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CDualVariationalGaussianLikelihood Class Referenceabstract

Detailed Description

Class that models dual variational likelihood.

This likelihood model is described in the reference paper Mohammad Emtiyaz Khan, Aleksandr Y. Aravkin, Michael P. Friedlander, Matthias Seeger Fast Dual Variational Inference for Non-Conjugate Latent Gaussian Models. ICML2013

The mathematical definition (equation 19 in the paper) is as below

\[ Fenchel_i(\alpha_i,\lambda_i) = max_{h_i,\rho_i}{\alpha_i h_i+\lambda_i \rho_i /2 - E_{q(f_i|h_i,\rho_i)}(-log(p(y_i|f_i)))} \]

where \(\alpha_i\), \(\lambda_i\) are Lagrange multipliers with respective to constraints \(h_i=\mu_i\) and \(\rho_i=\sigma_i^2\) respectively, \(\mu\) and \(\sigma_i\) are variational Gaussian parameters, y_i is data label, \(q(f_i)\) is the variational Gaussian distribution, and p(y_i) is the data distribution to be specified. In this setting, \(\alpha\) and \(\lambda\) are called dual parameters for \(\mu\) and \(\sigma^2\) respectively.

Definition at line 63 of file DualVariationalGaussianLikelihood.h.

Inheritance diagram for CDualVariationalGaussianLikelihood:
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Public Member Functions

 CDualVariationalGaussianLikelihood ()
 
virtual ~CDualVariationalGaussianLikelihood ()
 
virtual const char * get_name () const
 
virtual SGVector< float64_t > get_variational_expection ()
 
virtual SGVector< float64_t > get_variational_first_derivative (const TParameter *param) const
 
virtual bool supports_derivative_wrt_hyperparameter () const
 
virtual SGVector< float64_t > get_first_derivative_wrt_hyperparameter (const TParameter *param) const
 
virtual bool set_variational_distribution (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab)
 
virtual bool dual_parameters_valid () const
 
virtual float64_t adjust_step_wrt_dual_parameter (SGVector< float64_t > direction, const float64_t step) const
 
virtual void set_dual_parameters (SGVector< float64_t > the_lambda, const CLabels *lab)
 
virtual SGVector< float64_t > get_mu_dual_parameter () const =0
 
virtual SGVector< float64_t > get_variance_dual_parameter () const =0
 
virtual float64_t get_dual_upper_bound () const =0
 
virtual float64_t get_dual_lower_bound () const =0
 
virtual bool dual_upper_bound_strict () const =0
 
virtual bool dual_lower_bound_strict () const =0
 
virtual SGVector< float64_t > get_dual_objective_value ()=0
 
virtual SGVector< float64_t > get_dual_first_derivative (const TParameter *param) const =0
 
virtual void set_strict_scale (float64_t strict_scale)
 
virtual void set_noise_factor (float64_t noise_factor)
 
virtual SGVector< float64_t > get_predictive_means (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab=NULL) const
 
virtual SGVector< float64_t > get_predictive_variances (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab=NULL) const
 
virtual ELikelihoodModelType get_model_type () const
 
virtual SGVector< float64_t > get_log_probability_f (const CLabels *lab, SGVector< float64_t > func) const
 
virtual SGVector< float64_t > get_log_probability_derivative_f (const CLabels *lab, SGVector< float64_t > func, index_t i) const
 
virtual SGVector< float64_t > get_log_zeroth_moments (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab) const
 
virtual float64_t get_first_moment (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab, index_t i) const
 
virtual float64_t get_second_moment (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab, index_t i) const
 
virtual bool supports_regression () const
 
virtual bool supports_binary () const
 
virtual bool supports_multiclass () const
 
virtual SGVector< float64_t > get_first_derivative (const CLabels *lab, SGVector< float64_t > func, const TParameter *param) const
 
virtual SGVector< float64_t > get_second_derivative (const CLabels *lab, SGVector< float64_t > func, const TParameter *param) const
 
virtual SGVector< float64_t > get_third_derivative (const CLabels *lab, SGVector< float64_t > func, const TParameter *param) const
 
virtual SGVector< float64_t > get_predictive_log_probabilities (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab=NULL)
 
virtual SGVector< float64_t > get_log_probability_fmatrix (const CLabels *lab, SGMatrix< float64_t > F) const
 
virtual SGVector< float64_t > get_first_moments (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab) const
 
virtual SGVector< float64_t > get_second_moments (SGVector< float64_t > mu, SGVector< float64_t > s2, const CLabels *lab) const
 
virtual CSGObject * shallow_copy () const
 
virtual CSGObject * deep_copy () const
 
virtual bool is_generic (EPrimitiveType *generic) const
 
template<class T >
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
void unset_generic ()
 
virtual void print_serializable (const char *prefix="")
 
virtual bool save_serializable (CSerializableFile *file, const char *prefix="")
 
virtual bool load_serializable (CSerializableFile *file, const char *prefix="")
 
void set_global_io (SGIO *io)
 
SGIO * get_global_io ()
 
void set_global_parallel (Parallel *parallel)
 
Parallel * get_global_parallel ()
 
void set_global_version (Version *version)
 
Version * get_global_version ()
 
SGStringList< char > get_modelsel_names ()
 
void print_modsel_params ()
 
char * get_modsel_param_descr (const char *param_name)
 
index_t get_modsel_param_index (const char *param_name)
 
void build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict)
 
virtual void update_parameter_hash ()
 
virtual bool parameter_hash_changed ()
 
virtual bool equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false)
 
virtual CSGObject * clone ()
 

Public Attributes

SGIO * io
 
Parallel * parallel
 
Version * version
 
Parameter * m_parameters
 
Parameter * m_model_selection_parameters
 
Parameter * m_gradient_parameters
 
uint32_t m_hash
 

Protected Member Functions

virtual void precompute ()
 
virtual
CVariationalGaussianLikelihood * 		get_variational_likelihood () const
 
virtual void init_likelihood ()=0
 
virtual void set_likelihood (CLikelihoodModel *lik)
 
virtual void load_serializable_pre () throw (ShogunException)
 
virtual void load_serializable_post () throw (ShogunException)
 
virtual void save_serializable_pre () throw (ShogunException)
 
virtual void save_serializable_post () throw (ShogunException)
 

Protected Attributes

SGVector< float64_t > m_lambda
 
float64_t m_strict_scale
 
bool m_is_valid
 
SGVector< float64_t > m_mu
 
SGVector< float64_t > m_s2
 
SGVector< float64_t > m_lab
 
CLikelihoodModel * m_likelihood
 

Constructor & Destructor Documentation

CDualVariationalGaussianLikelihood ( )

default constructor

Definition at line 45 of file DualVariationalGaussianLikelihood.cpp.

~CDualVariationalGaussianLikelihood ( )
virtual

Definition at line 51 of file DualVariationalGaussianLikelihood.cpp.

Member Function Documentation

float64_t adjust_step_wrt_dual_parameter ( SGVector< float64_t >  direction,
const float64_t  step 
) const
virtual

this method is used for adjusting step size to ensure the updated value satisfied lower/upper bound constrain

The updated value is defined as below. lambda_new = m_lambda + direction * step

Parameters
directiondirection for m_lambda update
steporiginal step size (non-negative)
Returns
adjusted step size

Definition at line 111 of file DualVariationalGaussianLikelihood.cpp.

void build_gradient_parameter_dictionary ( CMap< TParameter *, CSGObject * > *  dict)
inherited

Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.

Parameters
dictdictionary of parameters to be built.

Definition at line 597 of file SGObject.cpp.

CSGObject * clone ( )
virtualinherited

Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.

Returns
an identical copy of the given object, which is disjoint in memory. NULL if the clone fails. Note that the returned object is SG_REF'ed

Definition at line 714 of file SGObject.cpp.

CSGObject * deep_copy ( ) const
virtualinherited

A deep copy. All the instance variables will also be copied.

Definition at line 198 of file SGObject.cpp.

virtual bool dual_lower_bound_strict ( ) const
pure virtual

whether the lower bound is strict

Returns
true if the lower bound is strict

Implemented in CLogitDVGLikelihood.

bool dual_parameters_valid ( ) const
virtual

check whether the dual parameters are valid or not.

Returns
true if dual parameters are valid

Definition at line 182 of file DualVariationalGaussianLikelihood.cpp.

virtual bool dual_upper_bound_strict ( ) const
pure virtual

whether the upper bound is strict

Returns
true if the upper bound is strict

Implemented in CLogitDVGLikelihood.

bool equals ( CSGObject *  other,
float64_t  accuracy = 0.0,
bool  tolerant = false 
)
virtualinherited

Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!

May be overwritten but please do with care! Should not be necessary in most cases.

Parameters
otherobject to compare with
accuracyaccuracy to use for comparison (optional)
tolerantallows linient check on float equality (within accuracy)
Returns
true if all parameters were equal, false if not

Definition at line 618 of file SGObject.cpp.

virtual SGVector<float64_t> get_dual_first_derivative ( const TParameter *  param) const
pure virtual

get the derivative of the dual objective function with respect to param

Parameters
paramparameter
Returns
the value of of the derivative

Implemented in CLogitDVGLikelihood.

virtual float64_t get_dual_lower_bound ( ) const
pure virtual

get the lower bound for dual parameter (lambda)

Returns
the lower bound

Implemented in CLogitDVGLikelihood.

virtual SGVector<float64_t> get_dual_objective_value ( )
pure virtual

evaluate the dual objective function

Returns
the value of Fenchel conjugates given m_lambda

Implemented in CLogitDVGLikelihood.

virtual float64_t get_dual_upper_bound ( ) const
pure virtual

get the upper bound for dual parameter (lambda)

Returns
the upper bound

Implemented in CLogitDVGLikelihood.

SGVector< float64_t > get_first_derivative ( const CLabels *  lab,
SGVector< float64_t >  func,
const TParameter *  param 
) const
virtualinherited

get derivative of log likelihood \(log(p(y|f))\) with respect to given parameter

Parameters
lablabels used
funcfunction location
paramparameter
Returns
derivative

Reimplemented from CLikelihoodModel.

Definition at line 88 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_first_derivative_wrt_hyperparameter ( const TParameter *  param) const
virtual

get derivative of log likelihood \(log(p(y|f))\) with respect to given hyperparameter Note that variational parameters are NOT considered as hyperparameters

Parameters
paramparameter
Returns
derivative

Implements CVariationalLikelihood.

Definition at line 90 of file DualVariationalGaussianLikelihood.cpp.

float64_t get_first_moment ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab,
index_t  i 
) const
virtualinherited

returns the first moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).

This method is useful for EP local likelihood approximation.

Parameters
mumean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
s2variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
lablabels \(y_i\)
iindex i
Returns
first moment of \(q(f_i)\)

Implements CLikelihoodModel.

Definition at line 140 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_first_moments ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab 
) const
virtualinherited

returns the first moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\) for each \(f_i\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).

Wrapper method which calls get_first_moment multiple times.

Parameters
mumean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
s2variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
lablabels \(y_i\)
Returns
the first moment of \(q(f_i)\) for each \(f_i\)

Definition at line 72 of file LikelihoodModel.cpp.

SGIO * get_global_io ( )
inherited

get the io object

Returns
io object

Definition at line 235 of file SGObject.cpp.

Parallel * get_global_parallel ( )
inherited

get the parallel object

Returns
parallel object

Definition at line 277 of file SGObject.cpp.

Version * get_global_version ( )
inherited

get the version object

Returns
version object

Definition at line 290 of file SGObject.cpp.

SGVector< float64_t > get_log_probability_derivative_f ( const CLabels *  lab,
SGVector< float64_t >  func,
index_t  i 
) const
virtualinherited

get derivative of log likelihood \(log(p(y|f))\) with respect to location function \(f\)

Parameters
lablabels used
funcfunction location
iindex, choices are 1, 2, and 3 for first, second, and third derivatives respectively
Returns
derivative

Implements CLikelihoodModel.

Definition at line 125 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_log_probability_f ( const CLabels *  lab,
SGVector< float64_t >  func 
) const
virtualinherited

Returns the logarithm of the point-wise likelihood \(log(p(y_i|f_i))\) for each label \(y_i\).

One can evaluate log-likelihood like: \( log(p(y|f)) = \sum_{i=1}^{n} log(p(y_i|f_i))\)

Parameters
lablabels \(y_i\)
funcvalues of the function \(f_i\)
Returns
logarithm of the point-wise likelihood

Implements CLikelihoodModel.

Definition at line 118 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_log_probability_fmatrix ( const CLabels *  lab,
SGMatrix< float64_t >  F 
) const
virtualinherited

Returns the log-likelihood \(log(p(y|f)) = \sum_{i=1}^{n} log(p(y_i|f_i))\) for each of the provided functions \( f \) in the given matrix.

Wrapper method which calls get_log_probability_f multiple times.

Parameters
lablabels \(y_i\)
Fvalues of the function \(f_i\) where each column of the matrix is one function \( f \).
Returns
log-likelihood for every provided function

Definition at line 51 of file LikelihoodModel.cpp.

SGVector< float64_t > get_log_zeroth_moments ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab 
) const
virtualinherited

returns the zeroth moment of a given (unnormalized) probability distribution:

\[ log(Z_i) = log\left(\int p(y_i|f_i) \mathcal{N}(f_i|\mu,\sigma^2) df_i\right) \]

for each \(f_i\).

Parameters
mumean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
s2variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
lablabels \(y_i\)
Returns
log zeroth moment \(log(Z_i)\)

Implements CLikelihoodModel.

Definition at line 132 of file VariationalLikelihood.cpp.

ELikelihoodModelType get_model_type ( ) const
virtualinherited

get model type

Returns
model type NONE

Reimplemented from CLikelihoodModel.

Definition at line 112 of file VariationalLikelihood.cpp.

SGStringList< char > get_modelsel_names ( )
inherited
Returns
vector of names of all parameters which are registered for model selection

Definition at line 498 of file SGObject.cpp.

char * get_modsel_param_descr ( const char *  param_name)
inherited

Returns description of a given parameter string, if it exists. SG_ERROR otherwise

Parameters
param_namename of the parameter
Returns
description of the parameter

Definition at line 522 of file SGObject.cpp.

index_t get_modsel_param_index ( const char *  param_name)
inherited

Returns index of model selection parameter with provided index

Parameters
param_namename of model selection parameter
Returns
index of model selection parameter with provided name, -1 if there is no such

Definition at line 535 of file SGObject.cpp.

virtual SGVector<float64_t> get_mu_dual_parameter ( ) const
pure virtual

get the dual parameter (alpha) for variational mu

Returns
the dual parameter (alpha)

Implemented in CLogitDVGLikelihood.

virtual const char* get_name ( ) const
virtual

returns the name of the likelihood model

Returns
name DualVariationalGaussianLikelihood

Implements CSGObject.

Reimplemented in CLogitDVGLikelihood.

Definition at line 75 of file DualVariationalGaussianLikelihood.h.

SGVector< float64_t > get_predictive_log_probabilities ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab = NULL 
)
virtualinherited

returns the logarithm of the predictive density of \(y_*\):

\[ log(p(y_*|X,y,x_*)) = log\left(\int p(y_*|f_*) p(f_*|X,y,x_*) df_*\right) \]

which approximately equals to

\[ log\left(\int p(y_*|f_*) \mathcal{N}(f_*|\mu,\sigma^2) df_*\right) \]

where normal distribution \(\mathcal{N}(\mu,\sigma^2)\) is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\).

NOTE: if lab equals to NULL, then each \(y_*\) equals to one.

Parameters
muposterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
s2posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
lablabels \(y_*\)
Returns
\(log(p(y_*|X, y, x*))\) for each label \(y_*\)

Reimplemented in CSoftMaxLikelihood.

Definition at line 45 of file LikelihoodModel.cpp.

SGVector< float64_t > get_predictive_means ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab = NULL 
) const
virtualinherited

returns mean of the predictive marginal \(p(y_*|X,y,x_*)\)

NOTE: if lab equals to NULL, then each \(y_*\) equals to one.

Parameters
muposterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
s2posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
lablabels \(y_*\)
Returns
final means evaluated by likelihood function

Implements CLikelihoodModel.

Definition at line 72 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_predictive_variances ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab = NULL 
) const
virtualinherited

returns variance of the predictive marginal \(p(y_*|X,y,x_*)\)

NOTE: if lab equals to NULL, then each \(y_*\) equals to one.

Parameters
muposterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
s2posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\)
lablabels \(y_*\)
Returns
final variances evaluated by likelihood function

Implements CLikelihoodModel.

Definition at line 80 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_second_derivative ( const CLabels *  lab,
SGVector< float64_t >  func,
const TParameter *  param 
) const
virtualinherited

get derivative of the first derivative of log likelihood with respect to function location, i.e. \(\frac{\partial log(p(y|f))}{\partial f}\) with respect to given parameter

Parameters
lablabels used
funcfunction location
paramparameter
Returns
derivative

Reimplemented from CLikelihoodModel.

Definition at line 96 of file VariationalLikelihood.cpp.

float64_t get_second_moment ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab,
index_t  i 
) const
virtualinherited

returns the second moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).

This method is useful for EP local likelihood approximation.

Parameters
mumean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
s2variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
lablabels \(y_i\)
iindex i
Returns
the second moment of \(q(f_i)\)

Implements CLikelihoodModel.

Definition at line 148 of file VariationalLikelihood.cpp.

SGVector< float64_t > get_second_moments ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab 
) const
virtualinherited

returns the second moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\) for each \(f_i\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).

Wrapper method which calls get_second_moment multiple times.

Parameters
mumean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
s2variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\)
lablabels \(y_i\)
Returns
the second moment of \(q(f_i)\) for each \(f_i\)

Definition at line 89 of file LikelihoodModel.cpp.

SGVector< float64_t > get_third_derivative ( const CLabels *  lab,
SGVector< float64_t >  func,
const TParameter *  param 
) const
virtualinherited

get derivative of the second derivative of log likelihood with respect to function location, i.e. \(\frac{\partial^{2} log(p(y|f))}{\partial f^{2}}\) with respect to given parameter

Parameters
lablabels used
funcfunction location
paramparameter
Returns
derivative

Reimplemented from CLikelihoodModel.

Definition at line 104 of file VariationalLikelihood.cpp.

virtual SGVector<float64_t> get_variance_dual_parameter ( ) const
pure virtual

get the dual parameter (lambda) for variational s2

Returns
the dual parameter (lambda)

Implemented in CLogitDVGLikelihood.

SGVector< float64_t > get_variational_expection ( )
virtual

returns the expection of the logarithm of a given probability distribution wrt the variational distribution given m_mu and m_s2

Returns
expection

Implements CVariationalLikelihood.

Definition at line 66 of file DualVariationalGaussianLikelihood.cpp.

SGVector< float64_t > get_variational_first_derivative ( const TParameter *  param) const
virtual

get derivative of the variational expection of log likelihood with respect to given parameter

Parameters
paramparameter
Returns
derivative

Implements CVariationalLikelihood.

Definition at line 78 of file DualVariationalGaussianLikelihood.cpp.

CVariationalGaussianLikelihood * get_variational_likelihood ( ) const
protectedvirtual

this method is used to dynamic-cast the likelihood model, m_likelihood, to variational likelihood model.

Definition at line 55 of file DualVariationalGaussianLikelihood.cpp.

virtual void init_likelihood ( )
protectedpure virtualinherited

this method is called to initialize m_likelihood in init()

Implements CVariationalLikelihood.

Implemented in CLogitDVGLikelihood, CLogitVGPiecewiseBoundLikelihood, CNumericalVGLikelihood, CLogitVGLikelihood, CProbitVGLikelihood, and CStudentsTVGLikelihood.

bool is_generic ( EPrimitiveType *  generic) const
virtualinherited

If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.

Parameters
genericset to the type of the generic if returning TRUE
Returns
TRUE if a class template.

Definition at line 296 of file SGObject.cpp.

bool load_serializable ( CSerializableFile *  file,
const char *  prefix = "" 
)
virtualinherited

Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!

Parameters
filewhere to load from
prefixprefix for members
Returns
TRUE if done, otherwise FALSE

Definition at line 369 of file SGObject.cpp.

void load_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.

Definition at line 426 of file SGObject.cpp.

void load_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.

Definition at line 421 of file SGObject.cpp.

bool parameter_hash_changed ( )
virtualinherited
Returns
whether parameter combination has changed since last update

Definition at line 262 of file SGObject.cpp.

void precompute ( )
protectedvirtual

compute common variables later used in get_variational_expection and get_variational_first_derivative. Note that this method will automatically be called when set_variational_distribution is called

Definition at line 213 of file DualVariationalGaussianLikelihood.cpp.

void print_modsel_params ( )
inherited

prints all parameter registered for model selection and their type

Definition at line 474 of file SGObject.cpp.

void print_serializable ( const char *  prefix = "")
virtualinherited

prints registered parameters out

Parameters
prefixprefix for members

Definition at line 308 of file SGObject.cpp.

bool save_serializable ( CSerializableFile *  file,
const char *  prefix = "" 
)
virtualinherited

Save this object to file.

Parameters
filewhere to save the object; will be closed during returning if PREFIX is an empty string.
prefixprefix for members
Returns
TRUE if done, otherwise FALSE

Definition at line 314 of file SGObject.cpp.

void save_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel.

Definition at line 436 of file SGObject.cpp.

void save_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.

Exceptions
ShogunExceptionwill be thrown if an error occurs.

Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.

Definition at line 431 of file SGObject.cpp.

void set_dual_parameters ( SGVector< float64_t >  the_lambda,
const CLabels *  lab 
)
virtual

set dual parameters for variational parameters

Parameters
the_lambdadual parameter for variational mean
lablabels/data used

Note that dual parameter (alpha) for the variational variance is implicitly set based on lambda

Definition at line 157 of file DualVariationalGaussianLikelihood.cpp.

void set_generic ( )
inherited

Definition at line 41 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 46 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 51 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 56 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 61 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 66 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 71 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 76 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 81 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 86 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 91 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 96 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 101 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 106 of file SGObject.cpp.

void set_generic ( )
inherited

Definition at line 111 of file SGObject.cpp.

void set_generic ( )
inherited

set generic type to T

void set_global_io ( SGIO *  io)
inherited

set the io object

Parameters
ioio object to use

Definition at line 228 of file SGObject.cpp.

void set_global_parallel ( Parallel *  parallel)
inherited

set the parallel object

Parameters
parallelparallel object to use

Definition at line 241 of file SGObject.cpp.

void set_global_version ( Version *  version)
inherited

set the version object

Parameters
versionversion object to use

Definition at line 283 of file SGObject.cpp.

void set_likelihood ( CLikelihoodModel *  lik)
protectedvirtualinherited

this method used to set m_likelihood

Definition at line 49 of file VariationalLikelihood.cpp.

void set_noise_factor ( float64_t  noise_factor)
virtual

set a non-negative noise factor in order to correct the variance if variance is close to zero or negative setting 0 means correction is not applied

Parameters
noise_factornoise factor

The default value is 1e-6.

Reimplemented from CVariationalGaussianLikelihood.

Definition at line 72 of file DualVariationalGaussianLikelihood.cpp.

void set_strict_scale ( float64_t  strict_scale)
virtual

set the m_strict_scale

Parameters
strict_scalemust be between 0 and 1 exclusively

Definition at line 103 of file DualVariationalGaussianLikelihood.cpp.

bool set_variational_distribution ( SGVector< float64_t >  mu,
SGVector< float64_t >  s2,
const CLabels *  lab 
)
virtual

set the variational distribution given data and parameters

Parameters
mumean of the variational distribution
s2variance of the variational distribution
lablabels/data used
Returns
true if variational parameters are valid

Note that the variational distribution is Gaussian

Reimplemented from CVariationalGaussianLikelihood.

Definition at line 96 of file DualVariationalGaussianLikelihood.cpp.

CSGObject * shallow_copy ( ) const
virtualinherited

A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.

Reimplemented in CGaussianKernel.

Definition at line 192 of file SGObject.cpp.

bool supports_binary ( ) const
virtualinherited

return whether likelihood function supports binary classification

Returns
boolean

Reimplemented from CLikelihoodModel.

Definition at line 162 of file VariationalLikelihood.cpp.

bool supports_derivative_wrt_hyperparameter ( ) const
virtual

return whether likelihood function supports computing the derivative wrt hyperparameter Note that variational parameters are NOT considered as hyperparameters

Returns
boolean

Implements CVariationalLikelihood.

Definition at line 84 of file DualVariationalGaussianLikelihood.cpp.

bool supports_multiclass ( ) const
virtualinherited

return whether likelihood function supports multiclass classification

Returns
boolean

Reimplemented from CLikelihoodModel.

Definition at line 168 of file VariationalLikelihood.cpp.

bool supports_regression ( ) const
virtualinherited

return whether likelihood function supports regression

Returns
boolean

Reimplemented from CLikelihoodModel.

Definition at line 156 of file VariationalLikelihood.cpp.

void unset_generic ( )
inherited

unset generic type

this has to be called in classes specializing a template class

Definition at line 303 of file SGObject.cpp.

void update_parameter_hash ( )
virtualinherited

Updates the hash of current parameter combination

Definition at line 248 of file SGObject.cpp.

Member Data Documentation

SGIO* io
inherited

io

Definition at line 369 of file SGObject.h.

Parameter* m_gradient_parameters
inherited

parameters wrt which we can compute gradients

Definition at line 384 of file SGObject.h.

uint32_t m_hash
inherited

Hash of parameter values

Definition at line 387 of file SGObject.h.

bool m_is_valid
protected

whether m_lambda is satisfied lower bound and/or upper bound condition.

Definition at line 238 of file DualVariationalGaussianLikelihood.h.

SGVector<float64_t> m_lab
protectedinherited

the label of data

Definition at line 277 of file VariationalLikelihood.h.

SGVector<float64_t> m_lambda
protected

The dual variables (lambda) for the variational parameter s2.

Note that in variational Gaussian inference, there is a relationship between lambda and alpha, where alpha is the dual parameter for variational parameter mu

Therefore, the dual variables (alpha) for variational parameter mu is not explicitly saved.

Definition at line 227 of file DualVariationalGaussianLikelihood.h.

CLikelihoodModel* m_likelihood
protectedinherited

the distribution used to model data

Definition at line 280 of file VariationalLikelihood.h.

Parameter* m_model_selection_parameters
inherited

model selection parameters

Definition at line 381 of file SGObject.h.

SGVector<float64_t> m_mu
protectedinherited

The mean of variational Gaussian distribution

Definition at line 79 of file VariationalGaussianLikelihood.h.

Parameter* m_parameters
inherited

parameters

Definition at line 378 of file SGObject.h.

SGVector<float64_t> m_s2
protectedinherited

The variance of variational Gaussian distribution

Definition at line 82 of file VariationalGaussianLikelihood.h.

float64_t m_strict_scale
protected

The value used to ensure strict bound(s) for m_lambda in adjust_step_wrt_dual_parameter()

Note that the value should be between 0 and 1 exclusively.

The default value is 1e-5.

Definition at line 235 of file DualVariationalGaussianLikelihood.h.

Parallel* parallel
inherited

parallel

Definition at line 372 of file SGObject.h.

Version* version
inherited

version

Definition at line 375 of file SGObject.h.

The documentation for this class was generated from the following files:
SHOGUN Machine Learning Toolbox - Documentation