NegativeGaussianProcessEvidence.h

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//===========================================================================
/*!
 * 
 *
 * \brief       Evidence for model selection of a regularization network/Gaussian process.
 
 
 * 
 *
 * \author      C. Igel, T. Glasmachers, O. Krause
 * \date        2007-2012
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <https://shark-ml.github.io/Shark/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with Shark.  If not, see <http://www.gnu.org/licenses/>.
 *
 */
//===========================================================================
 
#ifndef SHARK_OBJECTIVEFUNCTIONS_NEGATIVEGAUSSIANPROCESSEVIDENCE_H
#define SHARK_OBJECTIVEFUNCTIONS_NEGATIVEGAUSSIANPROCESSEVIDENCE_H
 
#include <shark/ObjectiveFunctions/AbstractObjectiveFunction.h>
#include <shark/Models/Kernels/KernelHelpers.h>
 
#include <shark/LinAlg/Base.h>
namespace shark {
 
 
///
/// \brief Evidence for model selection of a regularization network/Gaussian process.
///
/// Let \f$M\f$ denote the (kernel Gram) covariance matrix and
/// \f$t\f$ the corresponding label vector.  For the evidence we have: 
/// \f[ E = 1/2 \cdot [ -\log(\det(M)) - t^T M^{-1} t - N \log(2 \pi)] \f]
///
/// The evidence is also known as marginal (log)likelihood. For
/// details, please see:
///
/// C.E. Rasmussen & C.K.I. Williams, Gaussian
/// Processes for Machine Learning, section 5.4, MIT Press, 2006
///
/// C.M. Bishop, Pattern Recognition and Machine Learning, section
/// 6.4.3, Springer, 2006
///
/// The regularization parameter can be encoded in different ways.
/// The exponential encoding is the proper choice for unconstraint optimization.
/// Be careful not to mix up different encodings between trainer and evidence.
/// \ingroup kerneloptimization
template<class InputType = RealVector, class OutputType = RealVector, class LabelType = RealVector>
class NegativeGaussianProcessEvidence : public AbstractObjectiveFunction< RealVector, double >
{
public:
    typedef LabeledData<InputType,LabelType> DatasetType;
    typedef AbstractKernelFunction<InputType> KernelType;
 
    /// \param dataset: training data for the Gaussian process
    /// \param kernel: pointer to external kernel function
    /// \param unconstrained: exponential encoding of regularization parameter for unconstraint optimization
    NegativeGaussianProcessEvidence(
        DatasetType const& dataset,
        KernelType* kernel,
        bool unconstrained = false
    ): m_dataset(dataset)
    , mep_kernel(kernel)
    , m_unconstrained(unconstrained)
    {
        if (kernel->hasFirstParameterDerivative()) m_features |= HAS_FIRST_DERIVATIVE;
        setThreshold(0.);
    }
 
    /// \brief From INameable: return the class name.
    std::string name() const
    { return "NegativeGaussianProcessEvidence"; }
    
    std::size_t numberOfVariables()const{
        return 1+ mep_kernel->numberOfParameters();
    }
 
    /// Let \f$M\f$ denote the (kernel Gram) covariance matrix and
    /// \f$t\f$ the label vector.  For the evidence we have: \f[ E= 1/2 \cdot [ -\log(\det(M)) - t^T M^{-1} t - N \log(2 \pi) ] \f]
    double eval(const RealVector& parameters) const {
        std::size_t N  = m_dataset.numberOfElements(); 
        std::size_t kp = mep_kernel->numberOfParameters();
        // check whether argument has right dimensionality
        SHARK_ASSERT(1+kp == parameters.size());
 
        // keep track of how often the objective function is called
        m_evaluationCounter++;
        
        //set parameters
        double betaInv = parameters.back();
        if(m_unconstrained)
            betaInv = std::exp(betaInv); // for unconstraint optimization
        mep_kernel->setParameterVector(subrange(parameters,0,kp));
        
        
        //generate kernel matrix and label vector
        RealMatrix M = calculateRegularizedKernelMatrix(*mep_kernel,m_dataset.inputs(),betaInv);
        RealMatrix t = createBatch<RealVector>(m_dataset.labels().elements());
 
        blas::cholesky_decomposition<RealMatrix> cholesky(M);
        
        //compute the determinant of M using the cholesky factorization M=AA^T:
        //ln det(M) = 2 trace(ln A)
        double logDet = 2* trace(log(cholesky.lower_factor()));
        
        //we need to compute t^T M^-1 t 
        //= t^T (AA^T)^-1 t= t^T (A^-T A^-1)=||A^-1 t||^2
        //so we will first solve the triangular System Az=t
        //and then compute ||z||^2
        RealMatrix z = solve(cholesky.lower_factor(),t,blas::lower(), blas::left());
 
        // equation (6.69) on page 311 in the book C.M. Bishop, Pattern Recognition and Machine Learning, Springer, 2006
        // e = 1/2 \cdot [ -log(det(M)) - t^T M^{-1} t - N log(2 \pi) ]
        double e = 0.5 * (-logDet - norm_sqr(to_vector(z)) - N * std::log(2.0 * M_PI));
 
        // return the *negative* evidence
        return -e;
    }
 
    /// Let \f$M\f$ denote the regularized (kernel Gram) covariance matrix.
    /// For the evidence we have:
    /// \f[ E = 1/2 \cdot [ -\log(\det(M)) - t^T M^{-1} t - N \log(2 \pi) ] \f]
    /// For a kernel parameter \f$p\f$ and \f$C = \beta^{-1}\f$ we get the derivatives:
    /// \f[  dE/dC = 1/2 \cdot [ -tr(M^{-1}) + (M^{-1} t)^2 ] \f]
    /// \f[  dE/dp = 1/2 \cdot [ -tr(M^{-1} dM/dp) + t^T (M^{-1} dM/dp M^{-1}) t ] \f]
    double evalDerivative(const RealVector& parameters, FirstOrderDerivative& derivative) const {
        std::size_t N  = m_dataset.numberOfElements(); 
        std::size_t kp = mep_kernel->numberOfParameters();
 
        // check whether argument has right dimensionality
        SHARK_ASSERT(1 + kp == parameters.size());
        derivative.resize(1 + kp);
        
        // keep track of how often the objective function is called
        m_evaluationCounter++;
 
        //set parameters
        double betaInv = parameters.back();
        if(m_unconstrained)
            betaInv = std::exp(betaInv); // for unconstraint optimization
        mep_kernel->setParameterVector(subrange(parameters,0,kp));
        
        //generate kernel matrix and label vector
        RealMatrix M = calculateRegularizedKernelMatrix(*mep_kernel,m_dataset.inputs(),betaInv);
        RealMatrix t = createBatch<RealVector>(m_dataset.labels().elements());
 
        //compute cholesky decomposition of M
        blas::cholesky_decomposition<RealMatrix> cholesky(M);
        //we dont need M anymore, so save a lot of memory by freeing the memory of M
        M=RealMatrix();
        
        // compute derivative w.r.t. kernel parameters
        //the derivative is defined as:
        //dE/da = -tr(IM dM/da) +t^T IM dM/da IM t
        // where IM is the inverse matrix of M, tr is the trace and a are the parameters of the kernel
        //by substituting z = IM t we can expand the operations to:
        //dE/da = -(sum_i sum_j IM_ij * dM_ji/da)+(sum_i sum_j dM_ij/da *z_i * z_j)
        //           =  sum_i sum_j (-IM_ij+z_i * z_j) * dM_ij/da
        // with W = -IM + zz^T we get
        // dE/da = sum_i sum_j W dM_ij/da
        //this can be calculated as blockwise derivative.
        
        //compute inverse matrix from the cholesky decomposition 
        RealMatrix W= blas::identity_matrix<double>(N);
        cholesky.solve(W,blas::left());
 
        //calculate z = Wt=M^-1 t
        RealMatrix z = prod(W,t);
        
        // W is already initialized as the inverse of M, so we only need 
        // to change the sign and add z. to calculate W fully
        W*=-1;
        noalias(W) += prod(z,trans(z));
        
        
        //now calculate the derivative
        RealVector kernelGradient = 0.5*calculateKernelMatrixParameterDerivative(*mep_kernel,m_dataset.inputs(),W);
        
        // compute derivative w.r.t. regularization parameter
        //we have: dE/dC = 1/2 * [ -tr(M^{-1}) + (M^{-1} t)^2
        // which can also be written as 1/2 tr(W)
        double betaInvDerivative = 0.5 * trace(W) ;
        if(m_unconstrained) 
            betaInvDerivative *= betaInv;
        
        //merge both derivatives and since we return the negative evidence, multiply with -1
        noalias(derivative) = - (kernelGradient | betaInvDerivative);
 
        // truncate gradient vector 
        for(std::size_t i=0; i<derivative.size(); i++) 
            if(std::abs(derivative(i)) < m_derivativeThresholds(i)) derivative(i) = 0;
 
        // compute the evidence
        //compute determinant of M (see eval for why this works)
        double logDetM = 2* trace(log(cholesky.lower_factor()));
        double e = 0.5 * (-logDetM - inner_prod(to_vector(t), to_vector(z)) - N * std::log(2.0 * M_PI));
        return -e;
    }
    
    /// set threshold value for truncating partial derivatives
    void setThreshold(double d) {
        m_derivativeThresholds = RealVector(mep_kernel->numberOfParameters() + 1, d); // plus one parameter for the prior 
    }
 
    /// set threshold values for truncating partial derivatives
    void setThresholds(RealVector &c) {
        SHARK_ASSERT(m_derivativeThresholds.size() == c.size());
        m_derivativeThresholds = c;
    }
        
 
private:
    /// pointer to external data set
    DatasetType m_dataset;
 
    /// thresholds for setting derivatives to zero
    RealVector  m_derivativeThresholds;
 
    /// pointer to external kernel function
    KernelType* mep_kernel;
 
    /// Indicates whether log() of the regularization parameter is
    /// considered. This is useful for unconstraint
    /// optimization. The default value is false.
    bool m_unconstrained; 
};
 
 
}
#endif