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LaplacianInferenceMethod.h
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00001 /*
00002  * This program is free software; you can redistribute it and/or modify
00003  * it under the terms of the GNU General Public License as published by
00004  * the Free Software Foundation; either version 3 of the License, or
00005  * (at your option) any later version.
00006  *
00007  * Written (W) 2013 Roman Votyakov
00008  * Copyright (C) 2012 Jacob Walker
00009  * Copyright (C) 2013 Roman Votyakov
00010  *
00011  * Code adapted from Gaussian Process Machine Learning Toolbox
00012  * http://www.gaussianprocess.org/gpml/code/matlab/doc/
00013  */
00014 
00015 #ifndef CLAPLACIANINFERENCEMETHOD_H_
00016 #define CLAPLACIANINFERENCEMETHOD_H_
00017 
00018 #include <shogun/lib/config.h>
00019 
00020 #ifdef HAVE_EIGEN3
00021 
00022 #include <shogun/machine/gp/InferenceMethod.h>
00023 
00024 namespace shogun
00025 {
00026 
00042 class CLaplacianInferenceMethod: public CInferenceMethod
00043 {
00044 public:
00046     CLaplacianInferenceMethod();
00047 
00056     CLaplacianInferenceMethod(CKernel* kernel, CFeatures* features,
00057             CMeanFunction* mean, CLabels* labels, CLikelihoodModel* model);
00058 
00059     virtual ~CLaplacianInferenceMethod();
00060 
00065     virtual EInferenceType get_inference_type() const { return INF_LAPLACIAN; }
00066 
00071     virtual const char* get_name() const { return "LaplacianInferenceMethod"; }
00072 
00084     virtual float64_t get_negative_log_marginal_likelihood();
00085 
00096     virtual SGVector<float64_t> get_alpha();
00097 
00109     virtual SGMatrix<float64_t> get_cholesky();
00110 
00122     virtual SGVector<float64_t> get_diagonal_vector();
00123 
00136     virtual SGVector<float64_t> get_posterior_mean();
00137 
00156     virtual SGMatrix<float64_t> get_posterior_covariance();
00157 
00162     virtual float64_t get_newton_tolerance() { return m_tolerance; }
00163 
00168     virtual void set_newton_tolerance(float64_t tol) { m_tolerance=tol; }
00169 
00174     virtual int32_t get_newton_iterations() { return m_iter; }
00175 
00180     virtual void set_newton_iterations(int32_t iter) { m_iter=iter; }
00181 
00186     virtual float64_t get_minimization_tolerance() { return m_opt_tolerance; }
00187 
00192     virtual void set_minimization_tolerance(float64_t tol) { m_opt_tolerance=tol; }
00193 
00198     virtual float64_t get_minimization_max() { return m_opt_max; }
00199 
00204     virtual void set_minimization_max(float64_t max) { m_opt_max=max; }
00205 
00210     virtual bool supports_regression() const
00211     {
00212         check_members();
00213         return m_model->supports_regression();
00214     }
00215 
00220     virtual bool supports_binary() const
00221     {
00222         check_members();
00223         return m_model->supports_binary();
00224     }
00225 
00227     virtual void update();
00228 
00229 protected:
00231     virtual void update_alpha();
00232 
00234     virtual void update_chol();
00235 
00237     virtual void update_approx_cov();
00238 
00242     virtual void update_deriv();
00243 
00251     virtual SGVector<float64_t> get_derivative_wrt_inference_method(
00252             const TParameter* param);
00253 
00261     virtual SGVector<float64_t> get_derivative_wrt_likelihood_model(
00262             const TParameter* param);
00263 
00271     virtual SGVector<float64_t> get_derivative_wrt_kernel(
00272             const TParameter* param);
00273 
00281     virtual SGVector<float64_t> get_derivative_wrt_mean(
00282             const TParameter* param);
00283 
00284 private:
00285     void init();
00286 
00287 private:
00289     float64_t m_tolerance;
00290 
00292     index_t m_iter;
00293 
00295     float64_t m_opt_tolerance;
00296 
00298     float64_t m_opt_max;
00299 
00301     SGVector<float64_t> m_mu;
00302 
00304     SGMatrix<float64_t> m_Sigma;
00305 
00307     SGVector<float64_t> W;
00308 
00310     SGVector<float64_t> sW;
00311 
00313     SGVector<float64_t> dlp;
00314 
00316     SGVector<float64_t> d2lp;
00317 
00319     SGVector<float64_t> d3lp;
00320 
00321     SGVector<float64_t> m_dfhat;
00322 
00323     SGMatrix<float64_t> m_Z;
00324 
00325     SGVector<float64_t> m_g;
00326 };
00327 }
00328 #endif /* HAVE_EIGEN3 */
00329 #endif /* CLAPLACIANINFERENCEMETHOD_H_ */
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