1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359
|
################################################################################
# Copyright (C) 2011-2012,2014 Jaakko Luttinen
#
# This file is licensed under the MIT License.
################################################################################
import numpy as np
import scipy.special as special
from bayespy.utils import misc, linalg
from .expfamily import ExponentialFamily
from .expfamily import ExponentialFamilyDistribution
from .expfamily import useconstructor
from .constant import Constant
from .deterministic import Deterministic
from .gamma import GammaMoments
from .node import Moments, Node
class WishartPriorMoments(Moments):
def __init__(self, k):
self.k = k
self.dims = ( (), () )
return
def compute_fixed_moments(self, n):
""" Compute moments for fixed x. """
u0 = np.asanyarray(n)
u1 = special.multigammaln(0.5*u0, self.k)
return [u0, u1]
@classmethod
def from_values(cls, x, d):
""" Compute the dimensions of phi or u. """
return cls(d)
class WishartMoments(Moments):
def __init__(self, shape):
self.shape = shape
self.ndim = len(shape)
self.dims = ( 2 * shape, () )
return
def compute_fixed_moments(self, Lambda, gradient=None):
""" Compute moments for fixed x. """
Lambda = np.asanyarray(Lambda)
L = linalg.chol(Lambda, ndim=self.ndim)
ldet = linalg.chol_logdet(L, ndim=self.ndim)
u = [Lambda,
ldet]
if gradient is None:
return u
du0 = gradient[0]
du1 = (
misc.add_trailing_axes(gradient[1], 2*self.ndim)
* linalg.chol_inv(L, ndim=self.ndim)
)
du = du0 + du1
return (u, du)
def plates_from_shape(self, shape):
if self.ndim == 0:
return shape
else:
return shape[:-2*self.ndim]
def shape_from_plates(self, plates):
return plates + self.shape + self.shape
def get_instance_conversion_kwargs(self):
return dict(ndim=self.ndim)
def get_instance_converter(self, ndim):
if ndim != self.ndim:
raise NotImplementedError(
"No conversion between different ndim implemented for "
"WishartMoments yet"
)
return None
@classmethod
def from_values(cls, x, ndim):
""" Compute the dimensions of phi and u. """
if np.ndim(x) < 2 * ndim:
raise ValueError("Values for Wishart distribution must be at least "
"2-D arrays.")
if ndim > 0 and (np.shape(x)[-ndim:] != np.shape(x)[-2*ndim:-ndim]):
raise ValueError("Values for Wishart distribution must be square "
"matrices, thus the two last axes must have equal "
"length.")
shape = (
np.shape(x)[-ndim:] if ndim > 0 else
()
)
return cls(shape)
class WishartDistribution(ExponentialFamilyDistribution):
"""
Sub-classes implement distribution specific computations.
Distribution for :math:`k \times k` symmetric positive definite matrix.
.. math::
\Lambda \sim \mathcal{W}(n, V)
Note: :math:`V` is inverse scale matrix.
.. math::
p(\Lambda | n, V) = ..
"""
def compute_message_to_parent(self, parent, index, u_self, u_n, u_V):
if index == 0:
raise NotImplementedError("Message from Wishart to degrees of "
"freedom parameter (first parent) "
"not yet implemented")
elif index == 1:
Lambda = u_self[0]
n = u_n[0]
return [-0.5 * Lambda,
0.5 * n]
else:
raise ValueError("Invalid parent index {0}".format(index))
def compute_phi_from_parents(self, u_n, u_V, mask=True):
r"""
Compute natural parameters
.. math::
\phi(n, V) =
\begin{bmatrix}
-\frac{1}{2} V
\\
\frac{1}{2} n
\end{bmatrix}
"""
return [-0.5 * u_V[0],
0.5 * u_n[0]]
def compute_moments_and_cgf(self, phi, mask=True):
r"""
Return moments and cgf for given natural parameters
.. math::
\langle u \rangle =
\begin{bmatrix}
\phi_2 (-\phi_1)^{-1}
\\
-\log|-\phi_1| + \psi_k(\phi_2)
\end{bmatrix}
\\
g(\phi) = \phi_2 \log|-\phi_1| - \log \Gamma_k(\phi_2)
"""
U = linalg.chol(-phi[0])
k = np.shape(phi[0])[-1]
#k = self.dims[0][0]
logdet_phi0 = linalg.chol_logdet(U)
u0 = phi[1][...,np.newaxis,np.newaxis] * linalg.chol_inv(U)
u1 = -logdet_phi0 + misc.multidigamma(phi[1], k)
u = [u0, u1]
g = phi[1] * logdet_phi0 - special.multigammaln(phi[1], k)
return (u, g)
def compute_cgf_from_parents(self, u_n, u_V):
r"""
CGF from parents
.. math::
g(n, V) = \frac{n}{2} \log|V| - \frac{nk}{2} \log 2 -
\log \Gamma_k(\frac{n}{2})
"""
n = u_n[0]
gammaln_n = u_n[1]
V = u_V[0]
logdet_V = u_V[1]
k = np.shape(V)[-1]
g = 0.5*n*logdet_V - 0.5*k*n*np.log(2) - gammaln_n
return g
def compute_fixed_moments_and_f(self, Lambda, mask=True):
r"""
Compute u(x) and f(x) for given x.
.. math:
u(\Lambda) =
\begin{bmatrix}
\Lambda
\\
\log |\Lambda|
\end{bmatrix}
"""
k = np.shape(Lambda)[-1]
ldet = linalg.chol_logdet(linalg.chol(Lambda))
u = [Lambda,
ldet]
f = -(k+1)/2 * ldet
return (u, f)
class Wishart(ExponentialFamily):
r"""
Node for Wishart random variables.
The random variable :math:`\mathbf{\Lambda}` is a :math:`D\times{}D`
positive-definite symmetric matrix.
.. math::
p(\mathbf{\Lambda}) = \mathrm{Wishart}(\mathbf{\Lambda} | N,
\mathbf{V})
Parameters
----------
n : scalar or array
:math:`N`, degrees of freedom, :math:`N>D-1`.
V : Wishart-like node or (...,D,D)-array
:math:`\mathbf{V}`, scale matrix.
"""
_distribution = WishartDistribution()
def __init__(self, n, V, **kwargs):
"""
Create Wishart node.
"""
super().__init__(n, V, **kwargs)
@classmethod
def _constructor(cls, n, V, **kwargs):
"""
Constructs distribution and moments objects.
"""
# Make V a proper parent node and get the dimensionality of the matrix
V = cls._ensure_moments(V, WishartMoments, ndim=1)
D = V.dims[0][-1]
n = cls._ensure_moments(n, WishartPriorMoments, d=D)
moments = WishartMoments((D,))
# Parent node message types
parent_moments = (n._moments, V._moments)
parents = [n, V]
return (parents,
kwargs,
moments.dims,
cls._total_plates(kwargs.get('plates'),
cls._distribution.plates_from_parent(0, n.plates),
cls._distribution.plates_from_parent(1, V.plates)),
cls._distribution,
moments,
parent_moments)
def scale(self, scalar, **kwargs):
return _ScaledWishart(self, scalar, **kwargs)
def __str__(self):
n = 2*self.phi[1]
A = 0.5 * self.u[0] / self.phi[1][...,np.newaxis,np.newaxis]
return ("%s ~ Wishart(n, A)\n"
" n =\n"
"%s\n"
" A =\n"
"%s\n"
% (self.name, n, A))
class _ScaledWishart(Deterministic):
def __init__(self, Lambda, alpha, ndim=None, **kwargs):
if ndim is None:
try:
ndim = Lambda._moments.ndim
except AttributeError:
raise ValueError("Give explicit ndim argument. (ndim=1 for normal matrix)")
Lambda = self._ensure_moments(Lambda, WishartMoments, ndim=ndim)
alpha = self._ensure_moments(alpha, GammaMoments)
dims = Lambda.dims
self._moments = Lambda._moments
self._parent_moments = (Lambda._moments, alpha._moments)
return super().__init__(Lambda, alpha, dims=dims, **kwargs)
def _compute_moments(self, u_Lambda, u_alpha):
Lambda = u_Lambda[0]
logdet_Lambda = u_Lambda[1]
alpha = misc.add_trailing_axes(u_alpha[0], 2*self._moments.ndim)
logalpha = u_alpha[1]
u0 = Lambda * alpha
u1 = logdet_Lambda + np.prod(self._moments.shape) * logalpha
return [u0, u1]
def _compute_message_to_parent(self, index, m, u_Lambda, u_alpha):
if index == 0:
alpha = misc.add_trailing_axes(u_alpha[0], 2*self._moments.ndim)
logalpha = u_alpha[1]
m0 = m[0] * alpha
m1 = m[1]
return [m0, m1]
if index == 1:
Lambda = u_Lambda[0]
logdet_Lambda = u_Lambda[1]
m0 = linalg.inner(m[0], Lambda, ndim=2*self._moments.ndim)
m1 = m[1] * np.prod(self._moments.shape)
return [m0, m1]
raise IndexError()
|