📄 rbfhess.m
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function [h, hdata] = rbfhess(net, x, t, hdata)
%RBFHESS Evaluate the Hessian matrix for RBF network.
%
% Description
% H = RBFHESS(NET, X, T) takes an RBF network data structure NET, a
% matrix X of input values, and a matrix T of target values and returns
% the full Hessian matrix H corresponding to the second derivatives of
% the negative log posterior distribution, evaluated for the current
% weight and bias values as defined by NET. Currently, the
% implementation only computes the Hessian for the output layer
% weights.
%
% [H, HDATA] = RBFHESS(NET, X, T) returns both the Hessian matrix H and
% the contribution HDATA arising from the data dependent term in the
% Hessian.
%
% H = RBFHESS(NET, X, T, HDATA) takes a network data structure NET, a
% matrix X of input values, and a matrix T of target values, together
% with the contribution HDATA arising from the data dependent term in
% the Hessian, and returns the full Hessian matrix H corresponding to
% the second derivatives of the negative log posterior distribution.
% This version saves computation time if HDATA has already been
% evaluated for the current weight and bias values.
%
% See also
% MLPHESS, HESSCHEK, EVIDENCE
%
% Copyright (c) Ian T Nabney (1996-2001)
% Check arguments for consistency
errstring = consist(net, 'rbf', x, t);
if ~isempty(errstring);
error(errstring);
end
if nargin == 3
% Data term in Hessian needs to be computed
[a, z] = rbffwd(net, x);
hdata = datahess(net, z, t);
end
% Add in effect of regularisation
[h, hdata] = hbayes(net, hdata);
% Sub-function to compute data part of Hessian
function hdata = datahess(net, z, t)
% Only works for output layer Hessian currently
if (isfield(net, 'mask') & ~any(net.mask(...
1:(net.nwts - net.nout*(net.nhidden+1)))))
hdata = zeros(net.nwts);
ndata = size(z, 1);
out_hess = [z ones(ndata, 1)]'*[z ones(ndata, 1)];
for j = 1:net.nout
hdata = rearrange_hess(net, j, out_hess, hdata);
end
else
error('Output layer Hessian only.');
end
return
% Sub-function to rearrange Hessian matrix
function hdata = rearrange_hess(net, j, out_hess, hdata)
% Because all the biases come after all the input weights,
% we have to rearrange the blocks that make up the network Hessian.
% This function assumes that we are on the jth output and that all outputs
% are independent.
% Start of bias weights block
bb_start = net.nwts - net.nout + 1;
% Start of weight block for jth output
ob_start = net.nwts - net.nout*(net.nhidden+1) + (j-1)*net.nhidden...
+ 1;
% End of weight block for jth output
ob_end = ob_start + net.nhidden - 1;
% Index of bias weight
b_index = bb_start+(j-1);
% Put input weight block in right place
hdata(ob_start:ob_end, ob_start:ob_end) = out_hess(1:net.nhidden, ...
1:net.nhidden);
% Put second derivative of bias weight in right place
hdata(b_index, b_index) = out_hess(net.nhidden+1, net.nhidden+1);
% Put cross terms (input weight v bias weight) in right place
hdata(b_index, ob_start:ob_end) = out_hess(net.nhidden+1, ...
1:net.nhidden);
hdata(ob_start:ob_end, b_index) = out_hess(1:net.nhidden, ...
net.nhidden+1);
return
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