root/bdm/estim/mixef.cpp @ 195

#include "mixef.h"
#include <vector>

using namespace itpp;


void MixEF::init ( BMEF* Com0, const mat &Data, int c ) {
        //prepare sizes
        Coms.set_size ( c );
        n=c;
        weights.set_parameters ( ones ( c ) ); //assume at least one observation in each comp.
        //est will be done at the end
        //
        int i;
        int ndat = Data.cols();
        //Estimate  Com0 from all data
        Coms ( 0 ) = ( BMEF* ) Com0->_copy_();
//      Coms(0)->set_evalll(false);
        Coms ( 0 )->bayesB ( Data );
        // Flatten it to its original shape
        Coms ( 0 )->flatten ( Com0 );

        //Copy it to the rest
        for ( i=1;i<n;i++ ) {
                //copy Com0 and create new rvs for them
                Coms ( i ) = ( BMEF* ) Coms ( 0 )->_copy_ ( true );
        }
        //Pick some data for each component and update it
        for ( i=0;i<n;i++ ) {
                //pick one datum
                int ind=floor(ndat*UniRNG.sample());
                Coms ( i )->bayes ( Data.get_col ( ind ),1.0 );
        }

        //est already exists - must be deleted before build_est() can be used
        delete est;
        build_est();

}

void MixEF::bayesB ( const mat &data , const vec &wData ) {
        int ndat=data.cols();
        int t,i,niter;
        bool converged=false;

        multiBM weights0 ( weights );

        Array<BMEF*> Coms0 ( n );
        for ( i=0;i<n;i++ ) {Coms0 ( i ) = ( BMEF* ) Coms ( i )->_copy_();}

        niter=0;
        mat W=ones ( n,ndat ) / n;
        mat Wlast=ones ( n,ndat ) / n;
        vec w ( n );
        vec ll ( n );
        // tmp for weights
        vec wtmp = zeros ( n );
        int maxi;
        double maxll;
        //Estim
        while ( !converged ) {
                // Copy components back to their initial values
                // All necessary information is now in w and Coms0.
                Wlast = W;
                //
                for ( t=0;t<ndat;t++ ) {
                        for ( i=0;i<n;i++ ) {
                                ll ( i ) =Coms ( i )->logpred ( data.get_col ( t ) );
                                wtmp =0.0; wtmp ( i ) =1.0;
                                ll ( i ) += weights.logpred ( wtmp );
                        }
                        
                        maxll = max(ll,maxi);
                        switch (method) {
                                case QB:
                                        w = exp ( ll-maxll );
                                        w/=sum(w);
                                        break;
                                case EM:
                                        w = 0.0;
                                        w(maxi) = 1.0;
                                        break;
                        }
                        
                        W.set_col ( t, w );
                }

                // copy initial statistics
                for ( i=0;i<n;i++ ) {
                        Coms ( i )-> set_statistics ( Coms0 ( i ) );
                }
                weights.set_statistics ( &weights0 );

                // Update statistics
                // !!!!    note  wData ==> this is extra weight of the data record
                // !!!!    For typical cases wData=1.
                for ( t=0;t<ndat;t++ ) {
                        for ( i=0;i<n;i++ ) {
                                Coms ( i )-> bayes ( data.get_col ( t ),W ( i,t ) * wData ( t ) );
                        }
                        weights.bayes ( W.get_col ( t ) * wData ( t ) );
                }

                niter++;
                //TODO better convergence rule.
                converged = ( sumsum ( abs ( W-Wlast ) ) /n<0.001 );
        }

        //Clean Coms0
        for ( i=0;i<n;i++ ) {delete Coms0 ( i );}
}

void MixEF::bayes ( const vec &data ) {

};

void MixEF::bayes ( const mat &data ) {
        this->bayesB ( data, ones ( data.cols() ) );
};


double MixEF::logpred ( const vec &dt ) const {

        vec w=weights._epdf().mean();
        double exLL=0.0;
        for ( int i=0;i<n;i++ ) {
                exLL+=w ( i ) *exp ( Coms ( i )->logpred ( dt ) );
        }
        return log ( exLL );
}

emix* MixEF::predictor ( const RV &rv ) {
        Array<epdf*> pC ( n );
        for ( int i=0;i<n;i++ ) {pC ( i ) =Coms ( i )->predictor ( rv );}
        emix* tmp;
        tmp = new emix ( rv );
        tmp->set_parameters ( weights._epdf().mean(), pC, false );
        tmp->ownComs();
        return tmp;
}