ExactInferenceMethod.cpp

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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.
 *
 * Written (W) 2013 Roman Votyakov
 * Copyright (C) 2012 Jacob Walker
 * Copyright (C) 2013 Roman Votyakov
 *
 * Code adapted from Gaussian Process Machine Learning Toolbox
 * http://www.gaussianprocess.org/gpml/code/matlab/doc/
 */

#include <shogun/machine/gp/ExactInferenceMethod.h>

#ifdef HAVE_EIGEN3

#include <shogun/machine/gp/GaussianLikelihood.h>
#include <shogun/labels/RegressionLabels.h>
#include <shogun/mathematics/Math.h>
#include <shogun/mathematics/eigen3.h>

using namespace shogun;
using namespace Eigen;

CExactInferenceMethod::CExactInferenceMethod() : CInferenceMethod()
{
}

CExactInferenceMethod::CExactInferenceMethod(CKernel* kern, CFeatures* feat,
        CMeanFunction* m, CLabels* lab, CLikelihoodModel* mod) :
        CInferenceMethod(kern, feat, m, lab, mod)
{
}

CExactInferenceMethod::~CExactInferenceMethod()
{
}

void CExactInferenceMethod::update()
{
    CInferenceMethod::update();
    update_chol();
    update_alpha();
    update_deriv();
    update_mean();
    update_cov();
}

void CExactInferenceMethod::check_members() const
{
    CInferenceMethod::check_members();

    REQUIRE(m_model->get_model_type()==LT_GAUSSIAN,
        "Exact inference method can only use Gaussian likelihood function\n")
    REQUIRE(m_labels->get_label_type()==LT_REGRESSION,
        "Labels must be type of CRegressionLabels\n")
}

SGVector<float64_t> CExactInferenceMethod::get_diagonal_vector()
{
    if (update_parameter_hash())
        update();

    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    // compute diagonal vector: sW=1/sigma
    SGVector<float64_t> result(m_features->get_num_vectors());
    result.fill_vector(result.vector, m_features->get_num_vectors(), 1.0/sigma);

    return result;
}

float64_t CExactInferenceMethod::get_negative_log_marginal_likelihood()
{
    if (update_parameter_hash())
        update();

    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    // create eigen representation of alpha and L
    Map<VectorXd> eigen_alpha(m_alpha.vector, m_alpha.vlen);
    Map<MatrixXd> eigen_L(m_L.matrix, m_L.num_rows, m_L.num_cols);

    // get labels and mean vectors and create eigen representation
    SGVector<float64_t> y=((CRegressionLabels*) m_labels)->get_labels();
    Map<VectorXd> eigen_y(y.vector, y.vlen);
    SGVector<float64_t> m=m_mean->get_mean_vector(m_features);
    Map<VectorXd> eigen_m(m.vector, m.vlen);

    // compute negative log of the marginal likelihood:
    // nlZ=(y-m)'*alpha/2+sum(log(diag(L)))+n*log(2*pi*sigma^2)/2
    float64_t result=(eigen_y-eigen_m).dot(eigen_alpha)/2.0+
        eigen_L.diagonal().array().log().sum()+m_L.num_rows*
        CMath::log(2*CMath::PI*CMath::sq(sigma))/2.0;

    return result;
}

SGVector<float64_t> CExactInferenceMethod::get_alpha()
{
    if (update_parameter_hash())
        update();

    return SGVector<float64_t>(m_alpha);
}

SGMatrix<float64_t> CExactInferenceMethod::get_cholesky()
{
    if (update_parameter_hash())
        update();

    return SGMatrix<float64_t>(m_L);
}

SGVector<float64_t> CExactInferenceMethod::get_posterior_mean()
{
    if (update_parameter_hash())
        update();

    return SGVector<float64_t>(m_mu);
}

SGMatrix<float64_t> CExactInferenceMethod::get_posterior_covariance()
{
    if (update_parameter_hash())
        update();

    return SGMatrix<float64_t>(m_Sigma);
}

void CExactInferenceMethod::update_chol()
{
    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    /* check whether to allocate cholesky memory */
    if (!m_L.matrix || m_L.num_rows!=m_ktrtr.num_rows)
        m_L=SGMatrix<float64_t>(m_ktrtr.num_rows, m_ktrtr.num_cols);

    /* creates views on kernel and cholesky matrix and perform cholesky */
    Map<MatrixXd> K(m_ktrtr.matrix, m_ktrtr.num_rows, m_ktrtr.num_cols);
    Map<MatrixXd> L(m_L.matrix, m_ktrtr.num_rows, m_ktrtr.num_cols);
    LLT<MatrixXd> llt(K*(CMath::sq(m_scale)/CMath::sq(sigma))+
        MatrixXd::Identity(m_ktrtr.num_rows, m_ktrtr.num_cols));
    L=llt.matrixU();
}

void CExactInferenceMethod::update_alpha()
{
    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    // get labels and mean vector and create eigen representation
    SGVector<float64_t> y=((CRegressionLabels*) m_labels)->get_labels();
    Map<VectorXd> eigen_y(y.vector, y.vlen);
    SGVector<float64_t> m=m_mean->get_mean_vector(m_features);
    Map<VectorXd> eigen_m(m.vector, m.vlen);

    m_alpha=SGVector<float64_t>(y.vlen);

    /* creates views on cholesky matrix and alpha and solve system
     * (L * L^T) * a = y for a */
    Map<VectorXd> a(m_alpha.vector, m_alpha.vlen);
    Map<MatrixXd> L(m_L.matrix, m_L.num_rows, m_L.num_cols);

    a=L.triangularView<Upper>().adjoint().solve(eigen_y-eigen_m);
    a=L.triangularView<Upper>().solve(a);

    a/=CMath::sq(sigma);
}

void CExactInferenceMethod::update_mean()
{
    // create eigen representataion of kernel matrix and alpha
    Map<MatrixXd> eigen_K(m_ktrtr.matrix, m_ktrtr.num_rows, m_ktrtr.num_cols);
    Map<VectorXd> eigen_alpha(m_alpha.vector, m_alpha.vlen);

    // get mean and create eigen representation of it
    SGVector<float64_t> m=m_mean->get_mean_vector(m_features);
    Map<VectorXd> eigen_m(m.vector, m.vlen);

    m_mu=SGVector<float64_t>(m.vlen);
    Map<VectorXd> eigen_mu(m_mu.vector, m_mu.vlen);

    // compute mean: mu=K'*alpha+m
    eigen_mu=eigen_K*CMath::sq(m_scale)*eigen_alpha+eigen_m;
}

void CExactInferenceMethod::update_cov()
{
    // create eigen representataion of upper triangular factor L^T and kernel
    // matrix
    Map<MatrixXd> eigen_L(m_L.matrix, m_L.num_rows, m_L.num_cols);
    Map<MatrixXd> eigen_K(m_ktrtr.matrix, m_ktrtr.num_rows, m_ktrtr.num_cols);

    m_Sigma=SGMatrix<float64_t>(m_ktrtr.num_rows, m_ktrtr.num_cols);
    Map<MatrixXd> eigen_Sigma(m_Sigma.matrix, m_Sigma.num_rows,
            m_Sigma.num_cols);

    // compute V = L^(-1) * K, using upper triangular factor L^T
    MatrixXd eigen_V=eigen_L.triangularView<Upper>().adjoint().solve(
            eigen_K*CMath::sq(m_scale));

    // compute covariance matrix of the posterior: Sigma = K - V^T * V
    eigen_Sigma=eigen_K*CMath::sq(m_scale)-eigen_V.adjoint()*eigen_V;
}

void CExactInferenceMethod::update_deriv()
{
    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    // create eigen representation of derivative matrix and cholesky
    Map<MatrixXd> eigen_L(m_L.matrix, m_L.num_rows, m_L.num_cols);
    Map<VectorXd> eigen_alpha(m_alpha.vector, m_alpha.vlen);

    m_Q=SGMatrix<float64_t>(m_L.num_rows, m_L.num_cols);
    Map<MatrixXd> eigen_Q(m_Q.matrix, m_Q.num_rows, m_Q.num_cols);

    // solve L * L' * Q = I
    eigen_Q=eigen_L.triangularView<Upper>().adjoint().solve(
        MatrixXd::Identity(m_L.num_rows, m_L.num_cols));
    eigen_Q=eigen_L.triangularView<Upper>().solve(eigen_Q);

    // divide Q by sigma^2
    eigen_Q/=CMath::sq(sigma);

    // create eigen representation of alpha and compute Q=Q-alpha*alpha'
    eigen_Q-=eigen_alpha*eigen_alpha.transpose();
}

SGVector<float64_t> CExactInferenceMethod::get_derivative_wrt_inference_method(
        const TParameter* param)
{
    REQUIRE(!strcmp(param->m_name, "scale"), "Can't compute derivative of "
            "the nagative log marginal likelihood wrt %s.%s parameter\n",
            get_name(), param->m_name)

    Map<MatrixXd> eigen_K(m_ktrtr.matrix, m_ktrtr.num_rows, m_ktrtr.num_cols);
    Map<MatrixXd> eigen_Q(m_Q.matrix, m_Q.num_rows, m_Q.num_cols);

    SGVector<float64_t> result(1);

    // compute derivative wrt kernel scale: dnlZ=sum(Q.*K*scale*2)/2
    result[0]=(eigen_Q.cwiseProduct(eigen_K)*m_scale*2.0).sum()/2.0;

    return result;
}

SGVector<float64_t> CExactInferenceMethod::get_derivative_wrt_likelihood_model(
        const TParameter* param)
{
    REQUIRE(!strcmp(param->m_name, "sigma"), "Can't compute derivative of "
            "the nagative log marginal likelihood wrt %s.%s parameter\n",
            m_model->get_name(), param->m_name)

    // get the sigma variable from the Gaussian likelihood model
    CGaussianLikelihood* lik=CGaussianLikelihood::obtain_from_generic(m_model);
    float64_t sigma=lik->get_sigma();
    SG_UNREF(lik);

    // create eigen representation of the matrix Q
    Map<MatrixXd> eigen_Q(m_Q.matrix, m_Q.num_rows, m_Q.num_cols);

    SGVector<float64_t> result(1);

    // compute derivative wrt likelihood model parameter sigma:
    // dnlZ=sigma^2*trace(Q)
    result[0]=CMath::sq(sigma)*eigen_Q.trace();

    return result;
}

SGVector<float64_t> CExactInferenceMethod::get_derivative_wrt_kernel(
        const TParameter* param)
{
    // create eigen representation of the matrix Q
    Map<MatrixXd> eigen_Q(m_Q.matrix, m_Q.num_rows, m_Q.num_cols);

    SGVector<float64_t> result;

    if (param->m_datatype.m_ctype==CT_VECTOR ||
            param->m_datatype.m_ctype==CT_SGVECTOR)
    {
        REQUIRE(param->m_datatype.m_length_y,
                "Length of the parameter %s should not be NULL\n", param->m_name)
        result=SGVector<float64_t>(*(param->m_datatype.m_length_y));
    }
    else
    {
        result=SGVector<float64_t>(1);
    }

    for (index_t i=0; i<result.vlen; i++)
    {
        SGMatrix<float64_t> dK;

        if (result.vlen==1)
            dK=m_kernel->get_parameter_gradient(param);
        else
            dK=m_kernel->get_parameter_gradient(param, i);

        Map<MatrixXd> eigen_dK(dK.matrix, dK.num_rows, dK.num_cols);

        // compute derivative wrt kernel parameter: dnlZ=sum(Q.*dK*scale)/2.0
        result[i]=(eigen_Q.cwiseProduct(eigen_dK)*CMath::sq(m_scale)).sum()/2.0;
    }

    return result;
}

SGVector<float64_t> CExactInferenceMethod::get_derivative_wrt_mean(
        const TParameter* param)
{
    // create eigen representation of alpha vector
    Map<VectorXd> eigen_alpha(m_alpha.vector, m_alpha.vlen);

    SGVector<float64_t> result;

    if (param->m_datatype.m_ctype==CT_VECTOR ||
            param->m_datatype.m_ctype==CT_SGVECTOR)
    {
        REQUIRE(param->m_datatype.m_length_y,
                "Length of the parameter %s should not be NULL\n", param->m_name)

        result=SGVector<float64_t>(*(param->m_datatype.m_length_y));
    }
    else
    {
        result=SGVector<float64_t>(1);
    }

    for (index_t i=0; i<result.vlen; i++)
    {
        SGVector<float64_t> dmu;

        if (result.vlen==1)
            dmu=m_mean->get_parameter_derivative(m_features, param);
        else
            dmu=m_mean->get_parameter_derivative(m_features, param, i);

        Map<VectorXd> eigen_dmu(dmu.vector, dmu.vlen);

        // compute derivative wrt mean parameter: dnlZ=-dmu'*alpha
        result[i]=-eigen_dmu.dot(eigen_alpha);
    }

    return result;
}

#endif /* HAVE_EIGEN3 */