SingleFITCLaplaceInferenceMethod.h

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/*
 * Copyright (c) The Shogun Machine Learning Toolbox
 * Written (W) 2015 Wu Lin
 * All rights reserved.
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 *    list of conditions and the following disclaimer.
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#ifndef CSINGLEFITCLAPLACEINFERENCEMETHOD_H
#define CSINGLEFITCLAPLACEINFERENCEMETHOD_H


#include <shogun/lib/config.h>
#include <shogun/machine/gp/SingleFITCInference.h>

namespace shogun
{
class CSingleFITCLaplaceInferenceMethod: public CSingleFITCInference
{
friend class CFITCPsiLine;
friend class CSingleFITCLaplaceNewtonOptimizer; 
friend class SingleFITCLaplaceInferenceMethodCostFunction;
public:
    CSingleFITCLaplaceInferenceMethod();

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

    virtual ~CSingleFITCLaplaceInferenceMethod();

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


    virtual EInferenceType get_inference_type() const { return INF_FITC_LAPLACE_SINGLE; }

    static CSingleFITCLaplaceInferenceMethod* obtain_from_generic(CInference* inference);

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

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

    virtual SGVector<float64_t> get_diagonal_vector();

    virtual SGVector<float64_t> get_posterior_mean();

    virtual SGMatrix<float64_t> get_posterior_covariance();

    virtual void update();

    virtual float64_t get_negative_log_marginal_likelihood();

    virtual void register_minimizer(Minimizer* minimizer);

protected:
    virtual void compute_gradient();

    virtual void update_init();

    virtual void update_alpha();

    virtual void update_chol();

    virtual void update_approx_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);

    virtual SGMatrix<float64_t> get_chol_inv(SGMatrix<float64_t> mtx);

    virtual SGVector<float64_t> compute_mvmK(SGVector<float64_t> al);

    virtual SGVector<float64_t> compute_mvmZ(SGVector<float64_t> x);

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

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

    virtual SGVector<float64_t> derivative_helper_when_Wneg(SGVector<float64_t> res, const TParameter* param);

    virtual float64_t get_derivative_related_cov(SGVector<float64_t> ddiagKi,
        SGMatrix<float64_t> dKuui, SGMatrix<float64_t> dKui);

    virtual float64_t get_derivative_related_mean(SGVector<float64_t> dmu);

    virtual float64_t get_derivative_implicit_term_helper(SGVector<float64_t> d);

    float64_t get_psi_wrt_alpha();

    void get_gradient_wrt_alpha(SGVector<float64_t> gradient);

private:
    void init();

protected:

    SGVector<float64_t> m_mean_f;

    SGVector<float64_t> m_sW;

    SGVector<float64_t> m_d2lp;

    SGVector<float64_t> m_d3lp;

    SGVector<float64_t> m_dlp;

    SGVector<float64_t> m_W;

    SGMatrix<float64_t> m_chol_R0;

    SGVector<float64_t> m_dfhat;

    SGVector<float64_t> m_g;

    float64_t m_Psi;

    SGVector<float64_t> m_dg;

    bool m_Wneg;
};

class CSingleFITCLaplaceNewtonOptimizer: public Minimizer
{
public:
    CSingleFITCLaplaceNewtonOptimizer() :Minimizer() {  init(); }

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

    virtual ~CSingleFITCLaplaceNewtonOptimizer() { SG_UNREF(m_obj); }

    void set_target(CSingleFITCLaplaceInferenceMethod *obj);

    void unset_target(bool is_unref);
    
    virtual float64_t minimize();

    virtual void set_minimization_max(float64_t max) { m_opt_max=max; }

    virtual void set_minimization_tolerance(float64_t tol) { m_opt_tolerance=tol; }

    virtual void set_newton_iterations(int32_t iter) { m_iter=iter; }

    virtual void set_newton_tolerance(float64_t tol) { m_tolerance=tol; }
private:
    void init();

    CSingleFITCLaplaceInferenceMethod *m_obj;

    float64_t m_tolerance;
  
    index_t m_iter;

    float64_t m_opt_tolerance;

    float64_t m_opt_max;
};

}
#endif /* CSINGLEFITCLAPLACEINFERENCEMETHOD_H */