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Add default regularization #195

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Add default regularization #195

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f833943
add default regularization
AnasAbdelR Jul 14, 2023
365d054
add truncated SVD
AnasAbdelR Jul 14, 2023
25145a1
Update ensemble.jl - order of operations
AnasAbdelR Jul 14, 2023
7bd19b9
Update ensemble.jl: fix default
AnasAbdelR Jul 14, 2023
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9 changes: 6 additions & 3 deletions src/ensemble.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -17,11 +17,14 @@ dataset on which the ensembler should be trained on.
This function currently assumes that `sol.t` matches the time points of all measurements
in `data_ensem`!
"""
function ensemble_weights(sol::EnsembleSolution, data_ensem)
function ensemble_weights(sol::EnsembleSolution, data_ensem; rank = Int(round(length(last(first(data_ensem).second))/2)))
obs = first.(data_ensem)
predictions = reduce(vcat, reduce(hcat,[sol[i][s] for i in 1:length(sol)]) for s in obs)
data = reduce(vcat, [data_ensem[i][2] isa Tuple ? data_ensem[i][2][2] : data_ensem[i][2] for i in 1:length(data_ensem)])
weights = predictions \ data
F = svd(data)
# Truncate SVD
U, S, V = F.U[:, 1:rank], F.S[1:rank], F.V[:, 1:rank]
weights = (((data*V)*Diagonal(1 ./ S)) * U')
end

function bayesian_ensemble(probs, ps, datas;
Expand All @@ -46,4 +49,4 @@ function bayesian_ensemble(probs, ps, datas;
@info "$(length(all_probs)) total models"

enprob = EnsembleProblem(all_probs)
end
end