//S is already allocated, and doesn't need to be 'zeroed'
//Other local variables
- //NOTE: variables order is always [maxi],n,p,m,k
Real* gam = (Real*)malloc(n*k*sizeof(Real));
copyArray(gamInit, gam, n*k);
Real* b = (Real*)malloc(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));
+ Real* sqNorm2 = (Real*)malloc(k*sizeof(Real));
gsl_matrix* matrix = gsl_matrix_alloc(m, m);
gsl_permutation* permutation = gsl_permutation_alloc(m);
Real* YiRhoR = (Real*)malloc(m*sizeof(Real));
Real dist = 0.;
Real dist2 = 0.;
int ite = 0;
- Real EPS = 1e-15;
- Real* dotProducts = (Real*)malloc(k*sizeof(Real));
+ const Real EPS = 1e-15;
+ const Real gaussConstM = pow(2.*M_PI,m/2.);
while (ite < mini || (ite < maxi && (dist >= tau || dist2 >= sqrt(tau))))
{
{
for (int mm=0; mm<m; mm++)
{
- //Y2(:,mm,r)=sqrt(gam(:,r)).*transpose(Y(mm,:));
+ //Y2[,mm,r] = sqrt(gam[,r]) * Y[,mm]
for (int u=0; u<n; u++)
Y2[ai(u,mm,r,n,m,k)] = sqrt(gam[mi(u,r,n,k)]) * Y[mi(u,mm,m,n)];
}
for (int i=0; i<n; i++)
{
- //X2(i,:,r)=X(i,:).*sqrt(gam(i,r));
+ //X2[i,,r] = sqrt(gam[i,r]) * X[i,]
for (int u=0; u<p; u++)
X2[ai(i,u,r,n,p,k)] = sqrt(gam[mi(i,r,n,k)]) * X[mi(i,u,n,p)];
}
for (int mm=0; mm<m; mm++)
{
- //ps2(:,mm,r)=transpose(X2(:,:,r))*Y2(:,mm,r);
+ //ps2[,mm,r] = crossprod(X2[,,r],Y2[,mm,r])
for (int u=0; u<p; u++)
{
Real dotProduct = 0.;
{
for (int s=0; s<p; s++)
{
- //Gram2(j,s,r)=transpose(X2(:,j,r))*(X2(:,s,r));
+ //Gram2[j,s,r] = crossprod(X2[,j,r], X2[,s,r])
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)];
// Pour pi
for (int r=0; r<k; r++)
{
- //b(r) = sum(sum(abs(phi(:,:,r))));
+ //b[r] = sum(abs(phi[,,r]))
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)]);
b[r] = sumAbsPhi;
}
- //gam2 = sum(gam,1);
+ //gam2 = colSums(gam)
for (int u=0; u<k; u++)
{
Real sumOnColumn = 0.;
sumOnColumn += gam[mi(v,u,n,k)];
gam2[u] = sumOnColumn;
}
- //a=sum(gam*transpose(log(pi)));
+ //a = sum(gam %*% log(pi))
Real a = 0.;
for (int u=0; u<n; u++)
{
Real invN = 1./n;
while (!pi2AllPositive)
{
- //pi2(:)=pi(:)+0.1^kk*(1/n*gam2(:)-pi(:));
+ //pi2 = pi + 0.1^kk * ((1/n)*gam2 - pi)
+ Real pow_01_kk = pow(0.1,kk);
for (int r=0; r<k; r++)
- pi2[r] = pi[r] + pow(0.1,kk) * (invN*gam2[r] - pi[r]);
+ pi2[r] = pi[r] + pow_01_kk * (invN*gam2[r] - pi[r]);
+ //pi2AllPositive = all(pi2 >= 0)
pi2AllPositive = 1;
for (int r=0; r<k; r++)
{
kk++;
}
- //t(m) la plus grande valeur dans la grille O.1^k tel que ce soit décroissante ou constante
//(pi.^gamma)*b
Real piPowGammaDotB = 0.;
for (int v=0; v<k; v++)
Real prodGam2logPi2 = 0.;
for (int v=0; v<k; v++)
prodGam2logPi2 += gam2[v] * log(pi2[v]);
+ //t(m) la plus grande valeur dans la grille O.1^k tel que ce soit décroissante ou constante
while (-invN*a + lambda*piPowGammaDotB < -invN*prodGam2logPi2 + lambda*pi2PowGammaDotB
&& kk<1000)
{
- //pi2=pi+0.1^kk*(1/n*gam2-pi);
+ Real pow_01_kk = pow(0.1,kk);
+ //pi2 = pi + 0.1^kk * (1/n*gam2 - pi)
for (int v=0; v<k; v++)
- pi2[v] = pi[v] + pow(0.1,kk) * (invN*gam2[v] - pi[v]);
+ pi2[v] = pi[v] + pow_01_kk * (invN*gam2[v] - pi[v]);
//pi2 was updated, so we recompute pi2PowGammaDotB and prodGam2logPi2
pi2PowGammaDotB = 0.;
for (int v=0; v<k; v++)
kk++;
}
Real t = pow(0.1,kk);
- //sum(pi+t*(pi2-pi))
+ //sum(pi + t*(pi2-pi))
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));
+ //pi = (pi + t*(pi2-pi)) / sum(pi + t*(pi2-pi))
for (int v=0; v<k; v++)
pi[v] = (pi[v] + t*(pi2[v] - pi[v])) / sumPiPlusTbyDiff;
for (int i=0; i<n; i++)
{
//< X2(i,:,r) , phi(:,mm,r) >
- Real dotProduct = 0.0;
+ Real dotProduct = 0.;
for (int u=0; u<p; u++)
dotProduct += X2[ai(i,u,r,n,p,k)] * phi[ai(u,mm,r,p,m,k)];
- //ps1(i,mm,r)=Y2(i,mm,r)*dot(X2(i,:,r),phi(:,mm,r));
+ //ps1[i,mm,r] = Y2[i,mm,r] * sum(X2[i,,r] * phi[,mm,r])
ps1[ai(i,mm,r,n,m,k)] = Y2[ai(i,mm,r,n,m,k)] * dotProduct;
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));
- Real sumPs1 = 0.0;
+ //ps[mm,r] = sum(ps1[,mm,r])
+ Real sumPs1 = 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));
- Real sumNy21 = 0.0;
+ //nY2[mm,r] = sum(nY21[,mm,r])
+ Real sumNy21 = 0.;
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[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,r,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)]);
}
}
for (int r=0; r<k; r++)
{
for (int mm=0; mm<m; mm++)
{
- //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[1:(j-1),mm,r] * Gram2[j,1:(j-1),r])
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)];
+ //sum(phi[(j+1):p,mm,r] * Gram2[j,(j+1):p,r])
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)));
+ //S[j,mm,r] = -rho[mm,mm,r]*ps2[j,mm,r] +
+ // (if(j>1) sum(phi[1:(j-1),mm,r] * Gram2[j,1:(j-1),r]) else 0) +
+ // (if(j<p) sum(phi[(j+1):p,mm,r] * Gram2[j,(j+1):p,r]) else 0)
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))
+ Real pow_pir_gamma = pow(pi[r],gamma);
+ if (fabs(S[ai(j,mm,r,p,m,k)]) <= n*lambda*pow_pir_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)])
+ else if (S[ai(j,mm,r,p,m,k)] > n*lambda*pow_pir_gamma)
+ {
+ phi[ai(j,mm,r,p,m,k)] = (n*lambda*pow_pir_gamma - S[ai(j,mm,r,p,m,k)])
/ 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_pir_gamma + S[ai(j,mm,r,p,m,k)])
/ Gram2[ai(j,j,r,p,p,k)];
+ }
}
}
}
Real sumLogLLF2 = 0.0;
for (int i=0; i<n; i++)
{
- Real sumLLF1 = 0.0;
- Real sumGamI = 0.0;
- Real minDotProduct = INFINITY;
+ Real minSqNorm2 = INFINITY;
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) ) );
- //split in several sub-steps
-
- //compute Y(i,:)*rho(:,:,r)
+ //compute Y[i,]%*%rho[,,r]
for (int u=0; u<m; u++)
{
YiRhoR[u] = 0.0;
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) >
- dotProducts[r] = 0.0;
+ //compute sq norm || Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) ||_2^2
+ sqNorm2[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];
+ sqNorm2[r] += (YiRhoR[u]-XiPhiR[u]) * (YiRhoR[u]-XiPhiR[u]);
+ if (sqNorm2[r] < minSqNorm2)
+ minSqNorm2 = sqNorm2[r];
}
- Real shift = 0.5*minDotProduct;
+ Real shift = 0.5*minSqNorm2;
+
+ Real sumLLF1 = 0.0;
+ Real sumGamI = 0.0;
for (int r=0; r<k; r++)
{
- //compute det(rho(:,:,r)) [TODO: avoid re-computations]
+ //compute det(rho[,,r]) [TODO: avoid re-computations]
for (int u=0; u<m; u++)
{
for (int v=0; v<m; v++)
gsl_linalg_LU_decomp(matrix, permutation, &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);
+ //FIXME: det(rho[,,r]) too small(?!). See EMGLLF.R
+ Gam[mi(i,r,n,k)] = pi[r] * exp(-0.5*sqNorm2[r] + shift) * detRhoR;
+ sumLLF1 += Gam[mi(i,r,n,k)] / gaussConstM;
sumGamI += Gam[mi(i,r,n,k)];
}
sumLogLLF2 += log(sumLLF1);
for (int r=0; r<k; r++)
{
- //gam(i,r)=Gam(i,r)/sum(Gam(i,:));
- gam[mi(i,r,n,k)] = sumGamI > EPS
- ? Gam[mi(i,r,n,k)] / sumGamI
- : 0.0;
+ //gam[i,] = Gam[i,] / sumGamI
+ gam[mi(i,r,n,k)] = sumGamI > EPS ? Gam[mi(i,r,n,k)] / sumGamI : 0.;
}
}
-
- //sum(pen(ite,:))
+
+ //sumPen = sum(pi^gamma * b)
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,:));
+ //LLF[ite] = -sumLogLLF2/n + lambda*sumPen
LLF[ite] = -invN * sumLogLLF2 + lambda * sumPen;
- if (ite == 0)
- dist = LLF[ite];
- else
- dist = (LLF[ite] - LLF[ite-1]) / (1.0 + fabs(LLF[ite]));
-
- //Dist1=max(max((abs(phi-Phi))./(1+abs(phi))));
+ dist = ite==0 ? LLF[ite] : (LLF[ite] - LLF[ite-1]) / (1.0 + fabs(LLF[ite]));
+
+ //Dist1 = max( abs(phi-Phi) / (1+abs(phi)) )
Real Dist1 = 0.0;
for (int u=0; u<p; u++)
{
}
}
}
- //Dist2=max(max((abs(rho-Rho))./(1+abs(rho))));
+ //Dist2 = max( (abs(rho-Rho)) / (1+abs(rho)) )
Real Dist2 = 0.0;
for (int u=0; u<m; u++)
{
}
}
}
- //Dist3=max(max((abs(pi-Pi))./(1+abs(Pi))));
+ //Dist3 = max( (abs(pi-Pi)) / (1+abs(Pi)))
Real Dist3 = 0.0;
for (int u=0; u<n; u++)
{
dist2 = Dist2;
if (Dist3 > dist2)
dist2 = Dist3;
-
+
ite++;
}
-
+
//free memory
free(b);
free(gam);
free(pi2);
free(X2);
free(Y2);
- free(dotProducts);
+ free(sqNorm2);
}
projects / valse.git / blobdiff