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47 | 47 | namespace covariance_functions
|
48 | 48 | {
|
49 | 49 |
|
50 |
| - /* PeriodicSquareExponential */ |
51 |
| - PeriodicSquareExponential::PeriodicSquareExponential() : |
52 |
| - hyperParameters(Eigen::VectorXd::Zero(4)), extraParameters(Eigen::VectorXd::Ones(1)*std::numeric_limits<double>::max()) { } |
53 |
| - |
54 |
| - PeriodicSquareExponential::PeriodicSquareExponential(const Eigen::VectorXd& hyperParameters_) : |
55 |
| - hyperParameters(hyperParameters_), extraParameters(Eigen::VectorXd::Ones(1)*std::numeric_limits<double>::max()) { } |
| 50 | +/* PeriodicSquareExponential */ |
| 51 | +PeriodicSquareExponential::PeriodicSquareExponential() |
| 52 | + : hyperParameters(Eigen::VectorXd::Zero(4)), extraParameters(Eigen::VectorXd::Ones(1) * std::numeric_limits<double>::max()) |
| 53 | +{ |
| 54 | +} |
| 55 | + |
| 56 | +PeriodicSquareExponential::PeriodicSquareExponential(const Eigen::VectorXd& hyperParameters_) |
| 57 | + : hyperParameters(hyperParameters_), extraParameters(Eigen::VectorXd::Ones(1) * std::numeric_limits<double>::max()) |
| 58 | +{ |
| 59 | +} |
| 60 | + |
| 61 | +Eigen::MatrixXd PeriodicSquareExponential::evaluate(const Eigen::VectorXd& x, const Eigen::VectorXd& y) |
| 62 | +{ |
| 63 | + |
| 64 | + double lsSE0 = exp(hyperParameters(0)); |
| 65 | + double svSE0 = exp(2 * hyperParameters(1)); |
| 66 | + double lsP = exp(hyperParameters(2)); |
| 67 | + double svP = exp(2 * hyperParameters(3)); |
| 68 | + |
| 69 | + double plP = exp(extraParameters(0)); |
| 70 | + |
| 71 | + // Work with arrays internally, convert to matrix for return value. |
| 72 | + // This is because all the operations act elementwise, and Eigen::Arrays |
| 73 | + // do so, too. |
| 74 | + |
| 75 | + // Compute Distances |
| 76 | + Eigen::ArrayXXd squareDistanceXY = math_tools::squareDistance(x.transpose(), y.transpose()); |
| 77 | + |
| 78 | + // fast version |
| 79 | + return svSE0 * ((-0.5 / std::pow(lsSE0, 2)) * squareDistanceXY).exp() + |
| 80 | + svP * (-2 * (((M_PI / plP) * squareDistanceXY.sqrt()).sin() / lsP).square()).exp(); |
| 81 | + |
| 82 | + /* // verbose version |
| 83 | + // Square Exponential Kernel |
| 84 | + Eigen::ArrayXXd K0 = squareDistanceXY / std::pow(lsSE0, 2); |
| 85 | + K0 = svSE0 * (-0.5 * K0).exp(); |
| 86 | +
|
| 87 | + // Periodic Kernel |
| 88 | + Eigen::ArrayXXd K1 = (M_PI * squareDistanceXY.sqrt() / plP); |
| 89 | + K1 = K1.sin() / lsP; |
| 90 | + K1 = K1.square(); |
| 91 | + K1 = svP * (-2 * K1).exp(); |
| 92 | +
|
| 93 | + // Combined Kernel |
| 94 | + return K0 + K1; |
| 95 | + */ |
| 96 | +} |
| 97 | + |
| 98 | +void PeriodicSquareExponential::setParameters(const Eigen::VectorXd& params) |
| 99 | +{ |
| 100 | + this->hyperParameters = params; |
| 101 | +} |
| 102 | + |
| 103 | +void PeriodicSquareExponential::setExtraParameters(const Eigen::VectorXd& params) |
| 104 | +{ |
| 105 | + this->extraParameters = params; |
| 106 | +} |
| 107 | + |
| 108 | +const Eigen::VectorXd& PeriodicSquareExponential::getParameters() const |
| 109 | +{ |
| 110 | + return this->hyperParameters; |
| 111 | +} |
| 112 | + |
| 113 | +const Eigen::VectorXd& PeriodicSquareExponential::getExtraParameters() const |
| 114 | +{ |
| 115 | + return this->extraParameters; |
| 116 | +} |
| 117 | + |
| 118 | +int PeriodicSquareExponential::getParameterCount() const |
| 119 | +{ |
| 120 | + return 4; |
| 121 | +} |
| 122 | + |
| 123 | +int PeriodicSquareExponential::getExtraParameterCount() const |
| 124 | +{ |
| 125 | + return 1; |
| 126 | +} |
| 127 | + |
| 128 | +/* PeriodicSquareExponential2 */ |
| 129 | +PeriodicSquareExponential2::PeriodicSquareExponential2() |
| 130 | + : hyperParameters(Eigen::VectorXd::Zero(6)), extraParameters(Eigen::VectorXd::Ones(1) * std::numeric_limits<double>::max()) |
| 131 | +{ |
| 132 | +} |
| 133 | + |
| 134 | +PeriodicSquareExponential2::PeriodicSquareExponential2(const Eigen::VectorXd& hyperParameters_) |
| 135 | + : hyperParameters(hyperParameters_), extraParameters(Eigen::VectorXd::Ones(1) * std::numeric_limits<double>::max()) |
| 136 | +{ |
| 137 | +} |
| 138 | + |
| 139 | +Eigen::MatrixXd PeriodicSquareExponential2::evaluate(const Eigen::VectorXd& x, const Eigen::VectorXd& y) |
| 140 | +{ |
| 141 | + |
| 142 | + double lsSE0 = exp(hyperParameters(0)); |
| 143 | + double svSE0 = exp(2 * hyperParameters(1)); |
| 144 | + double lsP = exp(hyperParameters(2)); |
| 145 | + double svP = exp(2 * hyperParameters(3)); |
| 146 | + double lsSE1 = exp(hyperParameters(4)); |
| 147 | + double svSE1 = exp(2 * hyperParameters(5)); |
| 148 | + |
| 149 | + double plP = exp(extraParameters(0)); |
| 150 | + |
| 151 | + // Work with arrays internally, convert to matrix for return value. |
| 152 | + // This is because all the operations act elementwise, and Eigen::Arrays |
| 153 | + // do so, too. |
| 154 | + |
| 155 | + // Compute Distances |
| 156 | + Eigen::ArrayXXd squareDistanceXY = math_tools::squareDistance(x.transpose(), y.transpose()); |
| 157 | + |
| 158 | + // fast version |
| 159 | + return svSE0 * ((-0.5 / std::pow(lsSE0, 2)) * squareDistanceXY).exp() + |
| 160 | + svP * (-2 * (((M_PI / plP) * squareDistanceXY.sqrt()).sin() / lsP).square()).exp() + |
| 161 | + svSE1 * ((-0.5 / std::pow(lsSE1, 2)) * squareDistanceXY).exp(); |
| 162 | + |
| 163 | + /* // verbose version |
| 164 | + // Square Exponential Kernel |
| 165 | + Eigen::ArrayXXd K0 = squareDistanceXY / pow(lsSE0, 2); |
| 166 | + K0 = svSE0 * (-0.5 * K0).exp(); |
| 167 | +
|
| 168 | + // Periodic Kernel |
| 169 | + Eigen::ArrayXXd K1 = (M_PI * squareDistanceXY.sqrt() / plP); |
| 170 | + K1 = K1.sin() / lsP; |
| 171 | + K1 = K1.square(); |
| 172 | + K1 = svP * (-2 * K1).exp(); |
| 173 | +
|
| 174 | + // Square Exponential Kernel |
| 175 | + Eigen::ArrayXXd K2 = squareDistanceXY / pow(lsSE1, 2); |
| 176 | + K2 = svSE1 * (-0.5 * K2).exp(); |
| 177 | +
|
| 178 | + // Combined Kernel |
| 179 | + return K0 + K1 + K2; |
| 180 | + */ |
| 181 | +} |
| 182 | + |
| 183 | +void PeriodicSquareExponential2::setParameters(const Eigen::VectorXd& params) |
| 184 | +{ |
| 185 | + this->hyperParameters = params; |
| 186 | +} |
| 187 | + |
| 188 | +void PeriodicSquareExponential2::setExtraParameters(const Eigen::VectorXd& params) |
| 189 | +{ |
| 190 | + this->extraParameters = params; |
| 191 | +} |
| 192 | + |
| 193 | +const Eigen::VectorXd& PeriodicSquareExponential2::getParameters() const |
| 194 | +{ |
| 195 | + return this->hyperParameters; |
| 196 | +} |
| 197 | + |
| 198 | +const Eigen::VectorXd& PeriodicSquareExponential2::getExtraParameters() const |
| 199 | +{ |
| 200 | + return this->extraParameters; |
| 201 | +} |
| 202 | + |
| 203 | +int PeriodicSquareExponential2::getParameterCount() const |
| 204 | +{ |
| 205 | + return 6; |
| 206 | +} |
| 207 | + |
| 208 | +int PeriodicSquareExponential2::getExtraParameterCount() const |
| 209 | +{ |
| 210 | + return 1; |
| 211 | +} |
56 | 212 |
|
57 |
| - Eigen::MatrixXd PeriodicSquareExponential::evaluate(const Eigen::VectorXd& x, const Eigen::VectorXd& y) |
58 |
| - { |
59 |
| - |
60 |
| - double lsSE0 = exp(hyperParameters(0)); |
61 |
| - double svSE0 = exp(2 * hyperParameters(1)); |
62 |
| - double lsP = exp(hyperParameters(2)); |
63 |
| - double svP = exp(2 * hyperParameters(3)); |
64 |
| - |
65 |
| - double plP = exp(extraParameters(0)); |
66 |
| - |
67 |
| - // Work with arrays internally, convert to matrix for return value. |
68 |
| - // This is because all the operations act elementwise, and Eigen::Arrays |
69 |
| - // do so, too. |
70 |
| - |
71 |
| - // Compute Distances |
72 |
| - Eigen::ArrayXXd squareDistanceXY = math_tools::squareDistance( x.transpose(), y.transpose()); |
73 |
| - |
74 |
| - // fast version |
75 |
| - return svSE0 * ((-0.5 / std::pow(lsSE0, 2)) * squareDistanceXY).exp() |
76 |
| - + svP * (-2 * (((M_PI / plP) * squareDistanceXY.sqrt()).sin() / lsP).square()).exp(); |
77 |
| - |
78 |
| - /* // verbose version |
79 |
| - // Square Exponential Kernel |
80 |
| - Eigen::ArrayXXd K0 = squareDistanceXY / std::pow(lsSE0, 2); |
81 |
| - K0 = svSE0 * (-0.5 * K0).exp(); |
82 |
| -
|
83 |
| - // Periodic Kernel |
84 |
| - Eigen::ArrayXXd K1 = (M_PI * squareDistanceXY.sqrt() / plP); |
85 |
| - K1 = K1.sin() / lsP; |
86 |
| - K1 = K1.square(); |
87 |
| - K1 = svP * (-2 * K1).exp(); |
88 |
| -
|
89 |
| - // Combined Kernel |
90 |
| - return K0 + K1; |
91 |
| - */ |
92 |
| - } |
93 |
| - |
94 |
| - void PeriodicSquareExponential::setParameters(const Eigen::VectorXd& params) |
95 |
| - { |
96 |
| - this->hyperParameters = params; |
97 |
| - } |
98 |
| - |
99 |
| - void PeriodicSquareExponential::setExtraParameters(const Eigen::VectorXd& params) |
100 |
| - { |
101 |
| - this->extraParameters = params; |
102 |
| - } |
103 |
| - |
104 |
| - const Eigen::VectorXd& PeriodicSquareExponential::getParameters() const |
105 |
| - { |
106 |
| - return this->hyperParameters; |
107 |
| - } |
108 |
| - |
109 |
| - const Eigen::VectorXd& PeriodicSquareExponential::getExtraParameters() const |
110 |
| - { |
111 |
| - return this->extraParameters; |
112 |
| - } |
113 |
| - |
114 |
| - int PeriodicSquareExponential::getParameterCount() const |
115 |
| - { |
116 |
| - return 4; |
117 |
| - } |
118 |
| - |
119 |
| - int PeriodicSquareExponential::getExtraParameterCount() const |
120 |
| - { |
121 |
| - return 1; |
122 |
| - } |
123 |
| - |
124 |
| - |
125 |
| - /* PeriodicSquareExponential2 */ |
126 |
| - PeriodicSquareExponential2::PeriodicSquareExponential2() : |
127 |
| - hyperParameters(Eigen::VectorXd::Zero(6)), extraParameters(Eigen::VectorXd::Ones(1)*std::numeric_limits<double>::max()) { } |
128 |
| - |
129 |
| - PeriodicSquareExponential2::PeriodicSquareExponential2(const Eigen::VectorXd& hyperParameters_) : |
130 |
| - hyperParameters(hyperParameters_), extraParameters(Eigen::VectorXd::Ones(1)*std::numeric_limits<double>::max()) { } |
131 |
| - |
132 |
| - Eigen::MatrixXd PeriodicSquareExponential2::evaluate(const Eigen::VectorXd& x, const Eigen::VectorXd& y) |
133 |
| - { |
134 |
| - |
135 |
| - double lsSE0 = exp(hyperParameters(0)); |
136 |
| - double svSE0 = exp(2 * hyperParameters(1)); |
137 |
| - double lsP = exp(hyperParameters(2)); |
138 |
| - double svP = exp(2 * hyperParameters(3)); |
139 |
| - double lsSE1 = exp(hyperParameters(4)); |
140 |
| - double svSE1 = exp(2 * hyperParameters(5)); |
141 |
| - |
142 |
| - double plP = exp(extraParameters(0)); |
143 |
| - |
144 |
| - // Work with arrays internally, convert to matrix for return value. |
145 |
| - // This is because all the operations act elementwise, and Eigen::Arrays |
146 |
| - // do so, too. |
147 |
| - |
148 |
| - // Compute Distances |
149 |
| - Eigen::ArrayXXd squareDistanceXY = math_tools::squareDistance( x.transpose(), y.transpose()); |
150 |
| - |
151 |
| - // fast version |
152 |
| - return svSE0 * ((-0.5 / std::pow(lsSE0, 2)) * squareDistanceXY).exp() |
153 |
| - + svP * (-2 * (((M_PI / plP) * squareDistanceXY.sqrt()).sin() / lsP).square()).exp() |
154 |
| - + svSE1 * ((-0.5 / std::pow(lsSE1, 2)) * squareDistanceXY).exp(); |
155 |
| - |
156 |
| - /* // verbose version |
157 |
| - // Square Exponential Kernel |
158 |
| - Eigen::ArrayXXd K0 = squareDistanceXY / pow(lsSE0, 2); |
159 |
| - K0 = svSE0 * (-0.5 * K0).exp(); |
160 |
| -
|
161 |
| - // Periodic Kernel |
162 |
| - Eigen::ArrayXXd K1 = (M_PI * squareDistanceXY.sqrt() / plP); |
163 |
| - K1 = K1.sin() / lsP; |
164 |
| - K1 = K1.square(); |
165 |
| - K1 = svP * (-2 * K1).exp(); |
166 |
| -
|
167 |
| - // Square Exponential Kernel |
168 |
| - Eigen::ArrayXXd K2 = squareDistanceXY / pow(lsSE1, 2); |
169 |
| - K2 = svSE1 * (-0.5 * K2).exp(); |
170 |
| -
|
171 |
| - // Combined Kernel |
172 |
| - return K0 + K1 + K2; |
173 |
| - */ |
174 |
| - } |
175 |
| - |
176 |
| - void PeriodicSquareExponential2::setParameters(const Eigen::VectorXd& params) |
177 |
| - { |
178 |
| - this->hyperParameters = params; |
179 |
| - } |
180 |
| - |
181 |
| - void PeriodicSquareExponential2::setExtraParameters(const Eigen::VectorXd& params) |
182 |
| - { |
183 |
| - this->extraParameters = params; |
184 |
| - } |
185 |
| - |
186 |
| - const Eigen::VectorXd& PeriodicSquareExponential2::getParameters() const |
187 |
| - { |
188 |
| - return this->hyperParameters; |
189 |
| - } |
190 |
| - |
191 |
| - const Eigen::VectorXd& PeriodicSquareExponential2::getExtraParameters() const |
192 |
| - { |
193 |
| - return this->extraParameters; |
194 |
| - } |
195 |
| - |
196 |
| - int PeriodicSquareExponential2::getParameterCount() const |
197 |
| - { |
198 |
| - return 6; |
199 |
| - } |
200 |
| - |
201 |
| - int PeriodicSquareExponential2::getExtraParameterCount() const |
202 |
| - { |
203 |
| - return 1; |
204 |
| - } |
205 |
| - |
206 |
| -} // namespace covariance_functions |
| 213 | +} // namespace covariance_functions |
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