projects / valse.git / blame
| Commit | Line | Data |
|---|---|---|
| c2028869 BG |
1 | EMGLLF = function(Pi, Rho, mini, maxi, X, Y, tau, rank){ |
| 2 | #matrix dimensions | |
| 3 | n = dim(X)[1] | |
| 4 | p = dim(X)[2] | |
| 5 | m = dim(Rho)[2] | |
| 6 | k = dim(Rho)[3] | |
| 7 | ||
| 8 | #init outputs | |
| 9 | phi = array(0, dim=c(p,m,k)) | |
| 10 | Z = rep(1, n) | |
| 11 | Pi = piInit | |
| 12 | LLF = 0 | |
| 13 | ||
| 14 | #local variables | |
| 15 | Phi = array(0, dim=c(p,m,k)) | |
| 16 | deltaPhi = c(0) | |
| 17 | sumDeltaPhi = 0 | |
| 18 | deltaPhiBufferSize = 20 | |
| 19 | ||
| 20 | #main loop | |
| 21 | ite = 1 | |
| 22 | while(ite<=mini || (ite<=maxi && sumDeltaPhi>tau)){ | |
| 23 | #M step: Mise à jour de Beta (et donc phi) | |
| 24 | for(r in 1:k){ | |
| 25 | Z_bin = vec_bin(Z,r) | |
| 26 | Z_vec = Z_bin$vec #vecteur 0 et 1 aux endroits o? Z==r | |
| 27 | Z_indice = Z_bin$indice | |
| 28 | if(sum(Z_indice) == 0){ | |
| 29 | next | |
| 30 | } | |
| 31 | #U,S,V = SVD of (t(Xr)Xr)^{-1} * t(Xr) * Yr | |
| 32 | [U,S,V] = svd(ginv(crossprod(X[Z_indice,]))%*% (X[Z_indice,])%*%Y[Z_indice,] ) | |
| 33 | #Set m-rank(r) singular values to zero, and recompose | |
| 34 | #best rank(r) approximation of the initial product | |
| 35 | S[rank(r)+1:end,] = 0 | |
| 36 | phi[,,r] = U %*%S%*%t(V)%*%Rho[,,r] | |
| 37 | } | |
| 38 | ||
| 39 | #Etape E et calcul de LLF | |
| 40 | sumLogLLF2 = 0 | |
| 41 | for(i in 1:n){ | |
| 42 | sumLLF1 = 0 | |
| 43 | maxLogGamIR = -Inf | |
| 44 | for(r in 1:k){ | |
| 45 | dotProduct = tcrossprod(Y[i,]%*%Rho[,,r]-X[i,]%*%phi[,,r]) | |
| 46 | logGamIR = log(Pi[r]) + log(det(Rho[,,r])) - 0.5*dotProduct | |
| 47 | #Z[i] = index of max (gam[i,]) | |
| 48 | if(logGamIR > maxLogGamIR){ | |
| 49 | Z[i] = r | |
| 50 | maxLogGamIR = logGamIR | |
| 51 | } | |
| 52 | sumLLF1 = sumLLF1 + exp(logGamIR) / (2*pi)^(m/2) | |
| 53 | } | |
| 54 | sumLogLLF2 = sumLogLLF2 + log(sumLLF1) | |
| 55 | } | |
| 56 | ||
| 57 | LLF = -1/n * sumLogLLF2 | |
| 58 | ||
| 59 | #update distance parameter to check algorithm convergence (delta(phi, Phi)) | |
| 60 | deltaPhi = c(deltaPhi, max(max(max((abs(phi-Phi))/(1+abs(phi))))) ) | |
| 61 | if(length(deltaPhi) > deltaPhiBufferSize){ | |
| 62 | deltaPhi = deltaPhi[2:length(deltaPhi)] | |
| 63 | } | |
| 64 | sumDeltaPhi = sum(abs(deltaPhi)) | |
| 65 | ||
| 66 | #update other local variables | |
| 67 | Phi = phi | |
| 68 | ite = ite+1 | |
| 69 | ||
| 70 | } | |
| 71 | return(list(phi=phi, LLF=LLF)) | |
| 72 | } |