# Copyright (c) 2012, James Hensman # Licensed under the BSD 3-clause license (see LICENSE.txt) import numpy as np from ..core import SparseGP from .. import likelihoods from .. import kern from ..inference.latent_function_inference import VarDTC from ..util.misc import param_to_array from ..core.parameterization.variational import NormalPosterior class SparseGPRegression(SparseGP): """ Gaussian Process model for regression This is a thin wrapper around the SparseGP class, with a set of sensible defalts :param X: input observations :param Y: observed values :param kernel: a GPy kernel, defaults to rbf+white :param Z: inducing inputs (optional, see note) :type Z: np.ndarray (num_inducing x input_dim) | None :param num_inducing: number of inducing points (ignored if Z is passed, see note) :type num_inducing: int :rtype: model object .. Note:: If no Z array is passed, num_inducing (default 10) points are selected from the data. Other wise num_inducing is ignored .. Note:: Multiple independent outputs are allowed using columns of Y """ def __init__(self, X, Y, kernel=None, Z=None, num_inducing=10, X_variance=None): num_data, input_dim = X.shape # kern defaults to rbf (plus white for stability) if kernel is None: kernel = kern.RBF(input_dim)# + kern.white(input_dim, variance=1e-3) # Z defaults to a subset of the data if Z is None: i = np.random.permutation(num_data)[:min(num_inducing, num_data)] Z = param_to_array(X)[i].copy() else: assert Z.shape[1] == input_dim likelihood = likelihoods.Gaussian() if not (X_variance is None): X = NormalPosterior(X,X_variance) SparseGP.__init__(self, X, Y, Z, kernel, likelihood, inference_method=VarDTC()) def _getstate(self): return SparseGP._getstate(self) def _setstate(self, state): return SparseGP._setstate(self, state) class SparseGPRegressionUncertainInput(SparseGP): """ Gaussian Process model for regression with Gaussian variance on the inputs (X_variance) This is a thin wrapper around the SparseGP class, with a set of sensible defalts """ def __init__(self, X, X_variance, Y, kernel=None, Z=None, num_inducing=10): """ :param X: input observations :type X: np.ndarray (num_data x input_dim) :param X_variance: The uncertainty in the measurements of X (Gaussian variance, optional) :type X_variance: np.ndarray (num_data x input_dim) :param Y: observed values :param kernel: a GPy kernel, defaults to rbf+white :param Z: inducing inputs (optional, see note) :type Z: np.ndarray (num_inducing x input_dim) | None :param num_inducing: number of inducing points (ignored if Z is passed, see note) :type num_inducing: int :rtype: model object .. Note:: If no Z array is passed, num_inducing (default 10) points are selected from the data. Other wise num_inducing is ignored .. Note:: Multiple independent outputs are allowed using columns of Y """ num_data, input_dim = X.shape # kern defaults to rbf (plus white for stability) if kernel is None: kernel = kern.RBF(input_dim) + kern.White(input_dim, variance=1e-3) # Z defaults to a subset of the data if Z is None: i = np.random.permutation(num_data)[:min(num_inducing, num_data)] Z = X[i].copy() else: assert Z.shape[1] == input_dim likelihood = likelihoods.Gaussian() SparseGP.__init__(self, X, Y, Z, kernel, likelihood, X_variance=X_variance, inference_method=VarDTC()) self.ensure_default_constraints()