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

Timestamp:

02/20/14 17:45:06 (11 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/CovarianceRationalQuadraticIso.cs (modified) (8 diffs)

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

@@ -44 +44 @@
       get { return (IValueParameter<DoubleValue>)Parameters["Shape"]; }
     }
+
+    private bool HasFixedScaleParameter {
+      get { return ScaleParameter.Value != null; }
+    }
+    private bool HasFixedInverseLengthParameter {
+      get { return InverseLengthParameter.Value != null; }
+    }
+    private bool HasFixedShapeParameter {
+      get { return ShapeParameter.Value != null; }
+    }
+
+
     [StorableConstructor]
     private CovarianceRationalQuadraticIso(bool deserializing)
@@ -68 +80 @@
 
     public int GetNumberOfParameters(int numberOfVariables) {
-      return (ScaleParameter.Value != null ? 0 : 1) +
-        (ShapeParameter.Value != null ? 0 : 1) +
-        (InverseLengthParameter.Value != null ? 0 : 1);
+      return (HasFixedScaleParameter ? 0 : 1) +
+        (HasFixedShapeParameter ? 0 : 1) +
+        (HasFixedInverseLengthParameter ? 0 : 1);
     }
 
@@ -84 +96 @@
       int c = 0;
       // gather parameter values
-      if (InverseLengthParameter.Value != null) {
+      if (HasFixedInverseLengthParameter) {
         inverseLength = InverseLengthParameter.Value.Value;
       } else {
@@ -90 +102 @@
         c++;
       }
-      if (ScaleParameter.Value != null) {
+      if (HasFixedScaleParameter) {
         scale = ScaleParameter.Value.Value;
       } else {
@@ -96 +108 @@
         c++;
       }
-      if (ShapeParameter.Value != null) {
+      if (HasFixedShapeParameter) {
         shape = ShapeParameter.Value.Value;
       } else {
@@ -108 +120 @@
       double scale, shape, inverseLength;
       GetParameterValues(p, out scale, out shape, out inverseLength);
+      var fixedInverseLength = HasFixedInverseLengthParameter;
+      var fixedScale = HasFixedScaleParameter;
+      var fixedShape = HasFixedShapeParameter;
       // create functions
       var cov = new ParameterizedCovarianceFunction();
@@ -120 +135 @@
         return scale * Math.Pow(1 + 0.5 * d / shape, -shape);
       };
-      cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, shape, inverseLength);
+      cov.CovarianceGradient = (x, i, j) => GetGradient(x, i, j, columnIndices, scale, shape, inverseLength, fixedInverseLength, fixedScale, fixedShape);
       return cov;
     }
 
-    private static IEnumerable<double> GetGradient(double[,] x, int i, int j, IEnumerable<int> columnIndices, double scale, double shape, double inverseLength) {
+    private static IEnumerable<double> GetGradient(double[,] x, int i, int j, IEnumerable<int> columnIndices, double scale, double shape, double inverseLength,
+      bool fixedInverseLength, bool fixedScale, bool fixedShape) {
       double d = i == j
                    ? 0.0
@@ -130 +146 @@
 
       double b = 1 + 0.5 * d / shape;
-      yield return scale * Math.Pow(b, -shape - 1) * d;
-      yield return 2 * scale * Math.Pow(b, -shape);
-      yield return scale * Math.Pow(b, -shape) * (0.5 * d / b - shape * Math.Log(b));
+      if (!fixedInverseLength) yield return scale * Math.Pow(b, -shape - 1) * d;
+      if (!fixedScale) yield return 2 * scale * Math.Pow(b, -shape);
+      if (!fixedShape) yield return scale * Math.Pow(b, -shape) * (0.5 * d / b - shape * Math.Log(b));
     }
   }