Python linalg.cho_solve函数代码示例

def cho_solve_ATAI(A, rho, b, c, lwr, check_finite=True):
    r"""
    Solve the linear system :math:`(A^T A + \rho I)\mathbf{x} = \mathbf{b}`
    or :math:`(A^T A + \rho I)X = B` using :func:`scipy.linalg.cho_solve`.

    Parameters
    ----------
    A : array_like
      Matrix :math:`A`
    rho : float
      Scalar :math:`\rho`
    b : array_like
      Vector :math:`\mathbf{b}` or matrix :math:`B`
    c : array_like
      Matrix containing lower or upper triangular Cholesky factor,
      as returned by :func:`scipy.linalg.cho_factor`
    lwr : bool
      Flag indicating whether the factor is lower or upper triangular

    Returns
    -------
    x : ndarray
      Solution to the linear system
    """

    N, M = A.shape
    if N >= M:
        x = linalg.cho_solve((c, lwr), b, check_finite=check_finite)
    else:
        x = (b - A.T.dot(linalg.cho_solve((c, lwr), A.dot(b),
                                          check_finite=check_finite))) / rho
    return x

    def LMLdebug(self):
        """
        LML function for debug
        """
        assert self.N*self.P<5000, 'gp2kronSum:: N*P>=5000'

        y = SP.reshape(self.Y,(self.N*self.P), order='F') 
        V = SP.kron(SP.eye(self.P),self.F)

        XX = SP.dot(self.Xr,self.Xr.T)
        K  = SP.kron(self.Cr.K(),XX)
        K += SP.kron(self.Cn.K()+self.offset*SP.eye(self.P),SP.eye(self.N))

        # inverse of K
        cholK = LA.cholesky(K)
        Ki = LA.cho_solve((cholK,False),SP.eye(self.N*self.P))

        # Areml and inverse
        Areml = SP.dot(V.T,SP.dot(Ki,V))
        cholAreml = LA.cholesky(Areml)
        Areml_i = LA.cho_solve((cholAreml,False),SP.eye(self.K*self.P))

        # effect sizes and z
        b = SP.dot(Areml_i,SP.dot(V.T,SP.dot(Ki,y)))
        z = y-SP.dot(V,b)
        Kiz = SP.dot(Ki,z)

        # lml
        lml  = y.shape[0]*SP.log(2*SP.pi)
        lml += 2*SP.log(SP.diag(cholK)).sum()
        lml += 2*SP.log(SP.diag(cholAreml)).sum()
        lml += SP.dot(z,Kiz)
        lml *= 0.5

        return lml

def compute_logprod_derivative(Alup, dA, B, dB):
    """ I = logdet(A)+Tr(inv(A)*B)
        dI/dx = Tr(inv(A)*(dA - dA*inv(A)*B + dB) """

    tmp = lalg.cho_solve(Alup, B, check_finite=False)
    tmp2 = dA + dB - dA.dot(tmp)
    return np.trace(lalg.cho_solve(Alup, tmp2, check_finite=False))

    def loglik_full(self, l_a, l_rho, Agw, gammagw):
        """
        Given all these parameters, calculate the full likelihood

        @param l_a:     List of Fourier coefficient arrays for all pulsars
        @param l_rho:   List of arrays of log10(PSD) amplitudes for all pulsars
        @param Agw:     log10(GW amplitude)
        @param gammagw: GWB spectral index

        @return:        Log-likelihood
        """
        # Transform the GWB parameters to PSD coefficients (pc)
        pc_gw = self.gwPSD(Agw, gammagw)
        
        rv = 0.0
        for ii, freq in enumerate(self.freqs):
            a_cos = l_a[:,2*ii]         # Cosine modes for f=freq
            a_sin = l_a[:,2*ii+1]       # Sine modes for f=freq
            rho = l_rho[:,ii]           # PSD amp for f=freq

            # Covariance matrix is the same for sine and cosine modes
            cov = np.diag(10**rho) + self.hdmat * pc_gw[ii]
            cf = sl.cho_factor(cov)
            logdet = 2*np.sum(np.log(np.diag(cf[0])))
            
            # Add the log-likelihood for the cosine and the sine modes
            rv += -0.5 * np.dot(a_cos, sl.cho_solve(cf, a_cos)) - \
                   0.5 * np.dot(a_sin, sl.cho_solve(cf, a_sin)) - \
                   2*self.Npsr*np.log(2*np.pi) - logdet

        return rv

    def get_covariances(self,hyperparams):
        """
        INPUT:
        hyperparams:  dictionary
        OUTPUT: dictionary with the fields
        K:     kernel
        Kinv:  inverse of the kernel
        L:     chol(K)
        alpha: solve(K,y)
        W:     D*Kinv * alpha*alpha^T
        """
        if self._is_cached(hyperparams):
            return self._covar_cache

        K = self.covar.K(hyperparams['covar'])
        
        if self.likelihood is not None:
            Knoise = self.likelihood.K(hyperparams['lik'],self.n)
            K += Knoise
            
        L = LA.cholesky(K).T# lower triangular
        alpha = LA.cho_solve((L,True),self.Y)
        Kinv = LA.cho_solve((L,True),SP.eye(L.shape[0]))
        W = self.t*Kinv - SP.dot(alpha,alpha.T)
        self._covar_cache = {}
        self._covar_cache['K'] = K
        self._covar_cache['Kinv'] = Kinv
        self._covar_cache['L'] = L
        self._covar_cache['alpha'] = alpha
        self._covar_cache['W'] = W
        self._covar_cache['hyperparams'] = copy.deepcopy(hyperparams) 
        return self._covar_cache

    def finalize(self):
        """Finalize the fit, utilizing the already inverted Sigma matrix"""
        # Calculate the prediction quantities
        if len(self.dtp) > 0:
            self.MNt_n = np.dot(self.Mp_n.T, sl.cho_solve(self.Np_cf, self.dtp))
            dtNdt = np.dot(self.dtp, sl.cho_solve(self.Np_cf, self.dtp))
        else:
            self.MNt_n = np.zeros(self.Mp_n.shape[1])
            dtNdt = 0.0
        self.dpars_n = np.dot(self.Sigma_n, self.MNt_n + self.phipar_n)

        # TODO: should use dpars, instead of MNt below here???
        self.rp = np.dot(self.Mtot_n, np.dot(self.Sigma_n, self.MNt_n))   # Should be approx~0.0
        self.rr = np.dot(self.Mtot_n, np.dot(self.Sigma_n, self.Mtot_n.T))

        # Calculate the log-likelihood
        logdetN2 = np.sum(np.log(np.diag(self.Np_cf[0])))
        logdetphi2 = 0.5*np.sum(np.log(self.Phivec_n))
        chi2dt = 0.5*dtNdt
        chi2phi = 0.5*np.sum(self.prpars_delta_n**2/self.Phivec_n)
        chi2phi1 = 0.5*np.dot(self.dpars_n, np.dot(self.Sigma_inv_n, self.dpars_n))
        chi2_active = 0.5*np.dot(self.dpars_n, np.dot(self.Sigma_inv_n, self.dpars_n))

        # NOTE: chi2_active is zero _if_ we move to ML solution. We are dpars
        #       away from there. That's why we subtract it from loglik.
        #       Note also that, now, chi2phi1 and chi2_active are the same in
        #       this rescaling
        self.loglik = -logdetN2-logdetphi2-chi2dt-chi2phi+chi2phi1-chi2_active
        self.loglik_ml = -logdetN2-logdetphi2-chi2dt-chi2phi+chi2phi1

    def _update_cache(self):
        """
        INPUT:
        hyperparams:  dictionary
        OUTPUT: dictionary with the fields
        K:     kernel
        Kinv:  inverse of the kernel
        L:     chol(K)
        alpha: solve(K,y)
        W:     D*Kinv * alpha*alpha^T
        """
        cov_params_have_changed = self.covar.params_have_changed

        if cov_params_have_changed or self.Y_has_changed:
            K = self.covar.K()
            L = LA.cholesky(K).T# lower triangular
            Kinv = LA.cho_solve((L,True),SP.eye(L.shape[0]))
            alpha = LA.cho_solve((L,True),self.Y)
            W = self.t*Kinv - SP.dot(alpha,alpha.T)
            self._covar_cache = {}
            self._covar_cache['K'] = K
            self._covar_cache['Kinv'] = Kinv
            self._covar_cache['L'] = L
            self._covar_cache['alpha'] = alpha
            self._covar_cache['W'] = W

        return self._covar_cache

    def predict(self, y, t):
        """
        Compute the conditional predictive distribution of the model.

        :param y: ``(nsamples,)``
            The observations to condition the model on.

        :param t: ``(ntest,)`` or ``(ntest, ndim)``
            The coordinates where the predictive distribution should be
            computed.

        Returns a tuple ``(mu, cov)`` where

        * **mu** ``(ntest,)`` is the mean of the predictive distribution, and
        * **cov** ``(ntest, ntest)`` is the predictive covariance.

        """
        self.recompute()
        r = self._check_dimensions(y)[self.inds] - self.mean(self._x)
        xs, i = self.parse_samples(t, False)
        alpha = cho_solve(self._factor, r)

        # Compute the predictive mean.
        Kxs = self.kernel(self._x[None, :], xs[:, None])
        mu = np.dot(Kxs, alpha) + self.mean(xs)

        # Compute the predictive covariance.
        cov = self.kernel(xs[:, None], xs[None, :])
        cov -= np.dot(Kxs, cho_solve(self._factor, Kxs.T))

        return mu, cov

 def _calculate_log_likelihood(self):
     #if self.m == None:
     #    Give error message
     R = zeros((self.n, self.n))
     X,Y = array(self.X), array(self.Y)
     thetas = 10.**self.thetas
     for i in range(self.n):
         for j in arange(i+1,self.n):
             R[i,j] = (1-self.nugget)*e**(-sum(thetas*(X[i]-X[j])**2.)) #weighted distance formula
     R = R + R.T + eye(self.n)
     self.R = R
     one = ones(self.n)
     try:
         self.R_fact = cho_factor(R)
         rhs = vstack([Y, one]).T
         R_fact = (self.R_fact[0].T,not self.R_fact[1])
         cho = cho_solve(R_fact, rhs).T
         
         self.mu = dot(one,cho[0])/dot(one,cho[1])
         self.sig2 = dot(Y-dot(one,self.mu),cho_solve(self.R_fact,(Y-dot(one,self.mu))))/self.n
         #self.log_likelihood = -self.n/2.*log(self.sig2)-1./2.*log(abs(det(self.R)+1.e-16))-sum(thetas)
         self.log_likelihood = -self.n/2.*log(self.sig2)-1./2.*log(abs(det(self.R)+1.e-16))
     except (linalg.LinAlgError,ValueError):
         #------LSTSQ---------
         self.R_fact = None #reset this to none, so we know not to use cholesky
         #self.R = self.R+diag([10e-6]*self.n) #improve conditioning[Booker et al., 1999]
         rhs = vstack([Y, one]).T
         lsq = lstsq(self.R.T,rhs)[0].T
         self.mu = dot(one,lsq[0])/dot(one,lsq[1])
         self.sig2 = dot(Y-dot(one,self.mu),lstsq(self.R,Y-dot(one,self.mu))[0])/self.n
         self.log_likelihood = -self.n/2.*log(self.sig2)-1./2.*log(abs(det(self.R)+1.e-16))

        def grad_nlogprob(hypers):
            amp2  = np.exp(hypers[0])
            noise = np.exp(hypers[1])
            ls    = np.exp(hypers[2:])

            chol, corr, grad_corr = memoize(amp2, noise, ls)
            solve   = spla.cho_solve((chol, True), diffs)
            inv_cov = spla.cho_solve((chol, True), np.eye(chol.shape[0]))

            jacobian = np.outer(solve, solve) - inv_cov

            grad = np.zeros(self.D + 2)

            # Log amplitude gradient.
            grad[0] = 0.5 * np.trace(np.dot( jacobian, corr + 1e-6*np.eye(chol.shape[0]))) * amp2

            # Log noise gradient.
            grad[1] = 0.5 * np.trace(np.dot( jacobian, np.eye(chol.shape[0]))) * noise

            # Log length scale gradients.
            for dd in xrange(self.D):
                grad[dd+2] = 1 * np.trace(np.dot( jacobian, -amp2*grad_corr[:,:,dd]*comp[:,dd][:,np.newaxis]/(np.exp(ls[dd]))))*np.exp(ls[dd])

            # Roll in the prior variance.
            #grad -= 2*hypers/self.hyper_prior

            return -grad

def elbo(params, mask, *args):
    """ELBO with full posterior covariance matrix"""
    t, mu, post_cov = args
    K, dK = kernel(t, params)
    dK *= mask[np.newaxis, np.newaxis, :]
    try:
        L = cholesky(K, lower=True)
    except LinAlgError:
        return -np.inf, np.zeros_like(params)

    Kinv = cho_solve((L, True), np.eye(K.shape[0]))  # K inverse

    if mu.ndim == 1:
        mu = mu[:, np.newaxis]

    alpha = cho_solve((L, True), mu)
    ll_dims = -0.5 * np.einsum("ik,ik->k", mu, alpha)
    tmp = np.einsum("ik,jk->ijk", alpha, alpha)
    tmp -= Kinv[:, :, np.newaxis]

    for i in range(post_cov.shape[-1]):
        KinvSigma = cho_solve((L, True), post_cov[:, :, i])
        ll_dims[i] -= 0.5 * np.trace(KinvSigma)
        tmp[:, :, i] += KinvSigma @ Kinv

    ll_dims -= np.log(np.diag(L)).sum()
    ll = ll_dims.sum(-1)

    dll_dims = 0.5 * np.einsum("ijl,ijk->kl", tmp, dK)
    dll = dll_dims.sum(-1)

    return ll, dll

    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 _LMLgrad_covar_debug(self,covar):

        assert self.N*self.P<2000, 'gp2kronSum:: N*P>=2000'

        y  = SP.reshape(self.Y,(self.N*self.P), order='F') 

        K  = SP.kron(self.Cg.K(),self.XX)
        K += SP.kron(self.Cn.K()+self.offset*SP.eye(self.P),SP.eye(self.N))

        cholK = LA.cholesky(K).T
        Ki  = LA.cho_solve((cholK,True),SP.eye(y.shape[0]))
        Kiy   = LA.cho_solve((cholK,True),y)

        if covar=='Cr':     n_params = self.Cr.getNumberParams()
        elif covar=='Cg':   n_params = self.Cg.getNumberParams()
        elif covar=='Cn':   n_params = self.Cn.getNumberParams()

        RV = SP.zeros(n_params)

        for i in range(n_params):
            #0. calc grad_i
            if covar=='Cg':
                C   = self.Cg.Kgrad_param(i)
                Kgrad  = SP.kron(C,self.XX)
            elif covar=='Cn':
                C   = self.Cn.Kgrad_param(i)
                Kgrad  = SP.kron(C,SP.eye(self.N))

            #1. der of log det
            RV[i]  = 0.5*(Ki*Kgrad).sum()
            
            #2. der of quad form
            RV[i] -= 0.5*(Kiy*SP.dot(Kgrad,Kiy)).sum()

        return RV

    def predict(self, y, t):
        """
        Compute the conditional predictive distribution of the model.

        :param y: ``(nsamples, )``
            The observations to condition the model on.

        :param t: ``(ntest, )``
            The coordinates where the predictive distribution should be
            computed.

        :returns mu: ``(ntest, )``
            The mean of the predictive distribution.

        :returns cov: ``(ntest, ntest)``
            The predictive covariance.

        """
        r = self._check_dimensions(y)
        xs, i = self._parse_samples(t, False)
        alpha = cho_solve(self._factor, r)

        # Compute the predictive mean.
        Kxs = self._kernel(self._x[None, :], xs[:, None])
        mu = np.dot(Kxs, alpha)

        # Compute the predictive covariance.
        cov = self._kernel(xs[:, None], xs[None, :])
        cov -= np.dot(Kxs, cho_solve(self._factor, Kxs.T))

        return mu, cov

    def find_likelihood_der(self, X, y):
        """
        Find the negative log likelihood and its partial derivatives.

        Parameters
        ----------

        Returns
        -------
        """
        n = len(X)
        K = self.cf.eval(X)

        #if len(self.krnds)!=K.shape[0]:
        #    print "Created new self.krnds!"
        #    self.krnds = np.random.randn(K.shape[0])*10**-6
        #K = K + np.eye(K.shape[0])*self.krnds        

        L = np.linalg.cholesky(K) # Problems using this on the cluster - bad scaling! Running time becomes really bad with large N. Solution: Update ATLAS
        #L = la.cholesky(K)
        #print np.linalg.solve(L.T, np.linalg.solve(L, y))
        #a = np.linalg.solve(L.T, np.linalg.solve(L, y))
        a = la.cho_solve((L, True), y)

        nll = 0.5*np.dot(y.T, a) + np.sum(np.log(np.diag(L))) + 0.5*n*np.log(2*np.pi)
        ders = np.zeros(len(self.cf.get_params()))
        #W = np.linalg.solve(L.T, np.linalg.solve(L, np.eye(n))) - a*a.T

        W = la.cho_solve((L, True), np.eye(n))  - a*a.T
        
        for i in range(len(self.cf.get_params())):
            ders[i] = np.sum(W*self.cf.derivative(X, i))/2
        return nll[0,0], ders