gmcv.m

高斯混合模型的matlab源代码

function ll = gmcv(data, ks, nfold, nrep, sig)
% ll = gmcv(data, ks, nfold, nrep, [sig])
%
% performs n-fold cross validation on data using Gaussian Mixtures 
% of complexities supplied in ks.
%
% INPUT:
%
%   data(n,d)  : data matrix (one data point per ROW)
%   ks(nk)     : vector specifying models (i.e. ks = [1:10])
%   nfold      : specifies how to split data. If it is a single
%                number, it specifies how many folds to do (i.e. 10 fold cv).
%                if it is a vector of length 2:
%                   nfold(1) : number of restarts of algorithm (different than nrep)
%                   nfold(2) : size of *training* set (i.e. 0.7)
%   nrep       : number of random restarts per model per fold
%   sig        : optional: 0/1 matrix of indicators of what elements to include 
%                          in the sigma matrices.
%
% OUTPUT:
%
%   ll(nfold,nk) : set of log-likelihoods. Each column represents a single model. 
%
%               by Igor Cadez, 10/27/98, revised 01/18/99.


%initialize variables
[n d] = size(data);
nk = length(ks);
if(~exist('sig'))
   sig = ones(d);
end

%figure out whether to do folds or random draws...
nr = nfold(1);
if(length(nfold)>1)
   foldflag = 0;
   omega = nfold(2);
   spl = round(n*omega);
else
   foldflag = 1;
   par = round((0:nr)*n/nr);
   ind = randperm(n);
end


ll = zeros(nr, nk);

%the main loop
for(j=1:nr)
   ik = 1;
   for(i = ks)
      if(foldflag)
         xtest  = data( ind(par(j)+1:par(j+1)) , : );
         xtrain = [data( ind(1:par(j)), : ); data( ind(par(j+1)+1:end), : )];
      else
         ind = randperm(n);
         xtrain = data(ind(1:spl),:);
         xtest = data(ind((spl+1):end),:);
      end
      
      %do some random restarts to get the best insample fit
      [alphabest mubest sigmabest lkhbest] = gm(xtrain, i, nrep, sig);
      %get the out of sample ll, pack the results
      ll(j, ik) = gmscore(xtest,alphabest,mubest,sigmabest);
      ik = ik+1; %note: ks might skip some models, that's why ik is needed
   end
end