NumericalVGLikelihood.h

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/*
 * Copyright (c) The Shogun Machine Learning Toolbox
 * Written (w) 2014 Wu Lin
 * All rights reserved.
 *
 * Redistribution and use in source and binary forms, with or without
 * modification, are permitted provided that the following conditions are met:
 *
 * 1. Redistributions of source code must retain the above copyright notice, this
 *    list of conditions and the following disclaimer.
 * 2. Redistributions in binary form must reproduce the above copyright notice,
 *    this list of conditions and the following disclaimer in the documentation
 *    and/or other materials provided with the distribution.
 *
 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
 * ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
 * WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
 * DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
 * ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
 * LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
 * ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
 * (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
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 * The views and conclusions contained in the software and documentation are those
 * of the authors and should not be interpreted as representing official policies,
 * either expressed or implied, of the Shogun Development Team.
 *
 * Code adapted from
 * http://hannes.nickisch.org/code/approxXX.tar.gz
 * and the reference paper is
 * Nickisch, Hannes, and Carl Edward Rasmussen.
 * "Approximations for Binary Gaussian Process Classification."
 * Journal of Machine Learning Research 9.10 (2008).
 */

#ifndef _NUMERICALVGLIKELIHOOD_H_
#define _NUMERICALVGLIKELIHOOD_H_

#include <shogun/lib/config.h>

#include <shogun/machine/gp/VariationalGaussianLikelihood.h>
#include <shogun/mathematics/Math.h>
#include <shogun/labels/BinaryLabels.h>
#include <shogun/labels/RegressionLabels.h>


namespace shogun
{
template<class C> class SGMatrix;

class CNumericalVGLikelihood : public CVariationalGaussianLikelihood
{
public:
    CNumericalVGLikelihood();

    virtual ~CNumericalVGLikelihood();

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

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

    virtual SGVector<float64_t> get_variational_expection();

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

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

    virtual void set_GHQ_number(index_t n);

protected:

    virtual void init_likelihood()=0;

private:

    index_t m_GHQ_N;

    bool m_is_init_GHQ;

    void init();

    void precompute();

    SGVector<float64_t> m_xgh;

    SGVector<float64_t> m_wgh;

    SGMatrix<float64_t> m_log_lam;
};
}
#endif /* _NUMERICALVGLIKELIHOOD_H_ */