📄 #dhmm_em.m#
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function [LL, prior, transmat, obsmat] = dhmm_em(data, prior, transmat, obsmat, varargin)% LEARN_DHMM Find the ML/MAP parameters of an HMM with discrete outputs using EM.% [ll_trace, prior, transmat, obsmat] = learn_dhmm(data, prior0, transmat0, obsmat0, ...) %% Notation: Q(t) = hidden state, Y(t) = observation%% INPUTS:% data{ex} or data(ex,:) if all sequences have the same length% prior(i)% transmat(i,j)% obsmat(i,o)%% Optional parameters may be passed as 'param_name', param_value pairs.% Parameter names are shown below; default values in [] - if none, argument is mandatory.%% 'max_iter' - max number of EM iterations [10]% 'thresh' - convergence threshold [1e-4]% 'verbose' - if 1, print out loglik at every iteration [1]% 'obs_prior_weight' - weight to apply to uniform dirichlet prior on observation matrix [0]%% To clamp some of the parameters, so learning does not change them:% 'adj_prior' - if 0, do not change prior [1]% 'adj_trans' - if 0, do not change transmat [1]% 'adj_obs' - if 0, do not change obsmat [1][max_iter, thresh, verbose, obs_prior_weight, adj_prior, adj_trans, adj_obs] = ... process_options(varargin, 'max_iter', 10, 'thresh', 1e-4, 'verbose', 1, ... 'obs_prior_weight', 0, 'adj_prior', 1, 'adj_trans', 1, 'adj_obs', 1);previous_loglik = -inf;loglik = 0;converged = 0;num_iter = 1;LL = [];if ~iscell(data) data = num2cell(data, 2); % each row gets its own cellendwhile (num_iter <= max_iter) & ~converged % E step [loglik, exp_num_trans, exp_num_visits1, exp_num_emit] = ... compute_ess_dhmm(prior, transmat, obsmat, data, obs_prior_weight); % M step if adj_prior prior = normalise(exp_num_visits1); end if adj_trans & ~isempty(exp_num_trans) transmat = mk_stochastic(exp_num_trans); end if adj_obs obsmat = mk_stochastic(exp_num_emit); end if verbose, fprintf(1, 'iteration %d, loglik = %f\n', num_iter, loglik); end num_iter = num_iter + 1; converged = em_converged(loglik, previous_loglik, thresh); previous_loglik = loglik; LL = [LL loglik];end%%%%%%%%%%%%%%%%%%%%%%%function [loglik, exp_num_trans, exp_num_visits1, exp_num_emit, exp_num_visitsT] = ... compute_ess_dhmm(startprob, transmat, obsmat, data, dirichlet)% COMPUTE_ESS_DHMM Compute the Expected Sufficient Statistics for an HMM with discrete outputs% function [loglik, exp_num_trans, exp_num_visits1, exp_num_emit, exp_num_visitsT] = ...% compute_ess_dhmm(startprob, transmat, obsmat, data, dirichlet)%% INPUTS:% startprob(i)% transmat(i,j)% obsmat(i,o)% data{seq}(t)% dirichlet - weighting term for uniform dirichlet prior on expected emissions%% OUTPUTS:% exp_num_trans(i,j) = sum_l sum_{t=2}^T Pr(X(t-1) = i, X(t) = j| Obs(l))% exp_num_visits1(i) = sum_l Pr(X(1)=i | Obs(l))% exp_num_visitsT(i) = sum_l Pr(X(T)=i | Obs(l)) % exp_num_emit(i,o) = sum_l sum_{t=1}^T Pr(X(t) = i, O(t)=o| Obs(l))% where Obs(l) = O_1 .. O_T for sequence l.numex = length(data);[S O] = size(obsmat);exp_num_trans = zeros(S,S);exp_num_visits1 = zeros(S,1);exp_num_visitsT = zeros(S,1);exp_num_emit = dirichlet*ones(S,O);loglik = 0;for ex=1:numex obs = data{ex}; T = length(obs); %obslik = eval_pdf_cond_multinomial(obs, obsmat); obslik = multinomial_prob(obs, obsmat); [alpha, beta, gamma, current_ll, xi] = fwdback(startprob, transmat, obslik); loglik = loglik + current_ll; exp_num_trans = exp_num_trans + sum(xi,3); exp_num_visits1 = exp_num_visits1 + gamma(:,1); exp_num_visitsT = exp_num_visitsT + gamma(:,T); % loop over whichever is shorter if T < O for t=1:T o = obs(t); exp_num_emit(:,o) = exp_num_emit(:,o) + gamma(:,t); end else for o=1:O ndx = find(obs==o); if ~isempty(ndx) exp_num_emit(:,o) = exp_num_emit(:,o) + sum(gamma(:, ndx), 2); end end endend
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