+++ /dev/null
-EMGLLF = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,tau)
-{
- #matrix dimensions
- n = dim(X)[1]
- p = dim(phiInit)[1]
- m = dim(phiInit)[2]
- k = dim(phiInit)[3]
-
- #init outputs
- phi = phiInit
- rho = rhoInit
- pi = piInit
- LLF = rep(0, maxi)
- S = array(0, dim=c(p,m,k))
-
- gam = gamInit
- Gram2 = array(0, dim=c(p,p,k))
- ps2 = array(0, dim=c(p,m,k))
- b = rep(0, k)
- pen = matrix(0, maxi, k)
- X2 = array(0, dim=c(n,p,k))
- Y2 = array(0, dim=c(n,m,k))
- dist = 0
- dist2 = 0
- ite = 1
- pi2 = rep(0, k)
- ps = matrix(0, m,k)
- nY2 = matrix(0, m,k)
- ps1 = array(0, dim=c(n,m,k))
- nY21 = array(0, dim=c(n,m,k))
- Gam = matrix(0, n,k)
- EPS = 1E-15
-
- while(ite <= mini || (ite<= maxi && (dist>= tau || dist2 >= sqrt(tau))))
- {
- Phi = phi
- Rho = rho
- Pi = pi
-
- #calcul associé à Y et X
- for(r in 1:k)
- {
- for (mm in 1:m)
- Y2[,mm,r] = sqrt(gam[,r]) * Y[,mm]
- for (i in 1:n)
- X2[i,,r] = sqrt(gam[i,r]) * X[i,]
- for (mm in 1:m)
- ps2[,mm,r] = crossprod(X2[,,r],Y2[,mm,r])
- for (j in 1:p)
- {
- for (s in 1:p)
- Gram2[j,s,r] = crossprod(X2[,j,r], X2[,s,r])
- }
- }
-
- ##########
- #Etape M #
- ##########
-
- #pour pi
- for (r in 1:k)
- b[r] = sum(abs(phi[,,r]))
- gam2 = colSums(gam)
- a = sum(gam %*% log(pi))
-
- #tant que les props sont negatives
- kk = 0
- pi2AllPositive = FALSE
- while (!pi2AllPositive)
- {
- pi2 = pi + 0.1^kk * ((1/n)*gam2 - pi)
- pi2AllPositive = all(pi2 >= 0)
- kk = kk+1
- }
-
-#if (ite==2) browser()
- #t[m] la plus grande valeur dans la grille O.1^k tel que ce soit décroissante ou constante
- while( kk < 1000 && -a/n + lambda * sum(pi^gamma * b) <
- -sum(gam2 * log(pi2))/n + lambda * sum(pi2^gamma * b) )
- {
- pi2 = pi + 0.1^kk * (1/n*gam2 - pi)
- kk = kk + 1
- }
- t = 0.1^kk
- pi = (pi + t*(pi2-pi)) / sum(pi + t*(pi2-pi))
-
- #Pour phi et rho
- for (r in 1:k)
- {
- for (mm in 1:m)
- {
- for (i in 1:n)
- {
- ps1[i,mm,r] = Y2[i,mm,r] * sum(X2[i,,r] * phi[,mm,r])
- nY21[i,mm,r] = Y2[i,mm,r]^2
- }
- ps[mm,r] = sum(ps1[,mm,r])
- nY2[mm,r] = sum(nY21[,mm,r])
-
-#TODO: debug rho computation
- rho[mm,mm,r] = (ps[mm,r]+sqrt(ps[mm,r]^2+4*nY2[mm,r]*gam2[r])) / (2*nY2[mm,r])
- }
- }
- for (r in 1:k)
- {
- for (j in 1:p)
- {
- for (mm in 1:m)
- {
- 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)
- if (abs(S[j,mm,r]) <= n*lambda*(pi[r]^gamma))
- phi[j,mm,r]=0
- else if(S[j,mm,r] > n*lambda*(pi[r]^gamma))
- phi[j,mm,r] = (n*lambda*(pi[r]^gamma)-S[j,mm,r]) / Gram2[j,j,r]
- else
- phi[j,mm,r] = -(n*lambda*(pi[r]^gamma)+S[j,mm,r]) / Gram2[j,j,r]
- }
- }
- }
-
- ##########
- #Etape E #
- ##########
- sumLogLLF2 = 0
- for (i in 1:n)
- {
- #precompute sq norms to numerically adjust their values
- sqNorm2 = rep(0,k)
- for (r in 1:k)
- sqNorm2[r] = sum( (Y[i,]%*%rho[,,r]-X[i,]%*%phi[,,r])^2 )
- shift = 0.5*min(sqNorm2)
-
- #compute Gam(:,:) using shift determined above
- sumLLF1 = 0.0;
- for (r in 1:k)
- {
- #FIXME: numerical problems, because 0 < det(Rho[,,r] < EPS; what to do ?!
- # consequence: error in while() at line 77
- Gam[i,r] = pi[r] * exp(-0.5*sqNorm2[r] + shift) #* det(rho[,,r])
- sumLLF1 = sumLLF1 + Gam[i,r] / (2*base::pi)^(m/2)
- }
- sumLogLLF2 = sumLogLLF2 + log(sumLLF1)
- sumGamI = sum(Gam[i,])
- if(sumGamI > EPS)
- gam[i,] = Gam[i,] / sumGamI
- else
- gam[i,] = rep(0,k)
- }
-
- sumPen = sum(pi^gamma * b)
- LLF[ite] = -sumLogLLF2/n + lambda*sumPen
-
- dist = ifelse( ite == 1, LLF[ite], (LLF[ite]-LLF[ite-1]) / (1+abs(LLF[ite])) )
-
- Dist1 = max( (abs(phi-Phi)) / (1+abs(phi)) )
- Dist2 = max( (abs(rho-Rho)) / (1+abs(rho)) )
- Dist3 = max( (abs(pi-Pi)) / (1+abs(Pi)) )
- dist2 = max(Dist1,Dist2,Dist3)
-
- ite = ite+1
- }
-
- return(list("phi"=phi, "rho"=rho, "pi"=pi, "LLF"=LLF, "S"=S))
-}
projects / valse.git / blobdiff