def optimize_step(self, k_params, n_params, update=True):
"""
Runs one step of optimization
Args:
k_params (): optimizer params for kernel optimization
n_params (): optimizer params for noise uptimization
update (): whether or not to update parameters
Returns: updated k_params, n_params
"""
if self.opt_idx is None:
self.opt_idx = list(range(self.d))
if self.optimizer is None:
self.optimizer = SGD()
if self.kernel_grads is None:
self.kernel_grads = []
for i in self.opt_idx:
self.kernel_grads.append((jacobian(self.kernels[i].eval),
jacobian(self.kernels[i].log_prior)))
# Optimizing kernel hyperparameters
for i, d in enumerate(self.opt_idx):
k_d_params = k_params[i] if k_params[i] is not None else None
grad_kern_marginal = np.clip(self.grad_marginal_k(i, d),
-self.max_grad, self.max_grad)
grad_kern_penalty = np.clip(self.grad_penalty_k(i, d),
-self.max_grad, self.max_grad)
grad_kern = grad_kern_marginal - grad_kern_penalty
self.kernels[d].params, k_d_params = \
self.optimizer.step((self.kernels[d].params, grad_kern),
k_d_params)
k_params[i] = k_d_params
# Optimizing observation noise
noise_trans = inv_softplus(self.noise)
grad_noise = np.clip(self.grad_marginal_noise(), -self.max_grad,
self.max_grad)
grad_noise_trans = expit(noise_trans) * grad_noise
noise_trans, n_params = \
self.optimizer.step((noise_trans, grad_noise_trans),
n_params)
self.noise = softplus(noise_trans)
n_params = n_params
# updating kernel and calculating loss
self.construct_Ks()
loss = -self.marginal()
if update:
self.solve()
return k_params, n_params, loss
def pack_params(self, lengthscale, variance):
return inv_softplus(np.array([lengthscale, variance]))
def pack_params(self, w, mu, sigma):
return inv_softplus(np.hstack([w, mu, sigma]))
def pack_params(self, lengthscale, variance, noise, weights):
return np.hstack(
[inv_softplus(np.array([lengthscale, variance, noise])), weights])