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modified EP code, should be more stable I hope

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James Hensman 2013-05-31 12:00:02 +01:00
parent 050cdd9c93
commit fe60812f7d
1 changed files with 2 additions and 1 deletions
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GPy/likelihoods/EP.py
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@ -319,7 +319,8 @@ class EP(likelihood):
Iplus_Dprod_i = 1./(1.+ Diag0 * self.tau_tilde)
Diag = Diag0 * Iplus_Dprod_i
P = Iplus_Dprod_i[:,None] * P0
L = jitchol(np.eye(M) + np.dot(RPT0,((1. - Iplus_Dprod_i)/Diag0)[:,None]*RPT0.T))
safe_diag = np.where(Diag0 < self.tau_tilde, self.tau_tilde/(1.+Diag0*self.tau_tilde), (1. - Iplus_Dprod_i)/Diag0)
L = jitchol(np.eye(M) + np.dot(RPT0,safe_diag[:,None]*RPT0.T))
R,info = linalg.lapack.flapack.dtrtrs(L,R0,lower=1)
RPT = np.dot(R,P.T)
Sigma_diag = Diag + np.sum(RPT.T*RPT.T,-1)