- const double* phiInit, // parametre initial de moyenne renormalisé
- const double* rhoInit, // parametre initial de variance renormalisé
- const double* piInit, // parametre initial des proportions
- const double* gamInit, // paramètre initial des probabilités a posteriori de chaque échantillon
- int mini, // nombre minimal d'itérations dans l'algorithme EM
- int maxi, // nombre maximal d'itérations dans l'algorithme EM
- double gamma, // valeur de gamma : puissance des proportions dans la pénalisation pour un Lasso adaptatif
- double lambda, // valeur du paramètre de régularisation du Lasso
- const double* X, // régresseurs
- const double* Y, // réponse
- double tau, // seuil pour accepter la convergence
+ const float* phiInit, // parametre initial de moyenne renormalisé
+ const float* rhoInit, // parametre initial de variance renormalisé
+ const float* piInit, // parametre initial des proportions
+ const float* gamInit, // paramètre initial des probabilités a posteriori de chaque échantillon
+ int mini, // nombre minimal d'itérations dans l'algorithme EM
+ int maxi, // nombre maximal d'itérations dans l'algorithme EM
+ float gamma, // puissance des proportions dans la pénalisation pour un Lasso adaptatif
+ float lambda, // valeur du paramètre de régularisation du Lasso
+ const float* X, // régresseurs
+ const float* Y, // réponse
+ float tau, // seuil pour accepter la convergence
- double* phi, // parametre de moyenne renormalisé, calculé par l'EM
- double* rho, // parametre de variance renormalisé, calculé par l'EM
- double* pi, // parametre des proportions renormalisé, calculé par l'EM
- double* LLF, // log vraisemblance associé à cet échantillon, pour les valeurs estimées des paramètres
- double* S,
+ float* phi, // parametre de moyenne renormalisé, calculé par l'EM
+ float* rho, // parametre de variance renormalisé, calculé par l'EM
+ float* pi, // parametre des proportions renormalisé, calculé par l'EM
+ float* LLF, // log vraisemblance associée à cet échantillon, pour les valeurs estimées des paramètres
+ float* S,
- int n, // nombre d'echantillons
- int p, // nombre de covariables
- int m, // taille de Y (multivarié)
- int k) // nombre de composantes dans le mélange
+ int n, // nombre d'echantillons
+ int p, // nombre de covariables
+ int m, // taille de Y (multivarié)
+ int k) // nombre de composantes dans le mélange
//Other local variables
//NOTE: variables order is always [maxi],n,p,m,k
//Other local variables
//NOTE: variables order is always [maxi],n,p,m,k
- double* b = (double*)malloc(k*sizeof(double));
- double* Phi = (double*)malloc(p*m*k*sizeof(double));
- double* Rho = (double*)malloc(m*m*k*sizeof(double));
- double* Pi = (double*)malloc(k*sizeof(double));
- double* gam2 = (double*)malloc(k*sizeof(double));
- double* pi2 = (double*)malloc(k*sizeof(double));
- double* Gram2 = (double*)malloc(p*p*k*sizeof(double));
- double* ps = (double*)malloc(m*k*sizeof(double));
- double* nY2 = (double*)malloc(m*k*sizeof(double));
- double* ps1 = (double*)malloc(n*m*k*sizeof(double));
- double* ps2 = (double*)malloc(p*m*k*sizeof(double));
- double* nY21 = (double*)malloc(n*m*k*sizeof(double));
- double* Gam = (double*)malloc(n*k*sizeof(double));
- double* X2 = (double*)malloc(n*p*k*sizeof(double));
- double* Y2 = (double*)malloc(n*m*k*sizeof(double));
+ float* b = (float*)malloc(k*sizeof(float));
+ float* Phi = (float*)malloc(p*m*k*sizeof(float));
+ float* Rho = (float*)malloc(m*m*k*sizeof(float));
+ float* Pi = (float*)malloc(k*sizeof(float));
+ float* gam2 = (float*)malloc(k*sizeof(float));
+ float* pi2 = (float*)malloc(k*sizeof(float));
+ float* Gram2 = (float*)malloc(p*p*k*sizeof(float));
+ float* ps = (float*)malloc(m*k*sizeof(float));
+ float* nY2 = (float*)malloc(m*k*sizeof(float));
+ float* ps1 = (float*)malloc(n*m*k*sizeof(float));
+ float* ps2 = (float*)malloc(p*m*k*sizeof(float));
+ float* nY21 = (float*)malloc(n*m*k*sizeof(float));
+ float* Gam = (float*)malloc(n*k*sizeof(float));
+ float* X2 = (float*)malloc(n*p*k*sizeof(float));
+ float* Y2 = (float*)malloc(n*m*k*sizeof(float));
gsl_matrix* matrix = gsl_matrix_alloc(m, m);
gsl_permutation* permutation = gsl_permutation_alloc(m);
gsl_matrix* matrix = gsl_matrix_alloc(m, m);
gsl_permutation* permutation = gsl_permutation_alloc(m);
- double* YiRhoR = (double*)malloc(m*sizeof(double));
- double* XiPhiR = (double*)malloc(m*sizeof(double));
- double dist = 0.;
- double dist2 = 0.;
+ float* YiRhoR = (float*)malloc(m*sizeof(float));
+ float* XiPhiR = (float*)malloc(m*sizeof(float));
+ float dist = 0.;
+ float dist2 = 0.;
//ps2(:,mm,r)=transpose(X2(:,:,r))*Y2(:,mm,r);
for (int u=0; u<p; u++)
{
//ps2(:,mm,r)=transpose(X2(:,:,r))*Y2(:,mm,r);
for (int u=0; u<p; u++)
{
for (int v=0; v<n; v++)
dotProduct += X2[ai(v,u,r,n,m,k)] * Y2[ai(v,mm,r,n,m,k)];
ps2[ai(u,mm,r,n,m,k)] = dotProduct;
for (int v=0; v<n; v++)
dotProduct += X2[ai(v,u,r,n,m,k)] * Y2[ai(v,mm,r,n,m,k)];
ps2[ai(u,mm,r,n,m,k)] = dotProduct;
for (int s=0; s<p; s++)
{
//Gram2(j,s,r)=transpose(X2(:,j,r))*(X2(:,s,r));
for (int s=0; s<p; s++)
{
//Gram2(j,s,r)=transpose(X2(:,j,r))*(X2(:,s,r));
for (int u=0; u<n; u++)
dotProduct += X2[ai(u,j,r,n,p,k)] * X2[ai(u,s,r,n,p,k)];
Gram2[ai(j,s,r,p,p,k)] = dotProduct;
for (int u=0; u<n; u++)
dotProduct += X2[ai(u,j,r,n,p,k)] * X2[ai(u,s,r,n,p,k)];
Gram2[ai(j,s,r,p,p,k)] = dotProduct;
for (int u=0; u<p; u++)
for (int v=0; v<m; v++)
sumAbsPhi += fabs(phi[ai(u,v,r,p,m,k)]);
for (int u=0; u<p; u++)
for (int v=0; v<m; v++)
sumAbsPhi += fabs(phi[ai(u,v,r,p,m,k)]);
for (int v=0; v<n; v++)
sumOnColumn += gam[mi(v,u,n,k)];
gam2[u] = sumOnColumn;
}
//a=sum(gam*transpose(log(pi)));
for (int v=0; v<n; v++)
sumOnColumn += gam[mi(v,u,n,k)];
gam2[u] = sumOnColumn;
}
//a=sum(gam*transpose(log(pi)));
for (int v=0; v<k; v++)
dotProduct += gam[mi(u,v,n,k)] * log(pi[v]);
a += dotProduct;
for (int v=0; v<k; v++)
dotProduct += gam[mi(u,v,n,k)] * log(pi[v]);
a += dotProduct;
for (int v=0; v<k; v++)
pi2PowGammaDotB += pow(pi2[v],gamma) * b[v];
//transpose(gam2)*log(pi2)
for (int v=0; v<k; v++)
pi2PowGammaDotB += pow(pi2[v],gamma) * b[v];
//transpose(gam2)*log(pi2)
for (int i=0; i<n; i++)
{
//< X2(i,:,r) , phi(:,mm,r) >
for (int i=0; i<n; i++)
{
//< X2(i,:,r) , phi(:,mm,r) >
for (int u=0; u<p; u++)
dotProduct += X2[ai(i,u,r,n,p,k)] * phi[ai(u,mm,r,n,m,k)];
//ps1(i,mm,r)=Y2(i,mm,r)*dot(X2(i,:,r),phi(:,mm,r));
for (int u=0; u<p; u++)
dotProduct += X2[ai(i,u,r,n,p,k)] * phi[ai(u,mm,r,n,m,k)];
//ps1(i,mm,r)=Y2(i,mm,r)*dot(X2(i,:,r),phi(:,mm,r));
nY21[ai(i,mm,r,n,m,k)] = Y2[ai(i,mm,r,n,m,k)] * Y2[ai(i,mm,r,n,m,k)];
}
//ps(mm,r)=sum(ps1(:,mm,r));
nY21[ai(i,mm,r,n,m,k)] = Y2[ai(i,mm,r,n,m,k)] * Y2[ai(i,mm,r,n,m,k)];
}
//ps(mm,r)=sum(ps1(:,mm,r));
for (int u=0; u<n; u++)
sumPs1 += ps1[ai(u,mm,r,n,m,k)];
ps[mi(mm,r,m,k)] = sumPs1;
//nY2(mm,r)=sum(nY21(:,mm,r));
for (int u=0; u<n; u++)
sumPs1 += ps1[ai(u,mm,r,n,m,k)];
ps[mi(mm,r,m,k)] = sumPs1;
//nY2(mm,r)=sum(nY21(:,mm,r));
for (int u=0; u<n; u++)
sumNy21 += nY21[ai(u,mm,r,n,m,k)];
nY2[mi(mm,r,m,k)] = sumNy21;
//rho(mm,mm,r)=((ps(mm,r)+sqrt(ps(mm,r)^2+4*nY2(mm,r)*(gam2(r))))/(2*nY2(mm,r)));
for (int u=0; u<n; u++)
sumNy21 += nY21[ai(u,mm,r,n,m,k)];
nY2[mi(mm,r,m,k)] = sumNy21;
//rho(mm,mm,r)=((ps(mm,r)+sqrt(ps(mm,r)^2+4*nY2(mm,r)*(gam2(r))))/(2*nY2(mm,r)));
- rho[ai(mm,mm,k,m,m,k)] = ( ps[mi(mm,r,m,k)] + sqrt( ps[mi(mm,r,m,k)]*ps[mi(mm,r,m,k)]
+ rho[ai(mm,mm,k,m,m,k)] = ( ps[mi(mm,r,m,k)] + sqrt( ps[mi(mm,r,m,k)]*ps[mi(mm,r,m,k)]
+ 4*nY2[mi(mm,r,m,k)] * (gam2[r]) ) ) / (2*nY2[mi(mm,r,m,k)]);
}
}
+ 4*nY2[mi(mm,r,m,k)] * (gam2[r]) ) ) / (2*nY2[mi(mm,r,m,k)]);
}
}
- //sum(phi(1:j-1,mm,r).*transpose(Gram2(j,1:j-1,r)))+sum(phi(j+1:p,mm,r).*transpose(Gram2(j,j+1:p,r)))
- double dotPhiGram2 = 0.0;
+ //sum(phi(1:j-1,mm,r).*transpose(Gram2(j,1:j-1,r)))+sum(phi(j+1:p,mm,r)
+ // .*transpose(Gram2(j,j+1:p,r)))
+ float dotPhiGram2 = 0.0;
for (int u=0; u<j; u++)
dotPhiGram2 += phi[ai(u,mm,r,p,m,k)] * Gram2[ai(j,u,r,p,p,k)];
for (int u=j+1; u<p; u++)
dotPhiGram2 += phi[ai(u,mm,r,p,m,k)] * Gram2[ai(j,u,r,p,p,k)];
//S(j,r,mm)=-rho(mm,mm,r)*ps2(j,mm,r)+sum(phi(1:j-1,mm,r).*transpose(Gram2(j,1:j-1,r)))
for (int u=0; u<j; u++)
dotPhiGram2 += phi[ai(u,mm,r,p,m,k)] * Gram2[ai(j,u,r,p,p,k)];
for (int u=j+1; u<p; u++)
dotPhiGram2 += phi[ai(u,mm,r,p,m,k)] * Gram2[ai(j,u,r,p,p,k)];
//S(j,r,mm)=-rho(mm,mm,r)*ps2(j,mm,r)+sum(phi(1:j-1,mm,r).*transpose(Gram2(j,1:j-1,r)))
- // +sum(phi(j+1:p,mm,r).*transpose(Gram2(j,j+1:p,r)));
+ // +sum(phi(j+1:p,mm,r).*transpose(Gram2(j,j+1:p,r)));
S[ai(j,mm,r,p,m,k)] = -rho[ai(mm,mm,r,m,m,k)] * ps2[ai(j,mm,r,p,m,k)] + dotPhiGram2;
if (fabs(S[ai(j,mm,r,p,m,k)]) <= n*lambda*pow(pi[r],gamma))
phi[ai(j,mm,r,p,m,k)] = 0;
else if (S[ai(j,mm,r,p,m,k)] > n*lambda*pow(pi[r],gamma))
S[ai(j,mm,r,p,m,k)] = -rho[ai(mm,mm,r,m,m,k)] * ps2[ai(j,mm,r,p,m,k)] + dotPhiGram2;
if (fabs(S[ai(j,mm,r,p,m,k)]) <= n*lambda*pow(pi[r],gamma))
phi[ai(j,mm,r,p,m,k)] = 0;
else if (S[ai(j,mm,r,p,m,k)] > n*lambda*pow(pi[r],gamma))
- phi[ai(j,mm,r,p,m,k)] = (n*lambda*pow(pi[r],gamma) - S[ai(j,mm,r,p,m,k)])
+ phi[ai(j,mm,r,p,m,k)] = (n*lambda*pow(pi[r],gamma) - S[ai(j,mm,r,p,m,k)])
/ Gram2[ai(j,j,r,p,p,k)];
else
/ Gram2[ai(j,j,r,p,p,k)];
else
- phi[ai(j,mm,r,p,m,k)] = -(n*lambda*pow(pi[r],gamma) + S[ai(j,mm,r,p,m,k)])
+ phi[ai(j,mm,r,p,m,k)] = -(n*lambda*pow(pi[r],gamma) + S[ai(j,mm,r,p,m,k)])
/ Gram2[ai(j,j,r,p,p,k)];
}
}
/ Gram2[ai(j,j,r,p,p,k)];
}
}
for (int r=0; r<k; r++)
{
//Compute
//Gam(i,r) = Pi(r) * det(Rho(:,:,r)) * exp( -1/2 * (Y(i,:)*Rho(:,:,r) - X(i,:)...
for (int r=0; r<k; r++)
{
//Compute
//Gam(i,r) = Pi(r) * det(Rho(:,:,r)) * exp( -1/2 * (Y(i,:)*Rho(:,:,r) - X(i,:)...
- // *phi(:,:,r)) * transpose( Y(i,:)*Rho(:,:,r) - X(i,:)*phi(:,:,r) ) );
+ // *phi(:,:,r)) * transpose( Y(i,:)*Rho(:,:,r) - X(i,:)*phi(:,:,r) ) );
//split in several sub-steps
//compute Y(i,:)*rho(:,:,r)
//split in several sub-steps
//compute Y(i,:)*rho(:,:,r)
- YiRhoR[u] += Y[imi(i,v,n,m)] * rho[ai(v,u,r,m,m,k)];
+ YiRhoR[u] += Y[mi(i,v,n,m)] * rho[ai(v,u,r,m,m,k)];
}
//compute X(i,:)*phi(:,:,r)
}
//compute X(i,:)*phi(:,:,r)
XiPhiR[u] += X[mi(i,v,n,p)] * phi[ai(v,u,r,p,m,k)];
}
XiPhiR[u] += X[mi(i,v,n,p)] * phi[ai(v,u,r,p,m,k)];
}
- // compute dotProduct < Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) . Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) >
+ //compute dotProduct
+ // < Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) . Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) >
dotProducts[r] = 0.0;
for (int u=0; u<m; u++)
dotProducts[r] += (YiRhoR[u]-XiPhiR[u]) * (YiRhoR[u]-XiPhiR[u]);
if (dotProducts[r] < minDotProduct)
minDotProduct = dotProducts[r];
}
dotProducts[r] = 0.0;
for (int u=0; u<m; u++)
dotProducts[r] += (YiRhoR[u]-XiPhiR[u]) * (YiRhoR[u]-XiPhiR[u]);
if (dotProducts[r] < minDotProduct)
minDotProduct = dotProducts[r];
}
matrix->data[u*m+v] = rho[ai(u,v,r,m,m,k)];
}
gsl_linalg_LU_decomp(matrix, permutation, &signum);
matrix->data[u*m+v] = rho[ai(u,v,r,m,m,k)];
}
gsl_linalg_LU_decomp(matrix, permutation, &signum);
Gam[mi(i,r,n,k)] = pi[r] * detRhoR * exp(-0.5*dotProducts[r] + shift);
sumLLF1 += Gam[mi(i,r,n,k)] / pow(2*M_PI,m/2.0);
Gam[mi(i,r,n,k)] = pi[r] * detRhoR * exp(-0.5*dotProducts[r] + shift);
sumLLF1 += Gam[mi(i,r,n,k)] / pow(2*M_PI,m/2.0);
for (int r=0; r<k; r++)
sumPen += pow(pi[r],gamma) * b[r];
//LLF(ite)=-1/n*sum(log(LLF2(ite,:)))+lambda*sum(pen(ite,:));
for (int r=0; r<k; r++)
sumPen += pow(pi[r],gamma) * b[r];
//LLF(ite)=-1/n*sum(log(LLF2(ite,:)))+lambda*sum(pen(ite,:));
dist = (LLF[ite] - LLF[ite-1]) / (1.0 + fabs(LLF[ite]));
//Dist1=max(max((abs(phi-Phi))./(1+abs(phi))));
dist = (LLF[ite] - LLF[ite-1]) / (1.0 + fabs(LLF[ite]));
//Dist1=max(max((abs(phi-Phi))./(1+abs(phi))));
- double tmpDist = fabs(phi[ai(u,v,w,p,m,k)]-Phi[ai(u,v,w,p,m,k)])
+ float tmpDist = fabs(phi[ai(u,v,w,p,m,k)]-Phi[ai(u,v,w,p,m,k)])
/ (1.0+fabs(phi[ai(u,v,w,p,m,k)]));
if (tmpDist > Dist1)
Dist1 = tmpDist;
/ (1.0+fabs(phi[ai(u,v,w,p,m,k)]));
if (tmpDist > Dist1)
Dist1 = tmpDist;
- double tmpDist = fabs(rho[ai(u,v,w,m,m,k)]-Rho[ai(u,v,w,m,m,k)])
+ float tmpDist = fabs(rho[ai(u,v,w,m,m,k)]-Rho[ai(u,v,w,m,m,k)])
/ (1.0+fabs(rho[ai(u,v,w,m,m,k)]));
if (tmpDist > Dist2)
Dist2 = tmpDist;
/ (1.0+fabs(rho[ai(u,v,w,m,m,k)]));
if (tmpDist > Dist2)
Dist2 = tmpDist;