def check(D, N, K, mu=None, Lambda=None, rho=None):
if mu is None:
mu = np.zeros(D)
if Lambda is None:
Lambda = np.identity(D)
if rho is None:
rho = np.ones(D)
V = np.identity(D) + np.ones((D, D))
# Construct model
B = GaussianARD(3, 5, shape=(D, K), plates=(1, D))
S = GaussianARD(2, 4, shape=(K, ), plates=(N, 1))
A = SumMultiply('dk,k->d', B, S)
X = GaussianMarkovChain(mu,
Lambda,
A,
rho,
n=N + 1,
initialize=False)
Y = Gaussian(X, V, initialize=False)
# Posterior estimation
Y.observe(np.random.randn(N + 1, D))
X.update()
B.update()
S.update()
try:
mu.update()
except:
pass
try:
Lambda.update()
except:
pass
try:
rho.update()
except:
pass
# Construct rotator
rotB = RotateGaussianARD(B, axis=-2)
rotX = RotateVaryingMarkovChain(X, B, S, rotB)
rotX.setup()
# Check gradient with respect to R
R = np.random.randn(D, D)
def cost(r):
(b, dr) = rotX.bound(np.reshape(r, np.shape(R)))
return (b, np.ravel(dr))
err = optimize.check_gradient(cost, np.ravel(R), verbose=False)
self.assertAllClose(err, 0, atol=1e-6, msg="Gradient incorrect")
return
def check(D, N, K, mu=None, Lambda=None, rho=None):
if mu is None:
mu = np.zeros(D)
if Lambda is None:
Lambda = np.identity(D)
if rho is None:
rho = np.ones(D)
V = np.identity(D) + np.ones((D, D))
# Construct model
B = GaussianARD(3, 5, shape=(D, K), plates=(1, D))
S = GaussianARD(2, 4, shape=(K, ), plates=(N, 1))
A = SumMultiply('dk,k->d', B, S)
X = GaussianMarkovChain(mu,
Lambda,
A,
rho,
n=N + 1,
initialize=False)
Y = Gaussian(X, V, initialize=False)
# Posterior estimation
Y.observe(np.random.randn(N + 1, D))
X.update()
B.update()
S.update()
try:
mu.update()
except:
pass
try:
Lambda.update()
except:
pass
try:
rho.update()
except:
pass
# Construct rotator
rotB = RotateGaussianARD(B, axis=-2)
rotX = RotateVaryingMarkovChain(X, B, S, rotB)
# Rotation
true_cost0 = X.lower_bound_contribution()
rotX.setup()
I = np.identity(D)
R = np.random.randn(D, D)
rot_cost0 = rotX.get_bound_terms(I)
rot_cost1 = rotX.get_bound_terms(R)
self.assertAllClose(sum(rot_cost0.values()),
rotX.bound(I)[0],
msg="Bound terms and total bound differ")
self.assertAllClose(sum(rot_cost1.values()),
rotX.bound(R)[0],
msg="Bound terms and total bound differ")
rotX.rotate(R)
true_cost1 = X.lower_bound_contribution()
self.assertAllClose(true_cost1 - true_cost0,
rot_cost1[X] - rot_cost0[X],
msg="Incorrect rotation cost for X")
return