def test_cross_val(self,trl_type='validation'):
import EM
import copy as cp
CV_params = cp.deepcopy(self.params)
CV_params['nTrials'] = len(self.dsets[trl_type])
CV_params['latent_trajctory'] =[_np.zeros([self.nDims,self.n_timePoints]) for i in range(len(CV_params['latent_traj']))]
lapinfres = EM.E_step(self.dsets[trl_type],CV_params)
self.CV_inf[trl_type] = lapinfres
self.CV_inf[trl_type]['latent_traj'] = lapinfres['post_mean']
def fit(self,nIter=20,lookahead=True,metric='LL',verbose=True,lNo=5):
import time
import EM
from _gpinf import precompute_gp, GP_timescale_Cost
import scipy.optimize as op
import copy as cp
st = time.time()
self.hists = {'lapinf':[],
'Cdinf':[],
'tavinf':[]
}
self.was_fit = True
to_break = False
for iterN in range(nIter):
if verbose:
print "Running EM iteration %s" %iterN,
####### E-step ###########
lapinfres = EM.E_step(self.train_data,self.params)
self._update_params_E(lapinfres)
self.hists['lapinf'].append(lapinfres)
####### M-step ###########
Cdinf, tavInf = EM.M_step(self.train_data,self.params)
self.hists['Cdinf'].append(Cdinf); self.hists['tavinf'].append(tavInf)
self._update_params_M(Cdinf,tavInf)
# inf_rates = _np.exp(self.params['C'].dot(x[trl_idx]) + self.params['d'][:,None])
# LLi = _np.sum(self.train_data*_np.log(infRates) - infRates)
if verbose:
print "|| log(L): %s || total time: %ss" %(_np.round(Cdinf['logL'],decimals=2),_np.round(time.time()-st,decimals=1)),
self.params['logL_store'].append(Cdinf['logL'])
if lookahead:
loo_res = self.leave_N_out_CV(N=lNo)
#One Step look ahead prediction to monitor convergence
if iterN>=1:
if _np.median(loo_res['LL_poiss'])<pLL:
self._update_params_E(self.hists['lapinf'][-2])
self._update_params_M(self.hists['Cdinf'][-2],self.hists['tavinf'][-2])
print "\n\nLeave one out error on validation set increased, stopping early"
to_break = True
pLL = _np.median(loo_res['LL_poiss'])
if verbose:
print " || cc %s ||" %_np.round(_np.median(loo_res['pearsonr']),decimals=2),
print " || Validation LL %s" %_np.round(pLL/(_np.sum(self.dsets['validation'])),decimals=4)
if to_break:
break