src/test/generate_test_data/helpers/constructionModelesLassoMLE.m

   1 function[phi,rho,pi,llh] = constructionModelesLassoMLE(...
   2     phiInit,rhoInit,piInit,gamInit,mini,maxi,gamma,glambda,X,Y,seuil,tau,A1,A2)
   3
   4     PI = 4.0 * atan(1.0);
   5
   6     %get matrix sizes
   7     n = size(X, 1);
   8     [p,m,k] = size(phiInit);
   9     L = length(glambda);
  10
  11     %output parameters
  12     phi = zeros(p,m,k,L);
  13     rho = zeros(m,m,k,L);
  14     pi = zeros(k,L);
  15     llh = zeros(L,2);
  16
  17     for lambdaIndex=1:L
  18         % Procedure Lasso-MLE
  19         a = A1(:,1,lambdaIndex);
  20         a(a==0) = [];
  21         if length(a) == 0
  22             continue;
  23         end
  24         [phiLambda,rhoLambda,piLambda,~,~] = EMGLLF(...
  25             phiInit(a,:,:),rhoInit,piInit,gamInit,mini,maxi,gamma,0,X(:,a),Y,tau);
  26
  27         for j=1:length(a)
  28             phi(a(j),:,:,lambdaIndex) = phiLambda(j,:,:);
  29         end
  30         rho(:,:,:,lambdaIndex) = rhoLambda;
  31         pi(:,lambdaIndex) = piLambda;
  32
  33         dimension = 0;
  34         for j=1:p
  35             b = A2(j,2:end,lambdaIndex);
  36             b(b==0) = [];
  37             if length(b) > 0
  38                 phi(A2(j,1,lambdaIndex),b,:,lambdaIndex) = 0.0;
  39             end
  40             c = A1(j,2:end,lambdaIndex);
  41             c(c==0) = [];
  42             dimension = dimension + length(c);
  43         end
  44
  45         %on veut calculer l'EMV avec toutes nos estimations
  46         densite = zeros(n,L);
  47         for i=1:n
  48             for r=1:k
  49                 delta = Y(i,:)*rho(:,:,r,lambdaIndex) - (X(i,a)*(phi(a,:,r,lambdaIndex)));
  50                 densite(i,lambdaIndex) = densite(i,lambdaIndex) +...
  51                     pi(r,lambdaIndex)*det(rho(:,:,r,lambdaIndex))/(sqrt(2*PI))^m*exp(-dot(delta,delta)/2.0);
  52             end
  53         end
  54         llh(lambdaIndex,1) = sum(log(densite(:,lambdaIndex)));
  55         llh(lambdaIndex,2) = (dimension+m+1)*k-1;
  56     end
  57
  58 end