From: Benjamin Auder Date: Tue, 11 Apr 2017 00:59:29 +0000 (+0200) Subject: slightly simplifiy EMGLLF.c, check that C == R (code reading only) X-Git-Url: https://git.auder.net/pieces/current/doc/html/up.jpg?a=commitdiff_plain;h=d6d716308ba01a8d9bd2de8352094b7b60ca050c;p=valse.git slightly simplifiy EMGLLF.c, check that C == R (code reading only) --- diff --git a/pkg/R/EMGLLF_R.R b/pkg/R/EMGLLF_R.R index 362d0dc..09ae2e3 100644 --- a/pkg/R/EMGLLF_R.R +++ b/pkg/R/EMGLLF_R.R @@ -17,7 +17,6 @@ EMGLLF_R = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,ta 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 @@ -108,34 +107,34 @@ EMGLLF_R = function(phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,lambda,X,Y,ta #Etape E # ########## - sumLogLLH2 = 0 + # 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) { # Update gam[,] - sumLLH1 = 0 sumGamI = 0 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) + 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] } - sumLogLLH2 = sumLogLLH2 + log(sumLLH1) - if(sumGamI > EPS) #else: gam[i,] is already ~=0 + 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 = -sumLogLLH2/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)) ) 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 } diff --git a/pkg/src/sources/EMGLLF.c b/pkg/src/sources/EMGLLF.c index e019588..4ceb3e3 100644 --- a/pkg/src/sources/EMGLLF.c +++ b/pkg/src/sources/EMGLLF.c @@ -1,9 +1,10 @@ #include "utils.h" #include +#include #include // TODO: don't recompute indexes ai(...) and mi(...) when possible -void EMGLLF_core( +void EMGLLH_core( // IN parameters const Real* phiInit, // parametre initial de moyenne renormalisé const Real* rhoInit, // parametre initial de variance renormalisé @@ -20,7 +21,8 @@ void EMGLLF_core( Real* phi, // parametre de moyenne renormalisé, calculé par l'EM Real* rho, // parametre de variance renormalisé, calculé par l'EM Real* pi, // parametre des proportions renormalisé, calculé par l'EM - Real* LLF, // log vraisemblance associée à cet échantillon, pour les valeurs estimées des paramètres + Real* llh, // (derniere) log vraisemblance associée à cet échantillon, + // pour les valeurs estimées des paramètres Real* S, int* affec, // additional size parameters @@ -33,7 +35,6 @@ void EMGLLF_core( copyArray(phiInit, phi, p*m*k); copyArray(rhoInit, rho, m*m*k); copyArray(piInit, pi, k); - zeroArray(LLF, maxi); //S is already allocated, and doesn't need to be 'zeroed' //Other local variables: same as in R @@ -44,18 +45,13 @@ void EMGLLF_core( Real* b = (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; + *llh = -INFINITY; Real* pi2 = (Real*)malloc(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* Gam = (Real*)malloc(n*k*sizeof(Real)); const Real EPS = 1e-15; // Additional (not at this place, in R file) Real* gam2 = (Real*)malloc(k*sizeof(Real)); Real* sqNorm2 = (Real*)malloc(k*sizeof(Real)); + Real* detRho = (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)); @@ -65,7 +61,7 @@ void EMGLLF_core( 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)))) + for (int ite=0; ite Real dotProduct = 0.; for (int u=0; udata[u*m+v] = rho[ai(u,v,r,m,m,k)]; + } + gsl_linalg_LU_decomp(matrix, permutation, &signum); + detRho[r] = gsl_linalg_LU_det(matrix, signum); + } + int signum; - Real sumLogLLF2 = 0.; + Real sumLogLLH = 0.; for (int i=0; idata[u*m+v] = rho[ai(u,v,r,m,m,k)]; - } - gsl_linalg_LU_decomp(matrix, permutation, &signum); - Real detRhoR = gsl_linalg_LU_det(matrix, signum); - 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)]; + gam[mi(i,r,n,k)] = pi[r] * exp(-.5*sqNorm2[r]) * detRho[r]; + sumGamI += gam[mi(i,r,n,k)]; } - sumLogLLF2 += log(sumLLF1); - for (int r=0; r EPS) //else: gam[i,] is already ~=0 { - //gam[i,] = Gam[i,] / sumGamI - gam[mi(i,r,n,k)] = sumGamI > EPS ? Gam[mi(i,r,n,k)] / sumGamI : 0.; + for (int r=0; r dist2) dist2 = Dist2; if (Dist3 > dist2) dist2 = Dist3; - ite++; + if (ite >= mini && (dist >= tau || dist2 >= sqrt(tau))) + break; } //affec = apply(gam, 1, which.max) @@ -400,13 +394,9 @@ void EMGLLF_core( //free memory free(b); free(gam); - free(Gam); free(Phi); free(Rho); free(Pi); - free(ps); - free(nY2); - free(ps1); free(Gram2); free(ps2); gsl_matrix_free(matrix);