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Factor out homoscadasticity check in elbo #130

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Factor out homoscadasticity check in elbo #130

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50721bc
Relax elbo type signature and factor homoscadasticity check
rossviljoen Apr 30, 2022
40195b4
Remove old line
rossviljoen Apr 30, 2022
894c51f
formatting
rossviljoen Apr 30, 2022
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23 changes: 11 additions & 12 deletions src/SparseVariationalApproximationModule.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -306,26 +306,16 @@ Statistics. PMLR, 2015.
"""
function AbstractGPs.elbo(
sva::SparseVariationalApproximation,
fx::FiniteGP{<:AbstractGP,<:AbstractVector,<:Union{Diagonal{<:Real,<:Fill},ScalMat}},
fx::FiniteGP,
y::AbstractVector{<:Real};
num_data=length(y),
quadrature=DefaultExpectationMethod(),
)
σ² = fx.Σy[1]
σ² = _get_homoscedastic_noise(fx.Σy)
lik = GaussianLikelihood(σ²)
return elbo(sva, LatentFiniteGP(fx, lik), y; num_data, quadrature)
end

function AbstractGPs.elbo(
::SparseVariationalApproximation, ::FiniteGP, ::AbstractVector; kwargs...
)
return error(
"The observation noise fx.Σy must be homoscedastic.\n",
"To avoid this error, construct fx using: f = GP(kernel); fx = f(x, σ²)",
", where σ² is a positive Real.",
)
end

"""
elbo(
sva::SparseVariationalApproximation,
Expand Down Expand Up @@ -372,4 +362,13 @@ function _prior_kl(sva::SparseVariationalApproximation{NonCentered})
return (trace_term + m_ε'm_ε - length(m_ε) - logdet(C_ε)) / 2
end

_get_homoscedastic_noise(Σy::Union{Diagonal{<:Real,<:Fill},ScalMat}) = Σy[1]
function _get_homoscedastic_noise(_)
return error(
"The observation noise fx.Σy must be homoscedastic.\n",
"To avoid this error, construct fx using: f = GP(kernel); fx = f(x, σ²)",
", where σ² is a positive Real.\n"
)
end

end