def test_2d_wo_missing(self):
# Test cov on 1 2D variable w/o missing values
x = self.data.reshape(3, 4)
assert_almost_equal(np.cov(x), cov(x))
assert_almost_equal(np.cov(x, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(x, rowvar=False, bias=True),
cov(x, rowvar=False, bias=True))
def test_2d_wo_missing(self):
# Test cov on 1 2D variable w/o missing values
x = self.data.reshape(3, 4)
assert_almost_equal(np.cov(x), cov(x))
assert_almost_equal(np.cov(x, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(x, rowvar=False, bias=True),
cov(x, rowvar=False, bias=True))
def test_1d_wo_missing(self):
"Test cov on 1D variable w/o missing values"
x = self.data
assert_almost_equal(np.cov(x), cov(x))
assert_almost_equal(np.cov(x, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(x, rowvar=False, bias=True),
cov(x, rowvar=False, bias=True))
def test_1d_wo_missing(self):
"Test cov on 1D variable w/o missing values"
x = self.data
assert_almost_equal(np.cov(x), cov(x))
assert_almost_equal(np.cov(x, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(x, rowvar=False, bias=True),
cov(x, rowvar=False, bias=True))
def test_2d_w_missing(self):
# Test cov on 2D variable w/ missing value
x = self.data
x[-1] = masked
x = x.reshape(3, 4)
valid = np.logical_not(getmaskarray(x)).astype(int)
frac = np.dot(valid, valid.T)
xf = (x - x.mean(1)[:, None]).filled(0)
assert_almost_equal(cov(x), np.cov(xf) * (x.shape[1] - 1) / (frac - 1.0))
assert_almost_equal(cov(x, bias=True), np.cov(xf, bias=True) * x.shape[1] / frac)
frac = np.dot(valid.T, valid)
xf = (x - x.mean(0)).filled(0)
assert_almost_equal(cov(x, rowvar=False), (np.cov(xf, rowvar=False) * (x.shape[0] - 1) / (frac - 1.0)))
assert_almost_equal(cov(x, rowvar=False, bias=True), (np.cov(xf, rowvar=False, bias=True) * x.shape[0] / frac))
def test_2d_w_missing(self):
# Test cov on 2D variable w/ missing value
x = self.data
x[-1] = masked
x = x.reshape(3, 4)
valid = np.logical_not(getmaskarray(x)).astype(int)
frac = np.dot(valid, valid.T)
xf = (x - x.mean(1)[:, None]).filled(0)
assert_almost_equal(cov(x),
np.cov(xf) * (x.shape[1] - 1) / (frac - 1.))
assert_almost_equal(cov(x, bias=True),
np.cov(xf, bias=True) * x.shape[1] / frac)
frac = np.dot(valid.T, valid)
xf = (x - x.mean(0)).filled(0)
assert_almost_equal(cov(x, rowvar=False),
(np.cov(xf, rowvar=False) * (x.shape[0] - 1) /
(frac - 1.)))
assert_almost_equal(
cov(x, rowvar=False, bias=True),
(np.cov(xf, rowvar=False, bias=True) * x.shape[0] / frac))
def test_1d_w_missing(self):
# Test cov 1 1D variable w/missing values
x = self.data
x[-1] = masked
x -= x.mean()
nx = x.compressed()
assert_almost_equal(np.cov(nx), cov(x))
assert_almost_equal(np.cov(nx, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(nx, rowvar=False, bias=True), cov(x, rowvar=False, bias=True))
#
try:
cov(x, allow_masked=False)
except ValueError:
pass
#
# 2 1D variables w/ missing values
nx = x[1:-1]
assert_almost_equal(np.cov(nx, nx[::-1]), cov(x, x[::-1]))
assert_almost_equal(np.cov(nx, nx[::-1], rowvar=False), cov(x, x[::-1], rowvar=False))
assert_almost_equal(np.cov(nx, nx[::-1], rowvar=False, bias=True), cov(x, x[::-1], rowvar=False, bias=True))
def test_1d_w_missing(self):
# Test cov 1 1D variable w/missing values
x = self.data
x[-1] = masked
x -= x.mean()
nx = x.compressed()
assert_almost_equal(np.cov(nx), cov(x))
assert_almost_equal(np.cov(nx, rowvar=False), cov(x, rowvar=False))
assert_almost_equal(np.cov(nx, rowvar=False, bias=True),
cov(x, rowvar=False, bias=True))
#
try:
cov(x, allow_masked=False)
except ValueError:
pass
#
# 2 1D variables w/ missing values
nx = x[1:-1]
assert_almost_equal(np.cov(nx, nx[::-1]), cov(x, x[::-1]))
assert_almost_equal(np.cov(nx, nx[::-1], rowvar=False),
cov(x, x[::-1], rowvar=False))
assert_almost_equal(np.cov(nx, nx[::-1], rowvar=False, bias=True),
cov(x, x[::-1], rowvar=False, bias=True))
exit()
experiment_dir_base = str(sys.argv[1])
n = int(str(sys.argv[2]))
# loop over parameters here
experiment_dir = experiment_dir_base + str(os.path.abspath(sys.argv[0])).split(os.sep)[-1].split(".")[0] + os.sep
print "running experiments", n, "times at base", experiment_dir
# load data
data,labels=GPData.get_glass_data()
# normalise and whiten dataset
data-=mean(data, 0)
L=cholesky(cov(data.T))
data=solve_triangular(L, data.T, lower=True).T
dim=shape(data)[1]
# prior on theta and posterior target estimate
theta_prior=Gaussian(mu=0*ones(dim), Sigma=eye(dim)*5)
distribution=PseudoMarginalHyperparameterDistribution(data, labels, \
n_importance=100, prior=theta_prior, \
ridge=1e-3)
sigma = 23.0
print "using sigma", sigma
kernel = GaussianKernel(sigma=sigma)
for i in range(n):
if __name__ == '__main__':
# load data
data, labels = GPData.get_glass_data()
# throw away some data
n = 250
seed(1)
idx = permutation(len(data))
idx = idx[:n]
data = data[idx]
labels = labels[idx]
# normalise and whiten dataset
data -= mean(data, 0)
L = cholesky(cov(data.T))
data = solve_triangular(L, data.T, lower=True).T
dim = shape(data)[1]
# prior on theta and posterior target estimate
theta_prior = Gaussian(mu=0 * ones(dim), Sigma=eye(dim) * 5)
target=PseudoMarginalHyperparameterDistribution(data, labels, \
n_importance=100, prior=theta_prior, \
ridge=1e-3)
# create sampler
burnin = 10000
num_iterations = burnin + 300000
kernel = GaussianKernel(sigma=23.0)
sampler = KameleonWindowLearnScale(target, kernel, stop_adapt=burnin)
# sampler=AdaptiveMetropolisLearnScale(target)
