# 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 import hashlib from scipy import integrate class product_orthogonal(kernpart): """ Computes the product of 2 kernels :param k1, k2: the kernels to multiply :type k1, k2: kernpart :rtype: kernel object """ def __init__(self,k1,k2): assert k1._get_param_names()[0] == 'variance' and k2._get_param_names()[0] == 'variance', "Error: The multipication of kernels is only defined when the first parameters of the kernels to multiply is the variance." self.D = k1.D + k2.D self.Nparam = k1.Nparam + k2.Nparam - 1 self.name = k1.name + '' + k2.name self.k1 = k1 self.k2 = k2 self._set_params(np.hstack((k1._get_params()[0]*k2._get_params()[0], k1._get_params()[1:],k2._get_params()[1:]))) def _get_params(self): """return the value of the parameters.""" return self.params def _set_params(self,x): """set the value of the parameters.""" self.k1._set_params(np.hstack((1.,x[1:self.k1.Nparam]))) self.k2._set_params(np.hstack((1.,x[self.k1.Nparam:]))) self.params = x def _get_param_names(self): """return parameter names.""" return ['variance']+[self.k1.name + '_' + self.k1._get_param_names()[i+1] for i in range(self.k1.Nparam-1)] + [self.k2.name + '_' + self.k2._get_param_names()[i+1] for i in range(self.k2.Nparam-1)] def K(self,X,X2,target): """Compute the covariance matrix between X and X2.""" if X2 is None: X2 = X target1 = np.zeros((X.shape[0],X2.shape[0])) target2 = np.zeros((X.shape[0],X2.shape[0])) self.k1.K(X[:,0:self.k1.D],X2[:,0:self.k1.D],target1) self.k2.K(X[:,self.k1.D:],X2[:,self.k1.D:],target2) target += self.params[0]*target1 * target2 def Kdiag(self,X,target): """Compute the diagonal of the covariance matrix associated to X.""" target1 = np.zeros((X.shape[0],)) target2 = np.zeros((X.shape[0],)) self.k1.Kdiag(X[:,0:self.k1.D],target1) self.k2.Kdiag(X[:,self.k1.D:],target2) target += self.params[0]*target1 * target2 def dK_dtheta(self,partial,X,X2,target): """derivative of the covariance matrix with respect to the parameters.""" if X2 is None: X2 = X K1 = np.zeros((X.shape[0],X2.shape[0])) K2 = np.zeros((X.shape[0],X2.shape[0])) self.k1.K(X[:,0:self.k1.D],X2[:,0:self.k1.D],K1) self.k2.K(X[:,self.k1.D:],X2[:,self.k1.D:],K2) k1_target = np.zeros(self.k1.Nparam) k2_target = np.zeros(self.k2.Nparam) self.k1.dK_dtheta(partial*K2, X[:,:self.k1.D], X2[:,:self.k1.D], k1_target) self.k2.dK_dtheta(partial*K1, X[:,self.k1.D:], X2[:,self.k1.D:], k2_target) target[0] += np.sum(K1*K2*partial) target[1:self.k1.Nparam] += self.params[0]* k1_target[1:] target[self.k1.Nparam:] += self.params[0]* k2_target[1:] def dKdiag_dtheta(self,partial,X,target): """derivative of the diagonal of the covariance matrix with respect to the parameters.""" target[0] += 1 def dK_dX(self,partial,X,X2,target): """derivative of the covariance matrix with respect to X.""" if X2 is None: X2 = X K1 = np.zeros((X.shape[0],X2.shape[0])) K2 = np.zeros((X.shape[0],X2.shape[0])) self.k1.K(X[:,0:self.k1.D],X2[:,0:self.k1.D],K1) self.k2.K(X[:,self.k1.D:],X2[:,self.k1.D:],K2) self.k1.dK_dX(partial*K2, X[:,:self.k1.D], X2[:,:self.k1.D], target) self.k2.dK_dX(partial*K1, X[:,self.k1.D:], X2[:,self.k1.D:], target) def dKdiag_dX(self,X,target): pass