?? mixgauss_mstep.m
字號(hào):
function [mu, Sigma] = mixgauss_Mstep(w, Y, YY, YTY, varargin)
% MSTEP_COND_GAUSS Compute MLEs for mixture of Gaussians given expected sufficient statistics
% function [mu, Sigma] = Mstep_cond_gauss(w, Y, YY, YTY, varargin)
%
% We assume P(Y|Q=i) = N(Y; mu_i, Sigma_i)
% and w(i,t) = p(Q(t)=i|y(t)) = posterior responsibility
% See www.ai.mit.edu/~murphyk/Papers/learncg.pdf.
%
% INPUTS:
% w(i) = sum_t w(i,t) = responsibilities for each mixture component
% If there is only one mixture component (i.e., Q does not exist),
% then w(i) = N = nsamples, and
% all references to i can be replaced by 1.
% YY(:,:,i) = sum_t w(i,t) y(:,t) y(:,t)' = weighted outer product
% Y(:,i) = sum_t w(i,t) y(:,t) = weighted observations
% YTY(i) = sum_t w(i,t) y(:,t)' y(:,t) = weighted inner product
% You only need to pass in YTY if Sigma is to be estimated as spherical.
%
% Optional parameters may be passed as 'param_name', param_value pairs.
% Parameter names are shown below; default values in [] - if none, argument is mandatory.
%
% 'cov_type' - 'full', 'diag' or 'spherical' ['full']
% 'tied_cov' - 1 (Sigma) or 0 (Sigma_i) [0]
% 'clamped_cov' - pass in clamped value, or [] if unclamped [ [] ]
% 'clamped_mean' - pass in clamped value, or [] if unclamped [ [] ]
% 'cov_prior' - Lambda_i, added to YY(:,:,i) [0.01*eye(d,d,Q)]
%
% If covariance is tied, Sigma has size d*d.
% But diagonal and spherical covariances are represented in full size.
[cov_type, tied_cov, clamped_cov, clamped_mean, cov_prior, other] = ...
process_options(varargin,...
'cov_type', 'full', 'tied_cov', 0, 'clamped_cov', [], 'clamped_mean', [], ...
'cov_prior', []);
[Ysz Q] = size(Y);
N = sum(w);
if isempty(cov_prior)
%cov_prior = zeros(Ysz, Ysz, Q);
%for q=1:Q
% cov_prior(:,:,q) = 0.01*cov(Y(:,q)');
%end
cov_prior = repmat(0.01*eye(Ysz,Ysz), [1 1 Q]);
end
%YY = reshape(YY, [Ysz Ysz Q]) + cov_prior; % regularize the scatter matrix
YY = reshape(YY, [Ysz Ysz Q]);
% Set any zero weights to one before dividing
% This is valid because w(i)=0 => Y(:,i)=0, etc
w = w + (w==0);
if ~isempty(clamped_mean)
mu = clamped_mean;
else
% eqn 6
%mu = Y ./ repmat(w(:)', [Ysz 1]);% Y may have a funny size
mu = zeros(Ysz, Q);
for i=1:Q
mu(:,i) = Y(:,i) / w(i);
end
end
if ~isempty(clamped_cov)
Sigma = clamped_cov;
return;
end
if ~tied_cov
Sigma = zeros(Ysz,Ysz,Q);
for i=1:Q
if cov_type(1) == 's'
% eqn 17
s2 = (1/Ysz)*( (YTY(i)/w(i)) - mu(:,i)'*mu(:,i) );
Sigma(:,:,i) = s2 * eye(Ysz);
else
% eqn 12
SS = YY(:,:,i)/w(i) - mu(:,i)*mu(:,i)';
if cov_type(1)=='d'
SS = diag(diag(SS));
end
Sigma(:,:,i) = SS;
end
end
else % tied cov
if cov_type(1) == 's'
% eqn 19
s2 = (1/(N*Ysz))*(sum(YTY,2) + sum(diag(mu'*mu) .* w));
Sigma = s2*eye(Ysz);
else
SS = zeros(Ysz, Ysz);
% eqn 15
for i=1:Q % probably could vectorize this...
SS = SS + YY(:,:,i)/N - mu(:,i)*mu(:,i)';
end
if cov_type(1) == 'd'
Sigma = diag(diag(SS));
else
Sigma = SS;
end
end
end
if tied_cov
Sigma = repmat(Sigma, [1 1 Q]);
end
Sigma = Sigma + cov_prior;
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