gmmem.m

Bayes网络工具箱

function [mix, options, errlog] = gmmem(mix, x, options)
%GMMEM	EM algorithm for Gaussian mixture model.
%
%	Description
%	[MIX, OPTIONS, ERRLOG] = GMMEM(MIX, X, OPTIONS) uses the Expectation
%	Maximization algorithm of Dempster et al. to estimate the parameters
%	of a Gaussian mixture model defined by a data structure MIX. The
%	matrix X represents the data whose expectation is maximized, with
%	each row corresponding to a vector.    The optional parameters have
%	the following interpretations.
%
%	OPTIONS(1) is set to 1 to display error values; also logs error
%	values in the return argument ERRLOG. If OPTIONS(1) is set to 0, then
%	only warning messages are displayed.  If OPTIONS(1) is -1, then
%	nothing is displayed.
%
%	OPTIONS(3) is a measure of the absolute precision required of the
%	error function at the solution. If the change in log likelihood
%	between two steps of the EM algorithm is less than this value, then
%	the function terminates.
%
%	OPTIONS(5) is set to 1 if a covariance matrix is reset to its
%	original value when any of its singular values are too small (less
%	than eps).  With the default value of 0 no action is taken.
%
%	OPTIONS(14) is the maximum number of iterations; default 100.
%
%	The optional return value OPTIONS contains the final error value
%	(i.e. data log likelihood) in OPTIONS(8).
%
%	See also
%	GMM, GMMINIT
%

%	Copyright (c) Christopher M Bishop, Ian T Nabney (1996, 1997)

% Check that inputs are consistent
errstring = consist(mix, 'gmm', x);
if ~isempty(errstring)
  error(errstring);
end

[ndata, xdim] = size(x);

% Sort out the options
if (options(14))
  niters = options(14);
else
  niters = 100;
end

display = options(1);
store = 0;
if (nargout > 2)
  store = 1;	% Store the error values to return them
  errlog = zeros(1, niters);
end
test = 0;
if options(3) > 0.0
  test = 1;	% Test log likelihood for termination
end

check_covars = 0;
if options(5) >= 1
  disp('check_covars is on');
  check_covars = 1;	% Ensure that covariances don't collapse
  MIN_COVAR = eps;	% Minimum singular value of covariance matrix
  init_covars = mix.covars;
end

% Main loop of algorithm
for n = 1:niters

  % Calculate posteriors based on old parameters
  [post, act] = gmmpost(mix, x);
  
  % Calculate error value if needed
  if (display | store | test)
    prob = act*(mix.priors)';
    % Error value is negative log likelihood of data
    e = - sum(log(prob));
    if store
      errlog(n) = e;
    end
    if display > 0
      fprintf(1, 'Cycle %4d  Error %11.6f\n', n, e);
    end
    if test
      if (n > 1 & abs(e - eold) < options(3))
	options(8) = e;
	return;
      else
	eold = e;
      end
    end
  end

  % Adjust the new estimates for the parameters
  new_pr = sum(post, 1);
  new_c = post' * x;
    
  % Now move new estimates to old parameter vectors
  mix.priors = new_pr ./ ndata;
  
  mix.centres = new_c ./ (new_pr' * ones(1, mix.nin));
  
  switch mix.covar_type
    case 'spherical'
      n2 = dist2(x, mix.centres);
      for j = 1:mix.ncentres
        v(j) = (post(:,j)'*n2(:,j));
      end
      mix.covars = ((v./new_pr))./mix.nin;
      
      if check_covars
	% Ensure that no covariance is too small
	for j = 1:mix.ncentres
	  if mix.covars(j) < MIN_COVAR
	    mix.covars(j) = init_covars(j);
	  end
	end
      end
    case 'diag'
      for j = 1:mix.ncentres
	diffs = x - (ones(ndata, 1) * mix.centres(j,:));
	mix.covars(j,:) = sum((diffs.*diffs).*(post(:,j)*ones(1, ...
	  mix.nin)), 1)./new_pr(j);
      end
      if check_covars
	% Ensure that no covariance is too small
	for j = 1:mix.ncentres
	  if min(mix.covars(j,:)) < MIN_COVAR
	    mix.covars(j,:) = init_covars(j,:);
	  end
	end
      end
    case 'full'
      for j = 1:mix.ncentres
        diffs = x - (ones(ndata, 1) * mix.centres(j,:));
        diffs = diffs.*(sqrt(post(:,j))*ones(1, mix.nin));
        mix.covars(:,:,j) = (diffs'*diffs)/new_pr(j);
      end
      if check_covars
	% Ensure that no covariance is too small
	for j = 1:mix.ncentres
	  if min(svd(mix.covars(:,:,j))) < MIN_COVAR
	    mix.covars(:,:,j) = init_covars(:,:,j);
	  end
	end
      end
  end

end

options(8) = -sum(log(gmmprob(mix, x)));
if (display >= 0)
 % disp('Warning: Maximum number of iterations has been exceeded');
end