X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=pkg%2Fsrc%2Fsources%2FEMGLLF.c;h=d2f5a8e54c6e84fcfdb58a630b8f011d6ea79b84;hp=86b606053076242cb6a623861990a4f7517089c4;hb=e32621012b1660204434a56acc8cf73eac42f477;hpb=f87ff0f5116c0c1c59c5608e46563ff0f79e5d43

diff --git a/pkg/src/sources/EMGLLF.c b/pkg/src/sources/EMGLLF.c
deleted file mode 100644
index 86b6060..0000000
--- a/pkg/src/sources/EMGLLF.c
+++ /dev/null
@@ -1,413 +0,0 @@
-#include "utils.h"
-#include <stdlib.h>
-#include <gsl/gsl_linalg.h>
-
-// TODO: don't recompute indexes every time......
-void EMGLLF_core(
-	// IN parameters
-	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
-	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)
-	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
-	int m, // taille de Y (multivarié)
-	int k) // nombre de composantes dans le mélange
-{
-	//Initialize outputs
-	copyArray(phiInit, phi, p*m*k);
-	copyArray(rhoInit, rho, m*m*k);
-	copyArray(piInit, pi, k);
-	zeroArray(LLF, maxi);
-	//S is already allocated, and doesn't need to be 'zeroed'
-
-	//Other local variables
-	Real* gam = (Real*)malloc(n*k*sizeof(Real));
-	copyArray(gamInit, gam, n*k);
-	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));
-	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* XiPhiR = (Real*)malloc(m*sizeof(Real));
-	Real dist = 0.;
-	Real dist2 = 0.;
-	int ite = 0;
-	const Real EPS = 1e-15;
-	const Real gaussConstM = pow(2.*M_PI,m/2.);
-
-	while (ite < mini || (ite < maxi && (dist >= tau || dist2 >= sqrt(tau))))
-	{
-		copyArray(phi, Phi, p*m*k);
-		copyArray(rho, Rho, m*m*k);
-		copyArray(pi, Pi, k);
-
-		// Calculs associés a Y et X
-		for (int r=0; r<k; r++)
-		{
-			for (int mm=0; mm<m; 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] = 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] = crossprod(X2[,,r],Y2[,mm,r])
-				for (int u=0; u<p; u++)
-				{
-					Real dotProduct = 0.;
-					for (int v=0; v<n; v++)
-						dotProduct += X2[ai(v,u,r,n,p,k)] * Y2[ai(v,mm,r,n,m,k)];
-					ps2[ai(u,mm,r,p,m,k)] = dotProduct;
-				}
-			}
-			for (int j=0; j<p; j++)
-			{
-				for (int s=0; s<p; s++)
-				{
-					//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)];
-					Gram2[ai(j,s,r,p,p,k)] = dotProduct;
-				}
-			}
-		}
-
-		/////////////
-		// Etape M //
-		/////////////
-
-		// Pour pi
-		for (int r=0; r<k; 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 = colSums(gam)
-		for (int u=0; u<k; u++)
-		{
-			Real sumOnColumn = 0.;
-			for (int v=0; v<n; v++)
-				sumOnColumn += gam[mi(v,u,n,k)];
-			gam2[u] = sumOnColumn;
-		}
-		//a = sum(gam %*% log(pi))
-		Real a = 0.;
-		for (int u=0; u<n; u++)
-		{
-			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;
-		Real invN = 1./n;
-		while (!pi2AllPositive)
-		{
-			//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_01_kk * (invN*gam2[r] - pi[r]);
-			//pi2AllPositive = all(pi2 >= 0)
-			pi2AllPositive = 1;
-			for (int r=0; r<k; r++)
-			{
-				if (pi2[r] < 0)
-				{
-					pi2AllPositive = 0;
-					break;
-				}
-			}
-			kk++;
-		}
-
-		//(pi.^gamma)*b
-		Real piPowGammaDotB = 0.;
-		for (int v=0; v<k; v++)
-			piPowGammaDotB += pow(pi[v],gamma) * b[v];
-		//(pi2.^gamma)*b
-		Real pi2PowGammaDotB = 0.;
-		for (int v=0; v<k; v++)
-			pi2PowGammaDotB += pow(pi2[v],gamma) * b[v];
-		//transpose(gam2)*log(pi2)
-		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)
-		{
-			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_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++)
-				pi2PowGammaDotB += pow(pi2[v],gamma) * b[v];
-			prodGam2logPi2 = 0.;
-			for (int v=0; v<k; v++)
-				prodGam2logPi2 += gam2[v] * log(pi2[v]);
-			kk++;
-		}
-		Real t = pow(0.1,kk);
-		//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))
-		for (int v=0; v<k; v++)
-			pi[v] = (pi[v] + t*(pi2[v] - pi[v])) / sumPiPlusTbyDiff;
-
-		//Pour phi et rho
-		for (int r=0; r<k; r++)
-		{
-			for (int mm=0; mm<m; mm++)
-			{
-				for (int i=0; i<n; i++)
-				{
-					//< X2(i,:,r) , phi(:,mm,r) >
-					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] * 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.;
-				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.;
-				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[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)]);
-			}
-		}
-		for (int r=0; r<k; r++)
-		{
-			for (int j=0; j<p; j++)
-			{
-				for (int mm=0; mm<m; mm++)
-				{
-					//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,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;
-					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_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_pir_gamma + S[ai(j,mm,r,p,m,k)])
-							/ Gram2[ai(j,j,r,p,p,k)];
-					}
-				}
-			}
-		}
-
-		/////////////
-		// Etape E //
-		/////////////
-
-		int signum;
-		Real sumLogLLF2 = 0.0;
-		for (int i=0; i<n; i++)
-		{
-			Real minSqNorm2 = INFINITY;
-
-			for (int r=0; r<k; r++)
-			{
-				//compute Y[i,]%*%rho[,,r]
-				for (int u=0; u<m; u++)
-				{
-					YiRhoR[u] = 0.0;
-					for (int v=0; v<m; v++)
-						YiRhoR[u] += Y[mi(i,v,n,m)] * rho[ai(v,u,r,m,m,k)];
-				}
-
-				//compute X(i,:)*phi(:,:,r)
-				for (int u=0; u<m; u++)
-				{
-					XiPhiR[u] = 0.0;
-					for (int v=0; v<p; v++)
-						XiPhiR[u] += X[mi(i,v,n,p)] * phi[ai(v,u,r,p,m,k)];
-				}
-
-				//compute sq norm || Y(:,i)*rho(:,:,r)-X(i,:)*phi(:,:,r) ||_2^2
-				sqNorm2[r] = 0.0;
-				for (int u=0; u<m; u++)
-					sqNorm2[r] += (YiRhoR[u]-XiPhiR[u]) * (YiRhoR[u]-XiPhiR[u]);
-				if (sqNorm2[r] < minSqNorm2)
-					minSqNorm2 = sqNorm2[r];
-			}
-			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]
-				for (int u=0; u<m; u++)
-				{
-					for (int v=0; v<m; v++)
-						matrix->data[u*m+v] = rho[ai(u,v,r,m,m,k)];
-				}
-				gsl_linalg_LU_decomp(matrix, permutation, &signum);
-				Real detRhoR = gsl_linalg_LU_det(matrix, signum);
-
-				//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,] = Gam[i,] / sumGamI
-				gam[mi(i,r,n,k)] = sumGamI > EPS ? Gam[mi(i,r,n,k)] / sumGamI : 0.;
-			}
-		}
-
-		//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] = -sumLogLLF2/n + lambda*sumPen
-		LLF[ite] = -invN * sumLogLLF2 + lambda * sumPen;
-		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++)
-		{
-			for (int v=0; v<m; v++)
-			{
-				for (int w=0; w<k; w++)
-				{
-					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( (abs(rho-Rho)) / (1+abs(rho)) )
-		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++)
-				{
-					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( (abs(pi-Pi)) / (1+abs(Pi)))
-		Real Dist3 = 0.0;
-		for (int u=0; u<n; u++)
-		{
-			for (int v=0; v<k; v++)
-			{
-				Real tmpDist = fabs(pi[v]-Pi[v]) / (1.0+fabs(pi[v]));
-				if (tmpDist > Dist3)
-					Dist3 = tmpDist;
-			}
-		}
-		//dist2=max([max(Dist1),max(Dist2),max(Dist3)]);
-		dist2 = Dist1;
-		if (Dist2 > dist2)
-			dist2 = Dist2;
-		if (Dist3 > dist2)
-			dist2 = Dist3;
-
-		ite++;
-	}
-
-	//free memory
-	free(b);
-	free(gam);
-	free(Gam);
-	free(Phi);
-	free(Rho);
-	free(Pi);
-	free(ps);
-	free(nY2);
-	free(ps1);
-	free(nY21);
-	free(Gram2);
-	free(ps2);
-	gsl_matrix_free(matrix);
-	gsl_permutation_free(permutation);
-	free(XiPhiR);
-	free(YiRhoR);
-	free(gam2);
-	free(pi2);
-	free(X2);
-	free(Y2);
-	free(sqNorm2);
-}