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.
 *
 * Written (W) 2013 Roman Votyakov
 * Copyright (C) 2012 Jacob Walker
 * Copyright (C) 2013 Roman Votyakov
 */

#ifndef CEXACTINFERENCEMETHOD_H_
#define CEXACTINFERENCEMETHOD_H_

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3

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

namespace shogun
{

class CExactInferenceMethod: public CInferenceMethod
{
public:
    CExactInferenceMethod();

    CExactInferenceMethod(CKernel* kernel, CFeatures* features,
            CMeanFunction* mean, CLabels* labels, CLikelihoodModel* model);

    virtual ~CExactInferenceMethod();

    virtual EInferenceType get_inference_type() const { return INF_EXACT; }

    virtual const char* get_name() const { return "ExactInferenceMethod"; }

    virtual float64_t get_negative_log_marginal_likelihood();

    virtual SGVector<float64_t> get_alpha();

    virtual SGMatrix<float64_t> get_cholesky();

    virtual SGVector<float64_t> get_diagonal_vector();

    virtual SGVector<float64_t> get_posterior_mean();

    virtual SGMatrix<float64_t> get_posterior_covariance();

    virtual bool supports_regression() const
    {
        check_members();
        return m_model->supports_regression();
    }

    virtual void update();

protected:
    virtual void check_members() const;

    virtual void update_alpha();

    virtual void update_chol();

    virtual void update_mean();

    virtual void update_cov();

    virtual void update_deriv();

    virtual SGVector<float64_t> get_derivative_wrt_inference_method(
            const TParameter* param);

    virtual SGVector<float64_t> get_derivative_wrt_likelihood_model(
            const TParameter* param);

    virtual SGVector<float64_t> get_derivative_wrt_kernel(
            const TParameter* param);

    virtual SGVector<float64_t> get_derivative_wrt_mean(
            const TParameter* param);

private:
    SGMatrix<float64_t> m_Sigma;

    SGVector<float64_t> m_mu;

    SGMatrix<float64_t> m_Q;
};
}
#endif /* HAVE_EIGEN3 */
#endif /* CEXACTINFERENCEMETHOD_H_ */