size+ n.tau.size + oversize
n.ndim = n.mean.ndim
n.shape = n.mean.shape
n.num_data = n.mean.shape[0]
n.input_dim = n.mean.shape[1] if n.ndim != 1 else 1
return n
else:
return super(IBPPosterior, self).__getitem__(s)
class IBPPrior(VariationalPrior):
def __init__(self, input_dim, alpha =2., name='IBPPrior', **kw):
super(IBPPrior, self).__init__(name=name, **kw)
from ..core.parameterization.transformations import Logexp, __fixed__
self.input_dim = input_dim
self.variance = 1.
self.alpha = Param('alpha', alpha, __fixed__)
self.link_parameter(self.alpha)
def KL_divergence(self, variational_posterior):
mu, S, gamma, tau = variational_posterior.mean.values, variational_posterior.variance.values, variational_posterior.gamma_group.values, variational_posterior.tau.values
var_mean = np.square(mu)/self.variance
var_S = (S/self.variance - np.log(S))
part1 = (gamma* (np.log(self.variance)-1. +var_mean + var_S)).sum()/2.
ad = self.alpha/self.input_dim
from scipy.special import betaln,digamma
part2 = (gamma*np.log(gamma)).sum() + ((1.-gamma)*np.log(1.-gamma)).sum() + betaln(ad,1.)*self.input_dim \
-betaln(tau[:,0], tau[:,1]).sum() + ((tau[:,0]-gamma-ad)*digamma(tau[:,0])).sum() + \
((tau[:,1]+gamma-2.)*digamma(tau[:,1])).sum() + ((2.+ad-tau[:,0]-tau[:,1])*digamma(tau.sum(axis=1))).sum()
return part1+part2
def update_gradients_KL(self, variational_posterior):
mu, S, gamma, tau = variational_posterior.mean.values, variational_posterior.variance.values, variational_posterior.gamma_group.values, variational_posterior.tau.values
variational_posterior.mean.gradient -= gamma*mu/self.variance
variational_posterior.variance.gradient -= (1./self.variance - 1./S) * gamma /2.
from scipy.special import digamma,polygamma
dgamma = (np.log(gamma/(1.-gamma))+ digamma(tau[:,1])-digamma(tau[:,0]))/variational_posterior.num_data
variational_posterior.binary_prob.gradient -= dgamma+((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
ad = self.alpha/self.input_dim
common = (ad+2-tau[:,0]-tau[:,1])*polygamma(1,tau.sum(axis=1))
variational_posterior.tau.gradient[:,0] = -((tau[:,0]-gamma-ad)*polygamma(1,tau[:,0])+common)
variational_posterior.tau.gradient[:,1] = -((tau[:,1]+gamma-2)*polygamma(1,tau[:,1])+common)
class SSGPLVM(SparseGP_MPI):
"""
Spike-and-Slab Gaussian Process Latent Variable Model
@ -23,9 +107,11 @@ class SSGPLVM(SparseGP_MPI):
"""
def __init__(self, Y, input_dim, X=None, X_variance=None, Gamma=None, init='PCA', num_inducing=10,
Z=None, kernel=None, inference_method=None, likelihood=None, name='Spike_and_Slab GPLVM', group_spike=False, mpi_comm=None, pi=None, learnPi=True,normalizer=False, **kwargs):
Z=None, kernel=None, inference_method=None, likelihood=None, name='Spike_and_Slab GPLVM', group_spike=False, IBP=False, alpha=2., tau=None, mpi_comm=None, pi=None, learnPi=False,normalizer=False, sharedX=False, variational_prior=None,**kwargs):
self.group_spike = group_spike
self.init = init
self.sharedX = sharedX
if X == None:
from ..util.initialization import initialize_latent
@ -33,8 +119,6 @@ class SSGPLVM(SparseGP_MPI):
else:
fracs = np.ones(input_dim)
self.init = init
if X_variance is None: # The variance of the variational approximation (S)
X_variance = np.random.uniform(0,.1,X.shape)
@ -64,18 +148,17 @@ class SSGPLVM(SparseGP_MPI):
if pi is None:
pi = np.empty((input_dim))
pi[:] = 0.5
self.variational_prior = SpikeAndSlabPrior(pi=pi,learnPi=learnPi) # the prior probability of the latent binary variable b
X = SpikeAndSlabPosterior(X, X_variance, gamma)
if IBP:
self.variational_prior = IBPPrior(input_dim=input_dim, alpha=alpha) if variational_prior is None else variational_prior
X = IBPPosterior(X, X_variance, gamma, tau=tau,sharedX=sharedX)
else:
self.variational_prior = SpikeAndSlabPrior(pi=pi,learnPi=learnPi, group_spike=group_spike) if variational_prior is None else variational_prior
X = SpikeAndSlabPosterior(X, X_variance, gamma, group_spike=group_spike,sharedX=sharedX)
super(SSGPLVM,self).__init__(X, Y, Z, kernel, likelihood, variational_prior=self.variational_prior, inference_method=inference_method, name=name, mpi_comm=mpi_comm, normalizer=normalizer, **kwargs)
# self.X.unfix()
# self.X.variance.constrain_positive()
self.link_parameter(self.X, index=0)
if self.group_spike:
[self.X.gamma[:,i].tie('tieGamma'+str(i)) for i in range(self.X.gamma.shape[1])] # Tie columns together
def set_X_gradients(self, X, X_grad):
"""Set the gradients of the posterior distribution of X in its specific form."""
X.mean.gradient, X.variance.gradient, X.binary_prob.gradient = X_grad
@ -84,9 +167,15 @@ class SSGPLVM(SparseGP_MPI):
"""Get the gradients of the posterior distribution of X in its specific form."""
return X.mean.gradient, X.variance.gradient, X.binary_prob.gradient
def _propogate_X_val(self):
pass
def parameters_changed(self):
self.X.propogate_val()
if self.sharedX: self._highest_parent_._propogate_X_val()
super(SSGPLVM,self).parameters_changed()
if isinstance(self.inference_method, VarDTC_minibatch):
self.X.collate_gradient()
return
self._log_marginal_likelihood -= self.variational_prior.KL_divergence(self.X)
@ -95,6 +184,7 @@ class SSGPLVM(SparseGP_MPI):
# update for the KL divergence
self.variational_prior.update_gradients_KL(self.X)
self.X.collate_gradient()
def input_sensitivity(self):
if self.kern.ARD:

251
GPy/models/ss_mrd.py
View file

@ -2,33 +2,256 @@
The Maniforld Relevance Determination model with the spike-and-slab prior
"""
import numpy as np
from ..core import Model
from .ss_gplvm import SSGPLVM
from ..core.parameterization.variational import SpikeAndSlabPrior,NormalPosterior,VariationalPrior
from ..util.misc import param_to_array
from ..kern import RBF
from ..core import Param
from numpy.linalg.linalg import LinAlgError
class SSMRD(Model):
def __init__(self, Ylist, input_dim, X=None, X_variance=None,
initx = 'PCA', initz = 'permute',
num_inducing=10, Z=None, kernel=None,
inference_method=None, likelihoods=None, name='ss_mrd', Ynames=None):
def __init__(self, Ylist, input_dim, X=None, X_variance=None, Gammas=None, initx = 'PCA_concat', initz = 'permute',
num_inducing=10, Zs=None, kernels=None, inference_methods=None, likelihoods=None, group_spike=True,
pi=0.5, name='ss_mrd', Ynames=None, mpi_comm=None, IBP=False, alpha=2., taus=None, ):
super(SSMRD, self).__init__(name)
self.mpi_comm = mpi_comm
self._PROPAGATE_ = False
self.updates = False
self.models = [SSGPLVM(y, input_dim, X=X, X_variance=X_variance, num_inducing=num_inducing,Z=Z,init=initx,
kernel=kernel.copy() if kernel else None,inference_method=inference_method,likelihood=likelihoods,
name='model_'+str(i)) for i,y in enumerate(Ylist)]
self.add_parameters(*(self.models))
# initialize X for individual models
X, X_variance, Gammas, fracs = self._init_X(Ylist, input_dim, X, X_variance, Gammas, initx)
self.X = NormalPosterior(means=X, variances=X_variance)
[[[self.models[m].X.mean[i,j:j+1].tie('mean_'+str(i)+'_'+str(j)) for m in range(len(self.models))] for j in range(self.models[0].X.mean.shape[1])]
for i in range(self.models[0].X.mean.shape[0])]
[[[self.models[m].X.variance[i,j:j+1].tie('var_'+str(i)+'_'+str(j)) for m in range(len(self.models))] for j in range(self.models[0].X.variance.shape[1])]
for i in range(self.models[0].X.variance.shape[0])]
if kernels is None:
kernels = [RBF(input_dim, lengthscale=1./fracs, ARD=True) for i in xrange(len(Ylist))]
if Zs is None:
Zs = [None]* len(Ylist)
if likelihoods is None:
likelihoods = [None]* len(Ylist)
if inference_methods is None:
inference_methods = [None]* len(Ylist)
self.updates = True
if IBP:
self.var_priors = [IBPPrior_SSMRD(len(Ylist),input_dim,alpha=alpha) for i in xrange(len(Ylist))]
else:
self.var_priors = [SpikeAndSlabPrior_SSMRD(nModels=len(Ylist),pi=pi,learnPi=False, group_spike=group_spike) for i in xrange(len(Ylist))]
self.models = [SSGPLVM(y, input_dim, X=X.copy(), X_variance=X_variance.copy(), Gamma=Gammas[i], num_inducing=num_inducing,Z=Zs[i], learnPi=False, group_spike=group_spike,
kernel=kernels[i],inference_method=inference_methods[i],likelihood=likelihoods[i], variational_prior=self.var_priors[i], IBP=IBP, tau=None if taus is None else taus[i],
name='model_'+str(i), mpi_comm=mpi_comm, sharedX=True) for i,y in enumerate(Ylist)]
self.link_parameters(*(self.models+[self.X]))
def _propogate_X_val(self):
if self._PROPAGATE_: return
for m in self.models:
m.X.mean.values[:] = self.X.mean.values
m.X.variance.values[:] = self.X.variance.values
varp_list = [m.X for m in self.models]
[vp._update_inernal(varp_list) for vp in self.var_priors]
self._PROPAGATE_=True
def _collate_X_gradient(self):
self._PROPAGATE_ = False
self.X.mean.gradient[:] = 0
self.X.variance.gradient[:] = 0
for m in self.models:
self.X.mean.gradient += m.X.mean.gradient
self.X.variance.gradient += m.X.variance.gradient
def parameters_changed(self):
super(SSMRD, self).parameters_changed()
[m.parameters_changed() for m in self.models]
self._log_marginal_likelihood = sum([m._log_marginal_likelihood for m in self.models])
self._collate_X_gradient()
def log_likelihood(self):
return self._log_marginal_likelihood
def _init_X(self, Ylist, input_dim, X=None, X_variance=None, Gammas=None, initx='PCA_concat'):
# Divide latent dimensions
idx = np.empty((input_dim,),dtype=np.int)
residue = (input_dim)%(len(Ylist))
for i in xrange(len(Ylist)):
if i < residue:
size = input_dim/len(Ylist)+1
idx[i*size:(i+1)*size] = i
else:
size = input_dim/len(Ylist)
idx[i*size+residue:(i+1)*size+residue] = i
if X is None:
if initx == 'PCA_concat':
X = np.empty((Ylist[0].shape[0],input_dim))
fracs = np.empty((input_dim,))
from ..util.initialization import initialize_latent
for i in xrange(len(Ylist)):
Y = Ylist[i]
dim = (idx==i).sum()
if dim>0:
x, fr = initialize_latent('PCA', dim, Y)
X[:,idx==i] = x
fracs[idx==i] = fr
elif initx=='PCA_joint':
y = np.hstack(Ylist)
from ..util.initialization import initialize_latent
X, fracs = initialize_latent('PCA', input_dim, y)
else:
X = np.random.randn(Ylist[0].shape[0], input_dim)
fracs = np.ones(input_dim)
else:
fracs = np.ones(input_dim)
if X_variance is None: # The variance of the variational approximation (S)
X_variance = np.random.uniform(0,.1,X.shape)
if Gammas is None:
Gammas = []
for x in X:
gamma = np.empty_like(X) # The posterior probabilities of the binary variable in the variational approximation
gamma[:] = 0.5 + 0.1 * np.random.randn(X.shape[0], input_dim)
gamma[gamma>1.-1e-9] = 1.-1e-9
gamma[gamma<1e-9] = 1e-9
Gammas.append(gamma)
return X, X_variance, Gammas, fracs
@Model.optimizer_array.setter
def optimizer_array(self, p):
if self.mpi_comm != None:
if self._IN_OPTIMIZATION_ and self.mpi_comm.rank==0:
self.mpi_comm.Bcast(np.int32(1),root=0)
self.mpi_comm.Bcast(p, root=0)
Model.optimizer_array.fset(self,p)
def optimize(self, optimizer=None, start=None, **kwargs):
self._IN_OPTIMIZATION_ = True
if self.mpi_comm==None:
super(SSMRD, self).optimize(optimizer,start,**kwargs)
elif self.mpi_comm.rank==0:
super(SSMRD, self).optimize(optimizer,start,**kwargs)
self.mpi_comm.Bcast(np.int32(-1),root=0)
elif self.mpi_comm.rank>0:
x = self.optimizer_array.copy()
flag = np.empty(1,dtype=np.int32)
while True:
self.mpi_comm.Bcast(flag,root=0)
if flag==1:
try:
self.optimizer_array = x
self._fail_count = 0
except (LinAlgError, ZeroDivisionError, ValueError):
if self._fail_count >= self._allowed_failures:
raise
self._fail_count += 1
elif flag==-1:
break
else:
self._IN_OPTIMIZATION_ = False
raise Exception("Unrecognizable flag for synchronization!")
self._IN_OPTIMIZATION_ = False
class SpikeAndSlabPrior_SSMRD(SpikeAndSlabPrior):
def __init__(self, nModels, pi=0.5, learnPi=False, group_spike=True, variance = 1.0, name='SSMRDPrior', **kw):
self.nModels = nModels
self._b_prob_all = 0.5
super(SpikeAndSlabPrior_SSMRD, self).__init__(pi=pi,learnPi=learnPi,group_spike=group_spike,variance=variance, name=name, **kw)
def _update_inernal(self, varp_list):
"""Make an update of the internal status by gathering the variational posteriors for all the individual models."""
# The probability for the binary variable for the same latent dimension of any of the models is on.
if self.group_spike:
self._b_prob_all = 1.-param_to_array(varp_list[0].gamma_group)
[np.multiply(self._b_prob_all, 1.-vp.gamma_group, self._b_prob_all) for vp in varp_list[1:]]
else:
self._b_prob_all = 1.-param_to_array(varp_list[0].binary_prob)
[np.multiply(self._b_prob_all, 1.-vp.binary_prob, self._b_prob_all) for vp in varp_list[1:]]
def KL_divergence(self, variational_posterior):
mu = variational_posterior.mean
S = variational_posterior.variance
if self.group_spike:
gamma = variational_posterior.binary_prob[0]
else:
gamma = variational_posterior.binary_prob
if len(self.pi.shape)==2:
idx = np.unique(gamma._raveled_index()/gamma.shape[-1])
pi = self.pi[idx]
else:
pi = self.pi
var_mean = np.square(mu)/self.variance
var_S = (S/self.variance - np.log(S))
var_gamma = (gamma*np.log(gamma/pi)).sum()+((1-gamma)*np.log((1-gamma)/(1-pi))).sum()
return var_gamma +((1.-self._b_prob_all)*(np.log(self.variance)-1. +var_mean + var_S)).sum()/(2.*self.nModels)
def update_gradients_KL(self, variational_posterior):
mu = variational_posterior.mean
S = variational_posterior.variance
N = variational_posterior.num_data
if self.group_spike:
gamma = variational_posterior.binary_prob.values[0]
else:
gamma = variational_posterior.binary_prob.values
if len(self.pi.shape)==2:
idx = np.unique(gamma._raveled_index()/gamma.shape[-1])
pi = self.pi[idx]
else:
pi = self.pi
if self.group_spike:
tmp = self._b_prob_all/(1.-gamma)
variational_posterior.binary_prob.gradient -= np.log((1-pi)/pi*gamma/(1.-gamma))/N +tmp*((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
else:
variational_posterior.binary_prob.gradient -= np.log((1-pi)/pi*gamma/(1.-gamma))+((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
mu.gradient -= (1.-self._b_prob_all)*mu/(self.variance*self.nModels)
S.gradient -= (1./self.variance - 1./S) * (1.-self._b_prob_all) /(2.*self.nModels)
if self.learnPi:
raise 'Not Supported!'
class IBPPrior_SSMRD(VariationalPrior):
def __init__(self, nModels, input_dim, alpha =2., tau=None, name='IBPPrior', **kw):
super(IBPPrior_SSMRD, self).__init__(name=name, **kw)
from ..core.parameterization.transformations import Logexp, __fixed__
self.nModels = nModels
self._b_prob_all = 0.5
self.input_dim = input_dim
self.variance = 1.
self.alpha = Param('alpha', alpha, __fixed__)
self.link_parameter(self.alpha)
def _update_inernal(self, varp_list):
"""Make an update of the internal status by gathering the variational posteriors for all the individual models."""
# The probability for the binary variable for the same latent dimension of any of the models is on.
self._b_prob_all = 1.-param_to_array(varp_list[0].gamma_group)
[np.multiply(self._b_prob_all, 1.-vp.gamma_group, self._b_prob_all) for vp in varp_list[1:]]
def KL_divergence(self, variational_posterior):
mu, S, gamma, tau = variational_posterior.mean.values, variational_posterior.variance.values, variational_posterior.gamma_group.values, variational_posterior.tau.values
var_mean = np.square(mu)/self.variance
var_S = (S/self.variance - np.log(S))
part1 = ((1.-self._b_prob_all)* (np.log(self.variance)-1. +var_mean + var_S)).sum()/(2.*self.nModels)
ad = self.alpha/self.input_dim
from scipy.special import betaln,digamma
part2 = (gamma*np.log(gamma)).sum() + ((1.-gamma)*np.log(1.-gamma)).sum() + (betaln(ad,1.)*self.input_dim -betaln(tau[:,0], tau[:,1]).sum())/self.nModels \
+ (( (tau[:,0]-ad)/self.nModels -gamma)*digamma(tau[:,0])).sum() + \
(((tau[:,1]-1.)/self.nModels+gamma-1.)*digamma(tau[:,1])).sum() + (((1.+ad-tau[:,0]-tau[:,1])/self.nModels+1.)*digamma(tau.sum(axis=1))).sum()
return part1+part2
def update_gradients_KL(self, variational_posterior):
mu, S, gamma, tau = variational_posterior.mean.values, variational_posterior.variance.values, variational_posterior.gamma_group.values, variational_posterior.tau.values
variational_posterior.mean.gradient -= (1.-self._b_prob_all)*mu/(self.variance*self.nModels)
variational_posterior.variance.gradient -= (1./self.variance - 1./S) * (1.-self._b_prob_all) /(2.*self.nModels)
from scipy.special import digamma,polygamma
tmp = self._b_prob_all/(1.-gamma)
dgamma = (np.log(gamma/(1.-gamma))+ digamma(tau[:,1])-digamma(tau[:,0]))/variational_posterior.num_data
variational_posterior.binary_prob.gradient -= dgamma+tmp*((np.square(mu)+S)/self.variance-np.log(S)+np.log(self.variance)-1.)/2.
ad = self.alpha/self.input_dim
common = ((1.+ad-tau[:,0]-tau[:,1])/self.nModels+1.)*polygamma(1,tau.sum(axis=1))
variational_posterior.tau.gradient[:,0] = -(((tau[:,0]-ad)/self.nModels -gamma)*polygamma(1,tau[:,0])+common)
variational_posterior.tau.gradient[:,1] = -(((tau[:,1]-1.)/self.nModels+gamma-1.)*polygamma(1,tau[:,1])+common)

4
GPy/testing/cython_tests.py
View file

@ -9,8 +9,8 @@ These tests make sure that the opure python and cython codes work the same
class CythonTestChols(np.testing.TestCase):
def setUp(self):
self.flat = np.random.randn(45, 5)
self.triang = np.dstack([np.eye(20)[:,:,None] for i in range(3)])
self.flat = np.random.randn(45,5)
self.triang = np.array([np.eye(20) for i in range(3)])
def test_flat_to_triang(self):
L1 = choleskies._flat_to_triang_pure(self.flat)
L2 = choleskies._flat_to_triang_cython(self.flat)

26
GPy/util/choleskies.py
View file

@ -17,12 +17,12 @@ def safe_root(N):
def _flat_to_triang_pure(flat_mat):
N, D = flat_mat.shape
M = (-1 + safe_root(8*N+1))//2
ret = np.zeros((M, M, D))
count = 0
for m in range(M):
for mm in range(m+1):
for d in range(D):
ret.flat[d + m*D*M + mm*D] = flat_mat.flat[count];
ret = np.zeros((D, M, M))
for d in range(D):
count = 0
for m in range(M):
for mm in range(m+1):
ret[d,m, mm] = flat_mat[count, d];
count = count+1
return ret
@ -33,15 +33,15 @@ def _flat_to_triang_cython(flat_mat):
def _triang_to_flat_pure(L):
M, _, D = L.shape
D, _, M = L.shape
N = M*(M+1)//2
flat = np.empty((N, D))
count = 0;
for m in range(M):
for mm in range(m+1):
for d in range(D):
flat.flat[count] = L.flat[d + m*D*M + mm*D];
for d in range(D):
count = 0;
for m in range(M):
for mm in range(m+1):
flat[count,d] = L[d, m, mm]
count = count +1
return flat
@ -74,7 +74,7 @@ def triang_to_cov(L):
return np.dstack([np.dot(L[:,:,i], L[:,:,i].T) for i in range(L.shape[-1])])
def multiple_dpotri(Ls):
return np.dstack([linalg.dpotri(np.asfortranarray(Ls[:,:,i]), lower=1)[0] for i in range(Ls.shape[-1])])
return np.array([linalg.dpotri(np.asfortranarray(Ls[i]), lower=1)[0] for i in range(Ls.shape[0])])
def indexes_to_fix_for_low_rank(rank, size):
"""

791
GPy/util/choleskies_cython.c
View file

File diff suppressed because it is too large Load diff

14
GPy/util/choleskies_cython.pyx
View file

@ -8,28 +8,28 @@ import numpy as np
cimport numpy as np
def flat_to_triang(np.ndarray[double, ndim=2] flat, int M):
"""take a matrix N x D and return a M X M x D array where
"""take a matrix N x D and return a D X M x M array where
N = M(M+1)/2
the lower triangluar portion of the d'th slice of the result is filled by the d'th column of flat.
"""
cdef int N = flat.shape[0]
cdef int D = flat.shape[1]
cdef int N = flat.shape[0]
cdef int count = 0
cdef np.ndarray[double, ndim=3] ret = np.zeros((M, M, D))
cdef np.ndarray[double, ndim=3] ret = np.zeros((D, M, M))
cdef int d, m, mm
for d in range(D):
count = 0
for m in range(M):
for mm in range(m+1):
ret[m, mm, d] = flat[count,d]
ret[d, m, mm] = flat[count,d]
count += 1
return ret
def triang_to_flat(np.ndarray[double, ndim=3] L):
cdef int M = L.shape[0]
cdef int D = L.shape[2]
cdef int D = L.shape[0]
cdef int M = L.shape[1]
cdef int N = M*(M+1)/2
cdef int count = 0
cdef np.ndarray[double, ndim=2] flat = np.empty((N, D))
@ -38,7 +38,7 @@ def triang_to_flat(np.ndarray[double, ndim=3] L):
count = 0
for m in range(M):
for mm in range(m+1):
flat[count,d] = L[m, mm, d]
flat[count,d] = L[d, m, mm]
count += 1
return flat