OLD_MATLAB/ProcLassoRank/EMGrank.m

   1 function[phi,LLF] = EMGrank(Pi,Rho,mini,maxi,X,Y,tau,rank)
   2
   3     % get matrix sizes
   4     [~,m,k] = size(Rho);
   5     [n,p] = size(X);
   6
   7     % allocate output matrices
   8     phi = zeros(p,m,k);
   9     Z = ones(n,1,'int64');
  10     LLF = 0.0;
  11
  12     % local variables
  13     Phi = zeros(p,m,k);
  14     deltaPhi = 0.0;
  15     deltaPhi = [];
  16     sumDeltaPhi = 0.0;
  17     deltaPhiBufferSize = 20;
  18
  19     %main loop (at least mini iterations)
  20     ite = int64(1);
  21     while ite<=mini || (ite<=maxi && sumDeltaPhi>tau)
  22
  23         %M step: Mise à jour de Beta (et donc phi)
  24         for r=1:k
  25             if (sum(Z==r) == 0)
  26                 continue;
  27             end
  28             %U,S,V = SVD of (t(Xr)Xr)^{-1} * t(Xr) * Yr
  29             [U,S,V] = svd(pinv(transpose(X(Z==r,:))*X(Z==r,:))*transpose(X(Z==r,:))*Y(Z==r,:));
  30             %Set m-rank(r) singular values to zero, and recompose
  31             %best rank(r) approximation of the initial product
  32             S(rank(r)+1:end,:) = 0;
  33             phi(:,:,r) = U * S * transpose(V) * Rho(:,:,r);
  34         end
  35
  36         %Etape E et calcul de LLF
  37         sumLogLLF2 = 0.0;
  38         for i=1:n
  39             sumLLF1 = 0.0;
  40             maxLogGamIR = -Inf;
  41             for r=1:k
  42                 dotProduct = (Y(i,:)*Rho(:,:,r)-X(i,:)*phi(:,:,r)) * transpose(Y(i,:)*Rho(:,:,r)-X(i,:)*phi(:,:,r));
  43                 logGamIR = log(Pi(r)) + log(det(Rho(:,:,r))) - 0.5*dotProduct;
  44                 %Z(i) = index of max (gam(i,:))
  45                 if logGamIR > maxLogGamIR
  46                     Z(i) = r;
  47                     maxLogGamIR = logGamIR;
  48                 end
  49                 sumLLF1 = sumLLF1 + exp(logGamIR) / (2*pi)^(m/2);
  50             end
  51             sumLogLLF2 = sumLogLLF2 + log(sumLLF1);
  52         end
  53
  54         LLF = -1/n * sumLogLLF2;
  55
  56         % update distance parameter to check algorithm convergence (delta(phi, Phi))
  57         deltaPhi = [ deltaPhi, max(max(max((abs(phi-Phi))./(1+abs(phi))))) ];
  58         if length(deltaPhi) > deltaPhiBufferSize
  59             deltaPhi = deltaPhi(2:length(deltaPhi));
  60         end
  61         sumDeltaPhi = sum(abs(deltaPhi));
  62
  63         % update other local variables
  64         Phi = phi;
  65         ite = ite+1;
  66
  67     end
  68
  69 end