https://github.com/GPflow/GPflow
Revision bb08f22e337d1487b8d9ab9944d8b9f7fff853ff authored by Vincent Dutordoir on 18 June 2018, 17:04:06 UTC, committed by Artem Artemev on 18 June 2018, 17:04:06 UTC
* Introduction of MultiOutputFeatures (Mof) and MultiOutputKernels (Mok).
These are used to specify a particular setup of multi-output correlation.

* Multiple-dispatch for conditional. This allows GPflow to select the most efficient conditional code depending on your choice of Mof and Mok.

* Multiple-dispatch for Kuu and Kuf. Previously Kuu(.) and Kuf(.) were member functions of the feature class. This became cumbersome as the calculation of Kuu and Kuf also depends on the kernel used. In line with conditional we now also use multiple-dispatch to calculate Kuu and Kuf for a particular combination of Mok and Mof.

* The actual maths to efficiently calculate the output-correlated conditional (credits to @markvdw )

* sample_conditional function that makes sure that the most efficient code is used to get a sample from the conditional distribution.

* Minor: we updated a couple of models to use the new multi-output conditional.
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Tip revision: bb08f22e337d1487b8d9ab9944d8b9f7fff853ff authored by Vincent Dutordoir on 18 June 2018, 17:04:06 UTC
Multi-output conditionals (#724)
Tip revision: bb08f22
probability_distributions.py
# Copyright 2017 the GPflow authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

# Eventually, it would be nice to not have to have our own classes for
# proability distributions. The TensorFlow "distributions" framework would
# be a good replacement.


class ProbabilityDistribution:
    """
    This is the base class for a probability distributions,
    over which we take the expectations in the expectations framework.
    """
    pass


class Gaussian(ProbabilityDistribution):
    def __init__(self, mu, cov):
        self.mu = mu  # N x D
        self.cov = cov  # N x D x D


class DiagonalGaussian(ProbabilityDistribution):
    def __init__(self, mu, cov):
        self.mu = mu  # N x D
        self.cov = cov  # N x D


class MarkovGaussian(ProbabilityDistribution):
    """
    Gaussian distribution with Markov structure.
    Only covariances and covariances between t and t+1 need to be
    parameterised. We use the solution proposed by Carl Rasmussen, i.e. to
    represent
    Var[x_t] = cov[x_t, :, :] * cov[x_t, :, :].T
    Cov[x_t, x_{t+1}] = cov[t, :, :] * cov[t+1, :, :]
    """
    def __init__(self, mu, cov):
        self.mu = mu  # N+1 x D
        self.cov = cov  # 2 x (N+1) x D x D
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