Python linalg.cho_factor函数代码示例

    def lnprob_cov(C):

        # Get first term of loglikelihood expression (y * (1/C) * y.T)
        # Do computation using Cholesky decomposition
        try:
            
            U, luflag = cho_factor(C)
            
        except LinAlgError:

            # Matrix is not positive semi-definite, so replace it with the 
            #  positive semi-definite matrix that is nearest in the Frobenius norm

            E, EV = eigh(C)
            E[E<0] = 1e-12
            U, luflag = cho_factor(EV.dot(np.diag(Ep)).dot(EV.T))
            
        finally:

            x2 = cho_solve((U, luflag), dxy)
            L1 = dxy.dot(x2)

        # Get second term of loglikelihood expression (log det C)
        sign, L2 = slogdet(C)

        # Why am I always confused by this?
        thing_to_be_minimised = (L1 + L2)

        return thing_to_be_minimised

def jitchol(A,maxtries=5):
	"""
	Arguments
	---------
	A : An almost pd square matrix

	Returns
	-------
	cho_factor(K)

	Notes
	-----
	Adds jitter to K, to enforce positive-definiteness
	"""
	
	try:
		return linalg.cho_factor(A)
	except:
		diagA = np.diag(A)
		if np.any(diagA<0.):
			raise linalg.LinAlgError, "not pd: negative diagonal elements"
		jitter= diagA.mean()*1e-6
		for i in range(1,maxtries+1):
			try:
				return linalg.cho_factor(A+np.eye(A.shape[0])*jitter)
			except:
				jitter *= 10
				print 'Warning: adding jitter of '+str(jitter)
		raise linalg.LinAlgError,"not positive definite, even with jitter."

 def model_and_cov(self, fit_params):
     model = (self.pmodel*fit_params['A']*self.b**fit_params['n'])[self.windowrange] + self.fgs(fit_params,self.lmax)[self.windowrange] #(self.pmodel*self.A*self.b**self.n)[self.windowrange] +self.fgs([self.Asz,self.Aps,self.Acib],self.freqs)[self.windowrange]
     if self.freqs[0] !=143:
         self.cho_cov = cho_factor(self.patch_sigma+self.planck_sigma+dot(self.windows,dot(self.beam_corr*outer(model,model),self.windows.T)))
     else:
         self.cho_cov = cho_factor(self.patch_sigma+self.planck_sigma)
     return (dot(self.windows,model),self.cho_cov)  

    def rakeDistortionlessFilters(self, source, interferer, R_n, delay=0.03, epsilon=5e-3):
        '''
        Compute time-domain filters of a beamformer minimizing noise and interference
        while forcing a distortionless response towards the source.
        '''

        H = buildRIRMatrix(self.R, (source, interferer), self.Lg, self.Fs, epsilon=epsilon, unit_damping=True)
        L = H.shape[1]/2

        # We first assume the sample are uncorrelated
        K_nq = np.dot(H[:,L:], H[:,L:].T) + R_n

        # constraint
        kappa = int(delay*self.Fs)
        A = H[:,:L]
        b = np.zeros((L,1))
        b[kappa,0] = 1

        # filter computation
        C = la.cho_factor(K_nq, overwrite_a=True, check_finite=False)
        B = la.cho_solve(C, A)
        D = np.dot(A.T, B)
        C = la.cho_factor(D, overwrite_a=True, check_finite=False)
        x = la.cho_solve(C, b)
        g_val = np.dot(B, x)

        # reshape and store
        self.filters = g_val.reshape((self.M, self.Lg))

        # compute and return SNR
        A = np.dot(g_val.T, H[:,:L])
        num = np.dot(A, A.T)
        denom =  np.dot(np.dot(g_val.T, K_nq), g_val)

        return num/denom

    def __init__(self, data):
        self._data = np.atleast_2d(data)

        self._mean = np.mean(data, axis=0)
        self._cov = None

        if self.data.shape[0] > 1:
            try:
                self._cov = np.cov(data.T)

                # Try factoring now to see if regularization is needed
                la.cho_factor(self._cov)

            except la.LinAlgError:
                self._cov = oas_cov(data)

        self._set_bandwidth()

        # store transformation variables for drawing random values
        alphas = np.std(data, axis=0)
        ms = 1./alphas
        m_i, m_j = np.meshgrid(ms, ms)
        ms = m_i * m_j
        self._draw_cov = ms * self._kernel_cov
        self._scale_fac = alphas

	def likelihood_prior(self, mu, Sigma, k, R_S_mu = None, log_det_Q = None, R_S = None, switchprior = False):
			"""
					Computes the prior that is 
					\pi( \mu | \theta[k], \Sigma[k]) \pi(\Sigma| Q[k], \nu[k]) = 
					N(\mu; \theta[k], \Sigma[k]) IW(\Sigma; Q[k], \nu[k]) 

					If switchprior = True, special values of nu and Sigma_mu
					are used if the parameters nu_sw and Sigma_mu_sw are set
					respectively. This enables use of "relaxed" priors
					facilitating label switch. NB! This makes the kernel
					non-symmetric, hence it cannot be used in a stationary state.
			"""

			if switchprior:			
				try:
					nu = self.nu_sw
				except:
					nu = self.prior[k]['sigma']['nu']
				try:
					Sigma_mu = self.Sigma_mu_sw
				except:
					Sigma_mu = self.prior[k]['mu']['Sigma']
				Q = self.prior[k]['sigma']['Q']*nu/self.prior[k]['sigma']['nu']
			else:
				nu = self.prior[k]['sigma']['nu']
				Sigma_mu = self.prior[k]['mu']['Sigma']
				Q = self.prior[k]['sigma']['Q']

			if np.isnan(mu[0]) == 1:
					return 0, None, None, None
			
			if R_S_mu is None:
					R_S_mu = sla.cho_factor(Sigma_mu,check_finite = False)
			log_det_Sigma_mu = 2 * np.sum(np.log(np.diag(R_S_mu[0])))
			
			if log_det_Q is None:
					R_Q = sla.cho_factor(Q,check_finite = False)
					log_det_Q = 2 * np.sum(np.log(np.diag(R_Q[0])))
			
			if R_S is None:
					R_S = sla.cho_factor(Sigma,check_finite = False)
			log_det_Sigma	= 2 * np.sum(np.log(np.diag(R_S[0])))
			
			
			
			mu_theta = mu - self.prior[k]['mu']['theta'].reshape(self.d)
			# N(\mu; \theta[k], \Sigma[k])
			
			lik = - np.dot(mu_theta.T, sla.cho_solve(R_S_mu, mu_theta, check_finite = False))  /2
			lik = lik - 0.5 * (nu + self.d + 1.) * log_det_Sigma
			lik = lik +  (nu * 0.5) * log_det_Q
			lik = lik - 0.5 * log_det_Sigma_mu
			lik = lik - self.ln_gamma_d(0.5 * nu) - 0.5 * np.log(2) * (nu * self.d)
			lik = lik - 0.5 * np.sum(np.diag(sla.cho_solve(R_S, Q)))
			return lik, R_S_mu, log_det_Q, R_S

def mark2loglikelihood(psr, Aw, Ar, Si):
    """
    Log-likelihood for our pulsar
    
    This likelihood does marginalize over the timing model. Calculate
    covariance matrix in the time-domain with:
    
    ll = 0.5 * res^{t} (C^{-1} - C^{-1} M (M^{T} C^{-1} M)^{-1} M^{T} C^{-1} ) res - \
         0.5 * log(det(C)) - 0.5 * log(det(M^{T} C^{-1} M))
         
    In relation to 'mark1loglikelihood', this likelihood has but a simple addition:
    res' = res - M xi
    where M is a (n x m) matrix, with m < n, and xi is a vector of length m. The xi
    are analytically marginalised over, yielding the above equation (up to constants)
    
    :param psr:
        pulsar object, containing the data and stuff

    :param Aw:
        White noise amplitude, model parameter

    :param Ar:
        Red noise amplitude, model parameter

    :param Si:
        Spectral index of red noise, model parameter
    """
    Mmat = psr.Mmat

    Cov = Aw ** 2 * np.eye(len(psr.toas)) + PL_covmat(psr.toas, Ar, alpha=0.5 * (3 - Si), fL=1.0 / (year * 20))

    cfC = sl.cho_factor(Cov)
    Cinv = sl.cho_solve(cfC, np.eye(len(psr.toas)))
    ldetC = 2 * np.sum(np.log(np.diag(cfC[0])))

    MCM = np.dot(Mmat.T, np.dot(Cinv, Mmat))
    cfM = sl.cho_factor(MCM)
    ldetM = 2 * np.sum(np.log(np.diag(cfM[0])))

    wr = np.dot(Cinv, psr.residuals)
    rCr = np.dot(psr.residuals, wr)
    MCr = np.dot(Mmat.T, wr)

    return (
        -0.5 * rCr
        + 0.5 * np.dot(MCr, sl.cho_solve(cfM, MCr))
        - 0.5 * ldetC
        - 0.5 * ldetM
        - 0.5 * len(psr.residuals) * np.log(2 * np.pi)
    )

def spla_chol_invert(K, eye):
    '''
    invert a positive-definite matrix using cholesky decomposition
    '''
    Ltup = spla.cho_factor(K, lower=True)
    K_inv = spla.cho_solve(Ltup, eye, check_finite=False)
    return K_inv

  def logLikelihood(self,p):
    "Function to calculate the log likeihood"
    
    #calculate the residuals
    r = self.t - self.mf(p[self.n_hp:],self.mf_args)
    
    #ensure r is an (n x 1) column vector
    r = np.matrix(np.array(r).flatten()).T
    
    #calculate covariance matrix, cholesky factor and logdet if hyperparameters change
#     print "pars:", self.pars, type(self.pars)
#     print "p:", p, type(p)
#     print p[:self.n_hp] != self.pars[:self.n_hp]
#     print np.all(p[:self.n_hp] != self.pars[:self.n_hp])
    if self.pars == None or np.all(p[:self.n_hp] != self.pars[:self.n_hp]):
#       print "no :("
      self.K = GPC.CovarianceMatrix(p[:self.n_hp],self.kf_args,KernelFunction=self.kf)
      self.ChoFactor = LA.cho_factor(self.K)#,overwrite_a=1)
      self.logdetK = (2*np.log(np.diag(self.ChoFactor[0])).sum())
#     else: print "yeah!!"
    
    #store the new parameters
    self.pars = np.copy(p)
    
    #calculate the log likelihood
    logP = -0.5 * r.T * np.mat(LA.cho_solve(self.ChoFactor,r)) - 0.5 * self.logdetK - (r.size/2.) * np.log(2*np.pi)
    
    return np.float(logP)

def _solve_admm(Y, q, alpha=10, mu=10, max_iter=10000):
  n = Y.shape[0]
  alpha_q = alpha * q
  # solve (YYt + mu*I + mu) Z = (mu*C - lambda + gamma + mu)
  A, lower = cho_factor(Y.dot(Y.T) + mu*(np.eye(n) + 1), overwrite_a=True)
  C = np.zeros(n)
  Z_old = 0  # shape (n,)
  lmbda = np.zeros(n)
  gamma = 0
  # ADMM iteration
  for i in range(max_iter):
    # call the guts of cho_solve directly for speed
    Z, _ = potrs(A, gamma + mu + mu*C - lmbda, lower=lower, overwrite_b=True)

    tmp = mu*Z + lmbda
    C[:] = np.abs(tmp)
    C -= alpha_q
    np.maximum(C, 0, out=C)
    C *= np.sign(tmp)
    C /= mu

    d_ZC = Z - C
    d_1Z = 1 - Z.sum()
    lmbda += mu * d_ZC
    gamma += mu * d_1Z

    if ((abs(d_1Z) / n < 1e-6)
            and (np.abs(d_ZC).mean() < 1e-6)
            and (np.abs(Z - Z_old).mean() < 1e-5)):
      break
    Z_old = Z
  else:
    warnings.warn('ADMM failed to converge after %d iterations.' % max_iter)
  return C

def HTFNull(psr, F, proj, SS, A, f, gam, efac, equad):
    """
    Lentati marginalized likelihood function only including efac and equad
    and power law coefficients

    @param psr: Pulsar class
    @param F: Fourier design matrix constructed in PALutils
    @param proj: Projection operator from white noise
    @param SS: Diagonalized white noise matrix
    @param A: Power spectrum Amplitude
    @param gam: Power spectrum index
    @param f: Frequencies at which to parameterize power spectrum (Hz)
    @param efac: constant multipier on error bar covaraince matrix term
    @param equad: Additional white noise added in quadrature to efac

    @return: LogLike: loglikelihood

    """

    diff = np.dot(proj, psr.res)

    # compute total time span of data
    Tspan = psr.toas.max() - psr.toas.min()

    # get power spectrum coefficients
    f1yr = 1 / 3.16e7
    rho = A ** 2 / 12 / np.pi ** 2 * f1yr ** (gam - 3) * f ** (-gam) / Tspan

    # compute d
    d = np.dot(F.T, diff / (efac * SS + equad ** 2))

    # compute Sigma
    N = 1 / (efac * SS + equad ** 2)
    right = (N * F.T).T
    FNF = np.dot(F.T, right)

    arr = np.zeros(2 * len(rho))
    ct = 0
    for ii in range(0, 2 * len(rho), 2):
        arr[ii] = rho[ct]
        arr[ii + 1] = rho[ct]
        ct += 1

    Phi = np.diag(10 ** arr)
    Sigma = FNF + np.diag(1 / arr)

    # cholesky decomp for second term in exponential
    cf = sl.cho_factor(Sigma)
    expval2 = sl.cho_solve(cf, d)
    logdet_Sigma = np.sum(2 * np.log(np.diag(cf[0])))

    dtNdt = np.sum(diff ** 2 / (efac * SS + equad ** 2))

    logdet_Phi = np.sum(np.log(arr))

    logdet_N = np.sum(np.log(efac * SS + equad ** 2))

    logLike = -0.5 * (logdet_N + logdet_Phi + logdet_Sigma) - 0.5 * (dtNdt - np.dot(d, expval2))

    return logLike

    def __init__(self, 
                 X,
                 sigma,
                 offset=None,
                 quadratic=None,
                 initial=None):
        """
        Parameters
        ----------

        X : np.ndarray
            Design matrix.

        sigma : float
            Known standard deviation.

        """

        rr.smooth_atom.__init__(self,
                                (X.shape[1],),
                                offset=offset,
                                quadratic=quadratic,
                                initial=initial)

        self.X = X
        self.sigma = sigma
        self._cholX = cho_factor(X.T.dot(X))

    def evaluate(self):
        '''
        Return the lnprob using the current version of the C_GP matrix, data matrix,
        and other intermediate products.
        '''

        self.lnprob_last = self.lnprob

        CC = self.data_mat

        model = self.chebyshevSpectrum.k * self.flux

        try:

            factor, flag = cho_factor(CC)

            R = self.fl - model

            logdet = np.sum(2 * np.log((np.diag(factor))))
            self.lnprob = -0.5 * (np.dot(R, cho_solve((factor, flag), R)) + logdet)

            self.logger.debug("Evaluating lnprob={}".format(self.lnprob))
            return self.lnprob

        # To give us some debugging information about what went wrong.
        except np.linalg.linalg.LinAlgError:
            print("Spectrum:", self.spectrum_id, "Order:", self.order)
            raise

    def init(self, p):
        
        self.datadir = os.path.join(os.path.dirname(__file__),'spt_lps12_20120828')
            
        #Load spectrum and covariance
        fn = 'Spectrum_spt2500deg2_lps12%s.newdat'%('_nocal' if ('spt_s12','a_calib') in p else '')
        with open(os.path.join(self.datadir,fn)) as f:
            while 'TT' not in f.readline(): pass
            self.spec=array([fromstring(f.readline(),sep=' ')[1] for _ in range(47)])
            self.sigma=array([fromstring(f.readline(),sep=' ') for _ in range(94)])[47:]
            
        #Load windows
        self.windows = [loadtxt(os.path.join(self.datadir,'windows','window_lps12','window_%i'%i))[:,1] for i in range(1,48)]
        
        if ('spt_s12','lmin') in p:
            bmin = sum(1 for _ in takewhile(lambda x: x<p['spt_s12','lmin'], (sum(1 for _ in takewhile(lambda x: abs(x)<.001,w) ) for w in self.windows)))
            self.spec = self.spec[bmin:]
            self.sigma = self.sigma[bmin:,bmin:]
            self.windows = self.windows[bmin:]
        
        self.errorbars = sqrt(diag(self.sigma))
        self.sigma = cho_factor(self.sigma)
        
        self.windowrange = (lambda x: slice(min(x),max(x)+1))(loadtxt(os.path.join(self.datadir,'windows','window_lps12','window_1'))[:,0])
        self.lmax = self.windowrange.stop
        self.ells = array([dot(arange(10000)[self.windowrange],w) for w in self.windows])

        self.freq = {'dust':154, 'radio': 151, 'tsz':153}
        self.fluxcut = 50

        self.calib_prior = p.get(('spt_s12','calib_prior'),True)

def mark1loglikelihood(psr, Aw, Ar, Si):
    """
    Log-likelihood for our pulsar. This one does not marginalize
    over the timing model, so it cannot be used if the data has been
    'fit'. Use when creating data with 'dofit=False':
    psr = Pulsar(dofit=False)
    
    Calculate covariance matrix in the time-domain with:
    
    ll = -0.5 * res^{T} C^{-1} res - 0.5 * log(det(C))
    
    :param psr:
        pulsar object, containing the data and stuff

    :param Aw:
        White noise amplitude, model parameter

    :param Ar:
        Red noise amplitude, model parameter

    :param Si:
        Spectral index of red noise, model parameter
    """

    # The function that builds the non-diagonal covariance matrix is Cred_sec
    # Cov = Aw**2 * np.eye(len(psr.toas)) + \
    #      Ar**2 * Cred_sec(psr.toas, alpha=0.5*(3-Si))
    Cov = Aw ** 2 * np.eye(len(psr.toas)) + PL_covmat(psr.toas, Ar, alpha=0.5 * (3 - Si), fL=1.0 / (year * 20))

    cfC = sl.cho_factor(Cov)
    ldetC = 2 * np.sum(np.log(np.diag(cfC[0])))
    rCr = np.dot(psr.residuals, sl.cho_solve(cfC, psr.residuals))

    return -0.5 * rCr - 0.5 * ldetC - 0.5 * len(psr.residuals) * np.log(2 * np.pi)