Add Bernoulli likelihood (#15)

* Add Bernoulli likelihood

* Use StatsFuns

* Update src/likelihoods/bernoulli.jl

Co-authored-by: David Widmann <[email protected]>

Co-authored-by: David Widmann <[email protected]>

Author: sharanry

src/GPLikelihoods.jl

@@ -8,12 +8,14 @@ using StatsFuns: logistic, softmax
 
 import Distributions
 
-export CategoricalLikelihood,
+export BernoulliLikelihood,
+    CategoricalLikelihood,
     GaussianLikelihood, 
     HeteroscedasticGaussianLikelihood, 
     PoissonLikelihood
 
 # Likelihoods
+include("likelihoods/bernoulli.jl")
 include("likelihoods/categorical.jl")
 include("likelihoods/gaussian.jl")
 include("likelihoods/poisson.jl")

src/likelihoods/bernoulli.jl

@@ -0,0 +1,16 @@
+"""
+    BernoulliLikelihood
+
+Bernoulli likelihood is to be used if we assume that the 
+uncertainity associated with the data follows a Bernoulli distribution.
+
+```math
+    p(y|f) = Bernoulli(y | f)
+```
+On calling, this would return a Bernoulli distribution with `f` probability of `true`.
+"""
+struct BernoulliLikelihood end
+
+(l::BernoulliLikelihood)(f::Real) = Bernoulli(logistic(f))
+
+(l::BernoulliLikelihood)(fs::AbstractVector{<:Real}) = Product(Bernoulli.(logistic.(fs)))

test/Project.toml

@@ -3,10 +3,12 @@ AbstractGPs = "99985d1d-32ba-4be9-9821-2ec096f28918"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 Functors = "d9f16b24-f501-4c13-a1f2-28368ffc5196"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [compat]
 AbstractGPs = "0.2"
 Distributions = "0.19, 0.20, 0.21, 0.22, 0.23"
 Functors = "0.1"
+StatsFuns = "0.9"
 julia = "1.3"

test/likelihoods/bernoulli.jl

@@ -0,0 +1,13 @@
+@testset "BernoulliLikelihood" begin
+    rng = MersenneTwister(123)
+    gp = GP(SqExponentialKernel())
+    x = rand(rng, 10)
+    y = rand(rng, 10)
+    lik = BernoulliLikelihood()
+    lgp = LatentGP(gp, lik, 1e-5)
+    lfgp = lgp(x)
+
+    @test typeof(lik(rand(rng, lfgp.fx))) <: Distribution
+    @test length(rand(rng, lik(rand(rng, lfgp.fx)))) == 10
+    @test Functors.functor(lik)[1] == ()
+end

test/runtests.jl

@@ -8,6 +8,7 @@ using Distributions
 @testset "GPLikelihoods.jl" begin
 
     @testset "likelihoods" begin
+        include("likelihoods/bernoulli.jl")
         include("likelihoods/categorical.jl")
         include("likelihoods/gaussian.jl")
         include("likelihoods/poisson.jl")