update gpml to 4.1

Author: agaier

modules/gaussianProcess/gpTests.m

@@ -0,0 +1,56 @@
+% GP Tests
+
+p = paramsGP(35);
+
+%% Split Data
+sRange = 1:1500;
+sRangeEnd = 1+sRange(end);
+train  = genome(sRange,:);
+test   = genome(sRangeEnd:end,:);
+
+trainX  = result(sRange,1);
+testX   = result(sRangeEnd:end,1);
+
+trainY  = result(sRange,2);
+testY   = result(sRangeEnd:end,2);
+
+%% Train Models
+gpX = trainGP(train,trainX,p);  % Create Model
+gpY = trainGP(train,trainY,p);  % Create Model
+
+%% Test Models
+predX = predictGP(gpX,test);
+errorX = predX(:,1)-testX;
+percErrorX = errorX./testX;
+mseX = mean(errorX.^2);
+
+predY = predictGP(gpY,test);
+errorY = predY(:,1)-testY;
+percErrorY = errorY./testY;
+mseY = mean(errorY.^2);
+
+%% Show Results
+hf = figure(1); clf; hf.Name = 'Percentage Error';
+subplot(2,1,1); hist(percErrorX); title('X Coordinate, % Error')
+subplot(2,1,2); hist(percErrorY); title('Y Coordinate, % Error')
+
+hf = figure(2); clf; hf.Name = 'Absolute Error';
+subplot(2,1,1); hist(errorX); title('X Coordinate, Absolute Error')
+subplot(2,1,2); hist(errorY); title('Y Coordinate, Absolute Error')
+
+
+hf = figure(3); clf; hf.Name = 'Predicted and True Position';
+background = imread('maze600.pbm'); colormap(gray);
+imagesc(background);hold on;
+
+scatter(testX,testY); scatter(predX(:,1),predY(:,1));
+hl = legend('True End Point','Predicted End Point');
+hl.FontSize = 18;
+title('Predicted and True Position','FontSize',20);
+xticklabels('');yticklabels('');
+
+
+
+
+
+

modules/gaussianProcess/gpml/.octaverc

@@ -0,0 +1 @@
+startup

modules/gaussianProcess/gpml/Copyright

@@ -1,9 +1,9 @@
- GAUSSIAN PROCESS REGRESSION AND CLASSIFICATION Toolbox version 3.6
+ GAUSSIAN PROCESS REGRESSION AND CLASSIFICATION Toolbox version 4.1
     for GNU Octave 3.2.x and Matlab 7.x
 
 The code is released under the FreeBSD License.
 
-Copyright (c) 2005-2015 Carl Edward Rasmussen & Hannes Nickisch. All rights reserved.
+Copyright (c) 2005-2017 Carl Edward Rasmussen & Hannes Nickisch. All rights reserved.
 
 Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met:
 
@@ -15,5 +15,4 @@ THIS SOFTWARE IS PROVIDED BY CARL EDWARD RASMUSSEN & HANNES NICKISCH ``AS IS'' A
 
 The views and conclusions contained in the software and documentation are those of the authors and should not be interpreted as representing official policies, either expressed or implied, of Carl Edward Rasmussen & Hannes Nickisch.
 
-The code and associated documentation is available from
-http://gaussianprocess.org/gpml/code.
+The code and associated documentation is available from http://gaussianprocess.org/gpml/code.

modules/gaussianProcess/gpml/README

@@ -1,7 +1,7 @@
- GAUSSIAN PROCESS REGRESSION AND CLASSIFICATION Toolbox version 3.6
+ GAUSSIAN PROCESS REGRESSION AND CLASSIFICATION Toolbox version 4.1
     for GNU Octave 3.2.x and Matlab 7.x
 
-Copyright (c) by Carl Edward Rasmussen and Hannes Nickisch, 2015-07-07.
+Copyright (c) by Carl Edward Rasmussen and Hannes Nickisch, 2017-10-19.
 
 
 
@@ -32,9 +32,11 @@ f) the paper by Naish-Guzman and Holden: "The Generalized FITC Approximation",
 g) the paper by Duvenaud, Nickisch and Rasmussen: "Additive Gaussian Processes",
    NIPS, 2011, in
 h) the paper by Wilson and Adams: "Gaussian Process Kernels for Pattern
-   Discovery and Extrapolation", ICML, 2013, and in
-i) the paper Snelson, Rasmussen and Ghahramani: "Warped Gaussian Processes",
-   NIPS, 2003.
+   Discovery and Extrapolation", ICML, 2013, in
+i) the paper by Snelson, Rasmussen and Ghahramani: "Warped Gaussian Processes",
+   NIPS, 2003, and in
+j) the paper by Wilson and Nickisch: "Kernel interpolation for scalable
+   structured Gaussian processes (KISS-GP)", ICLM, 2015.
 
 There are 7 code subdirectories: cov, doc, inf, lik, mean, prior and util.
 
@@ -138,16 +140,95 @@ Thanks to Giampiero Salvi for posting the workaround.
 3) CURRENT VERSION
 ==================
 
-The current version of the programs is 3.6. Previous versions of the code are
+The current version of the programs is 4.1. Previous versions of the code are
 available at http://www.gaussianprocess.org/gpml/code/oldcode.html.
 
 
 
 4) DIFFERENCES TO PREVIOUS VERSIONS
 ===================================
 
+NEW in version 4.1, 2017-10-19
+------------------------------
+
+Logdet-estimation functionality for grid-based approximate covariances
+- Lanczos subspace estimation
+- Chebyshef polynomial expansion
+
+More generic infEP functionality
+- dense computations and sparse approximations using the same code
+- covering KL inference as a special cas of EP
+
+New infKL function contributed by Emtiyaz Khan and Wu Lin
+- Conjugate-Computation Variational Inference algorithm
+- much more scalable than previous versions
+
+Time-series covariance functions on the positive real line
+- covW (i-times integrated) Wiener process covariance
+- covOU (i-times integrated) Ornstein-Uhlenbeck process covariance (contributed by Juan Pablo Carbajal)
+- covULL underdamped linear Langevin process covariance (contributed by Robert MacKay)
+- covFBM Fractional Brownian motion covariance
+
+New covariance functions
+- covWarp implements k(w(x),w(z)) where w is a "warping" function
+- covMatern has been extended to also accept non-integer distance parameters
+
+NEW in version 4.0, 2016-10-19
+------------------------------
+A major code restructuring effort did take place in the current release unifying
+certain inference functions and allowing more flexibility in covariance function
+composition. We also redesigned the whole derivative computation pipeline to
+strongly improve the overall runtime. We finally include grid-based covariance
+approximations natively.
+
+More generic sparse approximation using Power EP
+ - unified treatment of FITC approximation, variational approaches VFE and hybrids
+ - inducing input optimisation for all (compositions of) covariance functions dropping the previous limitation to a few standard examples
+ - infFITC is now covered by the more generic infGaussLik function
+
+Approximate covariance object unifying sparse approximations, grid-based approximations and exact covariance computations
+ - implementation in cov/apx, cov/apxGrid, cov/apxSparse
+ - generic infGaussLik unifies infExact,   infFITC         and infGrid
+ - generic infLaplace  unifies infLaplace, infFITC_Laplace and infGrid_Laplace
+ - generic infVB
+ - enables efficient grid-based algebra for off-grid inputs, see reference j) above
+
+Hiearchical structure of covariance functions
+ - clear hierachical compositional implementation
+ - no more code duplication as present in covSEiso and covSEard pairs
+ - two mother covariance functions
+    covDot  for dot-product-based covariances and
+    covMaha for Mahalanobis-distance-based covariances
+ - a variety of modifiers: eye, iso, ard, proj, fact, vlen
+ - more flexibility as more variants are available and possible
+ - all covariance functions offer derivatives w.r.t. inputs
+
+Faster derivative computations for mean and cov functions
+ - switched from partial derivatives to directional derivatives
+ - simpler and more concise interface of mean and cov functions
+ - much faster marginal likelihood derivative computations
+ - simpler and more compact code
+
+New mean functions
+ - new mean/meanWSPC (Weighted Sum of Projected Cosines or Random Kitchen Sink features) following a suggestion by William Herlands
+ - new mean/meanWarp for constructing a new mean from an existing one by means of a warping function adapted from William Herlands
+
+New optimizer
+ - added a new minimize_minfunc, contributed by Truong X. Nghiem
+
+New prior
+ - added prior{Equal|Same}Multi forcing a group of hyperparameters to the same value
+
+New GLM link function
+ - added the twice logistic link function util/glm_invlink_logistic2
+
+Smaller fixes
+ - two-fold speedup of util/elsympol used by covADD by Truong X. Nghiem
+ - bugfix in util/logphi as reported by John Darby
+
 NEW in version 3.6, 2015-07-07
 ------------------------------
+- bugfix in likGaussWarp as reported by Obaid Malik
 - added a new inference function infGrid_Laplace allowing to use non-Gaussian likelihoods for large grids
 - fixed a bug due to Octave evaluating norm([]) to a tiny nonzero value, modified all lik/lik*.m functions reported by Philipp Richter
 - small bugfixes in covGrid and infGrid