void FunctionApproximatorGPR::train(const MatrixXd& inputs, const MatrixXd& targets)
{
if (isTrained())
{
cerr << "WARNING: You may not call FunctionApproximatorGPR::train more than once. Doing nothing." << endl;
cerr << " (if you really want to retrain, call reTrain function instead)" << endl;
return;
}
assert(inputs.rows() == targets.rows());
assert(inputs.cols()==getExpectedInputDim());
const MetaParametersGPR* meta_parameters_gpr =
dynamic_cast<const MetaParametersGPR*>(getMetaParameters());
double max_covar = meta_parameters_gpr->maximum_covariance();
VectorXd sigmas = meta_parameters_gpr->sigmas();
// Compute the gram matrix
// In a gram matrix, every input point is itself a center
MatrixXd centers = inputs;
// Replicate sigmas, because they are the same for each data point/center
MatrixXd widths = sigmas.transpose().colwise().replicate(centers.rows());
MatrixXd gram(inputs.rows(),inputs.rows());
bool normalize_activations = false;
bool asymmetric_kernels = false;
BasisFunction::Gaussian::activations(centers,widths,inputs,gram,normalize_activations,asymmetric_kernels);
gram *= max_covar;
setModelParameters(new ModelParametersGPR(inputs,targets,gram,max_covar,sigmas));
}
void TimeModeProposal::reject()
{
setEventParameters(_event, _currentInitParam, _currentRateParam,
_currentIsTimeVariable);
setModelParameters();
}
void FunctionApproximatorIRFRLS::train(const MatrixXd& inputs, const MatrixXd& targets)
{
if (isTrained())
{
cerr << "WARNING: You may not call FunctionApproximatorIRFRLS::train more than once. Doing nothing." << endl;
cerr << " (if you really want to retrain, call reTrain function instead)" << endl;
return;
}
assert(inputs.rows() == targets.rows()); // Must have same number of examples
assert(inputs.cols()==getExpectedInputDim());
const MetaParametersIRFRLS* meta_parameters_irfrls =
static_cast<const MetaParametersIRFRLS*>(getMetaParameters());
int nb_cos = meta_parameters_irfrls->number_of_basis_functions_;
// Init random generator.
boost::mt19937 rng(getpid() + time(0));
// Draw periodes
boost::normal_distribution<> twoGamma(0, sqrt(2 * meta_parameters_irfrls->gamma_));
boost::variate_generator<boost::mt19937&, boost::normal_distribution<> > genPeriods(rng, twoGamma);
MatrixXd cosines_periodes(nb_cos, inputs.cols());
for (int r = 0; r < nb_cos; r++)
for (int c = 0; c < inputs.cols(); c++)
cosines_periodes(r, c) = genPeriods();
// Draw phase
boost::uniform_real<> twoPi(0, 2 * boost::math::constants::pi<double>());
boost::variate_generator<boost::mt19937&, boost::uniform_real<> > genPhases(rng, twoPi);
VectorXd cosines_phase(nb_cos);
for (int r = 0; r < nb_cos; r++)
cosines_phase(r) = genPhases();
MatrixXd proj_inputs;
proj(inputs, cosines_periodes, cosines_phase, proj_inputs);
// Compute linear model analatically
double lambda = meta_parameters_irfrls->lambda_;
MatrixXd toInverse = lambda * MatrixXd::Identity(nb_cos, nb_cos) + proj_inputs.transpose() * proj_inputs;
VectorXd linear_model = toInverse.inverse() *
(proj_inputs.transpose() * targets);
setModelParameters(new ModelParametersIRFRLS(linear_model, cosines_periodes, cosines_phase));
}
void TimeModeProposal::propose()
{
_event = _model.chooseEventAtRandom(true);
_currentInitParam = initialParameter(_event);
_currentRateParam = rateParameter(_event);
_currentIsTimeVariable = isTimeVariable(_event);
_currentLogLikelihood = _model.getCurrentLogLikelihood();
_currentLogPrior = _model.computeLogPrior();
if (_currentIsTimeVariable) {
makeTimeConstant(_event);
_lastTimeModeProposal = TimeConstant;
} else {
makeTimeVariable(_event);
_lastTimeModeProposal = TimeVariable;
}
setModelParameters();
_proposedLogLikelihood = _model.computeLogLikelihood();
_proposedLogPrior = _model.computeLogPrior();
}