Changeset 9211

Timestamp:

02/08/13 21:54:55 (12 years ago)

Author:

gkronber

Message:

#1902 reformulated calculation of periodic covariance function

Location:

trunk/sources

Files:

• HeuristicLab.Algorithms.DataAnalysis/3.4/GaussianProcess/CovarianceFunctions/CovariancePeriodic.cs (modified) (1 diff)
• HeuristicLab.Algorithms.GradientDescent/3.3/LbfgsInitializer.cs (modified) (1 diff)

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

@@ -134 +134 @@
 
     private static IEnumerable<double> GetGradient(double[,] x, int i, int j, IEnumerable<int> columnIndices, double scale, double period, double inverseLength) {
-      double v = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices) / period;
-      double gradient = Math.Sin(v) * inverseLength;
+      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(v) * inverseLength;
-      yield return 4.0 * scale * inverseLength * Math.Exp(-2 * r * r) * r * Math.Cos(v) * v;
-      yield return 2.0 * scale * Math.Exp(-2 * 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); 
+      /*
+       *  double s = Math.Log(scale) / 2.0;
+      double l = Math.Log(1.0 / inverseLength);
+      double p = Math.Log(period);
+
+      double v;
+      {
+        v = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices) * Math.Exp(-p);
+        double sin = Math.Sin(v);
+        double sin2 = sin * sin;
+        yield return 4.0 * sin2 * Math.Exp(-2.0 * Math.Exp(-2 * l) * sin2 - 2 * l + 2 * s);
+      }
+      {
+        double pi_d = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices);
+        double sin = Math.Sin(Math.Exp(-p)*pi_d);
+        double sin2 = Math.Sin(2*Math.Exp(-p)*pi_d);
+        yield return 2*pi_d*sin2*Math.Exp(-2*Math.Exp(-2*l)*sin*sin - 2*l - p + 2*s);
+      }
+      {
+        double pi_d = i == j ? 0.0 : Math.PI * GetDistance(x, x, i, j, columnIndices);
+        double sin = Math.Sin(Math.Exp(-p) * pi_d);
+        yield return 2 * Math.Exp(2 * scale - 2 * Math.Exp(-2 * l) * sin * sin);
+      }*/
     }
 

trunk/sources/HeuristicLab.Algorithms.GradientDescent/3.3/LbfgsInitializer.cs

@@ -93 +93 @@
       alglib.minlbfgs.minlbfgssetcond(state, 0.0, 0, 0, Iterations.Value);
       alglib.minlbfgs.minlbfgssetxrep(state, true);
+      // alglib.minlbfgs.minlbfgssetgradientcheck(state, 0.000001);
 
       PointParameter.ActualValue = new RealVector(initialPoint);