Merge pull request #30 from rossviljoen/master

Add Gamma and Exponential likelihoods

src/GPLikelihoods.jl

@@ -12,12 +12,16 @@ export BernoulliLikelihood,
     CategoricalLikelihood,
     GaussianLikelihood, 
     HeteroscedasticGaussianLikelihood, 
-    PoissonLikelihood
+    PoissonLikelihood,
+    ExponentialLikelihood,
+    GammaLikelihood
 
 # Likelihoods
-include("likelihoods/bernoulli.jl")
-include("likelihoods/categorical.jl")
-include("likelihoods/gaussian.jl")
-include("likelihoods/poisson.jl")
+include(joinpath("likelihoods", "bernoulli.jl"))
+include(joinpath("likelihoods", "categorical.jl"))
+include(joinpath("likelihoods", "gaussian.jl"))
+include(joinpath("likelihoods", "poisson.jl"))
+include(joinpath("likelihoods", "gamma.jl"))
+include(joinpath("likelihoods", "exponential.jl"))
 
 end # module

src/likelihoods/exponential.jl

@@ -0,0 +1,14 @@
+"""
+    ExponentialLikelihood()
+
+Exponential likelihood with scale given by `exp(f)`.
+
+```math
+    p(y|f) = Exponential(y | exp(f))
+```
+"""
+struct ExponentialLikelihood end
+
+(l::ExponentialLikelihood)(f::Real) = Exponential(exp(f))
+
+(l::ExponentialLikelihood)(fs::AbstractVector{<:Real}) = Product(Exponential.(exp.(fs)))

src/likelihoods/gamma.jl

@@ -0,0 +1,21 @@
+"""
+    GammaLikelihood(α)
+
+Gamma likelihood with fixed shape `α`.
+
+```math
+    p(y|f) = Gamma(y | α, θ=exp(f))
+```
+On calling, this would return a gamma distribution with shape `α` and scale `exp(f)`.
+"""
+struct GammaLikelihood{T<:Real}
+    α::T    # shape parameter
+end
+
+GammaLikelihood() = GammaLikelihood(1.)
+
+@functor GammaLikelihood
+
+(l::GammaLikelihood)(f::Real) = Gamma(l.α, exp(f))
+
+(l::GammaLikelihood)(fs::AbstractVector{<:Real}) = Product(Gamma.(l.α, exp.(fs)))

test/likelihoods/exponential.jl

@@ -0,0 +1,4 @@
+@testset "ExponentialLikelihood" begin
+    lik = ExponentialLikelihood()
+    test_interface(lik, SqExponentialKernel(), rand(10))
+end

test/likelihoods/gamma.jl

@@ -0,0 +1,4 @@
+@testset "GammaLikelihood" begin
+    lik = GammaLikelihood(1.)
+    test_interface(lik, SqExponentialKernel(), rand(10); functor_args=(:α,))
+end

test/runtests.jl

@@ -10,10 +10,12 @@ using Distributions
     include("test_utils.jl")
 
     @testset "likelihoods" begin
-        include("likelihoods/bernoulli.jl")
-        include("likelihoods/categorical.jl")
-        include("likelihoods/gaussian.jl")
-        include("likelihoods/poisson.jl")
+        include(joinpath("likelihoods", "bernoulli.jl"))
+        include(joinpath("likelihoods", "categorical.jl"))
+        include(joinpath("likelihoods", "gaussian.jl"))
+        include(joinpath("likelihoods", "poisson.jl"))
+        include(joinpath("likelihoods", "gamma.jl"))
+        include(joinpath("likelihoods", "exponential.jl"))
     end
 
 end