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add Laplace approximation #59

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merged 30 commits into from
Sep 29, 2021
Merged

add Laplace approximation #59

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31c2cf3
add Laplace approximation
st-- Sep 24, 2021
e499f4b
version bump
st-- Sep 24, 2021
38e1076
Update examples/c-comparisons/script.jl
st-- Sep 26, 2021
05d40f1
update example tomls
st-- Sep 27, 2021
6a2c7e5
add comments to example
st-- Sep 27, 2021
351cbdb
address review comments
st-- Sep 27, 2021
27f421d
more docstrings
st-- Sep 27, 2021
992814c
remove varargs to get closure-fields working correctly
st-- Sep 27, 2021
91e54bf
back to varargs
st-- Sep 28, 2021
58a4bb1
fix code comments for Literate.jl style
st-- Sep 28, 2021
9fc55fa
remove ignore_ad workaround - now in ChainRulesCore 1.7
st-- Sep 28, 2021
bad4753
use likelihood object
st-- Sep 28, 2021
82e31dd
clean up example notebook
st-- Sep 28, 2021
3282c54
clean up notebook
st-- Sep 28, 2021
d9e9598
improve documentation
st-- Sep 28, 2021
164c52c
reorganize order of laplace.jl, add more comments, add error for deri…
st-- Sep 28, 2021
c1b47d3
moved todo into https://github.com/JuliaGaussianProcesses/Approximate…
st-- Sep 28, 2021
4ac8313
clean up exports
st-- Sep 28, 2021
7db3db1
fix test
st-- Sep 29, 2021
f34c0b0
add abstractgps internal api test
st-- Sep 29, 2021
90b783b
finish tests
st-- Sep 29, 2021
68e7145
Apply suggestions from code review
st-- Sep 29, 2021
eeb8cee
bugfix
st-- Sep 29, 2021
15a886a
posterior(::LaplaceApproximation, ...): call newton_inner_loop and _l…
st-- Sep 29, 2021
c545be0
add test for erroring of _newton_inner_loop on backward pass
st-- Sep 29, 2021
5b8da87
Apply suggestions from code review
st-- Sep 29, 2021
b3d827f
minor cleanup
st-- Sep 29, 2021
4820d9e
Merge branch 'st/LaplaceApproximation' of github.com:JuliaGaussianPro…
st-- Sep 29, 2021
0b65d16
the -> a mode
st-- Sep 29, 2021
bdacea7
Update src/laplace.jl
st-- Sep 29, 2021
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2 changes: 1 addition & 1 deletion LICENSE
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
Copyright (c) 2021

Ross Viljoen
The JuliaGaussianProcess Contributors

Permission is hereby granted, free of charge, to any person obtaining a copy
of this software and associated documentation files (the "Software"), to deal
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4 changes: 3 additions & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,14 +1,15 @@
name = "ApproximateGPs"
uuid = "298c2ebc-0411-48ad-af38-99e88101b606"
authors = ["Ross Viljoen <[email protected]>"]
version = "0.1.1"
version = "0.1.2"

[deps]
AbstractGPs = "99985d1d-32ba-4be9-9821-2ec096f28918"
ChainRulesCore = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
FastGaussQuadrature = "442a2c76-b920-505d-bb47-c5924d526838"
FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b"
ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
GPLikelihoods = "6031954c-0455-49d7-b3b9-3e1c99afaf40"
KLDivergences = "3c9cd921-3d3f-41e2-830c-e020174918cc"
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
Expand All @@ -23,6 +24,7 @@ ChainRulesCore = "1"
Distributions = "0.25"
FastGaussQuadrature = "0.4"
FillArrays = "0.12"
ForwardDiff = "0.10"
GPLikelihoods = "0.1, 0.2"
KLDivergences = "0.2.1"
Reexport = "1"
Expand Down
84 changes: 44 additions & 40 deletions examples/a-regression/Manifest.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -24,19 +24,19 @@ uuid = "79e6a3ab-5dfb-504d-930d-738a2a938a0e"
version = "3.3.1"

[[ApproximateGPs]]
deps = ["AbstractGPs", "ChainRulesCore", "Distributions", "FastGaussQuadrature", "FillArrays", "GPLikelihoods", "KLDivergences", "LinearAlgebra", "Reexport", "SpecialFunctions", "Statistics", "StatsBase"]
deps = ["AbstractGPs", "ChainRulesCore", "Distributions", "FastGaussQuadrature", "FillArrays", "ForwardDiff", "GPLikelihoods", "KLDivergences", "LinearAlgebra", "QuadGK", "Reexport", "SpecialFunctions", "Statistics", "StatsBase"]
path = "../.."
uuid = "298c2ebc-0411-48ad-af38-99e88101b606"
version = "0.1.0"
version = "0.1.1"

[[ArgTools]]
uuid = "0dad84c5-d112-42e6-8d28-ef12dabb789f"

[[ArrayInterface]]
deps = ["IfElse", "LinearAlgebra", "Requires", "SparseArrays", "Static"]
git-tree-sha1 = "d84c956c4c0548b4caf0e4e96cf5b6494b5b1529"
deps = ["Compat", "IfElse", "LinearAlgebra", "Requires", "SparseArrays", "Static"]
git-tree-sha1 = "b8d49c34c3da35f220e7295659cd0bab8e739fed"
uuid = "4fba245c-0d91-5ea0-9b3e-6abc04ee57a9"
version = "3.1.32"
version = "3.1.33"

[[Artifacts]]
uuid = "56f22d72-fd6d-98f1-02f0-08ddc0907c33"
Expand Down Expand Up @@ -81,9 +81,9 @@ version = "1.11.5"

[[ChainRulesCore]]
deps = ["Compat", "LinearAlgebra", "SparseArrays"]
git-tree-sha1 = "4ce9393e871aca86cc457d9f66976c3da6902ea7"
git-tree-sha1 = "bd4afa1fdeec0c8b89dad3c6e92bc6e3b0fec9ce"
uuid = "d360d2e6-b24c-11e9-a2a3-2a2ae2dbcce4"
version = "1.4.0"
version = "1.6.0"

[[CodecZlib]]
deps = ["TranscodingStreams", "Zlib_jll"]
Expand Down Expand Up @@ -117,9 +117,9 @@ version = "0.3.0"

[[Compat]]
deps = ["Base64", "Dates", "DelimitedFiles", "Distributed", "InteractiveUtils", "LibGit2", "Libdl", "LinearAlgebra", "Markdown", "Mmap", "Pkg", "Printf", "REPL", "Random", "SHA", "Serialization", "SharedArrays", "Sockets", "SparseArrays", "Statistics", "Test", "UUIDs", "Unicode"]
git-tree-sha1 = "4866e381721b30fac8dda4c8cb1d9db45c8d2994"
git-tree-sha1 = "1a90210acd935f222ea19657f143004d2c2a1117"
uuid = "34da2185-b29b-5c13-b0c7-acf172513d20"
version = "3.37.0"
version = "3.38.0"

[[CompilerSupportLibraries_jll]]
deps = ["Artifacts", "Libdl"]
Expand All @@ -137,9 +137,9 @@ uuid = "d38c429a-6771-53c6-b99e-75d170b6e991"
version = "0.5.7"

[[DataAPI]]
git-tree-sha1 = "bec2532f8adb82005476c141ec23e921fc20971b"
git-tree-sha1 = "cc70b17275652eb47bc9e5f81635981f13cea5c8"
uuid = "9a962f9c-6df0-11e9-0e5d-c546b8b5ee8a"
version = "1.8.0"
version = "1.9.0"

[[DataStructures]]
deps = ["Compat", "InteractiveUtils", "OrderedCollections"]
Expand Down Expand Up @@ -168,9 +168,9 @@ version = "1.0.3"

[[DiffRules]]
deps = ["NaNMath", "Random", "SpecialFunctions"]
git-tree-sha1 = "3ed8fa7178a10d1cd0f1ca524f249ba6937490c0"
git-tree-sha1 = "7220bc21c33e990c14f4a9a319b1d242ebc5b269"
uuid = "b552c78f-8df3-52c6-915a-8e097449b14b"
version = "1.3.0"
version = "1.3.1"

[[Distances]]
deps = ["LinearAlgebra", "Statistics", "StatsAPI"]
Expand Down Expand Up @@ -235,9 +235,9 @@ version = "0.4.7"

[[FillArrays]]
deps = ["LinearAlgebra", "Random", "SparseArrays", "Statistics"]
git-tree-sha1 = "caf289224e622f518c9dbfe832cdafa17d7c80a6"
git-tree-sha1 = "7f6ad1a7f4621b4ab8e554133dade99ebc6e7221"
uuid = "1a297f60-69ca-5386-bcde-b61e274b549b"
version = "0.12.4"
version = "0.12.5"

[[FixedPointNumbers]]
deps = ["Statistics"]
Expand Down Expand Up @@ -300,9 +300,9 @@ version = "0.2.0"

[[GPUArrays]]
deps = ["Adapt", "LinearAlgebra", "Printf", "Random", "Serialization", "Statistics"]
git-tree-sha1 = "8fac1cf7d6ce0f2249c7acaf25d22e1e85c4a07f"
git-tree-sha1 = "7c39d767a9c55fafd01f7bc8b3fd0adf175fbc97"
uuid = "0c68f7d7-f131-5f86-a1c3-88cf8149b2d7"
version = "8.0.2"
version = "8.1.0"

[[GPUCompiler]]
deps = ["ExprTools", "InteractiveUtils", "LLVM", "Libdl", "Logging", "TimerOutputs", "UUIDs"]
Expand All @@ -312,9 +312,9 @@ version = "0.12.9"

[[GR]]
deps = ["Base64", "DelimitedFiles", "GR_jll", "HTTP", "JSON", "Libdl", "LinearAlgebra", "Pkg", "Printf", "Random", "Serialization", "Sockets", "Test", "UUIDs"]
git-tree-sha1 = "182da592436e287758ded5be6e32c406de3a2e47"
git-tree-sha1 = "c2178cfbc0a5a552e16d097fae508f2024de61a3"
uuid = "28b8d3ca-fb5f-59d9-8090-bfdbd6d07a71"
version = "0.58.1"
version = "0.59.0"

[[GR_jll]]
deps = ["Artifacts", "Bzip2_jll", "Cairo_jll", "FFMPEG_jll", "Fontconfig_jll", "GLFW_jll", "JLLWrappers", "JpegTurbo_jll", "Libdl", "Libtiff_jll", "Pixman_jll", "Pkg", "Qt5Base_jll", "Zlib_jll", "libpng_jll"]
Expand Down Expand Up @@ -449,9 +449,9 @@ version = "3.100.1+0"

[[LLVM]]
deps = ["CEnum", "LLVMExtra_jll", "Libdl", "Printf", "Unicode"]
git-tree-sha1 = "8fb1a675d1b51885a78bc980fbf1944279880f97"
git-tree-sha1 = "36d95ecdfbc3240d728f68d73064d5b097fbf2ef"
uuid = "929cbde3-209d-540e-8aea-75f648917ca0"
version = "4.5.1"
version = "4.5.2"

[[LLVMExtra_jll]]
deps = ["Artifacts", "JLLWrappers", "Libdl", "Pkg"]
Expand Down Expand Up @@ -635,6 +635,10 @@ git-tree-sha1 = "7937eda4681660b4d6aeeecc2f7e1c81c8ee4e2f"
uuid = "e7412a2a-1a6e-54c0-be00-318e2571c051"
version = "1.3.5+0"

[[OpenLibm_jll]]
deps = ["Artifacts", "Libdl"]
uuid = "05823500-19ac-5b8b-9628-191a04bc5112"

[[OpenSSL_jll]]
deps = ["Artifacts", "JLLWrappers", "Libdl", "Pkg"]
git-tree-sha1 = "15003dcb7d8db3c6c857fda14891a539a8f2705a"
Expand Down Expand Up @@ -672,9 +676,9 @@ version = "0.11.1"

[[Parsers]]
deps = ["Dates"]
git-tree-sha1 = "438d35d2d95ae2c5e8780b330592b6de8494e779"
git-tree-sha1 = "9d8c00ef7a8d110787ff6f170579846f776133a9"
uuid = "69de0a69-1ddd-5017-9359-2bf0b02dc9f0"
version = "2.0.3"
version = "2.0.4"

[[Pixman_jll]]
deps = ["Artifacts", "JLLWrappers", "Libdl", "Pkg"]
Expand All @@ -700,9 +704,9 @@ version = "1.0.14"

[[Plots]]
deps = ["Base64", "Contour", "Dates", "Downloads", "FFMPEG", "FixedPointNumbers", "GR", "GeometryBasics", "JSON", "Latexify", "LinearAlgebra", "Measures", "NaNMath", "PlotThemes", "PlotUtils", "Printf", "REPL", "Random", "RecipesBase", "RecipesPipeline", "Reexport", "Requires", "Scratch", "Showoff", "SparseArrays", "Statistics", "StatsBase", "UUIDs"]
git-tree-sha1 = "2dbafeadadcf7dadff20cd60046bba416b4912be"
git-tree-sha1 = "457b13497a3ea4deb33d273a6a5ea15c25c0ebd9"
uuid = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
version = "1.21.3"
version = "1.22.2"

[[Preferences]]
deps = ["TOML"]
Expand All @@ -726,9 +730,9 @@ version = "5.15.3+0"

[[QuadGK]]
deps = ["DataStructures", "LinearAlgebra"]
git-tree-sha1 = "12fbe86da16df6679be7521dfb39fbc861e1dc7b"
git-tree-sha1 = "78aadffb3efd2155af139781b8a8df1ef279ea39"
uuid = "1fd47b50-473d-5c70-9696-f719f8f3bcdc"
version = "2.4.1"
version = "2.4.2"

[[REPL]]
deps = ["InteractiveUtils", "Markdown", "Sockets", "Unicode"]
Expand Down Expand Up @@ -757,9 +761,9 @@ version = "1.1.2"

[[RecipesPipeline]]
deps = ["Dates", "NaNMath", "PlotUtils", "RecipesBase"]
git-tree-sha1 = "d4491becdc53580c6dadb0f6249f90caae888554"
git-tree-sha1 = "7ad0dfa8d03b7bcf8c597f59f5292801730c55b8"
uuid = "01d81517-befc-4cb6-b9ec-a95719d0359c"
version = "0.4.0"
version = "0.4.1"

[[Reexport]]
git-tree-sha1 = "45e428421666073eab6f2da5c9d310d99bb12f9b"
Expand Down Expand Up @@ -820,10 +824,10 @@ deps = ["LinearAlgebra", "Random"]
uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"

[[SpecialFunctions]]
deps = ["ChainRulesCore", "LogExpFunctions", "OpenSpecFun_jll"]
git-tree-sha1 = "a322a9493e49c5f3a10b50df3aedaf1cdb3244b7"
deps = ["ChainRulesCore", "LogExpFunctions", "OpenLibm_jll", "OpenSpecFun_jll"]
git-tree-sha1 = "ad42c30a6204c74d264692e633133dcea0e8b14e"
uuid = "276daf66-3868-5448-9aa4-cd146d93841b"
version = "1.6.1"
version = "1.6.2"

[[Static]]
deps = ["IfElse"]
Expand Down Expand Up @@ -860,9 +864,9 @@ version = "0.9.10"

[[StructArrays]]
deps = ["Adapt", "DataAPI", "StaticArrays", "Tables"]
git-tree-sha1 = "f41020e84127781af49fc12b7e92becd7f5dd0ba"
git-tree-sha1 = "2ce41e0d042c60ecd131e9fb7154a3bfadbf50d3"
uuid = "09ab397b-f2b6-538f-b94a-2f83cf4a842a"
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version = "0.6.3"

[[SuiteSparse]]
deps = ["Libdl", "LinearAlgebra", "Serialization", "SparseArrays"]
Expand Down Expand Up @@ -900,9 +904,9 @@ uuid = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

[[TimerOutputs]]
deps = ["ExprTools", "Printf"]
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git-tree-sha1 = "7cb456f358e8f9d102a8b25e8dfedf58fa5689bc"
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version = "0.5.12"
version = "0.5.13"

[[TranscodingStreams]]
deps = ["Random", "Test"]
Expand Down Expand Up @@ -1074,9 +1078,9 @@ version = "1.4.0+3"

[[ZipFile]]
deps = ["Libdl", "Printf", "Zlib_jll"]
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version = "0.9.4"

[[Zlib_jll]]
deps = ["Libdl"]
Expand All @@ -1090,9 +1094,9 @@ version = "1.5.0+0"

[[Zygote]]
deps = ["AbstractFFTs", "ChainRules", "ChainRulesCore", "DiffRules", "Distributed", "FillArrays", "ForwardDiff", "IRTools", "InteractiveUtils", "LinearAlgebra", "MacroTools", "NaNMath", "Random", "Requires", "SpecialFunctions", "Statistics", "ZygoteRules"]
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version = "0.6.21"
version = "0.6.22"

[[ZygoteRules]]
deps = ["MacroTools"]
Expand Down
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