X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=pkg%2FR%2FconstructionModelesLassoMLE.R;h=75ae679f63c4678530664682c2ecf56a18bd2365;hp=8f93fb8fbf406534cf2964200fc4342ccac59871;hb=9cb34faffaa6fcb78eb8ae3bdb70fb5147d73466;hpb=96b591b7a76da9780e766ead693eb065281b6d62

diff --git a/pkg/R/constructionModelesLassoMLE.R b/pkg/R/constructionModelesLassoMLE.R
index 8f93fb8..75ae679 100644
--- a/pkg/R/constructionModelesLassoMLE.R
+++ b/pkg/R/constructionModelesLassoMLE.R
@@ -21,7 +21,7 @@
 #'
 #' @export
 constructionModelesLassoMLE <- function(phiInit, rhoInit, piInit, gamInit, mini, 
-  maxi, gamma, X, Y, eps, S, ncores = 3, fast = TRUE, verbose = FALSE)
+  maxi, gamma, X, Y, eps, S, ncores = 3, fast, verbose)
 {
   if (ncores > 1)
   {
@@ -40,10 +40,10 @@ constructionModelesLassoMLE <- function(phiInit, rhoInit, piInit, gamInit, mini,
     if (verbose) 
       print(paste("Computations for lambda=", lambda))
 
-    n <- dim(X)[1]
-    p <- dim(phiInit)[1]
-    m <- dim(phiInit)[2]
-    k <- dim(phiInit)[3]
+    n <- nrow(X)
+    p <- ncol(X)
+    m <- ncol(Y)
+    k <- length(piInit)
     sel.lambda <- S[[lambda]]$selected
     # col.sel = which(colSums(sel.lambda)!=0) #if boolean matrix
     col.sel <- which(sapply(sel.lambda, length) > 0)  #if list of selected vars
@@ -51,8 +51,8 @@ constructionModelesLassoMLE <- function(phiInit, rhoInit, piInit, gamInit, mini,
       return(NULL)
 
     # lambda == 0 because we compute the EMV: no penalization here
-    res <- EMGLLF(phiInit[col.sel, , ], rhoInit, piInit, gamInit, mini, maxi, 
-      gamma, 0, X[, col.sel], Y, eps, fast)
+    res <- EMGLLF(array(phiInit,dim=c(p,m,k))[col.sel, , ], rhoInit, piInit, gamInit,
+      mini, maxi, gamma, 0, as.matrix(X[, col.sel]), Y, eps, fast)
 
     # Eval dimension from the result + selected
     phiLambda2 <- res$phi
@@ -63,18 +63,25 @@ constructionModelesLassoMLE <- function(phiInit, rhoInit, piInit, gamInit, mini,
       phiLambda[col.sel[j], sel.lambda[[j]], ] <- phiLambda2[j, sel.lambda[[j]], ]
     dimension <- length(unlist(sel.lambda))
 
-    # Computation of the loglikelihood
-    densite <- vector("double", n)
-    for (r in 1:k)
+    ## Computation of the loglikelihood
+    # Precompute det(rhoLambda[,,r]) for r in 1...k
+    detRho <- sapply(1:k, function(r) gdet(rhoLambda[, , r]))
+    sumLogLLH <- 0
+    for (i in 1:n)
     {
-      if (length(col.sel) == 1)
-      {
-        delta <- (Y %*% rhoLambda[, , r] - (X[, col.sel] %*% t(phiLambda[col.sel, , r])))
-      } else delta <- (Y %*% rhoLambda[, , r] - (X[, col.sel] %*% phiLambda[col.sel, , r]))
-      densite <- densite + piLambda[r] * det(rhoLambda[, , r])/(sqrt(2 * base::pi))^m * 
-        exp(-diag(tcrossprod(delta))/2)
+      # Update gam[,]; use log to avoid numerical problems
+      logGam <- sapply(1:k, function(r) {
+        log(piLambda[r]) + log(detRho[r]) - 0.5 *
+          sum((Y[i, ] %*% rhoLambda[, , r] - X[i, ] %*% phiLambda[, , r])^2)
+      })
+      
+      logGam <- logGam - max(logGam) #adjust without changing proportions
+      gam <- exp(logGam)
+      print(gam)
+      norm_fact <- sum(gam)
+      sumLogLLH <- sumLogLLH + log(norm_fact) - log((2 * base::pi)^(m/2))
     }
-    llhLambda <- c(sum(log(densite)), (dimension + m + 1) * k - 1)
+    llhLambda <- c(sumLogLLH/n, (dimension + m + 1) * k - 1)
     list(phi = phiLambda, rho = rhoLambda, pi = piLambda, llh = llhLambda)
   }