ExactInferenceMethod.h

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/*
 * This program is free software; you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation; either version 3 of the License, or
 * (at your option) any later version.
 *
 * Copyright (C) 2012 Jacob Walker
 */

#ifndef CEXACTINFERENCEMETHOD_H_
#define CEXACTINFERENCEMETHOD_H_

#include <shogun/lib/config.h>
#include <shogun/regression/gp/InferenceMethod.h>
#ifdef HAVE_EIGEN3
#ifdef HAVE_LAPACK
namespace shogun
{

class CInferenceMethod;

class CExactInferenceMethod: public CInferenceMethod
{

public:

    CExactInferenceMethod();

    /* Constructor
     * @param kernel covariance function
     * @param features features to use in inference
     * @param labels labels of the features
     * @param model Likelihood model to use
     */
    CExactInferenceMethod(CKernel* kernel, CFeatures* features,
            CMeanFunction* mean, CLabels* labels, CLikelihoodModel* model);

    virtual ~CExactInferenceMethod();

    virtual float64_t get_negative_marginal_likelihood();

    virtual CMap<TParameter*, SGVector<float64_t> > get_marginal_likelihood_derivatives(
            CMap<TParameter*, CSGObject*>& para_dict);

    virtual SGVector<float64_t> get_alpha();


    virtual SGMatrix<float64_t> get_cholesky();

    virtual SGVector<float64_t> get_diagonal_vector();

    virtual const char* get_name() const
    {
        return "ExactInferenceMethod";
    }
    
    virtual CMap<TParameter*, SGVector<float64_t> > get_gradient(
            CMap<TParameter*, CSGObject*>& para_dict)
    {
        return get_marginal_likelihood_derivatives(para_dict);
    }

    virtual SGVector<float64_t> get_quantity()
    {
        SGVector<float64_t> result(1);
        result[0] = get_negative_marginal_likelihood();
        return result;
    }

protected:
    virtual void update_alpha();

    virtual void update_chol();

    virtual void update_train_kernel();

    virtual void update_all();

private:

    void check_members();

    SGMatrix<float64_t> m_kern_with_noise;
};

}
#endif 
#endif // HAVE_LAPACK

#endif /* CEXACTINFERENCEMETHOD_H_ */