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Add Bernoulli likelihood #15

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merged 5 commits into from
Sep 26, 2020
Merged

Add Bernoulli likelihood #15

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4b83503
Add Bernoulli likelihood
sharanry Sep 7, 2020
a6d7235
Use StatsFuns
sharanry Sep 7, 2020
85e2642
Merge branch 'master' into sharan/bernoulli
sharanry Sep 22, 2020
fb6aa23
Update src/likelihoods/bernoulli.jl
sharanry Sep 24, 2020
ba26ef3
Merge branch 'master' into sharan/bernoulli
sharanry Sep 26, 2020
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4 changes: 3 additions & 1 deletion src/GPLikelihoods.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -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")
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16 changes: 16 additions & 0 deletions src/likelihoods/bernoulli.jl
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@@ -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)))
2 changes: 2 additions & 0 deletions test/Project.toml
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Expand Up @@ -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"
13 changes: 13 additions & 0 deletions test/likelihoods/bernoulli.jl
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@@ -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
1 change: 1 addition & 0 deletions test/runtests.jl
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Expand Up @@ -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")
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