Changeset 8477 for branches/HeuristicLab.TimeSeries/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovariancePeriodic.cs

Timestamp:

08/13/12 16:18:37 (12 years ago)

Author:

mkommend

Message:

#1081:

• Added autoregressive target variable Symbol
• Merged trunk changes into the branch.

Location:

branches/HeuristicLab.TimeSeries/HeuristicLab.Algorithms.DataAnalysis

Files:

• . (modified) (1 prop)
• 3.4/GaussianProcess/CovariancePeriodic.cs (modified) (3 diffs)

branches/HeuristicLab.TimeSeries/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovariancePeriodic.cs

@@ -35 +35 @@
     [Storable]
     private double sf2;
+    public double Scale { get { return sf2; } }
     [Storable]
     private double l;
+    public double Length { get { return l; } }
     [Storable]
     private double p;
+    public double Period { get { return p; } }
 
     private bool symmetric;
@@ -74 +77 @@
       this.p = Math.Exp(hyp[1]);
       this.sf2 = Math.Exp(2 * hyp[2]);
-
-      sf2 = Math.Min(10E6, sf2); // upper limit for the scale
+      // sf2 = Math.Min(10E6, sf2); // upper limit for the scale
 
       sd = null;
@@ -102 +104 @@
     }
 
+    public double GetGradient(int i, int j, int k) {
+      double v = Math.PI * sd[i, j] / p;
+      switch (k) {
+        case 0: {
+            double newK = Math.Sin(v) / l;
+            newK = newK * newK;
+            return 4 * sf2 * Math.Exp(-2 * newK) * newK;
+          }
+        case 1: {
+            double r = Math.Sin(v) / l;
+            return 4 * sf2 / l * Math.Exp(-2 * r * r) * r * Math.Cos(v) * v;
+          }
+        case 2: {
+            double newK = Math.Sin(v) / l;
+            newK = newK * newK;
+            return 2 * sf2 * Math.Exp(-2 * newK);
 
-    public double[] GetDiagonalCovariances() {
-      if (x != xt) throw new InvalidOperationException();
-      int rows = x.GetLength(0);
-      var cov = new double[rows];
-      for (int i = 0; i < rows; i++) {
-        double k = Math.Sqrt(Util.SqrDist(Util.GetRow(x, i), Util.GetRow(xt, i)));
-        k = Math.PI * k / p;
-        k = Math.Sin(k) / l;
-        k = k * k;
-        cov[i] = sf2 * Math.Exp(-2.0 * k);
+          }
+        default: {
+            throw new ArgumentException("CovariancePeriodic only has three hyperparameters.", "k");
+          }
       }
-      return cov;
-    }
-
-    public double[] GetGradient(int i, int j) {
-
-      var res = new double[3];
-      double k = sd[i, j];
-      k = Math.PI * k / p;
-      {
-        double newK = Math.Sin(k) / l;
-        newK = newK * newK;
-        res[0] = 4 * sf2 * Math.Exp(-2 * newK) * newK;
-      }
-      {
-        double r = Math.Sin(k) / l;
-        res[1] = 4 * sf2 / l * Math.Exp(-2 * r * r) * r * Math.Cos(k) * k;
-      }
-      {
-        double newK = Math.Sin(k) / l;
-        newK = newK * newK;
-        res[2] = 2 * sf2 * Math.Exp(-2 * newK);
-      }
-
-      return res;
     }