X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=test%2Fgenerate_test_data%2FEMGLLF.R;fp=test%2Fgenerate_test_data%2FEMGLLF.R;h=272eb6f60dc86e8dc226f36d5f219f7410a4bf6a;hp=0000000000000000000000000000000000000000;hb=f87ff0f5116c0c1c59c5608e46563ff0f79e5d43;hpb=53fa233d8fbeaf4d51a4874ba69d8472d01d04ba

diff --git a/test/generate_test_data/EMGLLF.R b/test/generate_test_data/EMGLLF.R
new file mode 100644
index 0000000..272eb6f
--- /dev/null
+++ b/test/generate_test_data/EMGLLF.R
@@ -0,0 +1,162 @@
+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))
+  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])
+        }
+        ps[mm,r] = sum(ps1[,mm,r])
+        nY2[mm,r] = sum(Y2[,mm,r]^2)
+        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] + sum(phi[-j,mm,r] * Gram2[j, setdiff(1:p, j),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 )}
+
+      #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])* 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
+  }
+  
+  affec = apply(gam, 1,which.max)
+  return(list("phi"=phi, "rho"=rho, "pi"=pi, "LLF"=LLF, "S"=S, "affec" = affec ))
+}