def approxConditionals(s, lhat, rest=None):
"""
y: Full mean (all dimensions)
s: Full cov. matrix (all dimensions)
lhat: The dimensions for which to compute
p(lhat | rest).
a = lhat (unobserved indices) |a| - dimensional
b = rest (observed indices) |b| - dimensional
(a,b) ~ N(M, S)
Then:
S_{a|b} = Saa - Sab Sbb^-1 Sba
M_{a|b} = Sab Sbb^-1 Mb
"""
# y is L x 1
# s is L x L
L = s.shape[1]
if rest is None:
A = list(set(range(L)) - set([lhat]))
else:
A = rest
# Slice s, to get the indices denoted by A,A (ie all rows in A and columns in A)
sAA = sliceArr(s,A,A)
try:
inv_sAA = pdinv(sAA)[0]
except:
inv_sAA = pdinv(sAA + 0.00000001*np.eye(sAA.shape[0],sAA.shape[1]))[0]
print "Warning: Added more jitter!"
sc = sliceArr(s,[lhat],A)
sInvs = np.dot(np.dot(sc,inv_sAA),sc.T)
s_U = sliceArr(s,[lhat],[lhat]) - sInvs
return s_U
def update_kern_grads(self):
"""
Set the derivative of the lower bound wrt the (kernel) parameters
"""
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
B_inv = np.diag(1. / (self.phi[:, i] / self.variance))
alpha = linalg.cho_solve(linalg.cho_factor(K + B_inv), self.Y)
K_B_inv = pdinv(K + B_inv)[0]
dL_dK = np.outer(alpha, alpha) - K_B_inv
kern.update_gradients_full(dL_dK=dL_dK, X=self.X)
# variance gradient
grad_Lm_variance = 0.0
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
alpha = np.linalg.solve(K + B_inv, self.Y)
K_B_inv = pdinv(K + B_inv)[0]
dL_dB = np.outer(alpha, alpha) - K_B_inv
grad_B_inv = np.diag(1. / (self.phi[:, i] + 1e-6))
grad_Lm_variance += 0.5 * np.trace(np.dot(dL_dB, grad_B_inv))
self.variance.gradient = grad_Lm_variance
def woodbury_chol(self):
"""
return $L_{W}$ where L is the lower triangular Cholesky decomposition of the Woodbury matrix
$$
L_{W}L_{W}^{\top} = W^{-1}
W^{-1} := \texttt{Woodbury inv}
$$
"""
if self._woodbury_chol is None:
#compute woodbury chol from
if self._woodbury_inv is not None:
winv = np.atleast_3d(self._woodbury_inv)
self._woodbury_chol = np.zeros(winv.shape)
for p in range(winv.shape[-1]):
self._woodbury_chol[:, :, p] = pdinv(winv[:, :, p])[2]
elif self._covariance is not None:
raise NotImplementedError("TODO: check code here")
B = self._K - self._covariance
tmp, _ = dpotrs(self.K_chol, B)
self._woodbury_inv, _ = dpotrs(self.K_chol, tmp.T)
_, _, self._woodbury_chol, _ = pdinv(self._woodbury_inv)
else:
raise ValueError(
"insufficient information to compute posterior")
return self._woodbury_chol
def _update_batch(self, eta: float, delta: float, post_params: posteriorParams, marg_moments: MarginalMoments, batch: List[int], get_logger: Callable=None, sigma2s: np.ndarray=None):
"""
Computes new gaussian approximation for a batch given posterior and marginal moments. See e.g. 3.59 in http://www.gaussianprocess.org/gpml/chapters/RW.pdf
:param eta: parameter for fractional updates.
:param delta: damping updates factor.
:param post_params: Posterior approximation
:param marg_moments: Marginal moments at this iteration
:param batch: list of indices of the parameters to be updated
:param get_logger: Function for receiving the legger where the prints are forwarded.
"""
sigma_hat_inv,_,_,_ = pdinv(marg_moments.sigma2_hat[np.ix_(batch,batch)])
post_sigma_inv,_,_,_ = pdinv(post_params.Sigma[np.ix_(batch,batch)])
tmp0 = sigma_hat_inv - post_sigma_inv
delta_tau = delta/eta* tmp0
delta_v = delta/eta*(np.dot(marg_moments.mu_hat[batch],sigma_hat_inv) - np.dot(post_params.mu[batch], post_sigma_inv))
tau_tilde_prev = self.tau[np.ix_(batch,batch)]
tmp = (1-delta)*self.tau[np.ix_(batch,batch)] + delta_tau
#Let us umake sure that sigma_hat_inv-post_sigma_inv is positive definite
tmp, added_value = nearestPD.nearest_pd.nearestPD(tmp)
update = True
if (added_value > 1) and (sigma2s is not None):
update = False
sigma2s *= 1.05
if get_logger is not None:
get_logger().error('Increasing batch noise. Not updating gaussian approximation ({})'.format(sigma2s[0]))
if update:
self.tau[np.ix_(batch,batch)] = tmp
self.v[batch] = (1-delta)*self.v[batch] + delta_v
return (delta_tau, delta_v), sigma2s
def update_model(self, xvals, zvals, incremental = True):
assert(self.xvals is not None)
assert(self.zvals is not None)
Kx = self.kern.K(self.xvals, xvals)
# Update K matrix
self._K = np.block([
[self._K, Kx],
[Kx.T, self.kern.K(xvals, xvals)]
])
# Update internal data
self.xvals = np.vstack([self.xvals, xvals])
self.zvals = np.vstack([self.zvals, zvals])
# Update woodbury inverse, either incrementally or from scratch
if incremental == True:
Pinv = self.woodbury_inv
Q = Kx
R = Kx.T
S = self.kern.K(xvals, xvals)
M = S - np.dot(np.dot(R, Pinv), Q)
# Adds some additional noise to ensure well-conditioned
diag.add(M, self.noise + 1e-8)
M, _, _, _ = pdinv(M)
Pnew = Pinv + np.dot(np.dot(np.dot(np.dot(Pinv, Q), M), R), Pinv)
Qnew = -np.dot(np.dot(Pinv, Q), M)
Rnew = -np.dot(np.dot(M, R), Pinv)
Snew = M
self._woodbury_inv = np.block([
[Pnew, Qnew],
[Rnew, Snew]
])
else:
Ky = self.K.copy()
# Adds some additional noise to ensure well-conditioned
diag.add(Ky, self.noise + 1e-8)
Wi, LW, LWi, W_logdet = pdinv(Ky)
self._woodbury_inv = Wi
self._woodbury_vector = np.dot(self.woodbury_inv, self.zvals)
self._woodbury_chol = None
self._mean = None
self._covariance = None
self._prior_mean = 0.
self._K_chol = None
def bound(self):
"""
Compute the lower bound on the marginal likelihood (conditioned on the
GP hyper parameters).
"""
GP_bound = 0.0
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
# Make more stable using cholesky factorization:
Bi, LB, LBi, Blogdet = pdinv(K+B_inv)
# Data fit
# alpha = linalg.cho_solve(linalg.cho_factor(K + B_inv), self.Y)
# GP_bound += -0.5 * np.dot(self.Y.T, alpha).trace()
GP_bound -= .5 * dpotrs(LB, self.YYT)[0].trace()
# Penalty
# GP_bound += -0.5 * np.linalg.slogdet(K + B_inv)[1]
GP_bound -= 0.5 * Blogdet
# Constant, weighted by model assignment per point
#GP_bound += -0.5 * (self.phi[:, i] * np.log(2 * np.pi * self.variance)).sum()
GP_bound -= .5*self.D * np.einsum('j,j->',self.phi[:, i], np.log(2 * np.pi * self.variance))
return GP_bound + self.mixing_prop_bound() + self.H
def IntKKNorm(self, x1, x2, mu, sigma):
"""Compute \int k(x1,x') k(x',x2) Normal_x'(\mu, \Sigma) dx'.
Parameters
----------
x1 : array, size (n1, n_dim)
x2 : array, size (n2, n_dim)
mu : array, size (n_dim)
The mean of the Gaussian distribution.
cov : array, size (n_dim, n_dim)
The covariance of the Gaussian distribution.
Returns
-------
res : array, size (n1, n2)
"""
ndim = self.input_dim
var = self.variance
ell2 = np.ones((ndim, )) * self.lengthscale**2
sqrt_det = np.sqrt(np.prod(ell2))
cov = sigma + 0.5 * np.diag(ell2)
cov_inv, _, _, ld, = pdinv(cov)
x_shift = 0.5 * (x1[:, None] + x2[None, :]) - mu
arg = np.sum(x_shift * np.matmul(x_shift, cov_inv), axis=2)
k1 = var * np.exp(-0.5 * arg)
k2 = self.K(x1 / np.sqrt(2), x2 / np.sqrt(2))
const = np.exp(-0.5 * ld) * sqrt_det / np.power(2, ndim / 2.0)
return const * k1 * k2
def inference(self, kern, X, likelihood, Y, mean_function=None, Y_metadata=None, K=None, variance=None, Z_tilde=None, A = None):
"""
Returns a Posterior class containing essential quantities of the posterior
The comments below corresponds to Alg 2.1 in GPML textbook.
"""
# print('ExactGaussianInferenceGroup inference:')
if mean_function is None:
m = 0
else:
m = mean_function.f(X)
if variance is None:
variance = likelihood.gaussian_variance(Y_metadata)
YYT_factor = Y-m
# NOTE: change K to AKA^T
if K is None:
if A is None:
A = np.identity(X.shape[0])
K = A.dot(kern.K(X)).dot(A.T) # A_t k(X_t, X_t) A_t^T
else:
raise NotImplementedError('Need to be extended to group case!')
Ky = K.copy()
diag.add(Ky, variance+1e-8) # A_t k(X_t, X_t)A_t^T + sigma^2 I
# pdinv:
# Wi: inverse of Ky
# LW: the Cholesky decomposition of Ky -> L
# LWi: the Cholesky decomposition of Kyi (not used)
# W_logdet: the log of the determinat of Ky
Wi, LW, LWi, W_logdet = pdinv(Ky)
# LAPACK: DPOTRS solves a system of linear equations A*X = B with a symmetric
# positive definite matrix A using the Cholesky factorization
# A = U**T*U or A = L*L**T computed by DPOTRF.
alpha, _ = dpotrs(LW, YYT_factor, lower=1)
# so this gives
# (A_t k(X_t, X_t)A_t^T + sigma^2 I)^{-1} (Y_t - m)
# Note: 20210827 confirm the log marginal likelihood
log_marginal = 0.5*(-Y.size * log_2_pi - Y.shape[1] * W_logdet - np.sum(alpha * YYT_factor))
if Z_tilde is not None:
# This is a correction term for the log marginal likelihood
# In EP this is log Z_tilde, which is the difference between the
# Gaussian marginal and Z_EP
log_marginal += Z_tilde
# REVIEW: since log_marginal does not change, the gradient does not need to change as well.
# FIXME: confirm the gradient update is correct
# dL_dK = 0.5 * (tdot(alpha) - Y.shape[1] * Wi)
dL_dK = 0.5 * A.T.dot((tdot(alpha) - Y.shape[1] * Wi)).dot(A)
# print('dL_dK shape', dL_dK.shape)
dL_dthetaL = likelihood.exact_inference_gradients(np.diag(dL_dK), Y_metadata)
return PosteriorExactGroup(woodbury_chol=LW, woodbury_vector=alpha, K=K, A = A), log_marginal, {'dL_dK':dL_dK, 'dL_dthetaL':dL_dthetaL, 'dL_dm':alpha}
def dIntKKNorm_dX(self, x1, x2, mu, sigma):
"""Compute
d/dx1 \int k(x1,x') k(x',x2) Normal_x'(\mu, \Sigma) dx'.
Parameters
----------
x1 : array, size (n1, n_dim)
x2 : array, size (n2, n_dim)
mu : array, size (n_dim)
The mean of the Gaussian distribution.
cov : array, size (n_dim, n_dim)
The covariance of the Gaussian distribution.
Returns
-------
jac : array, size (n1, n2, n_dim)
The gradients of IntKKNorm w.r.t. x1.
"""
ndim = self.input_dim
ell2 = np.ones((ndim, )) * self.lengthscale**2
cov = sigma + 0.5 * np.diag(ell2)
cov_inv, _, _, ld, = pdinv(cov)
x_avg = 0.5 * (x1[:, None] + x2[None, :])
aa = np.dot(2 * x_avg / ell2, sigma) + mu
const = -x1[:, None] / ell2 + 0.5 * np.dot(aa, cov_inv)
integral = self.IntKKNorm(x1, x2, mu, sigma)
jacobian = const * integral[:, :, None]
return jacobian
def vb_grad_natgrad(self):
"""
Natural Gradients of the bound with respect to phi, the variational
parameters controlling assignment of the data to GPs
"""
grad_Lm = np.zeros_like(self.phi)
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
alpha = np.linalg.solve(K + B_inv, self.Y)
K_B_inv = pdinv(K + B_inv)[0]
dL_dB = tdot(alpha) - K_B_inv
for n in range(self.phi.shape[0]):
grad_B_inv = np.zeros_like(B_inv)
grad_B_inv[n, n] = -self.variance / (self.phi[n, i]**2 + 1e-6)
grad_Lm[n, i] = 0.5 * np.trace(np.dot(dL_dB, grad_B_inv))
grad_phi = grad_Lm + self.mixing_prop_bound_grad() + self.Hgrad
natgrad = grad_phi - np.sum(self.phi * grad_phi, 1)[:, None]
grad = natgrad * self.phi
return grad.flatten(), natgrad.flatten()
def _log_likelihood(self, log_params):
# Returns log likelihood, p(D|hyperparams)
params = np.exp(log_params)
l_scales = params[0:self.X_dim]
output_var = params[self.X_dim] # Vertical length scale
noise_var = params[self.X_dim + 1]
# compute eta
eta = np.min(self.Y) - params[self.X_dim + 2] # QUESTION: what is this?
# compute the observed value for g instead of y
g_ob = np.sqrt(2.0 * (self.Y - eta))
kernel = GPy.kern.RBF(input_dim=self.X_dim, ARD=True, variance=output_var, lengthscale=l_scales)
Kng = kernel.K(self.X)
# QUESTION: does not seem to follow conditional variance form in eqn 6
# compute posterior mean distribution for g TODO update this
# GPg = GPy.models.GPRegression(self.X, g_ob, kernel, noise_var=1e-8)
# mg,_ = GPg.predict(self.X)
mg = g_ob
# approximate covariance matrix of y using linearisation technique
Kny = mg * Kng * mg.T + (noise_var+1e-8) * np.eye(Kng.shape[0])
# compute likelihood terms
Wi, LW, LWi, W_logdet = pdinv(Kny) # from GPy module
# Wi = inverse of Kny (ndarray)
# LW = Cholesky decomposition of Kny (ndarray)
# LWi = Cholesky decomposition of inverse of Kny (ndarray)
# W_logdet = log determinant of Kny (float)
alpha, _ = dpotrs(LW, self.Y, lower=1)
loglikelihood = 0.5 * (-self.Y.size * np.log(2 * np.pi) - self.Y.shape[1] * W_logdet - np.sum(alpha * self.Y))
# Log marginal likelihood for GP, based on Rasmussen eqn 2.30
return loglikelihood
def bound(self):
"""
Compute the lower bound on the marginal likelihood (conditioned on the
GP hyper parameters).
"""
GP_bound = 0.0
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
# Make more stable using cholesky factorization:
Bi, LB, LBi, Blogdet = pdinv(K + B_inv)
# Data fit
# alpha = linalg.cho_solve(linalg.cho_factor(K + B_inv), self.Y)
# GP_bound += -0.5 * np.dot(self.Y.T, alpha).trace()
GP_bound -= .5 * dpotrs(LB, self.YYT)[0].trace()
# Penalty
# GP_bound += -0.5 * np.linalg.slogdet(K + B_inv)[1]
GP_bound -= 0.5 * Blogdet
# Constant, weighted by model assignment per point
#GP_bound += -0.5 * (self.phi[:, i] * np.log(2 * np.pi * self.variance)).sum()
GP_bound -= .5 * self.D * np.einsum(
'j,j->', self.phi[:, i], np.log(2 * np.pi * self.variance))
return GP_bound + self.mixing_prop_bound() + self.H
def vb_grad_natgrad(self):
"""
Natural Gradients of the bound with respect to phi, the variational
parameters controlling assignment of the data to GPs
"""
grad_Lm = np.zeros_like(self.phi)
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
alpha = np.linalg.solve(K + B_inv, self.Y)
K_B_inv = pdinv(K + B_inv)[0]
dL_dB = np.outer(alpha, alpha) - K_B_inv
for n in range(self.phi.shape[0]):
grad_B_inv = np.zeros_like(B_inv)
grad_B_inv[n, n] = -self.variance / (self.phi[n, i] ** 2 + 1e-6)
grad_Lm[n, i] = 0.5 * np.trace(np.dot(dL_dB, grad_B_inv))
grad_phi = grad_Lm + self.mixing_prop_bound_grad() + self.Hgrad
natgrad = grad_phi - np.sum(self.phi * grad_phi, 1)[:, None]
grad = natgrad * self.phi
return grad.flatten(), natgrad.flatten()
def omgp_model_bound(omgp):
''' Calculate the part of the omgp bound which does not depend
on the response variable.
'''
GP_bound = 0.0
LBs = []
# Precalculate the bound minus data fit,
# and LB matrices used for data fit term.
for i, kern in enumerate(omgp.kern):
K = kern.K(omgp.X)
B_inv = np.diag(1. / ((omgp.phi[:, i] + 1e-6) / omgp.variance))
Bi, LB, LBi, Blogdet = pdinv(K + B_inv)
LBs.append(LB)
# Penalty
GP_bound -= 0.5 * Blogdet
# Constant
GP_bound -= 0.5 * omgp.D * np.einsum('j,j->', omgp.phi[:, i],
np.log(2 * np.pi * omgp.variance))
model_bound = GP_bound + omgp.mixing_prop_bound() + omgp.H
return model_bound, LBs
def __init__(self,
X,
kernF,
kernY,
Y,
K=2,
alpha=1.,
prior_Z='symmetric',
name='MOHGP'):
N, self.D = Y.shape
self.Y = Y
self.X = X
assert X.shape[0] == self.D, "input data don't match observations"
CollapsedMixture.__init__(self, N, K, prior_Z, alpha, name)
self.kernF = kernF
self.kernY = kernY
self.link_parameters(self.kernF, self.kernY)
#initialize kernels
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(
self.Sy + np.eye(self.D) * 1e-6)
#Computations that can be done outside the optimisation loop
self.YYT = self.Y[:, :, np.newaxis] * self.Y[:, np.newaxis, :]
self.YTY = np.dot(self.Y.T, self.Y)
self.do_computations()
def inference(self,
kern,
X,
W,
likelihood,
Y,
mean_function=None,
Y_metadata=None,
K=None,
variance=None,
Z_tilde=None):
"""
Returns a Posterior class containing essential quantities of the posterior
"""
if mean_function is None:
m = 0
else:
m = mean_function.f(X)
if variance is None:
variance = likelihood.gaussian_variance(Y_metadata)
YYT_factor = Y - m
if K is None:
K = kern.K(X)
Ky = K.copy()
diag.add(Ky, variance + 1e-8)
Wi, LW, LWi, W_logdet = pdinv(Ky)
alpha, _ = dpotrs(LW, YYT_factor, lower=1)
log_marginal = 0.5 * (-Y.size * log_2_pi - Y.shape[1] * W_logdet -
np.sum(alpha * YYT_factor))
if Z_tilde is not None:
# This is a correction term for the log marginal likelihood
# In EP this is log Z_tilde, which is the difference between the
# Gaussian marginal and Z_EP
log_marginal += Z_tilde
dL_dK = 0.5 * (tdot(alpha) - Y.shape[1] * Wi)
dL_dthetaL = likelihood.exact_inference_gradients(
np.diag(dL_dK), Y_metadata)
posterior_ = Posterior(woodbury_chol=LW, woodbury_vector=alpha, K=K)
return posterior_, log_marginal, {
'dL_dK': dL_dK,
'dL_dthetaL': dL_dthetaL,
'dL_dm': alpha
}, W_logdet
def __init__(self, mu, var):
self.mu = np.array(mu).flatten()
self.var = np.array(var)
assert len(self.var.shape) == 2
assert self.var.shape[0] == self.var.shape[1]
assert self.var.shape[0] == self.mu.size
self.input_dim = self.mu.size
self.inv, self.hld = pdinv(self.var)
self.constant = -0.5 * self.input_dim * np.log(2 * np.pi)
def parameters_changed(self):
""" Set the kernel parameters. Note that the variational parameters are handled separately."""
#get the latest kernel matrices, decompose
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(self.Sy+np.eye(self.D)*1e-6)
#update everything
self.do_computations()
self.update_kern_grads()
def parameters_changed(self):
""" Set the kernel parameters. Note that the variational parameters are handled separately."""
#get the latest kernel matrices, decompose
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(
self.Sy + np.eye(self.D) * 1e-6)
#update everything
self.do_computations()
self.update_kern_grads()
def _set_params(self,x):
""" Set the kernel parameters. Note that the variational parameters are handled separately."""
#st the kernels with their parameters
self.kernF._set_params_transformed(x[:self.kernF.num_params])
self.kernY._set_params_transformed(x[self.kernF.num_params:])
#get the latest kernel matrices, decompose
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(self.Sy)
#update everything
self.do_computations()
def _set_params(self, x):
""" Set the kernel parameters. Note that the variational parameters are handled separately."""
#st the kernels with their parameters
self.kernF._set_params_transformed(x[:self.kernF.num_params])
self.kernY._set_params_transformed(x[self.kernF.num_params:])
#get the latest kernel matrices, decompose
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(
self.Sy)
#update everything
self.do_computations()
def comp_Ckk(X, kernel, mean_i, cov_i):
"""Compute C_kk = \int k(X,x') k(x',X) Normal_i dx'."""
ndim = kernel.input_dim
var = kernel.variance
Xsh = (X - mean_i) / 2.
ell2 = np.ones((ndim, )) * kernel.lengthscale**2
sqrt_det = np.power(np.prod(ell2), 1 / 2.)
cov = cov_i + 0.5 * np.diag(ell2)
cov_inv, _, _, ld, = pdinv(cov)
X1s = np.sum(Xsh * np.dot(Xsh, cov_inv), 1)
arg = 2.*np.dot(Xsh, np.dot(Xsh, cov_inv).T) \
+ X1s[:,None] + X1s[None,:]
con = -0.5 * (ndim * np.log(2 * np.pi) + ld)
zc = np.exp(con - 0.5 * arg)
norm_const = var * np.power(np.pi, ndim/2.0) * sqrt_det \
* kernel.K(X/np.sqrt(2))
return norm_const * zc, cov_inv
def recompute_posterior_mf(
alpha: np.ndarray, beta: np.ndarray, K: np.ndarray
) -> Tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray,
np.ndarray]:
"""
Recompute the posterior approximation (for the mean field approximation) mean: K alpha, covariance inv(K + beta)
:param alpha: Alpha vector used to parametrize the posterior approximation
:param beta: Beta vector/matrix used to parametrize the posterior approximation
:param K: prior covariance
:return: Tuple containing the mean and cholesky of the covariance, its inverse and derivatives of the KL divergence with respect to beta and alpha
"""
N = alpha.shape[0]
# Lambda = diag(lam) = diag(beta.^2)
lam_sqrt = beta.ravel()
lam = beta.ravel()**2
# Handle A = I + Lambda*K*Lambda
KB = K @ np.diag(lam_sqrt)
BKB = np.diag(lam_sqrt) @ KB
A = np.eye(N) + BKB
Ai, LA, Li, Alogdet = pdinv(A)
# Compute Mean
m = K @ alpha
# Compute covariance matrix
W = Li @ np.diag(
1.0 / lam_sqrt
) # can be accelerated using broadcasting instead of matrix multiplication
Sigma = (
np.diag(1.0 / lam) - W.T @ W
) # computes np.diag(1./lam) - np.diag(1. / lam_sqrt) @ Ai @ np.diag(1. / lam_sqrt)
# Compute KL
KL = 0.5 * (Alogdet + np.trace(Ai) - N + np.sum(m * alpha))
# Compute Gradients
A_A2 = Ai - Ai.dot(Ai)
dKL_db = np.diag(np.dot(KB.T, A_A2)).reshape(-1, 1)
# dKL_da = K @ alpha
dKL_da = m.copy()
L = GPy.util.linalg.jitchol(Sigma)
L_inv = np.linalg.inv(L)
return m, L, L_inv, KL, dKL_db, dKL_da
def predict(self, Xnew, i):
""" Predictive mean for a given component
"""
kern = self.kern[i]
K = kern.K(self.X)
kx = kern.K(self.X, Xnew)
# Predict mean
# This works but should Cholesky for stability
B_inv = np.diag(1. / (self.phi[:, i] / self.variance))
K_B_inv = pdinv(K + B_inv)[0]
mu = kx.T.dot(np.dot(K_B_inv, self.Y))
# Predict variance
kxx = kern.K(Xnew, Xnew)
va = self.variance + kxx - kx.T.dot(np.dot(K_B_inv, kx))
return mu, va
def predict(self, Xnew, i):
""" Predictive mean for a given component
"""
kern = self.kern[i]
K = kern.K(self.X)
kx = kern.K(self.X, Xnew)
# Predict mean
# This works but should Cholesky for stability
B_inv = np.diag(1. / (self.phi[:, i] / self.variance))
K_B_inv = pdinv(K + B_inv)[0]
mu = kx.T.dot(np.dot(K_B_inv, self.Y))
# Predict variance
kxx = kern.K(Xnew, Xnew)
va = self.variance + kxx - kx.T.dot(np.dot(K_B_inv, kx))
return mu, va
def __init__(self, X, kernF, kernY, Y, K=2, alpha=1., prior_Z='symmetric'):
N, self.D = Y.shape
self.Y = Y
self.X = X
assert X.shape[0] == self.D, "input data don't match observations"
#initialize kernels
self.kernF = kernF
self.kernY = kernY
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(
self.Sy)
#Computations that can be done outside the optimisation loop
self.YYT = self.Y[:, :, np.newaxis] * self.Y[:, np.newaxis, :]
self.YTY = np.dot(self.Y.T, self.Y)
collapsed_mixture.__init__(self, N, K, prior_Z, alpha)
def __init__(self, X, kernF, kernY, Y, K=2, alpha=1., prior_Z='symmetric'):
N,self.D = Y.shape
self.Y = Y
self.X = X
assert X.shape[0]==self.D, "input data don't match observations"
#initialize kernels
self.kernF = kernF
self.kernY = kernY
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(self.Sy)
#Computations that can be done outside the optimisation loop
self.YYT = self.Y[:,:,np.newaxis]*self.Y[:,np.newaxis,:]
self.YTY = np.dot(self.Y.T,self.Y)
collapsed_mixture.__init__(self, N, K, prior_Z, alpha)
def update_kern_grads(self):
"""
Set the derivative of the lower bound wrt the (kernel) parameters
"""
grad_Lm_variance = 0.0
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
B_inv = np.diag(1. / (self.phi[:, i] / self.variance))
# Numerically more stable version using cholesky decomposition
#alpha = linalg.cho_solve(linalg.cho_factor(K + B_inv), self.Y)
#K_B_inv = pdinv(K + B_inv)[0]
#dL_dK = .5*(tdot(alpha) - K_B_inv)
# Make more stable using cholesky factorization:
Bi, LB, LBi, Blogdet = pdinv(K + B_inv)
tmp = dpotrs(LB, self.YYT)[0]
GPy.util.diag.subtract(tmp, 1)
dL_dB = dpotrs(LB, tmp.T)[0]
kern.update_gradients_full(dL_dK=.5 * dL_dB, X=self.X)
# variance gradient
#for i, kern in enumerate(self.kern):
K = kern.K(self.X)
#I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
#alpha = np.linalg.solve(K + B_inv, self.Y)
#K_B_inv = pdinv(K + B_inv)[0]
#dL_dB = tdot(alpha) - K_B_inv
grad_B_inv = np.diag(1. / (self.phi[:, i] + 1e-6))
grad_Lm_variance += 0.5 * np.trace(np.dot(dL_dB, grad_B_inv))
grad_Lm_variance -= .5 * self.D * np.einsum(
'j,j->', self.phi[:, i], 1. / self.variance)
self.variance.gradient = grad_Lm_variance
def init_model(self, xvals, zvals):
# Update internal data
self.xvals = xvals
self.zvals = zvals
self._K = self.kern.K(self.xvals)
Ky = self._K.copy()
# Adds some additional noise to ensure well-conditioned
diag.add(Ky, self.noise + 1e-8)
Wi, LW, LWi, W_logdet = pdinv(Ky)
self._woodbury_inv = Wi
self._woodbury_vector = np.dot(self._woodbury_inv, self.zvals)
self._woodbury_chol = None
self._mean = None
self._covariance = None
self._prior_mean = 0.
self._K_chol = None
def update_kern_grads(self):
"""
Set the derivative of the lower bound wrt the (kernel) parameters
"""
grad_Lm_variance = 0.0
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
B_inv = np.diag(1. / (self.phi[:, i] / self.variance))
# Numerically more stable version using cholesky decomposition
#alpha = linalg.cho_solve(linalg.cho_factor(K + B_inv), self.Y)
#K_B_inv = pdinv(K + B_inv)[0]
#dL_dK = .5*(tdot(alpha) - K_B_inv)
# Make more stable using cholesky factorization:
Bi, LB, LBi, Blogdet = pdinv(K+B_inv)
tmp = dpotrs(LB, self.YYT)[0]
GPy.util.diag.subtract(tmp, 1)
dL_dB = dpotrs(LB, tmp.T)[0]
kern.update_gradients_full(dL_dK=.5*dL_dB, X=self.X)
# variance gradient
#for i, kern in enumerate(self.kern):
K = kern.K(self.X)
#I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
#alpha = np.linalg.solve(K + B_inv, self.Y)
#K_B_inv = pdinv(K + B_inv)[0]
#dL_dB = tdot(alpha) - K_B_inv
grad_B_inv = np.diag(1. / (self.phi[:, i] + 1e-6))
grad_Lm_variance += 0.5 * np.trace(np.dot(dL_dB, grad_B_inv))
grad_Lm_variance -= .5*self.D * np.einsum('j,j->',self.phi[:, i], 1./self.variance)
self.variance.gradient = grad_Lm_variance
def vb_grad_natgrad(self):
"""
Natural Gradients of the bound with respect to phi, the variational
parameters controlling assignment of the data to GPs
"""
grad_Lm = np.zeros_like(self.phi)
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
K_B_inv, L_B, _, _ = pdinv(K + B_inv)
alpha, _ = dpotrs(L_B, self.Y)
dL_dB_diag = np.sum(np.square(alpha), 1) - np.diag(K_B_inv)
grad_Lm[:,i] = -0.5 * self.variance * dL_dB_diag / (self.phi[:,i]**2 + 1e-6)
grad_phi = grad_Lm + self.mixing_prop_bound_grad() + self.Hgrad
natgrad = grad_phi - np.sum(self.phi * grad_phi, 1)[:, None]
grad = natgrad * self.phi
return grad.flatten(), natgrad.flatten()
def __init__(self, X, kernF, kernY, Y, K=2, alpha=1., prior_Z='symmetric', name='MOHGP'):
N,self.D = Y.shape
self.Y = Y
self.X = X
assert X.shape[0]==self.D, "input data don't match observations"
CollapsedMixture.__init__(self, N, K, prior_Z, alpha, name)
self.kernF = kernF
self.kernY = kernY
self.link_parameters(self.kernF, self.kernY)
#initialize kernels
self.Sf = self.kernF.K(self.X)
self.Sy = self.kernY.K(self.X)
self.Sy_inv, self.Sy_chol, self.Sy_chol_inv, self.Sy_logdet = pdinv(self.Sy+np.eye(self.D)*1e-6)
#Computations that can be done outside the optimisation loop
self.YYT = self.Y[:,:,np.newaxis]*self.Y[:,np.newaxis,:]
self.YTY = np.dot(self.Y.T,self.Y)
self.do_computations()
def omgp_model_bound(omgp):
''' Calculate the part of the omgp bound which does not depend
on the response variable.
'''
GP_bound = 0.0
LBs = []
# Precalculate the bound minus data fit,
# and LB matrices used for data fit term.
for i, kern in enumerate(omgp.kern):
K = kern.K(omgp.X)
B_inv = np.diag(1. / ((omgp.phi[:, i] + 1e-6) / omgp.variance))
Bi, LB, LBi, Blogdet = pdinv(K + B_inv)
LBs.append(LB)
# Penalty
GP_bound -= 0.5 * Blogdet
# Constant
GP_bound -= 0.5 * omgp.D * np.einsum('j,j->', omgp.phi[:, i], np.log(2 * np.pi * omgp.variance))
model_bound = GP_bound + omgp.mixing_prop_bound() + omgp.H
return model_bound, LBs
def vb_grad_natgrad(self):
"""
Natural Gradients of the bound with respect to phi, the variational
parameters controlling assignment of the data to GPs
"""
grad_Lm = np.zeros_like(self.phi)
for i, kern in enumerate(self.kern):
K = kern.K(self.X)
I = np.eye(self.N)
B_inv = np.diag(1. / ((self.phi[:, i] + 1e-6) / self.variance))
K_B_inv, L_B, _, _ = pdinv(K + B_inv)
alpha, _ = dpotrs(L_B, self.Y)
dL_dB_diag = np.sum(np.square(alpha), 1) - np.diag(K_B_inv)
grad_Lm[:, i] = -0.5 * self.variance * dL_dB_diag / (
self.phi[:, i]**2 + 1e-6)
grad_phi = grad_Lm + self.mixing_prop_bound_grad() + self.Hgrad
natgrad = grad_phi - np.sum(self.phi * grad_phi, 1)[:, None]
grad = natgrad * self.phi
return grad.flatten(), natgrad.flatten()
def inference(self,
kern,
X,
Z,
likelihood,
Y,
mean_function=None,
Y_metadata=None):
assert mean_function is None, "inference with a mean function not implemented"
num_inducing, _ = Z.shape
num_data, output_dim = Y.shape
#make sure the noise is not hetero
sigma_n = likelihood.gaussian_variance(Y_metadata)
if sigma_n.size > 1:
raise NotImplementedError(
"no hetero noise with this implementation of PEP")
Kmm = kern.K(Z)
Knn = kern.Kdiag(X)
Knm = kern.K(X, Z)
U = Knm
#factor Kmm
diag.add(Kmm, self.const_jitter)
Kmmi, L, Li, _ = pdinv(Kmm)
#compute beta_star, the effective noise precision
LiUT = np.dot(Li, U.T)
sigma_star = sigma_n + self.alpha * (Knn - np.sum(np.square(LiUT), 0))
beta_star = 1. / sigma_star
# Compute and factor A
A = tdot(LiUT * np.sqrt(beta_star)) + np.eye(num_inducing)
LA = jitchol(A)
# back substitute to get b, P, v
URiy = np.dot(U.T * beta_star, Y)
tmp, _ = dtrtrs(L, URiy, lower=1)
b, _ = dtrtrs(LA, tmp, lower=1)
tmp, _ = dtrtrs(LA, b, lower=1, trans=1)
v, _ = dtrtrs(L, tmp, lower=1, trans=1)
tmp, _ = dtrtrs(LA, Li, lower=1, trans=0)
P = tdot(tmp.T)
alpha_const_term = (1.0 - self.alpha) / self.alpha
#compute log marginal
log_marginal = -0.5*num_data*output_dim*np.log(2*np.pi) + \
-np.sum(np.log(np.diag(LA)))*output_dim + \
0.5*output_dim*(1+alpha_const_term)*np.sum(np.log(beta_star)) + \
-0.5*np.sum(np.square(Y.T*np.sqrt(beta_star))) + \
0.5*np.sum(np.square(b)) + 0.5*alpha_const_term*num_data*np.log(sigma_n)
#compute dL_dR
Uv = np.dot(U, v)
dL_dR = 0.5*(np.sum(U*np.dot(U,P), 1) - (1.0+alpha_const_term)/beta_star + np.sum(np.square(Y), 1) - 2.*np.sum(Uv*Y, 1) \
+ np.sum(np.square(Uv), 1))*beta_star**2
# Compute dL_dKmm
vvT_P = tdot(v.reshape(-1, 1)) + P
dL_dK = 0.5 * (Kmmi - vvT_P)
KiU = np.dot(Kmmi, U.T)
dL_dK += self.alpha * np.dot(KiU * dL_dR, KiU.T)
# Compute dL_dU
vY = np.dot(v.reshape(-1, 1), Y.T)
dL_dU = vY - np.dot(vvT_P, U.T)
dL_dU *= beta_star
dL_dU -= self.alpha * 2. * KiU * dL_dR
dL_dthetaL = likelihood.exact_inference_gradients(dL_dR)
dL_dthetaL += 0.5 * alpha_const_term * num_data / sigma_n
grad_dict = {
'dL_dKmm': dL_dK,
'dL_dKdiag': dL_dR * self.alpha,
'dL_dKnm': dL_dU.T,
'dL_dthetaL': dL_dthetaL
}
#construct a posterior object
post = Posterior(woodbury_inv=Kmmi - P,
woodbury_vector=v,
K=Kmm,
mean=None,
cov=None,
K_chol=L)
return post, log_marginal, grad_dict
def update_model(self,
x,
y,
opt_hyp=False,
replace_old=True,
noise_diag=1e-5,
choose_data=True):
""" Update the model based on the current settings and new data
Parameters
----------
x: n x (n_s + n_u) array[float]
The training set
y: n x n_s
The training targets
train: bool, optional
If this is set to TRUE the hyperparameters are re-optimized
"""
if replace_old:
x_new = x
y_new = y
else:
x_new = np.vstack((self.x_train, x))
y_new = np.vstack((self.y_train, y))
if opt_hyp or not self.gp_trained:
self.train(x_new, y_new, self.m, opt_hyp=opt_hyp, Z=self.Z)
else:
n_data = np.shape(x_new)[0]
inv_K = [None] * self.n_s_out
if self.m is None:
n_beta = n_data
Z = x_new
y_z = y_new
else:
if n_data < self.m:
warnings.warn(
"""The desired number of datapoints is not available. Dataset consist of {}
Datapoints! """.format(n_data))
Z = x_new
y_z = y_new
n_beta = n_data
else:
if choose_data:
Z, y_z = self.choose_datapoints_maxvar(
x_new, y_new, self.m)
else:
idx = np.random.choice(n_data,
size=self.m,
replace=False)
Z = x_new[idx, :]
y_z = y_new[idx, :]
n_beta = self.m
beta = np.empty((n_beta, self.n_s_out))
for i in range(self.n_s_out):
if self.do_sparse_gp:
self.gps[i].set_XY(x_new, y_new[:, i].reshape(-1, 1))
if not self.z_fixed:
self.gps[i].set_Z(Z)
else:
self.gps[i].set_XY(Z, y_z[:, i].reshape(-1, 1))
post = self.gps[i].posterior
if noise_diag > 0.0:
inv_K[i] = pdinv(
post._K + float(self.gps[i].Gaussian_noise.variance +
noise_diag) * np.eye(n_beta))[0]
else:
inv_K[i] = post.woodbury_inv
beta[:, i] = post.woodbury_vector.reshape(-1, )
self.x_train = x_new
self.y_train = y_new
self.z = Z
self.inv_K = inv_K
self.beta = beta
def predict_value(self, xvals, include_noise=True, full_cov=False):
# Calculate for the test point
assert (xvals.shape[0] >= 1)
assert (xvals.shape[1] == self.dimension)
n_points, input_dim = xvals.shape
# With no observations, predict 0 mean everywhere and prior variance
if self.xvals is None:
return np.zeros((n_points, 1)), np.ones(
(n_points, 1)) * self.variance
# Find neightbors within radius
point_group = self.spatial_tree.query_ball_point(
xvals, self.neighbor_radius)
point_list = []
for points in point_group:
for index in points:
point_list.append(index)
point_set = Set(point_list)
xpoints = [self.xvals[index] for index in point_set]
zpoints = [self.zvals[index] for index in point_set]
# print "Size before:", len(xpoints)
# Brute force check the points in the waiting queue
if self.xwait is not None and self.xwait.shape[0] > 0:
wait_list = []
for i, u in enumerate(self.xwait):
for j, v in enumerate(xvals):
# if xvals.shape[0] < 10:
# print "Comparing", i, j
# print "Points:", u, v
dist = sp.spatial.distance.minkowski(u, v, p=2.0)
if dist <= self.neighbor_radius:
wait_list.append(i)
# if xvals.shape[0] < 10:
# print "Adding point", u
# if xvals.shape[0] < 10:
# print "The wait list:", wait_list
wait_set = Set(wait_list)
xpoints = [self.xwait[index] for index in wait_set] + xpoints
zpoints = [self.zwait[index] for index in wait_set] + zpoints
# print "Size after:", len(xpoints)
xpoints = np.array(xpoints).reshape(-1, 2)
zpoints = np.array(zpoints).reshape(-1, 1)
if xpoints.shape[0] == 0:
"No nearby points!"
return np.zeros((n_points, 1)), np.ones(
(n_points, 1)) * self.variance
# if self.xvals is not None:
# print "Size of kernel array:", self.xvals
# if self.xwait is not None:
# print "Size of wait array:", self.xwait.shape
# if xpoints is not None:
# print "Size of returned points:", xpoints.shape
Kx = self.kern.K(xpoints, xvals)
K = self.kern.K(xpoints, xpoints)
# Adds some additional noise to ensure well-conditioned
Ky = K.copy()
diag.add(Ky, self.noise + 1e-8)
Wi, LW, LWi, W_logdet = pdinv(Ky)
woodbury_inv = Wi
woodbury_vector = np.dot(woodbury_inv, zpoints)
mu = np.dot(Kx.T, woodbury_vector)
if len(mu.shape) == 1:
mu = mu.reshape(-1, 1)
if full_cov:
Kxx = self.kern.K(xvals)
if self.woodbury_inv.ndim == 2:
var = Kxx - np.dot(Kx.T, np.dot(woodbury_inv, Kx))
else:
Kxx = self.kern.Kdiag(xvals)
var = (Kxx - np.sum(np.dot(woodbury_inv.T, Kx) * Kx, 0))[:, None]
# If model noise should be included in the prediction
if include_noise:
var += self.noise
update_legacy = False
if update_legacy:
# With no observations, predict 0 mean everywhere and prior variance
if self.model == None:
mean, variance = np.zeros((n_points, 1)), np.ones(
(n_points, 1)) * self.variance
# Else, return the predicted values
mean, variance = self.model.predict(
xvals, full_cov=False, include_likelihood=include_noise)
if xvals.shape[0] < 10:
# print "-------- MEAN ------------"
# print "spatial method:"
# print mu
# print "default method:"
# print mean
# print "-------- VARIANCE ------------"
# print "spatial method:"
# print var
# print "default method:"
# print variance
print np.sum(mu - mean)
print np.sum(var - variance)
return mu, var
def inference(self, kern, X, Z, likelihood, Y, mean_function=None, Y_metadata=None):
assert mean_function is None, "inference with a mean function not implemented"
num_inducing, _ = Z.shape
num_data, output_dim = Y.shape
#make sure the noise is not hetero
sigma_n = likelihood.gaussian_variance(Y_metadata)
if sigma_n.size >1:
raise NotImplementedError("no hetero noise with this implementation of PEP")
Kmm = kern.K(Z)
Knn = kern.Kdiag(X)
Knm = kern.K(X, Z)
U = Knm
#factor Kmm
diag.add(Kmm, self.const_jitter)
Kmmi, L, Li, _ = pdinv(Kmm)
#compute beta_star, the effective noise precision
LiUT = np.dot(Li, U.T)
sigma_star = sigma_n + self.alpha * (Knn - np.sum(np.square(LiUT),0))
beta_star = 1./sigma_star
# Compute and factor A
A = tdot(LiUT*np.sqrt(beta_star)) + np.eye(num_inducing)
LA = jitchol(A)
# back substitute to get b, P, v
URiy = np.dot(U.T*beta_star,Y)
tmp, _ = dtrtrs(L, URiy, lower=1)
b, _ = dtrtrs(LA, tmp, lower=1)
tmp, _ = dtrtrs(LA, b, lower=1, trans=1)
v, _ = dtrtrs(L, tmp, lower=1, trans=1)
tmp, _ = dtrtrs(LA, Li, lower=1, trans=0)
P = tdot(tmp.T)
alpha_const_term = (1.0-self.alpha) / self.alpha
#compute log marginal
log_marginal = -0.5*num_data*output_dim*np.log(2*np.pi) + \
-np.sum(np.log(np.diag(LA)))*output_dim + \
0.5*output_dim*(1+alpha_const_term)*np.sum(np.log(beta_star)) + \
-0.5*np.sum(np.square(Y.T*np.sqrt(beta_star))) + \
0.5*np.sum(np.square(b)) + 0.5*alpha_const_term*num_data*np.log(sigma_n)
#compute dL_dR
Uv = np.dot(U, v)
dL_dR = 0.5*(np.sum(U*np.dot(U,P), 1) - (1.0+alpha_const_term)/beta_star + np.sum(np.square(Y), 1) - 2.*np.sum(Uv*Y, 1) \
+ np.sum(np.square(Uv), 1))*beta_star**2
# Compute dL_dKmm
vvT_P = tdot(v.reshape(-1,1)) + P
dL_dK = 0.5*(Kmmi - vvT_P)
KiU = np.dot(Kmmi, U.T)
dL_dK += self.alpha * np.dot(KiU*dL_dR, KiU.T)
# Compute dL_dU
vY = np.dot(v.reshape(-1,1),Y.T)
dL_dU = vY - np.dot(vvT_P, U.T)
dL_dU *= beta_star
dL_dU -= self.alpha * 2.*KiU*dL_dR
dL_dthetaL = likelihood.exact_inference_gradients(dL_dR)
dL_dthetaL += 0.5*alpha_const_term*num_data / sigma_n
grad_dict = {'dL_dKmm': dL_dK, 'dL_dKdiag':dL_dR * self.alpha, 'dL_dKnm':dL_dU.T, 'dL_dthetaL':dL_dthetaL}
#construct a posterior object
post = Posterior(woodbury_inv=Kmmi-P, woodbury_vector=v, K=Kmm, mean=None, cov=None, K_chol=L)
return post, log_marginal, grad_dict
def __init__(self, domain, mu, cov):
super().__init__(domain)
self.mu, self.cov = process_parameters(self.input_dim, mu, cov)
self.inv, _, _, ld, = pdinv(self.cov)
self.constant = -0.5*(self.input_dim * np.log(2*np.pi) + ld)
