X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=pkg%2FR%2FEMGLLF.R;h=0158914d6d8313795aafddff3b8e63d1906b1b1f;hp=5484706995a58541c2a95c237ad8cb4d6d1a1eb9;hb=aa480ac1fef50618978307a4df2cf9da1e285abc;hpb=321e13a991a5a0e6c97225fdca436870e5e805d1

diff --git a/pkg/R/EMGLLF.R b/pkg/R/EMGLLF.R
index 5484706..0158914 100644
--- a/pkg/R/EMGLLF.R
+++ b/pkg/R/EMGLLF.R
@@ -23,11 +23,15 @@
 #'
 #' @export
 EMGLLF <- function(phiInit, rhoInit, piInit, gamInit,
-	mini, maxi, gamma, lambda, X, Y, tau)
+	mini, maxi, gamma, lambda, X, Y, tau, fast=TRUE)
 {
-	#TEMPORARY: use R version
-	return (EMGLLF_R(phiInit, rhoInit, piInit, gamInit,mini, maxi, gamma, lambda, X, Y, tau))
+	if (!fast)
+	{
+		# Function in R
+		return (EMGLLF_R(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,tau))
+	}
 
+	# Function in C
 	n = nrow(X) #nombre d'echantillons
 	p = ncol(X) #nombre de covariables
 	m = ncol(Y) #taille de Y (multivarié)
@@ -39,3 +43,148 @@ EMGLLF <- function(phiInit, rhoInit, piInit, gamInit,
 		n, p, m, k,
 		PACKAGE="valse")
 }
+
+# R version - slow but easy to read
+EMGLLF_R = 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]
+
+	# Outputs
+	phi = phiInit
+	rho = rhoInit
+	pi = piInit
+	llh = -Inf
+	S = array(0, dim=c(p,m,k))
+
+	# Algorithm variables
+	gam = gamInit
+	Gram2 = array(0, dim=c(p,p,k))
+	ps2 = array(0, dim=c(p,m,k))
+	X2 = array(0, dim=c(n,p,k))
+	Y2 = array(0, dim=c(n,m,k))
+	EPS = 1e-15
+
+	for (ite in 1:maxi)
+	{
+		# Remember last pi,rho,phi values for exit condition in the end of loop
+		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
+		b = sapply( 1:k, function(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
+		}
+
+		# 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)
+			{
+				ps = 0
+				for (i in 1:n)
+					ps = ps + Y2[i,mm,r] * sum(X2[i,,r] * phi[,mm,r])
+				nY2 = sum(Y2[,mm,r]^2)
+				rho[mm,mm,r] = (ps+sqrt(ps^2+4*nY2*gam2[r])) / (2*nY2)
+			}
+		}
+
+		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] + sum(phi[-j,mm,r] * Gram2[j,-j,r])
+					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 #
+		##########
+
+		# Precompute det(rho[,,r]) for r in 1...k
+		detRho = sapply(1:k, function(r) det(rho[,,r]))
+
+		sumLogLLH = 0
+		for (i in 1:n)
+		{
+			# Update gam[,]
+			sumGamI = 0
+			for (r in 1:k)
+			{
+				gam[i,r] = pi[r]*exp(-0.5*sum((Y[i,]%*%rho[,,r]-X[i,]%*%phi[,,r])^2))*detRho[r]
+				sumGamI = sumGamI + gam[i,r]
+			}
+			sumLogLLH = sumLogLLH + log(sumGamI) - log((2*base::pi)^(m/2))
+			if (sumGamI > EPS) #else: gam[i,] is already ~=0
+				gam[i,] = gam[i,] / sumGamI
+		}
+
+		sumPen = sum(pi^gamma * b)
+		last_llh = llh
+		llh = -sumLogLLH/n + lambda*sumPen
+		dist = ifelse( ite == 1, llh, (llh-last_llh) / (1+abs(llh)) )
+		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)
+
+		if (ite >= mini && (dist >= tau || dist2 >= sqrt(tau)))
+			break
+	}
+
+	affec = apply(gam, 1, which.max)
+	list( "phi"=phi, "rho"=rho, "pi"=pi, "llh"=llh, "S"=S, "affec"=affec )
+}