sgpr.py 文件源码

def _build_predict(self, Xnew, full_cov=False):
        """
        Compute the mean and variance of the latent function at some new points
        Xnew. For a derivation of the terms in here, see the associated SGPR
        notebook.
        """
        num_inducing = len(self.feature)
        err = self.Y - self.mean_function(self.X)
        Kuf = self.feature.Kuf(self.kern, self.X)
        Kuu = self.feature.Kuu(self.kern, jitter=settings.numerics.jitter_level)
        Kus = self.feature.Kuf(self.kern, Xnew)
        sigma = tf.sqrt(self.likelihood.variance)
        L = tf.cholesky(Kuu)
        A = tf.matrix_triangular_solve(L, Kuf, lower=True) / sigma
        B = tf.matmul(A, A, transpose_b=True) + tf.eye(num_inducing, dtype=settings.float_type)
        LB = tf.cholesky(B)
        Aerr = tf.matmul(A, err)
        c = tf.matrix_triangular_solve(LB, Aerr, lower=True) / sigma
        tmp1 = tf.matrix_triangular_solve(L, Kus, lower=True)
        tmp2 = tf.matrix_triangular_solve(LB, tmp1, lower=True)
        mean = tf.matmul(tmp2, c, transpose_a=True)
        if full_cov:
            var = self.kern.K(Xnew) + tf.matmul(tmp2, tmp2, transpose_a=True) \
                  - tf.matmul(tmp1, tmp1, transpose_a=True)
            shape = tf.stack([1, 1, tf.shape(self.Y)[1]])
            var = tf.tile(tf.expand_dims(var, 2), shape)
        else:
            var = self.kern.Kdiag(Xnew) + tf.reduce_sum(tf.square(tmp2), 0) \
                  - tf.reduce_sum(tf.square(tmp1), 0)
            shape = tf.stack([1, tf.shape(self.Y)[1]])
            var = tf.tile(tf.expand_dims(var, 1), shape)
        return mean + self.mean_function(Xnew), var