add a misc utils file for common math functions

numpy_ml/utils/__init__.py

@@ -1,6 +1,9 @@
+"""Utilities module"""
+
 from . import testing
 from . import data_structures
 from . import distance_metrics
 from . import kernels
 from . import windows
 from . import graphs
+from . import misc

numpy_ml/utils/misc.py

@@ -0,0 +1,24 @@
+"""Miscellaneous utility functions"""
+import numpy as np
+
+
+def logsumexp(log_probs, axis=None):
+    """
+    Redefine scipy.special.logsumexp
+    see: http://bayesjumping.net/log-sum-exp-trick/
+    """
+    _max = np.max(log_probs)
+    ds = log_probs - _max
+    exp_sum = np.exp(ds).sum(axis=axis)
+    return _max + np.log(exp_sum)
+
+
+def log_gaussian_pdf(x_i, mu, sigma):
+    """Compute log N(x_i | mu, sigma)"""
+    n = len(mu)
+    a = n * np.log(2 * np.pi)
+    _, b = np.linalg.slogdet(sigma)
+
+    y = np.linalg.solve(sigma, x_i - mu)
+    c = np.dot(x_i - mu, y)
+    return -0.5 * (a + b + c)