added LOO MM

noblec04 · Aug 29, 2024 · 9504abd · 9504abd
1 parent 1fb4229
commit 9504abd
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Showing 6 changed files with 318 additions and 74 deletions.
diff --git a/MatlabGP/+utils/catunique.m b/MatlabGP/+utils/catunique.m
@@ -0,0 +1,11 @@
+function [x,flag] = catunique(x,xn)
+
+reps = ismembertol(xn,x,1e-6,'ByRows',true);
+
+if ~reps
+    x = [x;xn];
+end
+
+flag = ~reps;
+
+end
diff --git a/MatlabGP/GP.m b/MatlabGP/GP.m
@@ -141,7 +141,7 @@
 
             res = obj.Y - obj.mean.eval(obj.X);
 
-            kkp = pinv(obj.K,0);
+            kkp = pinv(obj.K);
 
             sigp = sqrt(abs(res'*kkp*res./(size(obj.Y,1))));
 
@@ -151,7 +151,7 @@
 
             obj.K = obj.K + diag(0*xx(:,1)+obj.kernel.signn);
 
-            obj.Kinv = pinv(obj.K,0);
+            obj.Kinv = pinv(obj.K);
 
             obj.alpha = obj.Kinv*(res);
 

diff --git a/MatlabGP/examples/TestAppliedAviationProblem.asv b/MatlabGP/examples/TestAppliedAviationProblem.asv
@@ -1,5 +1,6 @@
 
-clear all
+clear
+close all
 clc
 
 lb = [0.5 0.5 2.5*10^(-3)];
@@ -21,11 +22,11 @@ y{1} = y1;
 y{2} = y2;
 
 %%
-% ma = means.linear([1 1 1 1]);
-% mb = means.linear([1 1 1]);
+ma = means.linear([1 1 1 1]);
+mb = means.linear([1 1 1]);
 
-ma = means.zero([1 1 1 1]);
-mb = means.zero();
+% ma = means.zero();
+% mb = means.zero();
 
 a = kernels.RQ(2,1,[0.1 0.2 0.1 0.3]);%.periodic(1,10);
 b = kernels.RQ(2,1,[0.2 0.2 0.2]);
@@ -79,13 +80,13 @@ toc
 
 %%
 
-% mc = means.linear(ones(1,3));%*means.sine(1,10,0,1);
-% c = kernels.RQ(2,1,ones(1,3));
-% c.signn = eps;
-% 
-% LOOZ = GP(mc,c);
-% LOOZ = LOOZ.condition(x{1},MF.LOO,lb,ub);
-% LOOZ = LOOZ.train();
+mc = means.linear(ones(1,3));%*means.sine(1,10,0,1);
+c = kernels.RQ(2,1,ones(1,3));
+c.signn = 0.001;
+
+LOOZ = GP(mc,c);
+LOOZ = LOOZ.condition(x{1},log(abs(MF.LOO)),lb,ub);
+LOOZ = LOOZ.train();
 
 
 %%
@@ -115,23 +116,25 @@ C = [50 1];
 %%
 for jj = 1:60
 
-    [xn,Rn] = BO.argmax(@BO.MFSFDelta,MF);
-    %[xn,Rn] = BO.argmax(@BO.UCB,LOOZ);
+    %[xn,Rn] = BO.argmax(@BO.MFSFDelta,MF);
+    [xn,Rn] = BO.argmax(@BO.UCB,LOOZ);
 
     sign(1) = Z{1}.eval_var(xn)/C(1);
     sign(2) = Z{2}.eval_var(xn)/C(2);
 
     [~,in] = max(sign);
 
     if in==1
-        x{1} = [x{1}; xn];
+        [x{1},flag] = utils.catunique(x{1},xn);
+        if flag
+            y{1} = [y{1}; testFuncs.StressedPlate(xn,1)];
+        end
     end
-    x{2} = [x{2}; xn];
 
-    if in==1
-        y{1} = [y{1}; testFuncs.StressedPlate(xn,1)];
+    [x{2},flag] = utils.catunique(x{2},xn);
+    if flag
+        y{2} = [y{2}; testFuncs.StressedPlate(xn,2)];
     end
-    y{2} = [y{2}; testFuncs.StressedPlate(xn,2)];
 
     for ii = 1:2
         Z{ii} = Z{ii}.condition(x{ii},y{ii},lb,ub);
@@ -140,7 +143,7 @@ for jj = 1:60
     MF.GPs = Z;
     MF = MF.condition();
 
-    %LOOZ = LOOZ.condition(x{1},MF.LOO,lb,ub);
+    LOOZ = LOOZ.condition(x{1},log(abs(MF.LOO)),lb,ub);
 
     pc(jj,1) = size(x{1},1);
     pc(jj,2) = size(x{2},1);
@@ -151,17 +154,19 @@ for jj = 1:60
     R2MF(jj) = 1 - mean((yy - MF.eval_mu(xx)).^2)./var(yy);
     RMAEMF(jj) = max(abs(yy - MF.eval_mu(xx)))./std(yy);
 
+    cost(jj) = C(1)*pc(jj,1)+pc(jj,2);
+
     figure(3)
     clf(3)
     hold on
-    plot(pc(1:jj,1),R2z)
-    plot(pc(1:jj,1),R2MF)
+    plot(cost,R2z)
+    plot(cost,R2MF)
 
     figure(4)
     clf(4)
     hold on
-    plot(pc(1:jj,1),RMAEz)
-    plot(pc(1:jj,1),RMAEMF)
+    plot(cost,RMAEz)
+    plot(cost,RMAEMF)
 
     drawnow
 

diff --git a/MatlabGP/examples/TestAppliedAviationProblem.m b/MatlabGP/examples/TestAppliedAviationProblem.m
@@ -1,5 +1,6 @@
 
-clear all
+clear
+close all
 clc
 
 lb = [0.5 0.5 2.5*10^(-3)];
@@ -30,7 +31,7 @@
 a = kernels.RQ(2,1,[0.1 0.2 0.1 0.3]);%.periodic(1,10);
 b = kernels.RQ(2,1,[0.2 0.2 0.2]);
 a.signn = eps;
-b.signn = 0.1;
+b.signn = 0.01;
 
 %%
 tic
@@ -81,10 +82,10 @@
 
 % mc = means.linear(ones(1,3));%*means.sine(1,10,0,1);
 % c = kernels.RQ(2,1,ones(1,3));
-% c.signn = eps;
+% c.signn = 1*10^(-7);
 % 
 % LOOZ = GP(mc,c);
-% LOOZ = LOOZ.condition(x{1},MF.LOO,lb,ub);
+% LOOZ = LOOZ.condition(x{1},log(abs(MF.LOO)),lb,ub);
 % LOOZ = LOOZ.train();
 
 
@@ -113,25 +114,28 @@
 C = [50 1];
 
 %%
-for jj = 1:60
+for jj = 1:100
 
     [xn,Rn] = BO.argmax(@BO.MFSFDelta,MF);
     %[xn,Rn] = BO.argmax(@BO.UCB,LOOZ);
+    %[xn,Rn] = BO.argmax(@BO.maxVAR,MF);
 
     sign(1) = Z{1}.eval_var(xn)/C(1);
     sign(2) = Z{2}.eval_var(xn)/C(2);
 
     [~,in] = max(sign);
 
     if in==1
-        x{1} = [x{1}; xn];
+        [x{1},flag] = utils.catunique(x{1},xn);
+        if flag
+            y{1} = [y{1}; testFuncs.StressedPlate(xn,1)];
+        end
     end
-    x{2} = [x{2}; xn];
 
-    if in==1
-        y{1} = [y{1}; testFuncs.StressedPlate(xn,1)];
+    [x{2},flag] = utils.catunique(x{2},xn);
+    if flag
+        y{2} = [y{2}; testFuncs.StressedPlate(xn,2)];
     end
-    y{2} = [y{2}; testFuncs.StressedPlate(xn,2)];
 
     for ii = 1:2
         Z{ii} = Z{ii}.condition(x{ii},y{ii},lb,ub);
@@ -140,7 +144,7 @@
     MF.GPs = Z;
     MF = MF.condition();
 
-    %LOOZ = LOOZ.condition(x{1},MF.LOO,lb,ub);
+    %LOOZ = LOOZ.condition(x{1},log(abs(MF.LOO)),lb,ub);
 
     pc(jj,1) = size(x{1},1);
     pc(jj,2) = size(x{2},1);
@@ -151,17 +155,19 @@
     R2MF(jj) = 1 - mean((yy - MF.eval_mu(xx)).^2)./var(yy);
     RMAEMF(jj) = max(abs(yy - MF.eval_mu(xx)))./std(yy);
 
+    cost(jj) = C(1)*pc(jj,1)+pc(jj,2);
+
     figure(3)
     clf(3)
     hold on
-    plot(C(1)*pc(1:jj,1)+pc(1:jj,2),R2z)
-    plot(C(1)*pc(1:jj,1)+pc(1:jj,2),R2MF)
+    plot(cost,R2z)
+    plot(cost,R2MF)
 
     figure(4)
     clf(4)
     hold on
-    plot(C(1)*pc(1:jj,1)+pc(1:jj,2),RMAEz)
-    plot(C(1)*pc(1:jj,1)+pc(1:jj,2),RMAEMF)
+    plot(cost,RMAEz)
+    plot(cost,RMAEMF)
 
     drawnow