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90 lines
2.8 KiB
Python
90 lines
2.8 KiB
Python
import GPy
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import numpy as np
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import matplotlib.pyplot as plt
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from scipy.stats import t, norm
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from coxGP.python.likelihoods.Laplace import Laplace
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from coxGP.python.likelihoods.likelihood_function import student_t
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def student_t_approx():
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"""
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Example of regressing with a student t likelihood
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"""
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#Start a function, any function
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X = np.sort(np.random.uniform(0, 15, 100))[:, None]
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Y = np.sin(X)
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#Add student t random noise to datapoints
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deg_free = 2.5
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t_rv = t(deg_free, loc=5, scale=1)
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noise = t_rv.rvs(size=Y.shape)
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Y += noise
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# Kernel object
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print X.shape
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kernel = GPy.kern.rbf(X.shape[1])
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#A GP should completely break down due to the points as they get a lot of weight
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# create simple GP model
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m = GPy.models.GP_regression(X, Y, kernel=kernel)
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# optimize
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m.ensure_default_constraints()
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m.optimize()
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# plot
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#m.plot()
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print m
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#with a student t distribution, since it has heavy tails it should work well
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likelihood_function = student_t(deg_free, sigma=1)
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lap = Laplace(Y, likelihood_function)
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cov = kernel.K(X)
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lap.fit_full(cov)
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#Get one sample (just look at a single Y
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#mode = float(lap.f_hat[0])
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#variance = float((deg_free/(deg_free-2))) #BUG: Not convinced this is giving reasonable variables
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#variance = float((deg_free/(deg_free-2)) + np.diagonal(lap.hess_hat)[0]) #BUG: Not convinced this is giving reasonable variables
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test_range = np.arange(0, 10, 0.1)
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plt.plot(test_range, t_rv.pdf(test_range))
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for i in xrange(X.shape[0]):
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mode = lap.f_hat[i]
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covariance = lap.hess_hat_i[i,i]
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scaling = np.exp(lap.ln_z_hat)
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normalised_approx = norm(loc=mode, scale=covariance)
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print "Normal with mode %f, and variance %f" % (mode, covariance)
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plt.plot(test_range, normalised_approx.pdf(test_range))
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plt.show()
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import ipdb; ipdb.set_trace() ### XXX BREAKPOINT
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def noisy_laplace_approx():
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"""
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Example of regressing with a student t likelihood
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"""
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#Start a function, any function
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X = np.sort(np.random.uniform(0, 15, 70))[:, None]
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Y = np.sin(X)
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#Add some extreme value noise to some of the datapoints
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percent_corrupted = 0.05
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corrupted_datums = int(np.round(Y.shape[0] * percent_corrupted))
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indices = np.arange(Y.shape[0])
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np.random.shuffle(indices)
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corrupted_indices = indices[:corrupted_datums]
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print corrupted_indices
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noise = np.random.uniform(-10, 10, (len(corrupted_indices), 1))
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Y[corrupted_indices] += noise
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#A GP should completely break down due to the points as they get a lot of weight
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# create simple GP model
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m = GPy.models.GP_regression(X, Y)
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# optimize
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m.ensure_default_constraints()
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m.optimize()
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# plot
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m.plot()
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print m
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#with a student t distribution, since it has heavy tails it should work well
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