Changeset 10489 for trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceFunctions/CovariancePeriodic.cs

Timestamp:

02/20/14 17:45:06 (10 years ago)

Author:

gkronber

Message:

#2125 fixed the bug that covariance functions returned the full gradient vector even when parameters are partially fixed.
changed the calculation of NN covariance and gradient to direct calculation (instead of AutoDiff)

File:

• trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceFunctions/CovariancePeriodic.cs (modified) (7 diffs)

trunk/sources/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceFunctions/CovariancePeriodic.cs

@@ -46 +46 @@
     }
 
+    private bool HasFixedScaleParameter {
+      get { return ScaleParameter.Value != null; }
+    }
+    private bool HasFixedInverseLengthParameter {
+      get { return InverseLengthParameter.Value != null; }
+    }
+    private bool HasFixedPeriodParameter {
+      get { return PeriodParameter.Value != null; }
+    }
+
 
     [StorableConstructor]
@@ -68 +78 @@
 
     public int GetNumberOfParameters(int numberOfVariables) {
-      return (ScaleParameter.Value != null ? 0 : 1) +
-       (PeriodParameter.Value != null ? 0 : 1) +
-       (InverseLengthParameter.Value != null ? 0 : 1);
+      return (HasFixedScaleParameter ? 0 : 1) +
+       (HasFixedPeriodParameter ? 0 : 1) +
+       (HasFixedInverseLengthParameter ? 0 : 1);
     }
 
@@ -82 +92 @@
 
 
-    private void GetParameterValues(double[] 
+    private void GetParameterValues(double[]
       p, out double scale, out double period, out double inverseLength) {
       // gather parameter values
       int c = 0;
-      if (InverseLengthParameter.Value != null) {
+      if (HasFixedInverseLengthParameter) {
         inverseLength = InverseLengthParameter.Value.Value;
       } else {
@@ -92 +102 @@
         c++;
       }
-      if (PeriodParameter.Value != null) {
+      if (HasFixedPeriodParameter) {
         period = PeriodParameter.Value.Value;
       } else {
@@ -98 +108 @@
         c++;
       }
-      if (ScaleParameter.Value != null) {
+      if (HasFixedScaleParameter) {
         scale = ScaleParameter.Value.Value;
       } else {
@@ -110 +120 @@
       double inverseLength, period, scale;
       GetParameterValues(p, out scale, out period, out inverseLength);
+      var fixedInverseLength = HasFixedInverseLengthParameter;
+      var fixedPeriod = HasFixedPeriodParameter;
+      var fixedScale = HasFixedScaleParameter;
       // create functions
       var cov = new ParameterizedCovarianceFunction();
@@ -128 +141 @@
         return scale * Math.Exp(-2.0 * k);
       };
-      cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, period, inverseLength);
+      cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, period, inverseLength, fixedInverseLength, fixedPeriod, fixedScale);
       return cov;
     }
 
 
-    private static IEnumerable<double> GetGradient(double[,] x, int i, int j, IEnumerable<int> columnIndices, double scale, double period, double inverseLength) {
+    private static IEnumerable<double> GetGradient(double[,] x, int i, int j, IEnumerable<int> columnIndices, double scale, double period, double inverseLength,
+      bool fixedInverseLength, bool fixedPeriod, bool fixedScale) {
       double k = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices) / period;
       double gradient = Math.Sin(k) * inverseLength;
       gradient *= gradient;
-      yield return 4.0 * scale * Math.Exp(-2.0 * gradient) * gradient;
-      double r = Math.Sin(k) * inverseLength;
-      yield return 2.0 * k * scale * Math.Exp(-2 * r * r) *Math.Sin(2*k) * inverseLength * inverseLength;
-      yield return 2.0 * scale * Math.Exp(-2 * gradient); 
+      if (!fixedInverseLength) yield return 4.0 * scale * Math.Exp(-2.0 * gradient) * gradient;
+      if (!fixedPeriod) {
+        double r = Math.Sin(k) * inverseLength;
+        yield return 2.0 * k * scale * Math.Exp(-2 * r * r) * Math.Sin(2 * k) * inverseLength * inverseLength;
+      }
+      if (!fixedScale)
+        yield return 2.0 * scale * Math.Exp(-2 * gradient);
 
     }