// TODO: don't recompute indexes every time......
void EMGLLF_core(
// IN parameters
- 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
+ const Real* phiInit, // parametre initial de moyenne renormalisé
+ const Real* rhoInit, // parametre initial de variance renormalisé
+ const Real* piInit, // parametre initial des proportions
+ const Real* 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
+ Real gamma, // puissance des proportions dans la pénalisation pour un Lasso adaptatif
+ Real lambda, // valeur du paramètre de régularisation du Lasso
+ const Real* X, // régresseurs
+ const Real* Y, // réponse
+ Real tau, // seuil pour accepter la convergence
// OUT parameters (all pointers, to be modified)
- 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,
+ Real* phi, // parametre de moyenne renormalisé, calculé par l'EM
+ Real* rho, // parametre de variance renormalisé, calculé par l'EM
+ Real* pi, // parametre des proportions renormalisé, calculé par l'EM
+ Real* LLF, // log vraisemblance associée à cet échantillon, pour les valeurs estimées des paramètres
+ Real* S,
// additional size parameters
int n, // nombre d'echantillons
int p, // nombre de covariables
//Other local variables
//NOTE: variables order is always [maxi],n,p,m,k
- float* gam = (float*)malloc(n*k*sizeof(float));
+ Real* gam = (Real*)malloc(n*k*sizeof(Real));
copyArray(gamInit, gam, n*k);
- 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));
+ Real* b = (Real*)malloc(k*sizeof(Real));
+ Real* Phi = (Real*)malloc(p*m*k*sizeof(Real));
+ Real* Rho = (Real*)malloc(m*m*k*sizeof(Real));
+ Real* Pi = (Real*)malloc(k*sizeof(Real));
+ Real* gam2 = (Real*)malloc(k*sizeof(Real));
+ Real* pi2 = (Real*)malloc(k*sizeof(Real));
+ Real* Gram2 = (Real*)malloc(p*p*k*sizeof(Real));
+ Real* ps = (Real*)malloc(m*k*sizeof(Real));
+ Real* nY2 = (Real*)malloc(m*k*sizeof(Real));
+ Real* ps1 = (Real*)malloc(n*m*k*sizeof(Real));
+ Real* ps2 = (Real*)malloc(p*m*k*sizeof(Real));
+ Real* nY21 = (Real*)malloc(n*m*k*sizeof(Real));
+ Real* Gam = (Real*)malloc(n*k*sizeof(Real));
+ Real* X2 = (Real*)malloc(n*p*k*sizeof(Real));
+ Real* Y2 = (Real*)malloc(n*m*k*sizeof(Real));
gsl_matrix* matrix = gsl_matrix_alloc(m, m);
gsl_permutation* permutation = gsl_permutation_alloc(m);
- float* YiRhoR = (float*)malloc(m*sizeof(float));
- float* XiPhiR = (float*)malloc(m*sizeof(float));
- float dist = 0.;
- float dist2 = 0.;
+ Real* YiRhoR = (Real*)malloc(m*sizeof(Real));
+ Real* XiPhiR = (Real*)malloc(m*sizeof(Real));
+ Real dist = 0.;
+ Real dist2 = 0.;
int ite = 0;
- float EPS = 1e-15;
- float* dotProducts = (float*)malloc(k*sizeof(float));
+ Real EPS = 1e-15;
+ Real* dotProducts = (Real*)malloc(k*sizeof(Real));
while (ite < mini || (ite < maxi && (dist >= tau || dist2 >= sqrt(tau))))
{
//ps2(:,mm,r)=transpose(X2(:,:,r))*Y2(:,mm,r);
for (int u=0; u<p; u++)
{
- float dotProduct = 0.;
+ Real dotProduct = 0.;
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));
- float dotProduct = 0.;
+ Real dotProduct = 0.;
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 r=0; r<k; r++)
{
//b(r) = sum(sum(abs(phi(:,:,r))));
- float sumAbsPhi = 0.;
+ Real sumAbsPhi = 0.;
for (int u=0; u<p; u++)
for (int v=0; v<m; v++)
sumAbsPhi += fabs(phi[ai(u,v,r,p,m,k)]);
//gam2 = sum(gam,1);
for (int u=0; u<k; u++)
{
- float sumOnColumn = 0.;
+ Real sumOnColumn = 0.;
for (int v=0; v<n; v++)
sumOnColumn += gam[mi(v,u,n,k)];
gam2[u] = sumOnColumn;
}
//a=sum(gam*transpose(log(pi)));
- float a = 0.;
+ Real a = 0.;
for (int u=0; u<n; u++)
{
- float dotProduct = 0.;
+ Real dotProduct = 0.;
for (int v=0; v<k; v++)
dotProduct += gam[mi(u,v,n,k)] * log(pi[v]);
a += dotProduct;
//tant que les proportions sont negatives
int kk = 0;
int pi2AllPositive = 0;
- float invN = 1./n;
+ Real invN = 1./n;
while (!pi2AllPositive)
{
//pi2(:)=pi(:)+0.1^kk*(1/n*gam2(:)-pi(:));
//t(m) la plus grande valeur dans la grille O.1^k tel que ce soit décroissante ou constante
//(pi.^gamma)*b
- float piPowGammaDotB = 0.;
+ Real piPowGammaDotB = 0.;
for (int v=0; v<k; v++)
piPowGammaDotB += pow(pi[v],gamma) * b[v];
//(pi2.^gamma)*b
- float pi2PowGammaDotB = 0.;
+ Real pi2PowGammaDotB = 0.;
for (int v=0; v<k; v++)
pi2PowGammaDotB += pow(pi2[v],gamma) * b[v];
//transpose(gam2)*log(pi2)
- float prodGam2logPi2 = 0.;
+ Real prodGam2logPi2 = 0.;
for (int v=0; v<k; v++)
prodGam2logPi2 += gam2[v] * log(pi2[v]);
while (-invN*a + lambda*piPowGammaDotB < -invN*prodGam2logPi2 + lambda*pi2PowGammaDotB
prodGam2logPi2 += gam2[v] * log(pi2[v]);
kk++;
}
- float t = pow(0.1,kk);
+ Real t = pow(0.1,kk);
//sum(pi+t*(pi2-pi))
- float sumPiPlusTbyDiff = 0.;
+ Real sumPiPlusTbyDiff = 0.;
for (int v=0; v<k; v++)
sumPiPlusTbyDiff += (pi[v] + t*(pi2[v] - pi[v]));
//pi=(pi+t*(pi2-pi))/sum(pi+t*(pi2-pi));
for (int i=0; i<n; i++)
{
//< X2(i,:,r) , phi(:,mm,r) >
- float dotProduct = 0.0;
+ Real dotProduct = 0.0;
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));
- float sumPs1 = 0.0;
+ Real sumPs1 = 0.0;
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));
- float sumNy21 = 0.0;
+ Real sumNy21 = 0.0;
for (int u=0; u<n; u++)
sumNy21 += nY21[ai(u,mm,r,n,m,k)];
nY2[mi(mm,r,m,k)] = sumNy21;
{
//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;
+ Real 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++)
/////////////
int signum;
- float sumLogLLF2 = 0.0;
+ Real sumLogLLF2 = 0.0;
for (int i=0; i<n; i++)
{
- float sumLLF1 = 0.0;
- float sumGamI = 0.0;
- float minDotProduct = INFINITY;
+ Real sumLLF1 = 0.0;
+ Real sumGamI = 0.0;
+ Real minDotProduct = INFINITY;
for (int r=0; r<k; r++)
{
if (dotProducts[r] < minDotProduct)
minDotProduct = dotProducts[r];
}
- float shift = 0.5*minDotProduct;
+ Real shift = 0.5*minDotProduct;
for (int r=0; r<k; r++)
{
//compute det(rho(:,:,r)) [TODO: avoid re-computations]
matrix->data[u*m+v] = rho[ai(u,v,r,m,m,k)];
}
gsl_linalg_LU_decomp(matrix, permutation, &signum);
- float detRhoR = gsl_linalg_LU_det(matrix, signum);
+ Real detRhoR = gsl_linalg_LU_det(matrix, 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);
}
//sum(pen(ite,:))
- float sumPen = 0.0;
+ Real sumPen = 0.0;
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,:));
dist = (LLF[ite] - LLF[ite-1]) / (1.0 + fabs(LLF[ite]));
//Dist1=max(max((abs(phi-Phi))./(1+abs(phi))));
- float Dist1 = 0.0;
+ Real Dist1 = 0.0;
for (int u=0; u<p; u++)
{
for (int v=0; v<m; v++)
{
for (int w=0; w<k; w++)
{
- float tmpDist = fabs(phi[ai(u,v,w,p,m,k)]-Phi[ai(u,v,w,p,m,k)])
+ Real 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;
}
}
//Dist2=max(max((abs(rho-Rho))./(1+abs(rho))));
- float Dist2 = 0.0;
+ Real Dist2 = 0.0;
for (int u=0; u<m; u++)
{
for (int v=0; v<m; v++)
{
for (int w=0; w<k; w++)
{
- float tmpDist = fabs(rho[ai(u,v,w,m,m,k)]-Rho[ai(u,v,w,m,m,k)])
+ Real 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;
}
}
//Dist3=max(max((abs(pi-Pi))./(1+abs(Pi))));
- float Dist3 = 0.0;
+ Real Dist3 = 0.0;
for (int u=0; u<n; u++)
{
for (int v=0; v<k; v++)
{
- float tmpDist = fabs(pi[v]-Pi[v]) / (1.0+fabs(pi[v]));
+ Real tmpDist = fabs(pi[v]-Pi[v]) / (1.0+fabs(pi[v]));
if (tmpDist > Dist3)
Dist3 = tmpDist;
}
projects / valse.git / blobdiff