Source code for GPy.kern.src.integral

# Written by Mike Smith

from __future__ import division
import numpy as np
from .kern import Kern
from ...core.parameterization import Param
from paramz.transformations import Logexp
import math

[docs]class Integral(Kern): #todo do I need to inherit from Stationary """ Integral kernel between... """ def __init__(self, input_dim, variances=None, lengthscale=None, ARD=False, active_dims=None, name='integral'): super(Integral, self).__init__(input_dim, active_dims, name) if lengthscale is None: lengthscale = np.ones(1) else: lengthscale = np.asarray(lengthscale) self.lengthscale = Param('lengthscale', lengthscale, Logexp()) #Logexp - transforms to allow positive only values... self.variances = Param('variances', variances, Logexp()) #and here. self.link_parameters(self.variances, self.lengthscale) #this just takes a list of parameters we need to optimise.
[docs] def h(self, z): return 0.5 * z * np.sqrt(math.pi) * math.erf(z) + np.exp(-(z**2))
[docs] def dk_dl(self, t, tprime, l): #derivative of the kernel wrt lengthscale return l * ( self.h(t/l) - self.h((t - tprime)/l) + self.h(tprime/l) - 1)
[docs] def update_gradients_full(self, dL_dK, X, X2=None): if X2 is None: #we're finding dK_xx/dTheta dK_dl = np.zeros([X.shape[0],X.shape[0]]) dK_dv = np.zeros([X.shape[0],X.shape[0]]) for i,x in enumerate(X): for j,x2 in enumerate(X): dK_dl[i,j] = self.variances[0]*self.dk_dl(x[0],x2[0],self.lengthscale[0]) #TODO Multiple length scales dK_dv[i,j] = self.k_xx(x[0],x2[0],self.lengthscale[0]) #the gradient wrt the variance is k_xx. self.lengthscale.gradient = np.sum(dK_dl * dL_dK) self.variances.gradient = np.sum(dK_dv * dL_dK) else: #we're finding dK_xf/Dtheta raise NotImplementedError("Currently this function only handles finding the gradient of a single vector of inputs (X) not a pair of vectors (X and X2)")
#useful little function to help calculate the covariances.
[docs] def g(self,z): return 1.0 * z * np.sqrt(math.pi) * math.erf(z) + np.exp(-(z**2))
#covariance between gradients (it's the gradients that we want out... maybe we should have a way of getting K_ff too? Currently you get the diag of K_ff from Kdiag)
[docs] def k_xx(self,t,tprime,l): return 0.5 * (l**2) * ( self.g(t/l) - self.g((t - tprime)/l) + self.g(tprime/l) - 1)
[docs] def k_ff(self,t,tprime,l): return np.exp(-((t-tprime)**2)/(l**2)) #rbf
#covariance between the gradient and the actual value
[docs] def k_xf(self,t,tprime,l): return 0.5 * np.sqrt(math.pi) * l * (math.erf((t-tprime)/l) + math.erf(tprime/l))
[docs] def K(self, X, X2=None): if X2 is None: K_xx = np.zeros([X.shape[0],X.shape[0]]) for i,x in enumerate(X): for j,x2 in enumerate(X): K_xx[i,j] = self.k_xx(x[0],x2[0],self.lengthscale[0]) return K_xx * self.variances[0] else: K_xf = np.zeros([X.shape[0],X2.shape[0]]) for i,x in enumerate(X): for j,x2 in enumerate(X2): K_xf[i,j] = self.k_xf(x[0],x2[0],self.lengthscale[0]) return K_xf * self.variances[0]
[docs] def Kdiag(self, X): """I've used the fact that we call this method for K_ff when finding the covariance as a hack so I know if I should return K_ff or K_xx. In this case we're returning K_ff!! $K_{ff}^{post} = K_{ff} - K_{fx} K_{xx}^{-1} K_{xf}$""" K_ff = np.zeros(X.shape[0]) for i,x in enumerate(X): K_ff[i] = self.k_ff(x[0],x[0],self.lengthscale[0]) return K_ff * self.variances[0]