# Copyright (c) 2012, GPy authors (see AUTHORS.txt). # Licensed under the BSD 3-clause license (see LICENSE.txt) import numpy as np from .. import kern from ..core import model from ..util.linalg import pdinv from ..util.plot import gpplot from ..util.warping_functions import * from GP_regression import GP_regression from GP import GP from .. import likelihoods from .. import kern class warpedGP(GP): def __init__(self, X, Y, kernel=None, warping_function = None, warping_terms = 3, normalize_X=False, normalize_Y=False, Xslices=None): if kernel is None: kernel = kern.rbf(X.shape[1]) if warping_function == None: self.warping_function = TanhWarpingFunction_d(warping_terms) self.warping_params = (np.random.randn(self.warping_function.n_terms*3+1,) * 1) self.has_uncertain_inputs = False self.Y_untransformed = Y.copy() self.predict_in_warped_space = False likelihood = likelihoods.Gaussian(self.transform_data(), normalize=normalize_Y) GP.__init__(self, X, likelihood, kernel, normalize_X=normalize_X, Xslices=Xslices) def _set_params(self, x): self.warping_params = x[:self.warping_function.num_parameters] Y = self.transform_data() self.likelihood.set_data(Y) GP._set_params(self, x[self.warping_function.num_parameters:].copy()) def _get_params(self): return np.hstack((self.warping_params.flatten().copy(), GP._get_params(self).copy())) def _get_param_names(self): warping_names = self.warping_function._get_param_names() param_names = GP._get_param_names(self) return warping_names + param_names def transform_data(self): Y = self.warping_function.f(self.Y_untransformed.copy(), self.warping_params).copy() return Y def log_likelihood(self): ll = GP.log_likelihood(self) jacobian = self.warping_function.fgrad_y(self.Y_untransformed, self.warping_params) return ll + np.log(jacobian).sum() def _log_likelihood_gradients(self): ll_grads = GP._log_likelihood_gradients(self) alpha = np.dot(self.Ki, self.likelihood.Y.flatten()) warping_grads = self.warping_function_gradients(alpha) warping_grads = np.append(warping_grads[:,:-1].flatten(), warping_grads[0,-1]) return np.hstack((warping_grads.flatten(), ll_grads.flatten())) def warping_function_gradients(self, Kiy): grad_y = self.warping_function.fgrad_y(self.Y_untransformed, self.warping_params) grad_y_psi, grad_psi = self.warping_function.fgrad_y_psi(self.Y_untransformed, self.warping_params, return_covar_chain = True) djac_dpsi = ((1.0/grad_y[:,:, None, None])*grad_y_psi).sum(axis=0).sum(axis=0) dquad_dpsi = (Kiy[:,None,None,None] * grad_psi).sum(axis=0).sum(axis=0) return -dquad_dpsi + djac_dpsi def plot_warping(self): self.warping_function.plot(self.warping_params, self.Y_untransformed.min(), self.Y_untransformed.max()) def _raw_predict(self, *args, **kwargs): mu, var = GP._raw_predict(self, *args, **kwargs) if self.predict_in_warped_space: mu = self.warping_function.f_inv(mu, self.warping_params) var = self.warping_function.f_inv(var, self.warping_params) return mu, var