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add documentation for hmc

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Zhenwen Dai 2014-11-03 12:04:46 +00:00
parent d1200a1be7
commit f7ecfed179
1 changed files with 25 additions and 10 deletions
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35
GPy/inference/mcmc/hmc.py
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@ -4,7 +4,19 @@ import numpy as np
class HMC:
def __init__(self,model,M=None,stepsize=1e-1):
"""
An implementation of Hybrid Monte Carlo (HMC) for GPy models
"""
def __init__(self, model, M=None,stepsize=1e-1):
"""
Initialize an object for HMC sampling. Note that the status of the model (model parameters) will be changed during sampling
:param model: the GPy model that will be sampled
:type model: GPy.core.Model
:param M: the mass matrix (an identity matrix by default)
:type M: numpy.ndarray
:param stepsize: the step size for HMC sampling
:type stepsize: float
"""
self.model = model
self.stepsize = stepsize
self.p = np.empty_like(model.optimizer_array.copy())
@ -14,9 +26,18 @@ class HMC:
self.M = M
self.Minv = np.linalg.inv(self.M)
def sample(self, m_iters=1000, hmc_iters=20):
params = np.empty((m_iters,self.p.size))
for i in xrange(m_iters):
def sample(self, num_samples=1000, hmc_iters=20):
"""
Sample the (unfixed) model parameters.
:param num_samples: the number of samples to draw (1000 by default)
:type num_samples: int
:param hmc_iters: the number of leap-frog iterations (20 by default)
:type hmc_iters: int
:return: the list of parameters samples with the size N x P (N - the number of samples, P - the number of parameters to sample)
:rtype: numpy.ndarray
"""
params = np.empty((num_samples,self.p.size))
for i in xrange(num_samples):
self.p[:] = np.random.multivariate_normal(np.zeros(self.p.size),self.M)
H_old = self._computeH()
theta_old = self.model.optimizer_array.copy()
@ -125,8 +146,6 @@ class HMC_shortcut:
break
else:
Hlist = range(hmc_iters+pos,hmc_iters+pos+self.groupsize)
# print Hlist
# print self._testH(H_buf[Hlist])
if self._testH(H_buf[Hlist]):
pos += -1
@ -139,14 +158,10 @@ class HMC_shortcut:
pos_new = pos + r
self.model.optimizer_array = theta_buf[hmc_iters+pos_new]
self.p[:] = p_buf[hmc_iters+pos_new] # the sign of momentum might be wrong!
# print reversal[0],pos,pos_new
# print H_buf
break
def _testH(self, Hlist):
Hstd = np.std(Hlist)
# print Hlist
# print Hstd
if Hstd<self.Hstd_th[0] or Hstd>self.Hstd_th[1]:
return False
else: