# Copyright (c) 2012, GPy authors (see AUTHORS.txt). # Licensed under the BSD 3-clause license (see LICENSE.txt) from kernpart import kernpart import numpy as np class linear(kernpart): """ Linear kernel .. math:: k(x,y) = \sum_{i=1}^D \sigma^2_i x_iy_i :param D: the number of input dimensions :type D: int :param variances: the vector of variances :math:`\sigma^2_i` :type variances: array or list of the appropriate size (or float if there is only one variance parameter) :param ARD: Auto Relevance Determination. If equal to "False", the kernel has only one variance parameter \sigma^2, otherwise there is one variance parameter per dimension. :type ARD: Boolean :rtype: kernel object """ def __init__(self,D,variances=None,ARD=False): self.D = D self.ARD = ARD if ARD == False: self.Nparam = 1 self.name = 'linear' if variances is not None: variances = np.asarray(variances) assert variances.size == 1, "Only one variance needed for non-ARD kernel" else: variances = np.ones(1) self._Xcache, self._X2cache = np.empty(shape=(2,)) else: self.Nparam = self.D self.name = 'linear' if variances is not None: variances = np.asarray(variances) assert variances.size == self.D, "bad number of lengthscales" else: variances = np.ones(self.D) self._set_params(variances.flatten()) #initialize cache self._Z, self._mu, self._S = np.empty(shape=(3,1)) self._X, self._X2, self._params = np.empty(shape=(3,1)) def _get_params(self): return self.variances def _set_params(self,x): assert x.size==(self.Nparam) self.variances = x self.variances2 = np.square(self.variances) def _get_param_names(self): if self.Nparam == 1: return ['variance'] else: return ['variance_%i'%i for i in range(self.variances.size)] def K(self,X,X2,target): if self.ARD: XX = X*np.sqrt(self.variances) XX2 = X2*np.sqrt(self.variances) target += np.dot(XX, XX2.T) else: self._K_computations(X, X2) target += self.variances * self._dot_product def Kdiag(self,X,target): np.add(target,np.sum(self.variances*np.square(X),-1),target) def dK_dtheta(self,partial,X,X2,target): if self.ARD: product = X[:,None,:]*X2[None,:,:] target += (partial[:,:,None]*product).sum(0).sum(0) else: self._K_computations(X, X2) target += np.sum(self._dot_product*partial) def dK_dX(self,partial,X,X2,target): target += (((X2[:, None, :] * self.variances)) * partial[:,:, None]).sum(0) #---------------------------------------# # PSI statistics # #---------------------------------------# def psi0(self,Z,mu,S,target): self._psi_computations(Z,mu,S) target += np.sum(self.variances*self.mu2_S,1) def dpsi0_dtheta(self,partial,Z,mu,S,target): self._psi_computations(Z,mu,S) tmp = partial[:, None] * self.mu2_S if self.ARD: target += tmp.sum(0) else: target += tmp.sum() def dpsi0_dmuS(self,partial, Z,mu,S,target_mu,target_S): target_mu += partial[:, None] * (2.0*mu*self.variances) target_S += partial[:, None] * self.variances def psi1(self,Z,mu,S,target): """the variance, it does nothing""" self.K(mu,Z,target) def dpsi1_dtheta(self,partial,Z,mu,S,target): """the variance, it does nothing""" self.dK_dtheta(partial,mu,Z,target) def dpsi1_dmuS(self,partial,Z,mu,S,target_mu,target_S): """Do nothing for S, it does not affect psi1""" self._psi_computations(Z,mu,S) target_mu += (partial.T[:,:, None]*(Z*self.variances)).sum(1) def dpsi1_dZ(self,partial,Z,mu,S,target): self.dK_dX(partial.T,Z,mu,target) def psi2(self,Z,mu,S,target): """ returns N,M,M matrix """ self._psi_computations(Z,mu,S) psi2 = self.ZZ*np.square(self.variances)*self.mu2_S[:, None, None, :] target += psi2.sum(-1) def dpsi2_dtheta(self,partial,Z,mu,S,target): self._psi_computations(Z,mu,S) tmp = (partial[:,:,:,None]*(2.*self.ZZ*self.mu2_S[:,None,None,:]*self.variances)) if self.ARD: target += tmp.sum(0).sum(0).sum(0) else: target += tmp.sum() def dpsi2_dmuS(self,partial,Z,mu,S,target_mu,target_S): """Think N,M,M,Q """ self._psi_computations(Z,mu,S) tmp = self.ZZ*np.square(self.variances) # M,M,Q target_mu += (partial[:,:,:,None]*tmp*2.*mu[:,None,None,:]).sum(1).sum(1) target_S += (partial[:,:,:,None]*tmp).sum(1).sum(1) def dpsi2_dZ(self,partial,Z,mu,S,target): self._psi_computations(Z,mu,S) mu2_S = np.sum(self.mu2_S,0)# Q, target += (partial[:,:,:,None] * (self.mu2_S[:,None,None,:]*(Z*np.square(self.variances)[None,:])[None,None,:,:])).sum(0).sum(1) #---------------------------------------# # Precomputations # #---------------------------------------# def _K_computations(self,X,X2): if X2 is None: X2 = X if not (np.all(X==self._Xcache) and np.all(X2==self._X2cache)): self._Xcache = X self._X2cache = X2 self._dot_product = np.dot(X,X2.T) else: # print "Cache hit!" pass # TODO: insert debug message here (logging framework) def _psi_computations(self,Z,mu,S): #here are the "statistics" for psi1 and psi2 if not np.all(Z==self._Z): #Z has changed, compute Z specific stuff self.ZZ = Z[:,None,:]*Z[None,:,:] # M,M,Q self._Z = Z if not (np.all(mu==self._mu) and np.all(S==self._S)): self.mu2_S = np.square(mu)+S self._mu, self._S = mu, S