ard_linreg_logreg.py

# Linear and logistic Regression with Automatic Relevance Determination (Fast Version uses 
#    Sparse Bayesian Learning)

#https://github.com/AmazaspShumik/sklearn-bayes/blob/master/skbayes/rvm_ard_models/fast_rvm.py

import superimport

import numpy as np
from sklearn.base import RegressorMixin, BaseEstimator
#from sklearn.externals import six
from sklearn.linear_model.base import LinearModel, LinearClassifierMixin
from sklearn.utils import check_X_y,check_array,as_float_array
from sklearn.utils.multiclass import check_classification_targets
from sklearn.utils.extmath import pinvh,log_logistic,safe_sparse_dot 
from sklearn.metrics.pairwise import pairwise_kernels
from sklearn.utils.validation import check_is_fitted
from scipy.special import expit
from scipy.optimize import fmin_l_bfgs_b
from scipy.linalg import solve_triangular
from scipy.stats import logistic
from numpy.linalg import LinAlgError
import scipy.sparse
import warnings

#TODO: predict_proba for RVC with Laplace Approximation


def update_precisions(Q,S,q,s,A,active,tol,n_samples,clf_bias):
    '''
    Selects one feature to be added/recomputed/deleted to model based on 
    effect it will have on value of log marginal likelihood.
    '''
    # initialise vector holding changes in log marginal likelihood
    deltaL = np.zeros(Q.shape[0])
    
    # identify features that can be added , recomputed and deleted in model
    theta        =  q**2 - s 
    add          =  (theta > 0) * (active == False)
    recompute    =  (theta > 0) * (active == True)
    delete       = ~(add + recompute)
    
    # compute sparsity & quality parameters corresponding to features in 
    # three groups identified above
    Qadd,Sadd      = Q[add], S[add]
    Qrec,Srec,Arec = Q[recompute], S[recompute], A[recompute]
    Qdel,Sdel,Adel = Q[delete], S[delete], A[delete]
    
    # compute new alpha's (precision parameters) for features that are 
    # currently in model and will be recomputed
    Anew           = s[recompute]**2/ ( theta[recompute] + np.finfo(np.float32).eps)
    delta_alpha    = (1./Anew - 1./Arec)
    
    # compute change in log marginal likelihood 
    deltaL[add]       = ( Qadd**2 - Sadd ) / Sadd + np.log(Sadd/Qadd**2 )
    denom = np.maximum(1e-5, 1 + Srec*delta_alpha) # Kevin Murphy hack
    deltaL[recompute] = Qrec**2 / (Srec + 1. / delta_alpha) - np.log(denom)
    deltaL[delete]    = Qdel**2 / (Sdel - Adel) - np.log(1 - Sdel / Adel)
    deltaL            = deltaL  / n_samples
    
    # find feature which caused largest change in likelihood
    feature_index = np.argmax(deltaL)
             
    # no deletions or additions
    same_features  = np.sum( theta[~recompute] > 0) == 0
    
    # changes in precision for features already in model is below threshold
    no_delta       = np.sum( abs( Anew - Arec ) > tol ) == 0
    
    # check convergence: if no features to add or delete and small change in 
    #                    precision for current features then terminate
    converged = False
    if same_features and no_delta:
        converged = True
        return [A,converged]
    
    # if not converged update precision parameter of weights and return
    if theta[feature_index] > 0:
        A[feature_index] = s[feature_index]**2 / theta[feature_index]
        if active[feature_index] == False:
            active[feature_index] = True
    else:
        # at least two active features
        if active[feature_index] == True and np.sum(active) >= 2:
            # do not remove bias term in classification 
            # (in regression it is factored in through centering)
            if not (feature_index == 0 and clf_bias):
               active[feature_index] = False
               A[feature_index]      = np.PINF
                
    return [A,converged]


###############################################################################
#                ARD REGRESSION AND CLASSIFICATION
###############################################################################


#-------------------------- Regression ARD ------------------------------------


class RegressionARD(LinearModel,RegressorMixin):
    '''
    Regression with Automatic Relevance Determination (Fast Version uses 
    Sparse Bayesian Learning)
    
    Parameters
    ----------
    n_iter: int, optional (DEFAULT = 100)
        Maximum number of iterations
        
    tol: float, optional (DEFAULT = 1e-3)
        If absolute change in precision parameter for weights is below threshold
        algorithm terminates.
        
    fit_intercept : boolean, optional (DEFAULT = True)
        whether to calculate the intercept for this model. If set
        to false, no intercept will be used in calculations
        (e.g. data is expected to be already centered).
        
    copy_X : boolean, optional (DEFAULT = True)
        If True, X will be copied; else, it may be overwritten.
        
    verbose : boolean, optional (DEFAULT = True)
        Verbose mode when fitting the model
        
        
    Attributes
    ----------
    coef_ : array, shape = (n_features)
        Coefficients of the regression model (mean of posterior distribution)
        
    alpha_ : float
       estimated precision of the noise
       
    active_ : array, dtype = np.bool, shape = (n_features)
       True for non-zero coefficients, False otherwise
       
    lambda_ : array, shape = (n_features)
       estimated precisions of the coefficients
       
    sigma_ : array, shape = (n_features, n_features)
        estimated covariance matrix of the weights, computed only
        for non-zero coefficients  
       
       
    References
    ----------
    [1] Fast marginal likelihood maximisation for sparse Bayesian models (Tipping & Faul 2003)
        (http://www.miketipping.com/papers/met-fastsbl.pdf)
    [2] Analysis of sparse Bayesian learning (Tipping & Faul 2001)
        (http://www.miketipping.com/abstracts.htm#Faul:NIPS01)
        
    '''
    
    def __init__( self, n_iter = 300, tol = 1e-3, fit_intercept = True, 
                  copy_X = True, verbose = False):
        self.n_iter          = n_iter
        self.tol             = tol
        self.scores_         = list()
        self.fit_intercept   = fit_intercept
        self.copy_X          = copy_X
        self.verbose         = verbose
        
        
    def _center_data(self,X,y):
        ''' Centers data'''
        X     = as_float_array(X,self.copy_X)
        # normalisation should be done in preprocessing!
        X_std = np.ones(X.shape[1], dtype = X.dtype)
        if self.fit_intercept:
            X_mean = np.average(X,axis = 0)
            y_mean = np.average(y,axis = 0)
            X     -= X_mean
            y      = y - y_mean
        else:
            X_mean = np.zeros(X.shape[1],dtype = X.dtype)
            y_mean = 0. if y.ndim == 1 else np.zeros(y.shape[1], dtype=X.dtype)
        return X,y, X_mean, y_mean, X_std
        
        
    def fit(self,X,y):
        '''
        Fits ARD Regression with Sequential Sparse Bayes Algorithm.
        
        Parameters
        -----------
        X: {array-like, sparse matrix} of size (n_samples, n_features)
           Training data, matrix of explanatory variables
        
        y: array-like of size [n_samples, n_features] 
           Target values
           
        Returns
        -------
        self : object
            Returns self.
        '''
        X, y = check_X_y(X, y, dtype=np.float64, y_numeric=True)
        X, y, X_mean, y_mean, X_std = self._center_data(X, y)
        n_samples, n_features = X.shape

        #  precompute X'*Y , X'*X for faster iterations & allocate memory for
        #  sparsity & quality vectors
        XY     = np.dot(X.T,y)
        XX     = np.dot(X.T,X)
        XXd    = np.diag(XX)

        #  initialise precision of noise & and coefficients
        var_y  = np.var(y)
        
        # check that variance is non zero !!!
        if var_y == 0 :
            beta = 1e-2
        else:
            beta = 1. / np.var(y)
        
        A      = np.PINF * np.ones(n_features)
        active = np.zeros(n_features , dtype = np.bool)
        
        # in case of almost perfect multicollinearity between some features
        # start from feature 0
        if np.sum( XXd - X_mean**2 < np.finfo(np.float32).eps ) > 0:
            A[0]       = np.finfo(np.float16).eps
            active[0]  = True
        else:
            # start from a single basis vector with largest projection on targets
            proj  = XY**2 / XXd
            start = np.argmax(proj)
            active[start] = True
            A[start]      = XXd[start]/( proj[start] - var_y)
 
        warning_flag = 0
        for i in range(self.n_iter):
            XXa     = XX[active,:][:,active]
            XYa     = XY[active]
            Aa      =  A[active]
            
            # mean & covariance of posterior distribution
            Mn,Ri,cholesky  = self._posterior_dist(Aa,beta,XXa,XYa)
            if cholesky:
                Sdiag  = np.sum(Ri**2,0)
            else:
                Sdiag  = np.copy(np.diag(Ri)) 
                warning_flag += 1
            
            # raise warning in case cholesky failes
            if warning_flag == 1:
                warnings.warn(("Cholesky decomposition failed ! Algorithm uses pinvh, "
                               "which is significantly slower, if you use RVR it "
                               "is advised to change parameters of kernel"))
                
            # compute quality & sparsity parameters            
            s,q,S,Q = self._sparsity_quality(XX,XXd,XY,XYa,Aa,Ri,active,beta,cholesky)
                
            # update precision parameter for noise distribution
            rss     = np.sum( ( y - np.dot(X[:,active] , Mn) )**2 )
            beta    = n_samples - np.sum(active) + np.sum(Aa * Sdiag )
            beta   /= ( rss + np.finfo(np.float32).eps )

            # update precision parameters of coefficients
            A,converged  = update_precisions(Q,S,q,s,A,active,self.tol,
                                             n_samples,False)
            if self.verbose:
                print(('Iteration: {0}, number of features '
                       'in the model: {1}').format(i,np.sum(active)))
            if converged or i == self.n_iter - 1:
                if converged and self.verbose:
                    print('Algorithm converged !')
                break
                 
        # after last update of alpha & beta update parameters
        # of posterior distribution
        XXa,XYa,Aa         = XX[active,:][:,active],XY[active],A[active]
        Mn, Sn, cholesky   = self._posterior_dist(Aa,beta,XXa,XYa,True)
        self.coef_         = np.zeros(n_features)
        self.coef_[active] = Mn
        self.sigma_        = Sn
        self.active_       = active
        self.lambda_       = A
        self.alpha_        = beta
        self._set_intercept(X_mean,y_mean,X_std)
        return self
        
        
    def predict_dist(self,X):
        '''
        Computes predictive distribution for test set.
        Predictive distribution for each data point is one dimensional
        Gaussian and therefore is characterised by mean and variance.
        
        Parameters
        -----------
        X: {array-like, sparse} (n_samples_test, n_features)
           Test data, matrix of explanatory variables
           
        Returns
        -------
        : list of length two [y_hat, var_hat]
        
             y_hat: numpy array of size (n_samples_test,)
                    Estimated values of targets on test set (i.e. mean of predictive
                    distribution)
           
             var_hat: numpy array of size (n_samples_test,)
                    Variance of predictive distribution
        '''
        y_hat     = self._decision_function(X)
        var_hat   = 1./self.alpha_
        var_hat  += np.sum( np.dot(X[:,self.active_],self.sigma_) * X[:,self.active_], axis = 1)
        return y_hat, var_hat


    def _posterior_dist(self,A,beta,XX,XY,full_covar=False):
        '''
        Calculates mean and covariance matrix of posterior distribution
        of coefficients.
        '''
        # compute precision matrix for active features
        Sinv = beta * XX
        np.fill_diagonal(Sinv, np.diag(Sinv) + A)
        cholesky = True
        # try cholesky, if it fails go back to pinvh
        try:
            # find posterior mean : R*R.T*mean = beta*X.T*Y
            # solve(R*z = beta*X.T*Y) => find z => solve(R.T*mean = z) => find mean
            R    = np.linalg.cholesky(Sinv)
            Z    = solve_triangular(R,beta*XY, check_finite=False, lower = True)
            Mn   = solve_triangular(R.T,Z, check_finite=False, lower = False)
            
            # invert lower triangular matrix from cholesky decomposition
            Ri   = solve_triangular(R,np.eye(A.shape[0]), check_finite=False, lower=True)
            if full_covar:
                Sn   = np.dot(Ri.T,Ri)
                return Mn,Sn,cholesky
            else:
                return Mn,Ri,cholesky
        except LinAlgError:
            cholesky = False
            Sn   = pinvh(Sinv)
            Mn   = beta*np.dot(Sinv,XY)
            return Mn, Sn, cholesky
            
    
    
    
    def _sparsity_quality(self,XX,XXd,XY,XYa,Aa,Ri,active,beta,cholesky):
        '''
        Calculates sparsity and quality parameters for each feature
        
        Theoretical Note:
        -----------------
        Here we used Woodbury Identity for inverting covariance matrix
        of target distribution 
        C    = 1/beta + 1/alpha * X' * X
        C^-1 = beta - beta^2 * X * Sn * X'
        '''
        bxy        = beta*XY
        bxx        = beta*XXd
        if cholesky:
            # here Ri is inverse of lower triangular matrix obtained from cholesky decomp
            xxr    = np.dot(XX[:,active],Ri.T)
            rxy    = np.dot(Ri,XYa)
            S      = bxx - beta**2 * np.sum( xxr**2, axis=1)
            Q      = bxy - beta**2 * np.dot( xxr, rxy)
        else:
            # here Ri is covariance matrix
            XXa    = XX[:,active]
            XS     = np.dot(XXa,Ri)
            S      = bxx - beta**2 * np.sum(XS*XXa,1)
            Q      = bxy - beta**2 * np.dot(XS,XYa)
        # Use following:
        # (EQ 1) q = A*Q/(A - S) ; s = A*S/(A-S), so if A = np.PINF q = Q, s = S
        qi         = np.copy(Q)
        si         = np.copy(S) 
        #  If A is not np.PINF, then it should be 'active' feature => use (EQ 1)
        Qa,Sa      = Q[active], S[active]
        qi[active] = Aa * Qa / (Aa - Sa )
        si[active] = Aa * Sa / (Aa - Sa )
        return [si,qi,S,Q]
              
        
#----------------------- Classification ARD -----------------------------------
     
     
def _logistic_cost_grad(X,Y,w,diagA):
    '''
    Calculates cost and gradient for logistic regression
    '''
    n     = X.shape[0]
    Xw    = np.dot(X,w)
    s     = expit(Xw)
    wdA   = w*diagA
    wdA[0] = 1e-3 # broad prior for bias term => almost no regularization
    cost = np.sum( Xw* (1-Y) - log_logistic(Xw)) + np.sum(w*wdA)/2 
    grad  = np.dot(X.T, s - Y) + wdA
    return [cost/n,grad/n]
    

        
class ClassificationARD(BaseEstimator,LinearClassifierMixin):
    '''
    Logistic Regression with Automatic Relevance determination (Fast Version uses 
    Sparse Bayesian Learning)
    
    Parameters
    ----------
    n_iter: int, optional (DEFAULT = 100)
        Maximum number of iterations before termination
        
    tol: float, optional (DEFAULT = 1e-3)
        If absolute change in precision parameter for weights is below threshold
        algorithm terminates.
        
    normalize: bool, optional (DEFAULT = True)
        If True normalizes features
              
    n_iter_solver: int, optional (DEFAULT = 20)
        Maximum number of iterations before termination of solver
        
    tol_solver: float, optional (DEFAULT = 1e-5)
        Convergence threshold for solver (it is used in estimating posterior
        distribution)
        
    fit_intercept : bool, optional ( DEFAULT = True )
        If True will use intercept in the model. If set
        to false, no intercept will be used in calculations
   
    verbose : boolean, optional (DEFAULT = True)
        Verbose mode when fitting the model
        
        
    Attributes
    ----------
    coef_ : array, shape = (n_features)
        Coefficients of the regression model (mean of posterior distribution)
        
    lambda_ : float
       estimated precisions of weights
       
    active_ : array, dtype = np.bool, shape = (n_features)
       True for non-zero coefficients, False otherwise
       
    sigma_ : array, shape = (n_features, n_features)
        estimated covariance matrix of the weights, computed only
        for non-zero coefficients
        
        
    References
    ----------
    [1] Fast marginal likelihood maximisation for sparse Bayesian models (Tipping & Faul 2003)
        (http://www.miketipping.com/papers/met-fastsbl.pdf)
    [2] Analysis of sparse Bayesian learning (Tipping & Faul 2001)
        (http://www.miketipping.com/abstracts.htm#Faul:NIPS01)
    '''
    def __init__(self, n_iter=100, tol=1e-4, n_iter_solver=15, normalize=True,
                 tol_solver=1e-4, fit_intercept=True, verbose=False):
        self.n_iter             = n_iter
        self.tol                = tol
        self.n_iter_solver      = n_iter_solver
        self.normalize          = normalize
        self.tol_solver         = tol_solver
        self.fit_intercept      = fit_intercept
        self.verbose            = verbose
    
    
    def fit(self,X,y):
        '''
        Fits Logistic Regression with ARD
        
        Parameters
        ----------
        X: array-like of size [n_samples, n_features]
           Training data, matrix of explanatory variables
        
        y: array-like of size [n_samples] 
           Target values
           
        Returns
        -------
        self : object
            Returns self.
        '''
        X, y = check_X_y(X, y, accept_sparse = None, dtype=np.float64)
                    
        # normalize, if required
        if self.normalize:
            self._x_mean = np.mean(X,0)
            self._x_std  = np.std(X,0)
            X            = (X - self._x_mean) / self._x_std

        # add bias term if required
        if self.fit_intercept:
            X = np.concatenate((np.ones([X.shape[0],1]),X),1)

        # preprocess targets
        check_classification_targets(y)
        self.classes_ = np.unique(y)
        n_classes = len(self.classes_)
        if n_classes < 2:
            raise ValueError("Need samples of at least 2 classes"
                             " in the data, but the data contains only one"
                             " class: %r" % self.classes_[0])
        
        # if multiclass use OVR (i.e. fit classifier for each class)
        if n_classes < 2:
            raise ValueError("Need samples of at least 2 classes")
        if n_classes > 2:
            self.coef_, self.sigma_        = [0]*n_classes,[0]*n_classes
            self.intercept_ , self.active_ = [0]*n_classes, [0]*n_classes
            self.lambda_                   = [0]*n_classes
        else:
            self.coef_, self.sigma_, self.intercept_,self.active_ = [0],[0],[0],[0]
            self.lambda_                                          = [0]
         
        for i in range(len(self.classes_)):
            if n_classes == 2:
                pos_class = self.classes_[1]
            else:
                pos_class = self.classes_[i]
            mask = (y == pos_class)
            y_bin = np.zeros(y.shape, dtype=np.float64)
            y_bin[mask] = 1
            coef,bias,active,sigma,lambda_  = self._fit(X,y_bin)
            self.coef_[i], self.intercept_[i], self.sigma_[i]  = coef, bias, sigma
            self.active_[i], self.lambda_[i] = active, lambda_
            # in case of binary classification fit only one classifier           
            if n_classes == 2:
                break  
        self.coef_      = np.asarray(self.coef_)
        self.intercept_ = np.asarray(self.intercept_)
        return self
        
    
    def _fit(self,X,y):
        '''
        Fits binary classification
        '''
        n_samples,n_features = X.shape
        A         = np.PINF * np.ones(n_features)
        active    = np.zeros(n_features , dtype = np.bool)
        
        # if we fit intercept, make it active from the beginning
        if self.fit_intercept:
            active[0] = True
            A[0]      = np.finfo(np.float16).eps
        
        warning_flag = 0
        for i in range(self.n_iter):
            Xa      =  X[:,active]
            Aa      =  A[active]
            
            # mean & precision of posterior distribution
            Mn,Sn,B,t_hat, cholesky = self._posterior_dist(Xa,y, Aa)
            if not cholesky:
                warning_flag += 1
            
            # raise warning in case cholesky failes (but only once)
            if warning_flag == 1:
                warnings.warn(("Cholesky decomposition failed ! Algorithm uses pinvh, "
                               "which is significantly slower, if you use RVC it "
                               "is advised to change parameters of kernel"))

            # compute quality & sparsity parameters
            s,q,S,Q = self._sparsity_quality(X,Xa,t_hat,B,A,Aa,active,Sn,cholesky)

            # update precision parameters of coefficients
            A,converged  = update_precisions(Q,S,q,s,A,active,self.tol,n_samples,self.fit_intercept)

            # terminate if converged
            if converged or i == self.n_iter - 1:
                break
        
        Xa,Aa   = X[:,active], A[active]
        Mn,Sn,B,t_hat,cholesky = self._posterior_dist(Xa,y,Aa)
        # in case Sn is inverse of lower triangular matrix of Cholesky decomposition
        # compute covariance using formula Sn  = np.dot(Rinverse.T , Rinverse)
        if cholesky:
           Sn = np.dot(Sn.T,Sn) 
        intercept_ = 0
        if self.fit_intercept:
           n_features -= 1
           if active[0] == True:
               intercept_  = Mn[0]
               Mn          = Mn[1:]               
           active          = active[1:]
        coef_           = np.zeros([1,n_features])
        coef_[0,active] = Mn   
        return coef_.squeeze(), intercept_, active, Sn, A
   
        
    def predict(self,X):
        '''
        Estimates target values on test set
        
        Parameters
        ----------
        X: array-like of size (n_samples_test, n_features)
           Matrix of explanatory variables
           
        Returns
        -------
        y_pred: numpy arra of size (n_samples_test,)
           Predicted values of targets
        '''
        probs   = self.predict_proba(X)
        indices = np.argmax(probs, axis = 1)
        y_pred  = self.classes_[indices]
        return y_pred
        
        
    def _decision_function_active(self,X,coef_,active_,intercept_):
        ''' Constructs decision function using only relevant features '''
        if self.normalize:
            X = (X - self._x_mean[active_]) / self._x_std[active_]
        decision = safe_sparse_dot(X,coef_[active_]) + intercept_
        return decision
        
        
    def decision_function(self,X):
        ''' 
        Computes distance to separating hyperplane between classes. The larger 
        is the absolute value of the decision function further data point is 
        from the decision boundary.
        
        Parameters
        ----------
        X: array-like of size (n_samples_test,n_features)
           Matrix of explanatory variables
          
        Returns
        -------
        decision: numpy array of size (n_samples_test,)
           Distance to decision boundary
        '''
        check_is_fitted(self, 'coef_') 
        X = check_array(X, accept_sparse=None, dtype = np.float64)
        n_features = self.coef_.shape[1]
        if X.shape[1] != n_features:
            raise ValueError("X has %d features per sample; expecting %d"
                             % (X.shape[1], n_features))
        decision = [self._decision_function_active(X[:,active],coef,active,bias) for 
                    coef,active,bias in zip(self.coef_,self.active_,self.intercept_)]
        decision = np.asarray(decision).squeeze().T
        return decision
        

    def predict_proba(self,X):
        '''
        Predicts probabilities of targets for test set using probit 
        function to approximate convolution of sigmoid and Gaussian.
        
        Parameters
        ----------
        X: array-like of size (n_samples_test,n_features)
           Matrix of explanatory variables
           
        Returns
        -------
        probs: numpy array of size (n_samples_test,)
           Estimated probabilities of target classes
        '''
        y_hat = self.decision_function(X)
        X = check_array(X, accept_sparse=None, dtype = np.float64)
        if self.normalize:
            X = (X - self._x_mean) / self._x_std
        if self.fit_intercept:
            X    = np.concatenate((np.ones([X.shape[0],1]), X),1)
        if y_hat.ndim == 1:
            pr   = self._convo_approx(X[:,self.lambda_[0]!=np.PINF],
                                           y_hat,self.sigma_[0])
            prob = np.vstack([1 - pr, pr]).T
        else:
            pr   = [self._convo_approx(X[:,idx != np.PINF],y_hat[:,i],
                        self.sigma_[i]) for i,idx in enumerate(self.lambda_) ]
            pr   = np.asarray(pr).T
            prob = pr / np.reshape(np.sum(pr, axis = 1), (pr.shape[0],1))
        return prob

        
    def _convo_approx(self,X,y_hat,sigma):
        ''' Computes approximation to convolution of sigmoid and gaussian'''
        var = np.sum(np.dot(X,sigma)*X,1)
        ks  = 1. / ( 1. + np.pi * var/ 8)**0.5
        pr  = expit(y_hat * ks)
        return pr
        

    def _sparsity_quality(self,X,Xa,y,B,A,Aa,active,Sn,cholesky):
        '''
        Calculates sparsity & quality parameters for each feature
        '''
        XB    = X.T*B
        bxx   = np.dot(B,X**2)
        Q     = np.dot(X.T,y)
        if cholesky:
            # Here Sn is inverse of lower triangular matrix, obtained from
            # cholesky decomposition
            XBX = np.dot(XB,Xa)
            XBX = np.dot(XBX,Sn,out=XBX)
            S   = bxx - np.sum(XBX**2,1)
        else:
            XSX = np.dot(np.dot(Xa,Sn),Xa.T)
            S   = bxx - np.sum( np.dot( XB,XSX )*XB,1 )
        qi    = np.copy(Q)
        si    = np.copy(S) 
        Qa,Sa      = Q[active], S[active]
        qi[active] = Aa * Qa / (Aa - Sa )
        si[active] = Aa * Sa / (Aa - Sa )
        return [si,qi,S,Q]
        
    
    def _posterior_dist(self,X,y,A):
        '''
        Uses Laplace approximation for calculating posterior distribution
        '''
        f         = lambda w: _logistic_cost_grad(X,y,w,A)
        w_init    = np.random.random(X.shape[1])
        Mn        = fmin_l_bfgs_b(f, x0 = w_init, pgtol = self.tol_solver,
                                maxiter = self.n_iter_solver)[0]
        Xm        = np.dot(X,Mn)
        s         = expit(Xm)
        B         = logistic._pdf(Xm) # avoids underflow
        S         = np.dot(X.T*B,X)
        np.fill_diagonal(S, np.diag(S) + A)
        t_hat     = y - s
        cholesky  = True
        # try using Cholesky , if it fails then fall back on pinvh
        try:
            R        = np.linalg.cholesky(S)
            Sn       = solve_triangular(R,np.eye(A.shape[0]),
                                        check_finite=False,lower=True)
        except LinAlgError:
            Sn       = pinvh(S)
            cholesky = False
        return [Mn,Sn,B,t_hat,cholesky]
        


###############################################################################
#                  Relevance Vector Machine: RVR and RVC
###############################################################################



def get_kernel( X, Y, gamma, degree, coef0, kernel, kernel_params ):
    '''
    Calculates kernelised features for RVR and RVC
    '''
    if callable(kernel):
        params = kernel_params or {}
    else:
        params = {"gamma": gamma,
                  "degree": degree,
                  "coef0": coef0  }
    return pairwise_kernels(X, Y, metric=kernel,
                            filter_params=True, **params)
                            


class RVR(RegressionARD):
    '''
    Relevance Vector Regression (Fast Version uses Sparse Bayesian Learning)
    
    Parameters
    ----------
    n_iter: int, optional (DEFAULT = 300)
        Maximum number of iterations
        
    fit_intercept : boolean, optional (DEFAULT = True)
        whether to calculate the intercept for this model
        
    tol: float, optional (DEFAULT = 1e-3)
        If absolute change in precision parameter for weights is below tol
        algorithm terminates.
        
    copy_X : boolean, optional (DEFAULT = True)
        If True, X will be copied; else, it may be overwritten.
        
    verbose : boolean, optional (DEFAULT = True)
        Verbose mode when fitting the model 
        
    kernel: str, optional (DEFAULT = 'poly')
        Type of kernel to be used (all kernels: ['rbf' | 'poly' | 'sigmoid', 'linear']
    
    degree : int, (DEFAULT = 3)
        Degree for poly kernels. Ignored by other kernels.
        
    gamma : float, optional (DEFAULT = 1/n_features)
        Kernel coefficient for rbf and poly kernels, ignored by other kernels
        
    coef0 : float, optional (DEFAULT = 1)
        Independent term in poly and sigmoid kernels, ignored by other kernels
        
    kernel_params : mapping of string to any, optional
        Parameters (keyword arguments) and values for kernel passed as
        callable object, ignored by other kernels
        
        
    Attributes
    ----------
    coef_ : array, shape = (n_features)
        Coefficients of the regression model (mean of posterior distribution)
        
    alpha_ : float
       estimated precision of the noise
       
    active_ : array, dtype = np.bool, shape = (n_features)
       True for non-zero coefficients, False otherwise
       
    lambda_ : array, shape = (n_features)
       estimated precisions of the coefficients
       
    sigma_ : array, shape = (n_features, n_features)
        estimated covariance matrix of the weights, computed only
        for non-zero coefficients
        
    relevant_vectors_ : array 
        Relevant Vectors
    
    References
    ----------
    [1] Fast marginal likelihood maximisation for sparse Bayesian models (Tipping & Faul 2003)
        (http://www.miketipping.com/papers/met-fastsbl.pdf)
    [2] Analysis of sparse Bayesian learning (Tipping & Faul 2001)
        (http://www.miketipping.com/abstracts.htm#Faul:NIPS01)
    '''
    def __init__(self, n_iter=300, tol = 1e-3, fit_intercept = True, copy_X = True,
                 verbose = False, kernel = 'poly', degree = 3, gamma  = None,
                 coef0  = 1, kernel_params = None):
        super(RVR,self).__init__(n_iter,tol,fit_intercept,copy_X,verbose)
        self.kernel = kernel
        self.degree = degree
        self.gamma  = gamma
        self.coef0  = coef0
        self.kernel_params = kernel_params
    
    
    def fit(self,X,y):
        '''
        Fit Relevance Vector Regression Model
        
        Parameters
        -----------
        X: {array-like,sparse matrix} of size (n_samples, n_features)
           Training data, matrix of explanatory variables
        
        y: array-like of size (n_samples, ) 
           Target values
           
        Returns
        -------
        self: object
           self
        '''
        X,y = check_X_y(X,y,accept_sparse=['csr','coo','bsr'],dtype = np.float64)
        # kernelise features
        K = get_kernel( X, X, self.gamma, self.degree, self.coef0, 
                       self.kernel, self.kernel_params)
        
        # use fit method of RegressionARD
        _ = super(RVR,self).fit(K,y)

        # convert to csr (need to use __getitem__)
        convert_tocsr = [scipy.sparse.coo.coo_matrix, 
                         scipy.sparse.dia.dia_matrix,
                         scipy.sparse.bsr.bsr_matrix]
        if type(X) in convert_tocsr:
            X = X.tocsr()
        self.relevant_  = np.where(self.active_== True)[0]
        if X.ndim == 1:
            self.relevant_vectors_ = X[self.relevant_]
        else:
            self.relevant_vectors_ = X[self.relevant_,:]
        return self
        
        
    def _decision_function(self,X):
        ''' Decision function '''
        _, predict_vals = self._kernel_decision_function(X)
        return predict_vals
        
    
    def _kernel_decision_function(self,X):
        ''' Computes kernel and decision function based on kernel'''
        check_is_fitted(self,'coef_')
        X = check_array(X, accept_sparse=['csr', 'csc', 'coo'])
        K = get_kernel( X, self.relevant_vectors_, self.gamma, self.degree, 
                        self.coef0, self.kernel, self.kernel_params)
        return K , np.dot(K,self.coef_[self.active_]) + self.intercept_
        
        
    def predict_dist(self,X):
        '''
        Computes predictive distribution for test set. Predictive distribution
        for each data point is one dimensional Gaussian and therefore is 
        characterised by mean and variance.
        
        Parameters
        ----------
        X: {array-like,sparse matrix} of size (n_samples_test, n_features)
           Matrix of explanatory variables 
           
        Returns
        -------
        : list of length two [y_hat, var_hat]
        
             y_hat: numpy array of size (n_samples_test,)
                    Estimated values of targets on test set (i.e. mean of predictive
                    distribution)
           
             var_hat: numpy array of size (n_samples_test,)
                    Variance of predictive distribution
        '''
        # kernel matrix and mean of predictive distribution
        K, y_hat  = self._kernel_decision_function(X)
        var_hat   = 1./self.alpha_
        var_hat  += np.sum( np.dot(K,self.sigma_) * K, axis = 1)
        return y_hat,var_hat



class RVC(ClassificationARD):
    '''
    Relevance Vector Classifier (Fast Version, uses Sparse Bayesian Learning )
        
    
    Parameters
    ----------
    n_iter: int, optional (DEFAULT = 100)
        Maximum number of iterations before termination
        
    tol: float, optional (DEFAULT = 1e-4)
        If absolute change in precision parameter for weights is below tol, then
        the algorithm terminates.
    n_iter_solver: int, optional (DEFAULT = 15)
        Maximum number of iterations before termination of solver
        
    tol_solver: float, optional (DEFAULT = 1e-4)
        Convergence threshold for solver (it is used in estimating posterior
        distribution)
        
    fit_intercept : bool, optional ( DEFAULT = True )
        If True will use intercept in the model
    verbose : boolean, optional (DEFAULT = True)
        Verbose mode when fitting the model
        
    kernel: str, optional (DEFAULT = 'rbf')
        Type of kernel to be used (all kernels: ['rbf' | 'poly' | 'sigmoid']
    
    degree : int, (DEFAULT = 3)
        Degree for poly kernels. Ignored by other kernels.
        
    gamma : float, optional (DEFAULT = 1/n_features)
        Kernel coefficient for rbf and poly kernels, ignored by other kernels
        
    coef0 : float, optional (DEFAULT = 0.1)
        Independent term in poly and sigmoid kernels, ignored by other kernels
        
    kernel_params : mapping of string to any, optional
        Parameters (keyword arguments) and values for kernel passed as
        callable object, ignored by other kernels
        
        
    Attributes
    ----------
    coef_ : array, shape = (n_features)
        Coefficients of the model (mean of posterior distribution)
        
    lambda_ : float
       Estimated precisions of weights
       
    active_ : array, dtype = np.bool, shape = (n_features)
       True for non-zero coefficients, False otherwise
       
    sigma_ : array, shape = (n_features, n_features)
       Estimated covariance matrix of the weights, computed only for non-zero 
       coefficients
       
       
    References
    ----------
    [1] Fast marginal likelihood maximisation for sparse Bayesian models (Tipping & Faul 2003)
        (http://www.miketipping.com/papers/met-fastsbl.pdf)
    [2] Analysis of sparse Bayesian learning (Tipping & Faul 2001)
        (http://www.miketipping.com/abstracts.htm#Faul:NIPS01)
    '''
    
    def __init__(self, n_iter = 100, tol = 1e-4, n_iter_solver = 15, tol_solver = 1e-4,
                 fit_intercept = True, verbose = False, kernel = 'rbf', degree = 2,
                 gamma  = None, coef0  = 1, kernel_params = None):
        super(RVC,self).__init__(n_iter,tol,n_iter_solver,True,tol_solver,
                                 fit_intercept,verbose)
        self.kernel        = kernel
        self.degree        = degree
        self.gamma         = gamma
        self.coef0         = coef0
        self.kernel_params = kernel_params
        
        
    def fit(self,X,y):
        '''
        Fit Relevance Vector Classifier
        
        Parameters
        -----------
        X: array-like of size [n_samples, n_features]
           Training data, matrix of explanatory variables
        
        y: array-like of size [n_samples, n_features] 
           Target values
           
        Returns
        -------
        self: object
           self
        '''
        X,y = check_X_y(X,y, accept_sparse = None, dtype = np.float64)
        # kernelise features
        K = get_kernel( X, X, self.gamma, self.degree, self.coef0, 
                       self.kernel, self.kernel_params)
        # use fit method of ClassificationARD
        _ = super(RVC,self).fit(K,y)
        self.relevant_  = [np.where(active==True)[0] for active in self.active_]
        if X.ndim == 1:
            self.relevant_vectors_ = [ X[relevant_] for relevant_ in self.relevant_]
        else:
            self.relevant_vectors_ = [ X[relevant_,:] for relevant_ in self.relevant_ ]
        return self

        
    def decision_function(self,X):
        ''' 
        Computes distance to separating hyperplane between classes. The larger 
        is the absolute value of the decision function further data point is 
        from the decision boundary.
        
        Parameters
        ----------
        X: array-like of size (n_samples_test,n_features)
           Matrix of explanatory variables
          
        Returns
        -------
        decision: numpy array of size (n_samples_test,)
           Distance to decision boundary
        '''
        check_is_fitted(self, 'coef_') 
        X = check_array(X, accept_sparse=None, dtype = np.float64)
        n_features = self.relevant_vectors_[0].shape[1]
        if X.shape[1] != n_features:
            raise ValueError("X has %d features per sample; expecting %d"
                             % (X.shape[1], n_features))
        kernel = lambda rvs : get_kernel(X,rvs,self.gamma, self.degree, 
                                         self.coef0, self.kernel, self.kernel_params)
        decision = []
        for rv,cf,act,b in zip(self.relevant_vectors_,self.coef_,self.active_,
                               self.intercept_):
            # if there are no relevant vectors => use intercept only
            if rv.shape[0] == 0:
                decision.append( np.ones(X.shape[0])*b )
            else:
                decision.append(self._decision_function_active(kernel(rv),cf,act,b))
        decision = np.asarray(decision).squeeze().T
        return decision
        

    def predict_proba(self,X):
        '''
        Predicts probabilities of targets.
        
        Theoretical Note
        ================
        Current version of method does not use MacKay's approximation
        to convolution of Gaussian and sigmoid. This results in less accurate 
        estimation of class probabilities and therefore possible increase
        in misclassification error for multiclass problems (prediction accuracy
        for binary classification problems is not changed)
        
        Parameters
        ----------
        X: array-like of size (n_samples_test,n_features)
           Matrix of explanatory variables 
           
        Returns
        -------
        probs: numpy array of size (n_samples_test,)
           Estimated probabilities of target classes
        '''
        prob = expit(self.decision_function(X))
        if prob.ndim == 1:
            prob = np.vstack([1 - prob, prob]).T
        prob = prob / np.reshape(np.sum(prob, axis = 1), (prob.shape[0],1))
        return prob