bdm::MixEF Class Reference

Mixture of Exponential Family Densities. More...

#include <mixef.h>

Inheritance diagram for bdm::MixEF:

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Collaboration diagram for bdm::MixEF:

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List of all members.

Public Member Functions
	MixEF (const Array< BMEF * > &Coms0, const vec &alpha0)
	Full constructor.
	MixEF ()
	Constructor of empty mixture.
	MixEF (const MixEF &M2)
	Copy constructor.
void	init (BMEF *Com0, const mat &Data, int c=5)
void	bayes (const vec &dt)
	Recursive EM-like algorithm (QB-variant), see Karny et. al, 2006.
void	bayes (const mat &dt)
	EM algorithm.
void	bayesB (const mat &dt, const vec &wData)
double	logpred (const vec &dt) const
const epdf &	_epdf () const
	Returns a reference to the epdf representing posterior density on parameters.
const eprod *	_e () const
	Returns a pointer to the epdf representing posterior density on parameters. Use with care!
emix *	predictor (const RV &rv) const
	Constructs a predictive density (marginal density on data).
void	flatten (const BMEF *M2)
	Flatten the density as if it was not estimated from the data.
BMEF *	_Coms (int i)
	Access function.
void	set_method (MixEF_METHOD M)
	Set which method is to be used.
virtual void	set_statistics (const BMEF *BM0)
	get statistics from another model
virtual void	bayes (const vec &data, const double w)
	Weighted update of sufficient statistics (Bayes rule).
BMEF *	_copy_ (bool changerv=false)
	Flatten the posterior as if to keep nu0 data.
virtual void	bayesB (const mat &Dt)
	Batch Bayes rule (columns of Dt are observations).
vec	logpred_m (const mat &dt) const
	Matrix version of logpred.
const RV &	_rv () const
	access function
double	_ll () const
	access function
void	set_evalll (bool evl0)
	access function
Protected Member Functions
void	build_est ()
	Auxiliary function for use in constructors.
Protected Attributes
int	n
	Number of components.
Array< BMEF * >	Coms
	Models for Components of .
multiBM	weights
	Statistics for weights.
eprod *	est
	Posterior on component parameters.
MixEF_METHOD	method
	Flag for a method that is used in the inference.
double	frg
	forgetting factor
double	last_lognc
	cached value of lognc() in the previous step (used in evaluation of ll )
RV	rv
	Random variable of the posterior.
double	ll
	Logarithm of marginalized data likelihood.
bool	evalll
	If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.

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Detailed Description

Mixture of Exponential Family Densities.

An approximate estimation method for models with latent discrete variable, such as mixture models of the following kind:

where is a known function of past outputs, are component weights, and component parameters are assumed to be mutually independent. is an aggregation af all component parameters and weights, i.e. .

The characteristic feature of this model is that if the exact values of the latent variable were known, estimation of the parameters can be handled by a single model. For example, for the case of mixture models, posterior density for each component parameters would be a BayesianModel from Exponential Family.

This class uses EM-style type algorithms for estimation of its parameters. Under this simplification, the posterior density is a product of exponential family members, hence under EM-style approximate estimation this class itself belongs to the exponential family.

TODO: Extend BM to use rvc.

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Member Function Documentation

void bdm::MixEF::init	(	BMEF *	Com0,
		const mat &	Data,
		int	c = 5
	)

Initializing the mixture by a random pick of centroids from data

Parameters:

	Com0	Initial component - necessary to determine its type.
	Data	Data on which the initialization will be done
	c	Initial number of components, default=5

References bdm::BMEF::_copy_(), build_est(), Coms, est, n, bdm::multiBM::set_parameters(), bdm::UniRNG, and weights.

Referenced by bdm::merger::merge().

double bdm::MixEF::logpred

(

const vec &

dt

)

const [virtual]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented from bdm::BM.

References bdm::multiBM::_epdf(), Coms, bdm::epdf::mean(), and weights.

Referenced by bdm::merger::evallog(), and bdm::merger::merge().

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The documentation for this class was generated from the following files:

• mixef.h
• mixef.cpp