#' rho : parametre de variance renormalisé, calculé par l'EM
#' pi : parametre des proportions renormalisé, calculé par l'EM
#' LLF : log vraisemblance associée à cet échantillon, pour les valeurs estimées des paramètres
-#' S : ... affec : ...
+#' S : ...
+#' affec : ...
#'
#' @export
EMGLLF <- function(phiInit, rhoInit, piInit, gamInit, mini, maxi, gamma, lambda,
X, Y, eps, phi = double(p * m * k), rho = double(m * m * k), pi = double(k),
LLF = double(maxi), S = double(p * m * k), affec = integer(n), n, p, m, k,
PACKAGE = "valse")
+ list(phi = phi, rho = rho, pi = pi, llh = llh, S = S, affec=affec)
}
# R version - slow but easy to read
.EMGLLF_R <- function(phiInit, rhoInit, piInit, gamInit, mini, maxi, gamma, lambda,
X, Y, eps)
{
- # Matrix dimensions: NOTE: phiInit *must* be an array (even if p==1)
- n <- dim(Y)[1]
- p <- dim(phiInit)[1]
- m <- dim(phiInit)[2]
- k <- dim(phiInit)[3]
+ # Matrix dimensions
+ n <- nrow(X)
+ p <- ncol(X)
+ m <- ncol(Y)
+ k <- length(piInit)
+
+ # Adjustments required when p==1 or m==1 (var.sel. or output dim 1)
+ if (p==1 || m==1)
+ phiInit <- array(phiInit, dim=c(p,m,k))
+ if (m==1)
+ rhoInit <- array(rhoInit, dim=c(m,m,k))
# Outputs
- phi <- array(NA, dim = c(p, m, k))
- phi[1:p, , ] <- phiInit
+ phi <- phiInit
rho <- rhoInit
pi <- piInit
llh <- -Inf
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)
{
## E step
# Precompute det(rho[,,r]) for r in 1...k
- detRho <- sapply(1:k, function(r) det(rho[, , r]))
+ detRho <- sapply(1:k, function(r) gdet(rho[, , r]))
sumLogLLH <- 0
for (i in 1:n)
{
sumPen <- sum(pi^gamma * b)
last_llh <- llh
- llh <- -sumLogLLH/n + lambda * sumPen
+ 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)))
break
}
- list(phi = phi, rho = rho, pi = pi, llh = llh, S = S)
+ affec = apply(gam, 1, which.max)
+ list(phi = phi, rho = rho, pi = pi, llh = llh, S = S, affec=affec)
}