def gp_posterior_moment_function(m, k, x, y, k_sparse=None, pseudoinputs=None, noise=None):
# Prior
# FIXME: We are ignoring the covariance of mu now..
mu = m(x)[0]
## if np.ndim(mu) == 1:
## mu = np.asmatrix(mu).T
## else:
## mu = np.asmatrix(mu)
K_noise = None
if noise != None:
if K_noise is None:
K_noise = noise
else:
K_noise += noise
if k_sparse != None:
if K_noise is None:
K_noise = k_sparse(x,x)[0]
else:
K_noise += k_sparse(x,x)[0]
if pseudoinputs != None:
p = pseudoinputs
#print('in pseudostuff')
#print(K_noise)
#print(np.shape(K_noise))
K_pp = k(p,p)[0]
K_xp = k(x,p)[0]
U = utils.chol(K_noise)
# Compute Lambda
Lambda = K_pp + np.dot(K_xp.T, utils.chol_solve(U, K_xp))
U_lambda = utils.chol(Lambda)
# Compute statistics for posterior predictions
#print(np.shape(U_lambda))
#print(np.shape(y))
z = utils.chol_solve(U_lambda,
np.dot(K_xp.T,
utils.chol_solve(U,
y - mu)))
U = utils.chol(K_pp)
# Now we can forget the location of the observations and
# consider only the pseudoinputs when predicting.
x = p
else:
K = K_noise
if K is None:
K = k(x,x)[0]
else:
try:
K += k(x,x)[0]
except:
K = K + k(x,x)[0]
# Compute posterior GP
N = len(y)
U = None
z = None
if N > 0:
U = utils.chol(K)
z = utils.chol_solve(U, y-mu)
def get_moments(h, covariance=1, mean=True):
K_xh = k(x, h)[0]
if k_sparse != None:
try:
# This may not work, for instance, if either one is a
# sparse matrix.
K_xh += k_sparse(x, h)[0]
except:
K_xh = K_xh + k_sparse(x, h)[0]
# NumPy has problems when mixing matrices and arrays.
# Matrices may appear, for instance, when you sum an array and
# a sparse matrix. Make sure the result is either an array or
# a sparse matrix (not dense matrix!), because matrix objects
# cause lots of problems:
#
# array.dot(array) = array
# matrix.dot(array) = matrix
# sparse.dot(array) = array
if not sp.issparse(K_xh):
K_xh = np.asarray(K_xh)
# Function for computing posterior moments
if mean:
# Mean vector
# FIXME: Ignoring the covariance of prior mu
m_h = m(h)[0]
if z != None:
m_h += K_xh.T.dot(z)
else:
m_h = None
# Compute (co)variance matrix/vector
if covariance:
if covariance == 1:
## Compute variance vector
k_h = k(h)[0]
if k_sparse != None:
k_h += k_sparse(h)[0]
if U != None:
if isinstance(K_xh, np.ndarray):
k_h -= np.einsum('i...,i...',
K_xh,
utils.chol_solve(U, K_xh))
else:
# TODO: This isn't very efficient way, but
# einsum doesn't work for sparse matrices..
# This may consume A LOT of memory for sparse
# matrices.
k_h -= np.asarray(K_xh.multiply(utils.chol_solve(U, K_xh))).sum(axis=0)
if pseudoinputs != None:
if isinstance(K_xh, np.ndarray):
k_h += np.einsum('i...,i...',
K_xh,
utils.chol_solve(U_lambda, K_xh))
else:
# TODO: This isn't very efficient way, but
# einsum doesn't work for sparse matrices..
# This may consume A LOT of memory for sparse
# matrices.
k_h += np.asarray(K_xh.multiply(utils.chol_solve(U_lambda, K_xh))).sum(axis=0)
# Ensure non-negative variances
k_h[k_h<0] = 0
return (m_h, k_h)
elif covariance == 2:
## Compute full covariance matrix
K_hh = k(h,h)[0]
if k_sparse != None:
K_hh += k_sparse(h)[0]
if U != None:
K_hh -= K_xh.T.dot(utils.chol_solve(U,K_xh))
#K_hh -= np.dot(K_xh.T, utils.chol_solve(U,K_xh))
if pseudoinputs != None:
K_hh += K_xh.T.dot(utils.chol_solve(U_lambda, K_xh))
#K_hh += np.dot(K_xh.T, utils.chol_solve(U_lambda, K_xh))
return (m_h, K_hh)
else:
return (m_h, None)
return get_moments
def get_moments(h, covariance=1, mean=True):
K_xh = k(x, h)[0]
if k_sparse != None:
try:
# This may not work, for instance, if either one is a
# sparse matrix.
K_xh += k_sparse(x, h)[0]
except:
K_xh = K_xh + k_sparse(x, h)[0]
# NumPy has problems when mixing matrices and arrays.
# Matrices may appear, for instance, when you sum an array and
# a sparse matrix. Make sure the result is either an array or
# a sparse matrix (not dense matrix!), because matrix objects
# cause lots of problems:
#
# array.dot(array) = array
# matrix.dot(array) = matrix
# sparse.dot(array) = array
if not sp.issparse(K_xh):
K_xh = np.asarray(K_xh)
# Function for computing posterior moments
if mean:
# Mean vector
# FIXME: Ignoring the covariance of prior mu
m_h = m(h)[0]
if z != None:
m_h += K_xh.T.dot(z)
else:
m_h = None
# Compute (co)variance matrix/vector
if covariance:
if covariance == 1:
## Compute variance vector
k_h = k(h)[0]
if k_sparse != None:
k_h += k_sparse(h)[0]
if U != None:
if isinstance(K_xh, np.ndarray):
k_h -= np.einsum('i...,i...',
K_xh,
utils.chol_solve(U, K_xh))
else:
# TODO: This isn't very efficient way, but
# einsum doesn't work for sparse matrices..
# This may consume A LOT of memory for sparse
# matrices.
k_h -= np.asarray(K_xh.multiply(utils.chol_solve(U, K_xh))).sum(axis=0)
if pseudoinputs != None:
if isinstance(K_xh, np.ndarray):
k_h += np.einsum('i...,i...',
K_xh,
utils.chol_solve(U_lambda, K_xh))
else:
# TODO: This isn't very efficient way, but
# einsum doesn't work for sparse matrices..
# This may consume A LOT of memory for sparse
# matrices.
k_h += np.asarray(K_xh.multiply(utils.chol_solve(U_lambda, K_xh))).sum(axis=0)
# Ensure non-negative variances
k_h[k_h<0] = 0
return (m_h, k_h)
elif covariance == 2:
## Compute full covariance matrix
K_hh = k(h,h)[0]
if k_sparse != None:
K_hh += k_sparse(h)[0]
if U != None:
K_hh -= K_xh.T.dot(utils.chol_solve(U,K_xh))
#K_hh -= np.dot(K_xh.T, utils.chol_solve(U,K_xh))
if pseudoinputs != None:
K_hh += K_xh.T.dot(utils.chol_solve(U_lambda, K_xh))
#K_hh += np.dot(K_xh.T, utils.chol_solve(U_lambda, K_xh))
return (m_h, K_hh)
else:
return (m_h, None)
