X-Git-Url: https://git.auder.net/?p=valse.git;a=blobdiff_plain;f=test%2Fgenerate_test_data%2FEMGLLF.R;h=09ae2e3c16e899f765d3075e938bb9711d80abcf;hp=039e2918e5502bb9feff6803fd39ee20c41d76ea;hb=321e13a991a5a0e6c97225fdca436870e5e805d1;hpb=2e813ad23c796bbed3d5ba685b8fa002bdc6689d

diff --git a/test/generate_test_data/EMGLLF.R b/test/generate_test_data/EMGLLF.R
index 039e291..09ae2e3 100644
--- a/test/generate_test_data/EMGLLF.R
+++ b/test/generate_test_data/EMGLLF.R
@@ -1,156 +1,143 @@
 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]
-  
-  #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)
-  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))))
+	# 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)
 	{
-    Phi = phi
-    Rho = rho
-    Pi = pi
+		# 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)
+		# 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 (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)
+				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
-    }
+			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) <
+		# 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)
+			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 (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])
+				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 (r in 1:k)
 		{
-      for (j in 1:p)
+			for (j in 1:p)
 			{
-        for (mm in 1:m)
+				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])
+					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 #
-    ##########
-
-		sumLogLLF2 = 0
-    for (i in 1:n)
+						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)
 		{
-      #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[,]
-      sumLLF1 = 0.0;
-      for (r in 1:k)
+			# Update gam[,]
+			sumGamI = 0
+			for (r in 1:k)
 			{
-				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 ))
+				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 )
 }