SHOGUN
4.1.0
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Class that models Probit likelihood and uses numerical integration to approximate the following variational expection of log likelihood
\[ \sum_{{i=1}^n}{E_{q(f_i|{\mu}_i,{\sigma}^2_i)}[logP(y_i|f_i)]} \]
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Definition at line 58 of file ProbitVGLikelihood.h.
Public Attributes | |
SGIO * | io |
Parallel * | parallel |
Version * | version |
Parameter * | m_parameters |
Parameter * | m_model_selection_parameters |
Parameter * | m_gradient_parameters |
ParameterMap * | m_parameter_map |
uint32_t | m_hash |
Protected Member Functions | |
virtual void | init_likelihood () |
virtual void | set_likelihood (CLikelihoodModel *lik) |
virtual TParameter * | migrate (DynArray< TParameter * > *param_base, const SGParamInfo *target) |
virtual void | one_to_one_migration_prepare (DynArray< TParameter * > *param_base, const SGParamInfo *target, TParameter *&replacement, TParameter *&to_migrate, char *old_name=NULL) |
virtual void | load_serializable_pre () throw (ShogunException) |
virtual void | load_serializable_post () throw (ShogunException) |
virtual void | save_serializable_pre () throw (ShogunException) |
virtual void | save_serializable_post () throw (ShogunException) |
Protected Attributes | |
SGVector< float64_t > | m_mu |
SGVector< float64_t > | m_s2 |
SGVector< float64_t > | m_lab |
CLikelihoodModel * | m_likelihood |
Definition at line 50 of file ProbitVGLikelihood.cpp.
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virtual |
Definition at line 56 of file ProbitVGLikelihood.cpp.
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inherited |
Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.
dict | dictionary of parameters to be built. |
Definition at line 1244 of file SGObject.cpp.
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virtualinherited |
Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.
Definition at line 1361 of file SGObject.cpp.
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virtualinherited |
A deep copy. All the instance variables will also be copied.
Definition at line 200 of file SGObject.cpp.
Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!
May be overwritten but please do with care! Should not be necessary in most cases.
other | object to compare with |
accuracy | accuracy to use for comparison (optional) |
tolerant | allows linient check on float equality (within accuracy) |
Definition at line 1265 of file SGObject.cpp.
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virtualinherited |
get derivative of log likelihood \(log(p(y|f))\) with respect to given parameter
lab | labels used |
func | function location |
param | parameter |
Reimplemented from CLikelihoodModel.
Definition at line 88 of file VariationalLikelihood.cpp.
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virtualinherited |
get derivative of log likelihood \(log(p(y|f))\) with respect to given hyperparameter Note that variational parameters (mu and sigma) are NOT considered as hyperparameters
param | parameter |
Implements CVariationalLikelihood.
Definition at line 101 of file NumericalVGLikelihood.cpp.
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virtualinherited |
returns the first moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).
This method is useful for EP local likelihood approximation.
mu | mean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
s2 | variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
lab | labels \(y_i\) |
i | index i |
Implements CLikelihoodModel.
Definition at line 140 of file VariationalLikelihood.cpp.
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virtualinherited |
returns the first moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\) for each \(f_i\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).
Wrapper method which calls get_first_moment multiple times.
mu | mean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
s2 | variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
lab | labels \(y_i\) |
Definition at line 72 of file LikelihoodModel.cpp.
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inherited |
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inherited |
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virtualinherited |
get derivative of log likelihood \(log(p(y|f))\) with respect to location function \(f\)
lab | labels used |
func | function location |
i | index, choices are 1, 2, and 3 for first, second, and third derivatives respectively |
Implements CLikelihoodModel.
Definition at line 125 of file VariationalLikelihood.cpp.
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virtualinherited |
Returns the logarithm of the point-wise likelihood \(log(p(y_i|f_i))\) for each label \(y_i\).
One can evaluate log-likelihood like: \( log(p(y|f)) = \sum_{i=1}^{n} log(p(y_i|f_i))\)
lab | labels \(y_i\) |
func | values of the function \(f_i\) |
Implements CLikelihoodModel.
Definition at line 118 of file VariationalLikelihood.cpp.
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virtualinherited |
Returns the log-likelihood \(log(p(y|f)) = \sum_{i=1}^{n} log(p(y_i|f_i))\) for each of the provided functions \( f \) in the given matrix.
Wrapper method which calls get_log_probability_f multiple times.
lab | labels \(y_i\) |
F | values of the function \(f_i\) where each column of the matrix is one function \( f \). |
Definition at line 51 of file LikelihoodModel.cpp.
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virtualinherited |
returns the zeroth moment of a given (unnormalized) probability distribution:
\[ log(Z_i) = log\left(\int p(y_i|f_i) \mathcal{N}(f_i|\mu,\sigma^2) df_i\right) \]
for each \(f_i\).
mu | mean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
s2 | variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
lab | labels \(y_i\) |
Implements CLikelihoodModel.
Definition at line 132 of file VariationalLikelihood.cpp.
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get model type
Reimplemented from CLikelihoodModel.
Definition at line 112 of file VariationalLikelihood.cpp.
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Definition at line 1136 of file SGObject.cpp.
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Returns description of a given parameter string, if it exists. SG_ERROR otherwise
param_name | name of the parameter |
Definition at line 1160 of file SGObject.cpp.
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Returns index of model selection parameter with provided index
param_name | name of model selection parameter |
Definition at line 1173 of file SGObject.cpp.
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returns the name of the likelihood model
Reimplemented from CNumericalVGLikelihood.
Definition at line 69 of file ProbitVGLikelihood.h.
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virtualinherited |
returns the logarithm of the predictive density of \(y_*\):
\[ log(p(y_*|X,y,x_*)) = log\left(\int p(y_*|f_*) p(f_*|X,y,x_*) df_*\right) \]
which approximately equals to
\[ log\left(\int p(y_*|f_*) \mathcal{N}(f_*|\mu,\sigma^2) df_*\right) \]
where normal distribution \(\mathcal{N}(\mu,\sigma^2)\) is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\).
NOTE: if lab equals to NULL, then each \(y_*\) equals to one.
mu | posterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
s2 | posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
lab | labels \(y_*\) |
Reimplemented in CSoftMaxLikelihood.
Definition at line 45 of file LikelihoodModel.cpp.
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virtualinherited |
returns mean of the predictive marginal \(p(y_*|X,y,x_*)\)
NOTE: if lab equals to NULL, then each \(y_*\) equals to one.
mu | posterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
s2 | posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
lab | labels \(y_*\) |
Implements CLikelihoodModel.
Definition at line 72 of file VariationalLikelihood.cpp.
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virtualinherited |
returns variance of the predictive marginal \(p(y_*|X,y,x_*)\)
NOTE: if lab equals to NULL, then each \(y_*\) equals to one.
mu | posterior mean of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
s2 | posterior variance of a Gaussian distribution \(\mathcal{N}(\mu,\sigma^2)\), which is an approximation to the posterior marginal \(p(f_*|X,y,x_*)\) |
lab | labels \(y_*\) |
Implements CLikelihoodModel.
Definition at line 80 of file VariationalLikelihood.cpp.
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virtualinherited |
get derivative of the first derivative of log likelihood with respect to function location, i.e. \(\frac{\partial log(p(y|f))}{\partial f}\) with respect to given parameter
lab | labels used |
func | function location |
param | parameter |
Reimplemented from CLikelihoodModel.
Definition at line 96 of file VariationalLikelihood.cpp.
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returns the second moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).
This method is useful for EP local likelihood approximation.
mu | mean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
s2 | variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
lab | labels \(y_i\) |
i | index i |
Implements CLikelihoodModel.
Definition at line 148 of file VariationalLikelihood.cpp.
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virtualinherited |
returns the second moment of a given (unnormalized) probability distribution \(q(f_i) = Z_i^-1 p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2)\) for each \(f_i\), where \( Z_i=\int p(y_i|f_i)\mathcal{N}(f_i|\mu,\sigma^2) df_i\).
Wrapper method which calls get_second_moment multiple times.
mu | mean of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
s2 | variance of the \(\mathcal{N}(f_i|\mu,\sigma^2)\) |
lab | labels \(y_i\) |
Definition at line 89 of file LikelihoodModel.cpp.
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virtualinherited |
get derivative of the second derivative of log likelihood with respect to function location, i.e. \(\frac{\partial^{2} log(p(y|f))}{\partial f^{2}}\) with respect to given parameter
lab | labels used |
func | function location |
param | parameter |
Reimplemented from CLikelihoodModel.
Definition at line 104 of file VariationalLikelihood.cpp.
returns the expection of the logarithm of a logit distribution wrt the variational distribution using numerical integration
For each sample i, using Gaussian-Hermite quadrature to approximate
\[ E_{q(f_i|{\mu}_i,{\sigma}^2_i)}[logP(y_i|f_i)] \]
given mu_i and sigma2_i
Implements CVariationalLikelihood.
Definition at line 134 of file NumericalVGLikelihood.cpp.
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virtualinherited |
get derivative of the variational expection of log LogitLikelihood using numerical integration with respect to given parameter
compute the derivative of
\[ E_{q(f_i|{\mu}_i,{\sigma}^2_i)}[logP(y_i|f_i)] \]
given mu_i and sigma2_i with repect to param using Gaussian-Hermite quadrature
param | parameter(mu or sigma2) |
Implements CVariationalLikelihood.
Definition at line 161 of file NumericalVGLikelihood.cpp.
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protectedvirtual |
The function used to initialize m_likelihood
Implements CNumericalVGLikelihood.
Definition at line 60 of file ProbitVGLikelihood.cpp.
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virtualinherited |
If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.
generic | set to the type of the generic if returning TRUE |
Definition at line 298 of file SGObject.cpp.
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inherited |
maps all parameters of this instance to the provided file version and loads all parameter data from the file into an array, which is sorted (basically calls load_file_parameter(...) for all parameters and puts all results into a sorted array)
file_version | parameter version of the file |
current_version | version from which mapping begins (you want to use Version::get_version_parameter() for this in most cases) |
file | file to load from |
prefix | prefix for members |
Definition at line 705 of file SGObject.cpp.
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loads some specified parameters from a file with a specified version The provided parameter info has a version which is recursively mapped until the file parameter version is reached. Note that there may be possibly multiple parameters in the mapping, therefore, a set of TParameter instances is returned
param_info | information of parameter |
file_version | parameter version of the file, must be <= provided parameter version |
file | file to load from |
prefix | prefix for members |
Definition at line 546 of file SGObject.cpp.
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virtualinherited |
Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!
file | where to load from |
prefix | prefix for members |
param_version | (optional) a parameter version different to (this is mainly for testing, better do not use) |
Definition at line 375 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel, and CExponentialKernel.
Definition at line 1063 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 1058 of file SGObject.cpp.
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Takes a set of TParameter instances (base) with a certain version and a set of target parameter infos and recursively maps the base level wise to the current version using CSGObject::migrate(...). The base is replaced. After this call, the base version containing parameters should be of same version/type as the initial target parameter infos. Note for this to work, the migrate methods and all the internal parameter mappings have to match
param_base | set of TParameter instances that are mapped to the provided target parameter infos |
base_version | version of the parameter base |
target_param_infos | set of SGParamInfo instances that specify the target parameter base |
Definition at line 743 of file SGObject.cpp.
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protectedvirtualinherited |
creates a new TParameter instance, which contains migrated data from the version that is provided. The provided parameter data base is used for migration, this base is a collection of all parameter data of the previous version. Migration is done FROM the data in param_base TO the provided param info Migration is always one version step. Method has to be implemented in subclasses, if no match is found, base method has to be called.
If there is an element in the param_base which equals the target, a copy of the element is returned. This represents the case when nothing has changed and therefore, the migrate method is not overloaded in a subclass
param_base | set of TParameter instances to use for migration |
target | parameter info for the resulting TParameter |
Definition at line 950 of file SGObject.cpp.
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protectedvirtualinherited |
This method prepares everything for a one-to-one parameter migration. One to one here means that only ONE element of the parameter base is needed for the migration (the one with the same name as the target). Data is allocated for the target (in the type as provided in the target SGParamInfo), and a corresponding new TParameter instance is written to replacement. The to_migrate pointer points to the single needed TParameter instance needed for migration. If a name change happened, the old name may be specified by old_name. In addition, the m_delete_data flag of to_migrate is set to true. So if you want to migrate data, the only thing to do after this call is converting the data in the m_parameter fields. If unsure how to use - have a look into an example for this. (base_migration_type_conversion.cpp for example)
param_base | set of TParameter instances to use for migration |
target | parameter info for the resulting TParameter |
replacement | (used as output) here the TParameter instance which is returned by migration is created into |
to_migrate | the only source that is used for migration |
old_name | with this parameter, a name change may be specified |
Definition at line 890 of file SGObject.cpp.
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virtualinherited |
Definition at line 264 of file SGObject.cpp.
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prints all parameter registered for model selection and their type
Definition at line 1112 of file SGObject.cpp.
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prints registered parameters out
prefix | prefix for members |
Definition at line 310 of file SGObject.cpp.
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Save this object to file.
file | where to save the object; will be closed during returning if PREFIX is an empty string. |
prefix | prefix for members |
param_version | (optional) a parameter version different to (this is mainly for testing, better do not use) |
Definition at line 316 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel.
Definition at line 1073 of file SGObject.cpp.
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protectedvirtualinherited |
Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.
ShogunException | will be thrown if an error occurs. |
Reimplemented in CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool >, and CDynamicObjectArray.
Definition at line 1068 of file SGObject.cpp.
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Definition at line 42 of file SGObject.cpp.
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Definition at line 47 of file SGObject.cpp.
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Definition at line 52 of file SGObject.cpp.
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Definition at line 57 of file SGObject.cpp.
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Definition at line 62 of file SGObject.cpp.
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Definition at line 67 of file SGObject.cpp.
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Definition at line 72 of file SGObject.cpp.
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Definition at line 77 of file SGObject.cpp.
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Definition at line 82 of file SGObject.cpp.
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Definition at line 87 of file SGObject.cpp.
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Definition at line 92 of file SGObject.cpp.
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Definition at line 97 of file SGObject.cpp.
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Definition at line 102 of file SGObject.cpp.
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Definition at line 107 of file SGObject.cpp.
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Definition at line 112 of file SGObject.cpp.
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set generic type to T
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virtualinherited |
set the number of Gaussian Hermite point used to compute variational expection
n | number of Gaussian Hermite point |
The default value is 20.
Definition at line 91 of file NumericalVGLikelihood.cpp.
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set the parallel object
parallel | parallel object to use |
Definition at line 243 of file SGObject.cpp.
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set the version object
version | version object to use |
Definition at line 285 of file SGObject.cpp.
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protectedvirtualinherited |
this method used to set m_likelihood
Definition at line 49 of file VariationalLikelihood.cpp.
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virtualinherited |
set a non-negative noise factor in order to correct the variance if variance is close to zero or negative setting 0 means correction is not applied
noise_factor | noise factor |
The default value is 1e-6.
Reimplemented in CDualVariationalGaussianLikelihood.
Definition at line 60 of file VariationalGaussianLikelihood.cpp.
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virtualinherited |
set the variational Gaussian distribution given data and parameters
mu | mean of the variational Gaussian distribution |
s2 | variance of the variational Gaussian distribution |
lab | labels/data used |
Reimplemented from CVariationalGaussianLikelihood.
Definition at line 225 of file NumericalVGLikelihood.cpp.
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virtualinherited |
A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.
Reimplemented in CGaussianKernel.
Definition at line 194 of file SGObject.cpp.
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return whether likelihood function supports binary classification
Reimplemented from CLikelihoodModel.
Definition at line 162 of file VariationalLikelihood.cpp.
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return whether likelihood function supports computing the derivative wrt hyperparameter Note that variational parameters are NOT considered as hyperparameters
Implements CVariationalLikelihood.
Definition at line 78 of file ProbitVGLikelihood.h.
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return whether likelihood function supports multiclass classification
Reimplemented from CLikelihoodModel.
Definition at line 168 of file VariationalLikelihood.cpp.
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return whether likelihood function supports regression
Reimplemented from CLikelihoodModel.
Definition at line 156 of file VariationalLikelihood.cpp.
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unset generic type
this has to be called in classes specializing a template class
Definition at line 305 of file SGObject.cpp.
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virtualinherited |
Updates the hash of current parameter combination
Definition at line 250 of file SGObject.cpp.
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io
Definition at line 496 of file SGObject.h.
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parameters wrt which we can compute gradients
Definition at line 511 of file SGObject.h.
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Hash of parameter values
Definition at line 517 of file SGObject.h.
the label of data
Definition at line 277 of file VariationalLikelihood.h.
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protectedinherited |
the distribution used to model data
Definition at line 280 of file VariationalLikelihood.h.
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model selection parameters
Definition at line 508 of file SGObject.h.
The mean of variational Gaussian distribution
Definition at line 79 of file VariationalGaussianLikelihood.h.
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map for different parameter versions
Definition at line 514 of file SGObject.h.
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parameters
Definition at line 505 of file SGObject.h.
The variance of variational Gaussian distribution
Definition at line 82 of file VariationalGaussianLikelihood.h.
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parallel
Definition at line 499 of file SGObject.h.
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version
Definition at line 502 of file SGObject.h.