re-indent (I should really add a hook...)
authorBenjamin Auder <benjamin.auder@somewhere>
Wed, 5 Apr 2017 22:18:35 +0000 (00:18 +0200)
committerBenjamin Auder <benjamin.auder@somewhere>
Wed, 5 Apr 2017 22:18:35 +0000 (00:18 +0200)
pkg/R/EMGLLF_R.R

index 55101b0..362d0dc 100644 (file)
 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]
+       # 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))
+       # 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))
-  b = rep(0, k)
-  X2 = array(0, dim=c(n,p,k))
-  Y2 = array(0, dim=c(n,m,k))
-  EPS = 1e-15
+       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))
+       EPS = 1e-15
 
-  for (ite in 1:maxi)
+       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
+               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])
-      }
-    }
+                               for (s in 1:p)
+                                       Gram2[j,s,r] = crossprod(X2[,j,r], X2[,s,r])
+                       }
+               }
 
-    ##########
-    #Etape M #
-    ##########
+               ##########
+               #Etape M #
+               ##########
 
-    # Pour pi
-    b = sapply( 1:k, function(r) sum(abs(phi[,,r])) )
-    gam2 = colSums(gam)
-    a = sum(gam %*% log(pi))
+               # 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)
+               # 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))
+                       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)
+               #Pour phi et rho
+               for (r in 1:k)
                {
-      for (mm in 1:m)
+                       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 (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]
-        }
-      }
-    }
+                                               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 #
-    ##########
+               ##########
+               #Etape E #
+               ##########
 
                sumLogLLH2 = 0
-    for (i in 1:n)
+               for (i in 1:n)
                {
-      # Update gam[,]
-      sumLLH1 = 0
+                       # Update gam[,]
+                       sumLLH1 = 0
                        sumGamI = 0
-      for (r in 1:k)
+                       for (r in 1:k)
                        {
                                gam[i,r] = pi[r] * exp(-0.5*sum( (Y[i,]%*%rho[,,r]-X[i,]%*%phi[,,r])^2 ))
                                        * det(rho[,,r])
-        sumLLH1 = sumLLH1 + gam[i,r] / (2*base::pi)^(m/2)
+                               sumLLH1 = sumLLH1 + gam[i,r] / (2*base::pi)^(m/2)
                                sumGamI = sumGamI + gam[i,r]
-      }
-      sumLogLLH2 = sumLogLLH2 + log(sumLLH1)
-      if(sumGamI > EPS) #else: gam[i,] is already ~=0
-        gam[i,] = gam[i,] / sumGamI
-    }
+                       }
+                       sumLogLLH2 = sumLogLLH2 + log(sumLLH1)
+                       if(sumGamI > EPS) #else: gam[i,] is already ~=0
+                               gam[i,] = gam[i,] / sumGamI
+               }
 
-    sumPen = sum(pi^gamma * b)
+               sumPen = sum(pi^gamma * b)
                last_llh = llh
-    llh = -sumLogLLH2/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)
+               llh = -sumLogLLH2/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)))
+               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 )
+       affec = apply(gam, 1, which.max)
+       list( "phi"=phi, "rho"=rho, "pi"=pi, "llh"=llh, "S"=S, "affec"=affec )
 }