FITCInferenceMethod.h

Go to the documentation of this file.

/*
 * 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/
 */

#ifndef CFITCINFERENCEMETHOD_H_
#define CFITCINFERENCEMETHOD_H_

#include <shogun/lib/config.h>

#ifdef HAVE_EIGEN3

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

namespace shogun
{

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

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

    virtual ~CFITCInferenceMethod();

    virtual EInferenceType get_inference_type() const { return INF_FITC; }

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

    static CFITCInferenceMethod* obtain_from_generic(CInferenceMethod* inference);

    virtual void set_latent_features(CFeatures* feat)
    {
        SG_REF(feat);
        SG_UNREF(m_latent_features);
        m_latent_features=feat;
    }

    virtual CFeatures* get_latent_features()
    {
        SG_REF(m_latent_features);
        return m_latent_features;
    }

    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_train_kernel();

    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:
    void init();

private:
    CFeatures* m_latent_features;

    float64_t m_ind_noise;

    SGMatrix<float64_t> m_chol_uu;

    SGMatrix<float64_t> m_chol_utr;

    SGMatrix<float64_t> m_kuu;

    SGMatrix<float64_t> m_ktru;

    SGVector<float64_t> m_dg;

    SGVector<float64_t> m_r;

    SGVector<float64_t> m_be;

    SGVector<float64_t> m_al;

    SGMatrix<float64_t> m_B;

    SGVector<float64_t> m_w;

    SGMatrix<float64_t> m_W;
};
}
#endif /* HAVE_EIGEN3 */
#endif /* CFITCINFERENCEMETHOD_H_ */