# Copyright (c) 2012, GPy authors (see AUTHORS.txt). # Licensed under the BSD 3-clause license (see LICENSE.txt) import numpy as np import pylab as pb import sys, pdb from GPLVM import GPLVM from sparse_GP import sparse_GP from GPy.util.linalg import pdinv from ..likelihoods import Gaussian from .. import kern class Bayesian_GPLVM(sparse_GP, GPLVM): """ Bayesian Gaussian Process Latent Variable Model :param Y: observed data :type Y: np.ndarray :param Q: latent dimensionality :type Q: int :param init: initialisation method for the latent space :type init: 'PCA'|'random' """ def __init__(self, Y, Q, X = None, S = None, init='PCA', M=10, Z=None, kernel=None, **kwargs): if X == None: X = self.initialise_latent(init, Q, Y) if S is None: S = np.ones_like(X) * 1e-2# if Z is None: Z = np.random.permutation(X.copy())[:M] assert Z.shape[1]==X.shape[1] if kernel is None: kernel = kern.rbf(Q) + kern.white(Q) sparse_GP.__init__(self, X, Gaussian(Y), kernel, Z=Z, X_uncertainty=S, **kwargs) def _get_param_names(self): X_names = sum([['X_%i_%i'%(n,q) for q in range(self.Q)] for n in range(self.N)],[]) S_names = sum([['S_%i_%i'%(n,q) for q in range(self.Q)] for n in range(self.N)],[]) return (X_names + S_names + sparse_GP._get_param_names(self)) def _get_params(self): """ Horizontally stacks the parameters in order to present them to the optimizer. The resulting 1-D array has this structure: =============================================================== | mu | S | Z | theta | beta | =============================================================== """ return np.hstack((self.X.flatten(), self.X_uncertainty.flatten(), sparse_GP._get_params(self))) def _set_params(self,x): N, Q = self.N, self.Q self.X = x[:self.X.size].reshape(N,Q).copy() self.X_uncertainty = x[(N*Q):(2*N*Q)].reshape(N,Q).copy() sparse_GP._set_params(self, x[(2*N*Q):]) def dL_dmuS(self): dL_dmu_psi0, dL_dS_psi0 = self.kern.dpsi1_dmuS(self.dL_dpsi1,self.Z,self.X,self.X_uncertainty) dL_dmu_psi1, dL_dS_psi1 = self.kern.dpsi0_dmuS(self.dL_dpsi0,self.Z,self.X,self.X_uncertainty) dL_dmu_psi2, dL_dS_psi2 = self.kern.dpsi2_dmuS(self.dL_dpsi2,self.Z,self.X,self.X_uncertainty) dL_dmu = dL_dmu_psi0 + dL_dmu_psi1 + dL_dmu_psi2 dL_dS = dL_dS_psi0 + dL_dS_psi1 + dL_dS_psi2 dKL_dS = (1. - (1./self.X_uncertainty))*0.5 dKL_dmu = self.X return np.hstack(((dL_dmu - dKL_dmu).flatten(), (dL_dS - dKL_dS).flatten())) def KL_divergence(self): var_mean = np.square(self.X).sum() var_S = np.sum(self.X_uncertainty - np.log(self.X_uncertainty)) return 0.5*(var_mean + var_S) - 0.5*self.Q*self.N def log_likelihood(self): return sparse_GP.log_likelihood(self) - self.KL_divergence() def _log_likelihood_gradients(self): return np.hstack((self.dL_dmuS().flatten(), sparse_GP._log_likelihood_gradients(self))) def plot_latent(self, *args, **kwargs): input_1, input_2 = GPLVM.plot_latent(*args, **kwargs) pb.plot(m.Z[:, input_1], m.Z[:, input_2], '^w')