from scipy.special import gammaln import numpy as np from GPy.likelihoods.likelihood_functions import likelihood_function class student_t(likelihood_function): """Student t likelihood distribution For nomanclature see Bayesian Data Analysis 2003 p576 $$\ln p(y_{i}|f_{i}) = \ln \Gamma(\frac{v+1}{2}) - \ln \Gamma(\frac{v}{2})\sqrt{v \pi}\sigma - \frac{v+1}{2}\ln (1 + \frac{1}{v}\left(\frac{y_{i} - f_{i}}{\sigma}\right)^2$$ Laplace: Needs functions to calculate ln p(yi|fi) dln p(yi|fi)_dfi d2ln p(yi|fi)_d2fifj """ def __init__(self, deg_free, sigma=2): self.v = deg_free self.sigma = sigma def link_function(self, y, f): """link_function $\ln p(y|f)$ $$\ln p(y_{i}|f_{i}) = \ln \Gamma(\frac{v+1}{2}) - \ln \Gamma(\frac{v}{2})\sqrt{v \pi}\sigma - \frac{v+1}{2}\ln (1 + \frac{1}{v}\left(\frac{y_{i} - f_{i}}{\sigma}\right)^2$$ :y: data :f: latent variables f :returns: float(likelihood evaluated for this point) """ assert y.shape == f.shape e = y - f objective = (gammaln((self.v + 1) * 0.5) - gammaln(self.v * 0.5) + np.log(self.sigma * np.sqrt(self.v * np.pi)) - (self.v + 1) * 0.5 * np.log(1 + ((e**2 / self.sigma**2) / self.v)) ) return np.sum(objective) def link_grad(self, y, f): """ Gradient of the link function at y, given f w.r.t f $$\frac{d}{df}p(y_{i}|f_{i}) = \frac{(v + 1)(y - f)}{v \sigma^{2} + (y_{i} - f_{i})^{2}}$$ :y: data :f: latent variables f :returns: gradient of likelihood evaluated at points """ assert y.shape == f.shape e = y - f grad = ((self.v + 1) * e) / (self.v * (self.sigma**2) + (e**2)) return grad def link_hess(self, y, f): """ Hessian at this point (if we are only looking at the link function not the prior) the hessian will be 0 unless i == j i.e. second derivative link_function at y given f f_j w.r.t f and f_j Will return diaganol of hessian, since every where else it is 0 $$\frac{d^{2}p(y_{i}|f_{i})}{df^{2}} = \frac{(v + 1)(y - f)}{v \sigma^{2} + (y_{i} - f_{i})^{2}}$$ :y: data :f: latent variables f :returns: array which is diagonal of covariance matrix (second derivative of likelihood evaluated at points) """ assert y.shape == f.shape e = y - f #hess = ((self.v + 1) * e) / ((((self.sigma**2) * self.v) + e**2)**2) hess = ((self.v + 1) * (e**2 - self.v*(self.sigma**2))) / ((((self.sigma**2) * self.v) + e**2)**2) return hess