FITCInferenceMethod.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) 2015 Wu Lin
 * Written (W) 2013 Roman Votyakov
 * Copyright (C) 2012 Jacob Walker
 * Copyright (C) 2013 Roman Votyakov
 * Copyright (C) 2015 Wu Lin
 *
 * 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/SingleFITCLaplacianBase.h>

namespace shogun
{

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

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

    virtual ~CFITCInferenceMethod();

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

    virtual EInferenceType get_inference_type() const { return INF_FITC_REGRESSION; }

    static CFITCInferenceMethod* obtain_from_generic(CInferenceMethod* inference);

    virtual float64_t get_negative_log_marginal_likelihood();


    virtual SGVector<float64_t> get_diagonal_vector();

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


    virtual SGVector<float64_t> get_posterior_mean();

    virtual SGMatrix<float64_t> get_posterior_covariance();

    virtual void update();
protected:
    virtual void check_members() const;

    virtual void update_alpha();

    virtual void update_chol();

    virtual void update_deriv();

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

    virtual void compute_gradient();
protected:
    SGMatrix<float64_t> m_chol_uu;

    SGMatrix<float64_t> m_chol_utr;

    SGVector<float64_t> m_r;

    SGVector<float64_t> m_be;

private:
    void init();
};
}
#endif /* HAVE_EIGEN3 */
#endif /* CFITCINFERENCEMETHOD_H */