Changeset 8477 for branches/HeuristicLab.TimeSeries/HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceSEard.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/CovarianceSEard.cs (modified) (3 diffs)

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

@@ -36 +36 @@
     [Storable]
     private double sf2;
+    public double Scale { get { return sf2; } }
+
     [Storable]
     private double[] l;
+    public double[] Length {
+      get {
+        if (l == null) return new double[0];
+        var copy = new double[l.Length];
+        Array.Copy(l, copy, copy.Length);
+        return copy;
+      }
+    }
 
     private double[,] sd;
@@ -76 +86 @@
       this.l = hyp.Take(hyp.Length - 1).Select(Math.Exp).ToArray();
       this.sf2 = Math.Exp(2 * hyp[hyp.Length - 1]);
-      sf2 = Math.Min(10E6, sf2); // upper limit for the scale
+      // sf2 = Math.Min(10E6, sf2); // upper limit for the scale
 
       sd = null;
@@ -99 +109 @@
     }
 
-    public double[] GetGradient(int i, int j) {
-      var res = new double[l.Length + 1];
-      for (int k = 0; k < l.Length; k++) {
+    public double GetGradient(int i, int j, int k) {
+      if (k < l.Length) {
         double sqrDist = Util.SqrDist(x[i, k] / l[k], xt[j, k] / l[k]);
-
-        res[k] = sf2 * Math.Exp(-sd[i, j] / 2.0) * sqrDist;
+        return sf2 * Math.Exp(-sd[i, j] / 2.0) * sqrDist;
+      } else if (k == l.Length) {
+        return 2.0 * sf2 * Math.Exp(-sd[i, j] / 2.0);
+      } else {
+        throw new ArgumentException("CovarianceSEard has dimension+1 hyperparameters.", "k");
       }
-      res[res.Length - 1] = 2.0 * sf2 * Math.Exp(-sd[i, j] / 2.0);
-      return res;
     }