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ENH: add exponentiation of a covariance function with a scalar #3852

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merged 3 commits into from
Apr 6, 2020

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tirthasheshpatel
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This PR adds functionality to the pm.gp.cov module. Now, a covariance function can be exponentiated with a scalar.

Changes:

  • Add a Exponentiated class for kernels that are exponentiated with a scalar.
  • Add an interface __pow__ in covariance base class to support exponentiation for all the covariance functions
  • Add tests for exponentiated kernels.

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codecov bot commented Mar 25, 2020

Codecov Report

Merging #3852 into master will increase coverage by 0.02%.
The diff coverage is 100%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master    #3852      +/-   ##
==========================================
+ Coverage   90.45%   90.47%   +0.02%     
==========================================
  Files         133      135       +2     
  Lines       20564    21246     +682     
==========================================
+ Hits        18601    19223     +622     
- Misses       1963     2023      +60
Impacted Files Coverage Δ
pymc3/tests/test_gp.py 99.88% <100%> (ø) ⬆️
pymc3/gp/cov.py 98.21% <100%> (+0.1%) ⬆️
pymc3/step_methods/hmc/base_hmc.py 93.45% <0%> (-0.94%) ⬇️
pymc3/distributions/timeseries.py 70.89% <0%> (-0.76%) ⬇️
pymc3/distributions/continuous.py 79.69% <0%> (-0.76%) ⬇️
pymc3/tests/test_distributions_random.py 98.5% <0%> (-0.63%) ⬇️
pymc3/distributions/mixture.py 87.27% <0%> (-0.35%) ⬇️
pymc3/distributions/distribution.py 94.56% <0%> (-0.18%) ⬇️
pymc3/tests/test_shared.py 100% <0%> (ø) ⬆️
pymc3/tests/test_data_container.py 100% <0%> (ø) ⬆️
... and 13 more

@tirthasheshpatel
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Why have the travis tests not started yet?

@twiecki twiecki requested a review from bwengals March 28, 2020 22:37
pymc3/gp/cov.py Outdated
@@ -34,6 +36,7 @@
"Coregion",
"ScaledCov",
"Kron",
"Exponentiated",
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Since Exponentiated isn't necessarily user-facing because you added __pow__, it probably shouldn't be included in __all__.

pymc3/gp/cov.py Outdated
@@ -117,6 +136,19 @@ def __array_wrap__(self, result):
raise RuntimeError


class Exponentiated(Covariance):
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Maybe move this down to be near Add and Prod? (very small nitpick, since it's more like a Combination covariance than a base covariance)

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This is great! Maybe you could add a very brief example to the docs so this functionality can be discovered? https://docs.pymc.io/notebooks/GP-MeansAndCovs.html

Tests look perfect.

@tirthasheshpatel
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Thanks for the review @bwengals. Noticed that there were no examples exclusively for combinations of kernels so I went ahead and added all of them. I hope they are good to go!

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bwengals commented Apr 5, 2020

Nice, yeah I support merging now

@twiecki twiecki merged commit 70218bf into pymc-devs:master Apr 6, 2020
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twiecki commented Apr 6, 2020

Thanks @tirthasheshpatel!

@tirthasheshpatel tirthasheshpatel deleted the gp/cov/exponentiation branch April 6, 2020 14:24
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Thanks @bwengals for reviewing this!
You're welcome @twiecki.

tirthasheshpatel added a commit to tirthasheshpatel/pymc3 that referenced this pull request Apr 6, 2020
pymc-devs#3852 adds the new feature to the V3.8 changelog while it should go in the V3.9 changelog.
twiecki pushed a commit that referenced this pull request Apr 6, 2020
* move change from V3.8 to V3.9

#3852 adds the new feature to the V3.8 changelog while it should go in the V3.9 changelog.

* fix small typo

* move the change a little down in the changelog
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3 participants