gpboost 1.2.5__tar.gz → 1.2.7__tar.gz

{gpboost-1.2.5/gpboost.egg-info → gpboost-1.2.7}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: gpboost
-Version: 1.2.5
+Version: 1.2.7
 Summary: GPBoost Python Package
 Home-page: https://github.com/fabsig/GPBoost
 Maintainer: Fabio Sigrist

{gpboost-1.2.5 → gpboost-1.2.7}/compile/CMakeLists.txt

@@ -316,6 +316,13 @@ if(MSVC)
         CMAKE_CXX_FLAGS_RELWITHDEBINFO
     )
     SET(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} /W4 /MP")
+    if(__BUILD_FOR_R)
+        # MSVC does not like this commit:
+        # https://github.com/wch/r-source/commit/fb52ac1a610571fcb8ac92d886b9fefcffaa7d48
+        #
+        # and raises "error C3646: 'private_data_c': unknown override specifier"
+        add_definitions(-DR_LEGACY_RCOMPLEX)
+    endif()
     if(USE_DEBUG)
         SET(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} /Od")
     else()

{gpboost-1.2.5 → gpboost-1.2.7}/compile/include/GPBoost/likelihoods.h

@@ -2717,26 +2717,41 @@ namespace GPBoost {
 				Log::REFatal(NA_OR_INF_ERROR_);
 			}
 			CHECK(mode_has_been_calculated_);
-			vec_t v_aux = Zt * first_deriv_ll_;
-			vec_t v_aux2 = Sigma * v_aux;
-			pred_mean = Ztilde * v_aux2;
+			pred_mean = Ztilde * (Sigma * (Zt * first_deriv_ll_));
 			if (calc_pred_cov || calc_pred_var) {
-				// calculate Maux = L\(Z^T * second_deriv_neg_ll_.asDiagonal() * Cross_Cov^T)
-				sp_mat_t Cross_Cov = Ztilde * Sigma * Zt;
-				sp_mat_t Maux = Zt * second_deriv_neg_ll_.asDiagonal() * Cross_Cov.transpose();
-				TriangularSolveGivenCholesky<chol_sp_mat_t, sp_mat_t, sp_mat_t, sp_mat_t>(chol_fact_SigmaI_plus_ZtWZ_grouped_, Maux, Maux, false);
+				sp_mat_t SigmaI_plus_ZtWZ_I(Sigma.cols(), Sigma.cols());
+				SigmaI_plus_ZtWZ_I.setIdentity();
+				TriangularSolveGivenCholesky<chol_sp_mat_t, sp_mat_t, sp_mat_t, sp_mat_t>(chol_fact_SigmaI_plus_ZtWZ_grouped_, SigmaI_plus_ZtWZ_I, SigmaI_plus_ZtWZ_I, false);
+				TriangularSolveGivenCholesky<chol_sp_mat_t, sp_mat_t, sp_mat_t, sp_mat_t>(chol_fact_SigmaI_plus_ZtWZ_grouped_, SigmaI_plus_ZtWZ_I, SigmaI_plus_ZtWZ_I, true);
+				sp_mat_t Sigma_Zt_W_Z_SigmaI_plus_ZtWZ_I = (Sigma * (Zt * second_deriv_neg_ll_.asDiagonal() * Zt.transpose())) * SigmaI_plus_ZtWZ_I;
 				if (calc_pred_cov) {
-					pred_cov += (T_mat)(Maux.transpose() * Maux);
-					pred_cov -= (T_mat)(Cross_Cov * second_deriv_neg_ll_.asDiagonal() * Cross_Cov.transpose());
+					pred_cov -= (T_mat)(Ztilde * Sigma_Zt_W_Z_SigmaI_plus_ZtWZ_I * Ztilde.transpose());
 				}
 				if (calc_pred_var) {
-					sp_mat_t Maux3 = Cross_Cov.cwiseProduct(Cross_Cov * second_deriv_neg_ll_.asDiagonal());
-					Maux = Maux.cwiseProduct(Maux);
+					sp_mat_t Maux = Ztilde;
+					CalcAtimesBGivenSparsityPattern<sp_mat_t>(Ztilde, Sigma_Zt_W_Z_SigmaI_plus_ZtWZ_I, Maux);
 #pragma omp parallel for schedule(static)
 					for (int i = 0; i < (int)pred_mean.size(); ++i) {
-						pred_var[i] += Maux.col(i).sum() - Maux3.row(i).sum();
-					}
-				}
+						pred_var[i] -= (Ztilde.row(i)).dot(Maux.row(i));
+					}
+				}
+				//Old code (not used anymore)
+//				// calculate Maux = L\(Z^T * second_deriv_neg_ll_.asDiagonal() * Cross_Cov^T)
+//				sp_mat_t Cross_Cov = Ztilde * Sigma * Zt;
+//				sp_mat_t Maux = Zt * second_deriv_neg_ll_.asDiagonal() * Cross_Cov.transpose();
+//				TriangularSolveGivenCholesky<chol_sp_mat_t, sp_mat_t, sp_mat_t, sp_mat_t>(chol_fact_SigmaI_plus_ZtWZ_grouped_, Maux, Maux, false);
+//				if (calc_pred_cov) {
+//					pred_cov += (T_mat)(Maux.transpose() * Maux);
+//					pred_cov -= (T_mat)(Cross_Cov * second_deriv_neg_ll_.asDiagonal() * Cross_Cov.transpose());
+//				}
+//				if (calc_pred_var) {
+//					sp_mat_t Maux3 = Cross_Cov.cwiseProduct(Cross_Cov * second_deriv_neg_ll_.asDiagonal());
+//					Maux = Maux.cwiseProduct(Maux);
+//#pragma omp parallel for schedule(static)
+//					for (int i = 0; i < (int)pred_mean.size(); ++i) {
+//						pred_var[i] += Maux.col(i).sum() - Maux3.row(i).sum();
+//					}
+//				}
 			}
 		}//end PredictLaplaceApproxGroupedRE
 

{gpboost-1.2.5 → gpboost-1.2.7}/compile/include/GPBoost/re_model_template.h

@@ -3239,7 +3239,7 @@ negll = yTPsiInvy_ / 2. / sigma2 + log_det_Psi_ / 2. + num_data_ / 2. * (std::lo
 		/*! \brief Maximal number of iterations for conjugate gradient algorithm when being run as Lanczos algorithm for tridiagonalization */
 		int cg_max_num_it_tridiag_ = 1000;
 		/*! \brief Tolerance level for L2 norm of residuals for checking convergence in conjugate gradient algorithm when being used for parameter estimation */
-		double cg_delta_conv_ = 1e-3;
+		double cg_delta_conv_ = 1e-2;
 		/*! \brief Tolerance level for L2 norm of residuals for checking convergence in conjugate gradient algorithm when being used for prediction */
 		double cg_delta_conv_pred_ = 1e-3;
 		/*! \brief Number of samples when simulation is used for calculating predictive variances */

{gpboost-1.2.5 → gpboost-1.2.7}/compile/include/GPBoost/sparse_matrix_utils.h

@@ -412,6 +412,29 @@ namespace GPBoost {
 		LtL = L.transpose() * L;
 	}//end CalcLtLGivenSparsityPattern (dense)
 
+	/*!
+	* \brief Calculate A * B only at non-zero entries for a given sparsiy pattern of AB
+	* \param A Matrix A
+	* \param B Square matrix B
+	* \param AB[out] Matrix which contains a sparsity pattern and on which A * B is calculated at the non-zero entries of A
+	*/
+	//T_mat needs to be a sp_mat_t or sp_mat_rm_t
+	template <class T_mat>
+	void CalcAtimesBGivenSparsityPattern(const T_mat& A, const T_mat& B, T_mat& AB) {
+		CHECK(B.rows() == B.cols());
+		CHECK(A.cols() == B.rows());
+		CHECK(AB.rows() == A.rows());
+		CHECK(AB.cols() == A.cols());
+#pragma omp parallel for schedule(static)
+			for (int k = 0; k < AB.outerSize(); ++k) {
+				for (typename T_mat::InnerIterator it(AB, k); it; ++it) {
+					int i = (int)it.row();
+					int j = (int)it.col();
+					it.valueRef() = (A.row(i)).dot(B.col(j));
+				}
+			}
+	}//end CalcAtimesBGivenSparsityPattern (sparse)
+
 	/*!
 	* \brief Multiplies a vector v by the (transposed) incidence matrix Zt when only indices that indicate to which random effect every data point is related are given
 	* \param num_data Number of data points

gpboost-1.2.7/gpboost/VERSION.txt

@@ -0,0 +1 @@
+1.2.7