forwardbackward.m

高斯分布期望优化（em）算法matlab实现

% Forward-Backward

function [ alpha, beta, dens ] = ForwardBackward( X, A, p, m, sigma2, K, T)

% p(x_t | y_t = i)

dens = zeros(T, K); 
dens = exp(-0.5*(X'*ones(1,K)-ones(T,1)*m).^2./(ones(T,1)*sigma2))./sqrt(ones(T,1)*sigma2);

% filtre avant

alpha = zeros( T, K );
alpha( 1, : ) = p.*dens( 1, : );
		  
for t = 2 : T,
    %%%%%%%%%%%% COMPLETER ICI %%%%%%%%%%%%%%%%%%
    alpha( t, : ) = ............
    alpha( t, : ) = ................
end;

% filtre arri鑢e

beta = zeros( T, K );
beta( T, : ) = ones( 1, K );

for t=T - 1 : -1 : 1,
    %%%%%%%%%%%% COMPLETER ICI %%%%%%%%%%%%%%%%%%%
    beta( t, : ) = ...........................
    beta( t, : ) = ...........................
end;