From: Benjamin Auder <benjamin.auder@somewhere>
Date: Mon, 20 Mar 2017 03:07:03 +0000 (+0100)
Subject: align C version of EMGLLF on R version
X-Git-Url: https://git.auder.net/doc/html/%7B%7B%20asset%28%27mixstore/css/user/board.css%27%29%20%7D%7D?a=commitdiff_plain;h=b42f0f4014e9f455a92851b1e707095bbcb45103;p=valse.git

align C version of EMGLLF on R version
---

diff --git a/pkg/src/sources/EMGLLF.c b/pkg/src/sources/EMGLLF.c
index 86b6060..e41fe3c 100644
--- a/pkg/src/sources/EMGLLF.c
+++ b/pkg/src/sources/EMGLLF.c
@@ -2,7 +2,7 @@
 #include <stdlib.h>
 #include <gsl/gsl_linalg.h>
 
-// TODO: don't recompute indexes every time......
+// TODO: don't recompute indexes ai(...) and mi(...) when possible
 void EMGLLF_core(
 	// IN parameters
 	const Real* phiInit, // parametre initial de moyenne renormalisé
@@ -35,34 +35,35 @@ void EMGLLF_core(
 	zeroArray(LLF, maxi);
 	//S is already allocated, and doesn't need to be 'zeroed'
 
-	//Other local variables
+	//Other local variables: same as in R
 	Real* gam = (Real*)malloc(n*k*sizeof(Real));
 	copyArray(gamInit, gam, n*k);
+	Real* Gram2 = (Real*)malloc(p*p*k*sizeof(Real));
+	Real* ps2 = (Real*)malloc(p*m*k*sizeof(Real));
 	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* X2 = (Real*)malloc(n*p*k*sizeof(Real));
+	Real* Y2 = (Real*)malloc(n*m*k*sizeof(Real));
+	Real dist = 0.;
+	Real dist2 = 0.;
+	int ite = 0;
 	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));
+	const Real EPS = 1e-15;
+	// Additional (not at this place, in R file)
+	Real* gam2 = (Real*)malloc(k*sizeof(Real));
+	Real* nY21 = (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.);
+	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));
 
 	while (ite < mini || (ite < maxi && (dist >= tau || dist2 >= sqrt(tau))))
 	{
@@ -238,16 +239,14 @@ void EMGLLF_core(
 			{
 				for (int mm=0; mm<m; mm++)
 				{
-					//sum(phi[1:(j-1),mm,r] * Gram2[j,1:(j-1),r])
+					//sum(phi[-j,mm,r] * Gram2[j, setdiff(1:p,j),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)
+					for (int u=0; u<p; u++)
+					{
+						if (u != j)
+							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] + sum(phi[-j,mm,r] * Gram2[j, setdiff(1:p,j),r])
 					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)
@@ -271,17 +270,15 @@ void EMGLLF_core(
 		/////////////
 
 		int signum;
-		Real sumLogLLF2 = 0.0;
+		Real sumLogLLF2 = 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;
+					YiRhoR[u] = 0.;
 					for (int v=0; v<m; v++)
 						YiRhoR[u] += Y[mi(i,v,n,m)] * rho[ai(v,u,r,m,m,k)];
 				}
@@ -289,22 +286,19 @@ void EMGLLF_core(
 				//compute X(i,:)*phi(:,:,r)
 				for (int u=0; u<m; u++)
 				{
-					XiPhiR[u] = 0.0;
+					XiPhiR[u] = 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;
+				sqNorm2[r] = 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;
+			Real sumLLF1 = 0.;
+			Real sumGamI = 0.;
 			for (int r=0; r<k; r++)
 			{
 				//compute det(rho[,,r]) [TODO: avoid re-computations]
@@ -315,9 +309,7 @@ void EMGLLF_core(
 				}
 				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;
+				Gam[mi(i,r,n,k)] = pi[r] * exp(-.5*sqNorm2[r]) * detRhoR;
 				sumLLF1 += Gam[mi(i,r,n,k)] / gaussConstM;
 				sumGamI += Gam[mi(i,r,n,k)];
 			}
@@ -330,50 +322,50 @@ void EMGLLF_core(
 		}
 
 		//sumPen = sum(pi^gamma * b)
-		Real sumPen = 0.0;
+		Real sumPen = 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]));
+		dist = ite==0 ? LLF[ite] : (LLF[ite] - LLF[ite-1]) / (1. + fabs(LLF[ite]));
 
 		//Dist1 = max( abs(phi-Phi) / (1+abs(phi)) )
-		Real Dist1 = 0.0;
+		Real Dist1 = 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)]));
+					Real tmpDist = fabs(phi[ai(u,v,w,p,m,k)]-Phi[ai(u,v,w,p,m,k)])
+						/ (1.+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;
+		Real Dist2 = 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)]));
+					Real tmpDist = fabs(rho[ai(u,v,w,m,m,k)]-Rho[ai(u,v,w,m,m,k)])
+						/ (1.+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;
+		Real Dist3 = 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]));
+				Real tmpDist = fabs(pi[v]-Pi[v]) / (1.+fabs(pi[v]));
 				if (tmpDist > Dist3)
 					Dist3 = tmpDist;
 			}
diff --git a/test/generate_test_data/EMGLLF.R b/test/generate_test_data/EMGLLF.R
index f1eeffa..673b807 100644
--- a/test/generate_test_data/EMGLLF.R
+++ b/test/generate_test_data/EMGLLF.R
@@ -17,7 +17,6 @@ EMGLLF_R = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,ta
   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
@@ -116,7 +115,8 @@ EMGLLF_R = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,ta
     ##########
     #Etape E #
     ##########
-    sumLogLLF2 = 0
+
+		sumLogLLF2 = 0
     for (i in 1:n)
 		{
       #precompute sq norms to numerically adjust their values
@@ -124,11 +124,11 @@ EMGLLF_R = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,ta
       for (r in 1:k){
         sqNorm2[r] = sum( (Y[i,]%*%rho[,,r]-X[i,]%*%phi[,,r])^2 )}
 
-      #compute Gam(:,:) using shift determined above
+      #compute Gam(:,:)
       sumLLF1 = 0.0;
       for (r in 1:k)
 			{
-				Gam[i,r] = pi[r] * exp(-0.5*sqNorm2[r]) * det(rho[,,r]) #FIXME: still issues here ?!?!
+				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)