expectation maximization

最新推荐文章于 2024-07-19 10:51:16 发布

搬砖张姐

最新推荐文章于 2024-07-19 10:51:16 发布

阅读量443

点赞数

分类专栏： algorithm 文章标签：计算机视觉

algorithm 专栏收录该内容

5 篇文章 0 订阅

订阅专栏

在统计计算中，最大期望（EM）算法是在概率（probabilistic）模型中寻找参数最大似然估计的算法，其中概率模型依赖于无法观测的隐藏变量（Latent Variable）。最大期望经常用在机器学习和计算机视觉的数据聚类（Data Clustering）领域。最大期望算法经过两个步骤交替进行计算，第一步是计算期望（E），利用对隐藏变量的现有估计值，计算其最大似然估计值；第二步是最大化（M），最大化在 E 步上求得的最大似然值来计算参数的值。M 步上找到的参数估计值被用于下一个 E 步计算中，这个过程不断交替进行。

最大期望值算法由 Arthur Dempster,Nan Laird和Donald Rubin在他们1977年发表的经典论文中提出。他们指出此方法之前其实已经被很多作者"在他们特定的研究领域中多次提出过"。

我们用 $\textbf{y}$ 表示能够观察到的不完整的变量值，用 $\textbf{x}$ 表示无法观察到的变量值，这样 $\textbf{x}$ 和 $\textbf{y}$ 一起组成了完整的数据。 $\textbf{x}$ 可能是实际测量丢失的数据，也可能是能够简化问题的隐藏变量，如果它的值能够知道的话。例如，在混合模型（Mixture Model）中，如果“产生”样本的混合元素成分已知的话最大似然公式将变得更加便利（参见下面的例子）。

估计无法观测的数据

让 $p\,$ 代表矢量 θ: $p( \mathbf y, \mathbf x | \theta)$ 定义的参数的全部数据的概率分布（连续情况下）或者概率聚类函数（离散情况下），那么从这个函数就可以得到全部数据的最大似然值，另外，在给定的观察到的数据条件下未知数据的条件分布可以表示为：

$p(\mathbf x |\mathbf y, \theta) = \frac{p(\mathbf y, \mathbf x | \theta)}{p(\mathbf y | \theta)} = \frac{p(\mathbf y|\mathbf x, \theta) p(\mathbf x |\theta) }{\int p(\mathbf y|\mathbf x, \theta) p(\mathbf x |\theta) d\mathbf x}$

EM算法有这么两个步骤E和M:

Expectation step: Choose q to maximize F:

$q^{(t)} = \underset{q} \operatorname{\arg\,max} \ F(q,\theta^{(t)})$

Maximization step: Choose θ to maximize F:

$\theta^{(t+1)} = \underset{\theta} \operatorname{\arg\,max} \ F(q^{(t)},\theta)$

举个例子吧：高斯混合

假设 x = (x₁,x₂,…,x_n) 是一个独立的观测样本，来自两个多元d维正态分布的混合, 让z=(z₁,z₂,…,z_n)是潜在变量，确定其中的组成部分，是观测的来源.

即：

$X_i |(Z_i = 1) \sim \mathcal{N}_d(\boldsymbol{\mu}_1,\Sigma_1)$ and $X_i |(Z_i = 2) \sim \mathcal{N}_d(\boldsymbol{\mu}_2,\Sigma_2)$

where

$\operatorname{P} (Z_i = 1 ) = \tau_1 \,$ and $\operatorname{P} (Z_i=2) = \tau_2 = 1-\tau_1$

目标呢就是估计下面这些参数了，包括混合的参数以及高斯的均值很方差:

$\theta = \big( \boldsymbol{\tau},\boldsymbol{\mu}_1,\boldsymbol{\mu}_2,\Sigma_1,\Sigma_2 \big)$

似然函数:

$L(\theta;\mathbf{x},\mathbf{z}) = \prod_{i=1}^n \sum_{j=1}^2 \mathbb{I}(z_i=j) \ \tau_j \ f(\mathbf{x}_i;\boldsymbol{\mu}_j,\Sigma_j)$

where $\mathbb{I}$ 是一个指示函数，f 是一个多元正态分布的概率密度函数. 可以写成指数形式:

$L(\theta;\mathbf{x},\mathbf{z}) = \exp \left\{ \sum_{i=1}^n \sum_{j=1}^2 \mathbb{I}(z_i=j) \big[ \log \tau_j -\tfrac{1}{2} \log |\Sigma_j| -\tfrac{1}{2}(\mathbf{x}_i-\boldsymbol{\mu}_j)^\top\Sigma_j^{-1} (\mathbf{x}_i-\boldsymbol{\mu}_j) -\tfrac{d}{2} \log(2\pi) \big] \right\}$

下面就进入两个大步骤了：

E-step

给定目前的参数估计 θ^(t), Z_i 的条件概率分布是由贝叶斯理论得出，高斯之间用参数 τ加权:

$T_{j,i}^{(t)} := \operatorname{P}(Z_i=j | X_i=\mathbf{x}_i ;\theta^{(t)}) = \frac{\tau_j^{(t)} \ f(\mathbf{x}_i;\boldsymbol{\mu}_j^{(t)},\Sigma_j^{(t)})}{\tau_1^{(t)} \ f(\mathbf{x}_i;\boldsymbol{\mu}_1^{(t)},\Sigma_1^{(t)}) + \tau_2^{(t)} \ f(\mathbf{x}_i;\boldsymbol{\mu}_2^{(t)},\Sigma_2^{(t)})}$ .

因此，E步骤的结果:

$\begin{align}Q(\theta|\theta^{(t)}) &= \operatorname{E} [\log L(\theta;\mathbf{x},\mathbf{Z}) ] \\ &= \sum_{i=1}^n \sum_{j=1}^2 T_{j,i}^{(t)} \big[ \log \tau_j -\tfrac{1}{2} \log |\Sigma_j| -\tfrac{1}{2}(\mathbf{x}_i-\boldsymbol{\mu}_j)^\top\Sigma_j^{-1} (\mathbf{x}_i-\boldsymbol{\mu}_j) -\tfrac{d}{2} \log(2\pi) \big] \end{align}$

M步骤

Q(θ|θ^(t))的二次型表示可以使得最大化θ相对简单. τ, (μ₁,Σ₁) and (μ₂,Σ₂) 可以单独的进行最大化.

首先考虑 τ, 有条件τ₁ + τ₂=1:

$\begin{align}\boldsymbol{\tau}^{(t+1)} &= \underset{\boldsymbol{\tau}} \operatorname{arg\,max}\ Q(\theta | \theta^{(t)} ) \\ &= \underset{\boldsymbol{\tau}} \operatorname{arg\,max} \ \left\{ \left[ \sum_{i=1}^n T_{1,i}^{(t)} \right] \log \tau_1 + \left[ \sum_{i=1}^n T_{2,i}^{(t)} \right] \log \tau_2 \right\} \end{align}$

和MLE的形式是类似的，二项分布 , 因此:

$\tau^{(t+1)}_j = \frac{\sum_{i=1}^n T_{j,i}^{(t)}}{\sum_{i=1}^n (T_{1,i}^{(t)} + T_{2,i}^{(t)} ) } = \frac{1}{n} \sum_{i=1}^n T_{j,i}^{(t)}$

下一步估计 (μ₁,Σ₁):

$\begin{align}(\boldsymbol{\mu}_1^{(t+1)},\Sigma_1^{(t+1)}) &= \underset{\boldsymbol{\mu}_1,\Sigma_1} \operatorname{arg\,max}\ Q(\theta | \theta^{(t)} ) \\ &= \underset{\boldsymbol{\mu}_1,\Sigma_1} \operatorname{arg\,max}\ \sum_{i=1}^n T_{1,i}^{(t)} \left\{ -\tfrac{1}{2} \log |\Sigma_1| -\tfrac{1}{2}(\mathbf{x}_i-\boldsymbol{\mu}_1)^\top\Sigma_1^{-1} (\mathbf{x}_i-\boldsymbol{\mu}_1) \right\} \end{align}$

和加权的 MLE就正态分布来说类似

$\boldsymbol{\mu}_1^{(t+1)} = \frac{\sum_{i=1}^n T_{1,i}^{(t)} \mathbf{x}_i}{\sum_{i=1}^n T_{1,i}^{(t)}}$ and $\Sigma_1^{(t+1)} = \frac{\sum_{i=1}^n T_{1,i}^{(t)} (\mathbf{x}_i - \boldsymbol{\mu}_1^{(t+1)}) (\mathbf{x}_i - \boldsymbol{\mu}_1^{(t+1)})^\top }{\sum_{i=1}^n T_{1,i}^{(t)}}$

对称的:

$\boldsymbol{\mu}_2^{(t+1)} = \frac{\sum_{i=1}^n T_{2,i}^{(t)} \mathbf{x}_i}{\sum_{i=1}^n T_{2,i}^{(t)}}$ and $\Sigma_2^{(t+1)} = \frac{\sum_{i=1}^n T_{2,i}^{(t)} (\mathbf{x}_i - \boldsymbol{\mu}_2^{(t+1)}) (\mathbf{x}_i - \boldsymbol{\mu}_2^{(t+1)})^\top }{\sum_{i=1}^n T_{2,i}^{(t)}}$ .

这个例子来自Answers.com的Expectation-maximization algorithm，由于还没有深入体验，心里还说不出一些更通俗易懂的东西来，等研究了并且应用了可能就有所理解和消化。另外，liuxqsmile也做了一些理解和翻译。

============

在网上的源码不多，有一个很好的EM_GM.m，是滑铁卢大学的Patrick P. C. Tsui写的，拿来分享一下：

运行的时候可以如下进行初始化：

[plain] view plain copy print ?

% matlab code
X = zeros(600,2);
X(1:200,:) = normrnd(0,1,200,2);
X(201:400,:) = normrnd(0,2,200,2);
X(401:600,:) = normrnd(0,3,200,2);
[W,M,V,L] = EM_GM(X,3,[],[],1,[])

% matlab code

X = zeros(600,2);
X(1:200,:) = normrnd(0,1,200,2);
X(201:400,:) = normrnd(0,2,200,2);
X(401:600,:) = normrnd(0,3,200,2);
[W,M,V,L] = EM_GM(X,3,[],[],1,[])

下面是程序源码：

[plain] view plain copy print ?

% matlab code
function [W,M,V,L] = EM_GM(X,k,ltol,maxiter,pflag,Init)
% [W,M,V,L] = EM_GM(X,k,ltol,maxiter,pflag,Init)
%
% EM algorithm for k multidimensional Gaussian mixture estimation
%
% Inputs:
% X(n,d) - input data, n=number of observations, d=dimension of variable
% k - maximum number of Gaussian components allowed
% ltol - percentage of the log likelihood difference between 2 iterations ([] for none)
% maxiter - maximum number of iteration allowed ([] for none)
% pflag - 1 for plotting GM for 1D or 2D cases only, 0 otherwise ([] for none)
% Init - structure of initial W, M, V: Init.W, Init.M, Init.V ([] for none)
%
% Ouputs:
% W(1,k) - estimated weights of GM
% M(d,k) - estimated mean vectors of GM
% V(d,d,k) - estimated covariance matrices of GM
% L - log likelihood of estimates
%
% Written by
% Patrick P. C. Tsui,
% PAMI research group
% Department of Electrical and Computer Engineering
% University of Waterloo,
% March, 2006
%
%%%% Validate inputs %%%%
if nargin <= 1,
disp('EM_GM must have at least 2 inputs: X,k!/n')
return
elseif nargin == 2,
ltol = 0.1; maxiter = 1000; pflag = 0; Init = [];
err_X = Verify_X(X);
err_k = Verify_k(k);
if err_X | err_k, return; end
elseif nargin == 3,
maxiter = 1000; pflag = 0; Init = [];
err_X = Verify_X(X);
err_k = Verify_k(k);
[ltol,err_ltol] = Verify_ltol(ltol);
if err_X | err_k | err_ltol, return; end
elseif nargin == 4,
pflag = 0; Init = [];
err_X = Verify_X(X);
err_k = Verify_k(k);
[ltol,err_ltol] = Verify_ltol(ltol);
[maxiter,err_maxiter] = Verify_maxiter(maxiter);
if err_X | err_k | err_ltol | err_maxiter, return; end
elseif nargin == 5,
Init = [];
err_X = Verify_X(X);
err_k = Verify_k(k);
[ltol,err_ltol] = Verify_ltol(ltol);
[maxiter,err_maxiter] = Verify_maxiter(maxiter);
[pflag,err_pflag] = Verify_pflag(pflag);
if err_X | err_k | err_ltol | err_maxiter | err_pflag, return; end
elseif nargin == 6,
err_X = Verify_X(X);
err_k = Verify_k(k);
[ltol,err_ltol] = Verify_ltol(ltol);
[maxiter,err_maxiter] = Verify_maxiter(maxiter);
[pflag,err_pflag] = Verify_pflag(pflag);
[Init,err_Init]=Verify_Init(Init);
if err_X | err_k | err_ltol | err_maxiter | err_pflag | err_Init, return; end
else
disp('EM_GM must have 2 to 6 inputs!');
return
end
%%%% Initialize W, M, V,L %%%%
t = cputime;
if isempty(Init),
[W,M,V] = Init_EM(X,k); L = 0;
else
W = Init.W;
M = Init.M;
V = Init.V;
end
Ln = Likelihood(X,k,W,M,V); % Initialize log likelihood
Lo = 2*Ln;
%%%% EM algorithm %%%%
niter = 0;
while (abs(100*(Ln-Lo)/Lo)>ltol) & (niter<=maxiter),
E = Expectation(X,k,W,M,V); % E-step
[W,M,V] = Maximization(X,k,E); % M-step
Lo = Ln;
Ln = Likelihood(X,k,W,M,V);
niter = niter + 1;
end
L = Ln;
%%%% Plot 1D or 2D %%%%
if pflag==1,
[n,d] = size(X);
if d>2,
disp('Can only plot 1 or 2 dimensional applications!/n');
else
Plot_GM(X,k,W,M,V);
end
elapsed_time = sprintf('CPU time used for EM_GM: %5.2fs',cputime-t);
disp(elapsed_time);
disp(sprintf('Number of iterations: %d',niter-1));
end
%%%%%%%%%%%%%%%%%%%%%%
%%%% End of EM_GM %%%%
%%%%%%%%%%%%%%%%%%%%%%
function E = Expectation(X,k,W,M,V)
[n,d] = size(X);
a = (2*pi)^(0.5*d);
S = zeros(1,k);
iV = zeros(d,d,k);
for j=1:k,
if V(:,:,j)==zeros(d,d), V(:,:,j)=ones(d,d)*eps; end
S(j) = sqrt(det(V(:,:,j)));
iV(:,:,j) = inv(V(:,:,j));
end
E = zeros(n,k);
for i=1:n,
for j=1:k,
dXM = X(i,:)'-M(:,j);
pl = exp(-0.5*dXM'*iV(:,:,j)*dXM)/(a*S(j));
E(i,j) = W(j)*pl;
end
E(i,:) = E(i,:)/sum(E(i,:));
end
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Expectation %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function [W,M,V] = Maximization(X,k,E)
[n,d] = size(X);
W = zeros(1,k); M = zeros(d,k);
V = zeros(d,d,k);
for i=1:k, % Compute weights
for j=1:n,
W(i) = W(i) + E(j,i);
M(:,i) = M(:,i) + E(j,i)*X(j,:)';
end
M(:,i) = M(:,i)/W(i);
end
for i=1:k,
for j=1:n,
dXM = X(j,:)'-M(:,i);
V(:,:,i) = V(:,:,i) + E(j,i)*dXM*dXM';
end
V(:,:,i) = V(:,:,i)/W(i);
end
W = W/n;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Maximization %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function L = Likelihood(X,k,W,M,V)
% Compute L based on K. V. Mardia, "Multivariate Analysis", Academic Press, 1979, PP. 96-97
% to enchance computational speed
[n,d] = size(X);
U = mean(X)';
S = cov(X);
L = 0;
for i=1:k,
iV = inv(V(:,:,i));
L = L + W(i)*(-0.5*n*log(det(2*pi*V(:,:,i))) ...
-0.5*(n-1)*(trace(iV*S)+(U-M(:,i))'*iV*(U-M(:,i))));
end
%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Likelihood %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%
function err_X = Verify_X(X)
err_X = 1;
[n,d] = size(X);
if n<d,
disp('Input data must be n x d!/n');
return
end
err_X = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_X %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%
function err_k = Verify_k(k)
err_k = 1;
if ~isnumeric(k) | ~isreal(k) | k<1,
disp('k must be a real integer >= 1!/n');
return
end
err_k = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_k %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%
function [ltol,err_ltol] = Verify_ltol(ltol)
err_ltol = 1;
if isempty(ltol),
ltol = 0.1;
elseif ~isreal(ltol) | ltol<=0,
disp('ltol must be a positive real number!');
return
end
err_ltol = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_ltol %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function [maxiter,err_maxiter] = Verify_maxiter(maxiter)
err_maxiter = 1;
if isempty(maxiter),
maxiter = 1000;
elseif ~isreal(maxiter) | maxiter<=0,
disp('ltol must be a positive real number!');
return
end
err_maxiter = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_maxiter %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function [pflag,err_pflag] = Verify_pflag(pflag)
err_pflag = 1;
if isempty(pflag),
pflag = 0;
elseif pflag~=0 & pflag~=1,
disp('Plot flag must be either 0 or 1!/n');
return
end
err_pflag = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_pflag %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function [Init,err_Init] = Verify_Init(Init)
err_Init = 1;
if isempty(Init),
% Do nothing;
elseif isstruct(Init),
[Wd,Wk] = size(Init.W);
[Md,Mk] = size(Init.M);
[Vd1,Vd2,Vk] = size(Init.V);
if Wk~=Mk | Wk~=Vk | Mk~=Vk,
disp('k in Init.W(1,k), Init.M(d,k) and Init.V(d,d,k) must equal!/n')
return
end
if Md~=Vd1 | Md~=Vd2 | Vd1~=Vd2,
disp('d in Init.W(1,k), Init.M(d,k) and Init.V(d,d,k) must equal!/n')
return
end
else
disp('Init must be a structure: W(1,k), M(d,k), V(d,d,k) or []!');
return
end
err_Init = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_Init %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function [W,M,V] = Init_EM(X,k)
[n,d] = size(X);
[Ci,C] = kmeans(X,k,'Start','cluster', ...
'Maxiter',100, ...
'EmptyAction','drop', ...
'Display','off'); % Ci(nx1) - cluster indeices; C(k,d) - cluster centroid (i.e. mean)
while sum(isnan(C))>0,
[Ci,C] = kmeans(X,k,'Start','cluster', ...
'Maxiter',100, ...
'EmptyAction','drop', ...
'Display','off');
end
M = C';
Vp = repmat(struct('count',0,'X',zeros(n,d)),1,k);
for i=1:n, % Separate cluster points
Vp(Ci(i)).count = Vp(Ci(i)).count + 1;
Vp(Ci(i)).X(Vp(Ci(i)).count,:) = X(i,:);
end
V = zeros(d,d,k);
for i=1:k,
W(i) = Vp(i).count/n;
V(:,:,i) = cov(Vp(i).X(1:Vp(i).count,:));
end
%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Init_EM %%%%
%%%%%%%%%%%%%%%%%%%%%%%%
function Plot_GM(X,k,W,M,V)
[n,d] = size(X);
if d>2,
disp('Can only plot 1 or 2 dimensional applications!/n');
return
end
S = zeros(d,k);
R1 = zeros(d,k);
R2 = zeros(d,k);
for i=1:k, % Determine plot range as 4 x standard deviations
S(:,i) = sqrt(diag(V(:,:,i)));
R1(:,i) = M(:,i)-4*S(:,i);
R2(:,i) = M(:,i)+4*S(:,i);
end
Rmin = min(min(R1));
Rmax = max(max(R2));
R = [Rmin:0.001*(Rmax-Rmin):Rmax];
clf, hold on
if d==1,
Q = zeros(size(R));
for i=1:k,
P = W(i)*normpdf(R,M(:,i),sqrt(V(:,:,i)));
Q = Q + P;
plot(R,P,'r-'); grid on,
end
plot(R,Q,'k-');
xlabel('X');
ylabel('Probability density');
else % d==2
plot(X(:,1),X(:,2),'r.');
for i=1:k,
Plot_Std_Ellipse(M(:,i),V(:,:,i));
end
xlabel('1^{st} dimension');
ylabel('2^{nd} dimension');
axis([Rmin Rmax Rmin Rmax])
end
title('Gaussian Mixture estimated by EM');
%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Plot_GM %%%%
%%%%%%%%%%%%%%%%%%%%%%%%
function Plot_Std_Ellipse(M,V)
[Ev,D] = eig(V);
d = length(M);
if V(:,:)==zeros(d,d),
V(:,:) = ones(d,d)*eps;
end
iV = inv(V);
% Find the larger projection
P = [1,0;0,0]; % X-axis projection operator
P1 = P * 2*sqrt(D(1,1)) * Ev(:,1);
P2 = P * 2*sqrt(D(2,2)) * Ev(:,2);
if abs(P1(1)) >= abs(P2(1)),
Plen = P1(1);
else
Plen = P2(1);
end
count = 1;
step = 0.001*Plen;
Contour1 = zeros(2001,2);
Contour2 = zeros(2001,2);
for x = -Plen:step:Plen,
a = iV(2,2);
b = x * (iV(1,2)+iV(2,1));
c = (x^2) * iV(1,1) - 1;
Root1 = (-b + sqrt(b^2 - 4*a*c))/(2*a);
Root2 = (-b - sqrt(b^2 - 4*a*c))/(2*a);
if isreal(Root1),
Contour1(count,:) = [x,Root1] + M';
Contour2(count,:) = [x,Root2] + M';
count = count + 1;
end
end
Contour1 = Contour1(1:count-1,:);
Contour2 = [Contour1(1,:);Contour2(1:count-1,:);Contour1(count-1,:)];
plot(M(1),M(2),'k+');
plot(Contour1(:,1),Contour1(:,2),'k-');
plot(Contour2(:,1),Contour2(:,2),'k-');
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Plot_Std_Ellipse %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

% matlab code

function [W,M,V,L] = EM_GM(X,k,ltol,maxiter,pflag,Init)
% [W,M,V,L] = EM_GM(X,k,ltol,maxiter,pflag,Init)
%
% EM algorithm for k multidimensional Gaussian mixture estimation
%
% Inputs:
%   X(n,d) - input data, n=number of observations, d=dimension of variable
%   k - maximum number of Gaussian components allowed
%   ltol - percentage of the log likelihood difference between 2 iterations ([] for none)
%   maxiter - maximum number of iteration allowed ([] for none)
%   pflag - 1 for plotting GM for 1D or 2D cases only, 0 otherwise ([] for none)
%   Init - structure of initial W, M, V: Init.W, Init.M, Init.V ([] for none)
%
% Ouputs:
%   W(1,k) - estimated weights of GM
%   M(d,k) - estimated mean vectors of GM
%   V(d,d,k) - estimated covariance matrices of GM
%   L - log likelihood of estimates
%
% Written by
%   Patrick P. C. Tsui,
%   PAMI research group
%   Department of Electrical and Computer Engineering
%   University of Waterloo,
%   March, 2006
%
 
%%%% Validate inputs %%%%
if nargin <= 1,
 disp('EM_GM must have at least 2 inputs: X,k!/n')
 return
elseif nargin == 2,
 ltol = 0.1; maxiter = 1000; pflag = 0; Init = [];
 err_X = Verify_X(X);
 err_k = Verify_k(k);
 if err_X | err_k, return; end
elseif nargin == 3,
 maxiter = 1000; pflag = 0; Init = [];
 err_X = Verify_X(X);
 err_k = Verify_k(k);
 [ltol,err_ltol] = Verify_ltol(ltol);
 if err_X | err_k | err_ltol, return; end
elseif nargin == 4,
 pflag = 0;  Init = [];
 err_X = Verify_X(X);
 err_k = Verify_k(k);
 [ltol,err_ltol] = Verify_ltol(ltol);
 [maxiter,err_maxiter] = Verify_maxiter(maxiter);
 if err_X | err_k | err_ltol | err_maxiter, return; end
elseif nargin == 5,
 Init = [];
 err_X = Verify_X(X);
 err_k = Verify_k(k);
 [ltol,err_ltol] = Verify_ltol(ltol);
 [maxiter,err_maxiter] = Verify_maxiter(maxiter);
 [pflag,err_pflag] = Verify_pflag(pflag);
 if err_X | err_k | err_ltol | err_maxiter | err_pflag, return; end
elseif nargin == 6,
 err_X = Verify_X(X);
 err_k = Verify_k(k);
 [ltol,err_ltol] = Verify_ltol(ltol);
 [maxiter,err_maxiter] = Verify_maxiter(maxiter);
 [pflag,err_pflag] = Verify_pflag(pflag);
 [Init,err_Init]=Verify_Init(Init);
 if err_X | err_k | err_ltol | err_maxiter | err_pflag | err_Init, return; end
else
 disp('EM_GM must have 2 to 6 inputs!');
 return
end
 
%%%% Initialize W, M, V,L %%%%
t = cputime;
if isempty(Init),
 [W,M,V] = Init_EM(X,k); L = 0;
else
 W = Init.W;
 M = Init.M;
 V = Init.V;
end
Ln = Likelihood(X,k,W,M,V); % Initialize log likelihood
Lo = 2*Ln;
 
%%%% EM algorithm %%%%
niter = 0;
while (abs(100*(Ln-Lo)/Lo)>ltol) & (niter<=maxiter),
 E = Expectation(X,k,W,M,V); % E-step
 [W,M,V] = Maximization(X,k,E);  % M-step
 Lo = Ln;
 Ln = Likelihood(X,k,W,M,V);
 niter = niter + 1;
end
L = Ln;
 
%%%% Plot 1D or 2D %%%%
if pflag==1,
 [n,d] = size(X);
 if d>2,
 disp('Can only plot 1 or 2 dimensional applications!/n');
 else
 Plot_GM(X,k,W,M,V);
 end
 elapsed_time = sprintf('CPU time used for EM_GM: %5.2fs',cputime-t);
 disp(elapsed_time);
 disp(sprintf('Number of iterations: %d',niter-1));
end
%%%%%%%%%%%%%%%%%%%%%%
%%%% End of EM_GM %%%%
%%%%%%%%%%%%%%%%%%%%%%
 
function E = Expectation(X,k,W,M,V)
[n,d] = size(X);
a = (2*pi)^(0.5*d);
S = zeros(1,k);
iV = zeros(d,d,k);
for j=1:k,
 if V(:,:,j)==zeros(d,d), V(:,:,j)=ones(d,d)*eps; end
 S(j) = sqrt(det(V(:,:,j)));
 iV(:,:,j) = inv(V(:,:,j));
end
E = zeros(n,k);
for i=1:n,
 for j=1:k,
 dXM = X(i,:)'-M(:,j);
 pl = exp(-0.5*dXM'*iV(:,:,j)*dXM)/(a*S(j));
 E(i,j) = W(j)*pl;
 end
 E(i,:) = E(i,:)/sum(E(i,:));
end
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Expectation %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [W,M,V] = Maximization(X,k,E)
[n,d] = size(X);
W = zeros(1,k); M = zeros(d,k);
V = zeros(d,d,k);
for i=1:k,  % Compute weights
 for j=1:n,
 W(i) = W(i) + E(j,i);
 M(:,i) = M(:,i) + E(j,i)*X(j,:)';
 end
 M(:,i) = M(:,i)/W(i);
end
for i=1:k,
 for j=1:n,
 dXM = X(j,:)'-M(:,i);
 V(:,:,i) = V(:,:,i) + E(j,i)*dXM*dXM';
 end
 V(:,:,i) = V(:,:,i)/W(i);
end
W = W/n;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Maximization %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function L = Likelihood(X,k,W,M,V)
% Compute L based on K. V. Mardia, "Multivariate Analysis", Academic Press, 1979, PP. 96-97
% to enchance computational speed
[n,d] = size(X);
U = mean(X)';
S = cov(X);
L = 0;
for i=1:k,
 iV = inv(V(:,:,i));
 L = L + W(i)*(-0.5*n*log(det(2*pi*V(:,:,i))) ...
 -0.5*(n-1)*(trace(iV*S)+(U-M(:,i))'*iV*(U-M(:,i))));
end
%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Likelihood %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function err_X = Verify_X(X)
err_X = 1;
[n,d] = size(X);
if n<d,
 disp('Input data must be n x d!/n');
 return
end
err_X = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_X %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%
 
function err_k = Verify_k(k)
err_k = 1;
if ~isnumeric(k) | ~isreal(k) | k<1,
 disp('k must be a real integer >= 1!/n');
 return
end
err_k = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_k %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [ltol,err_ltol] = Verify_ltol(ltol)
err_ltol = 1;
if isempty(ltol),
 ltol = 0.1;
elseif ~isreal(ltol) | ltol<=0,
 disp('ltol must be a positive real number!');
 return
end
err_ltol = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_ltol %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [maxiter,err_maxiter] = Verify_maxiter(maxiter)
err_maxiter = 1;
if isempty(maxiter),
 maxiter = 1000;
elseif ~isreal(maxiter) | maxiter<=0,
 disp('ltol must be a positive real number!');
 return
end
err_maxiter = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_maxiter %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [pflag,err_pflag] = Verify_pflag(pflag)
err_pflag = 1;
if isempty(pflag),
 pflag = 0;
elseif pflag~=0 & pflag~=1,
 disp('Plot flag must be either 0 or 1!/n');
 return
end
err_pflag = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_pflag %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [Init,err_Init] = Verify_Init(Init)
err_Init = 1;
if isempty(Init),
 % Do nothing;
elseif isstruct(Init),
 [Wd,Wk] = size(Init.W);
 [Md,Mk] = size(Init.M);
 [Vd1,Vd2,Vk] = size(Init.V);
 if Wk~=Mk | Wk~=Vk | Mk~=Vk,
 disp('k in Init.W(1,k), Init.M(d,k) and Init.V(d,d,k) must equal!/n')
 return
 end
 if Md~=Vd1 | Md~=Vd2 | Vd1~=Vd2,
 disp('d in Init.W(1,k), Init.M(d,k) and Init.V(d,d,k) must equal!/n')
 return
 end
else
 disp('Init must be a structure: W(1,k), M(d,k), V(d,d,k) or []!');
 return
end
err_Init = 0;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Verify_Init %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%
 
function [W,M,V] = Init_EM(X,k)
[n,d] = size(X);
[Ci,C] = kmeans(X,k,'Start','cluster', ...
 'Maxiter',100, ...
 'EmptyAction','drop', ...
 'Display','off'); % Ci(nx1) - cluster indeices; C(k,d) - cluster centroid (i.e. mean)
while sum(isnan(C))>0,
 [Ci,C] = kmeans(X,k,'Start','cluster', ...
 'Maxiter',100, ...
 'EmptyAction','drop', ...
 'Display','off');
end
M = C';
Vp = repmat(struct('count',0,'X',zeros(n,d)),1,k);
for i=1:n, % Separate cluster points
 Vp(Ci(i)).count = Vp(Ci(i)).count + 1;
 Vp(Ci(i)).X(Vp(Ci(i)).count,:) = X(i,:);
end
V = zeros(d,d,k);
for i=1:k,
 W(i) = Vp(i).count/n;
 V(:,:,i) = cov(Vp(i).X(1:Vp(i).count,:));
end
%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Init_EM %%%%
%%%%%%%%%%%%%%%%%%%%%%%%
 
function Plot_GM(X,k,W,M,V)
[n,d] = size(X);
if d>2,
 disp('Can only plot 1 or 2 dimensional applications!/n');
 return
end
S = zeros(d,k);
R1 = zeros(d,k);
R2 = zeros(d,k);
for i=1:k,  % Determine plot range as 4 x standard deviations
 S(:,i) = sqrt(diag(V(:,:,i)));
 R1(:,i) = M(:,i)-4*S(:,i);
 R2(:,i) = M(:,i)+4*S(:,i);
end
Rmin = min(min(R1));
Rmax = max(max(R2));
R = [Rmin:0.001*(Rmax-Rmin):Rmax];
clf, hold on
if d==1,
 Q = zeros(size(R));
 for i=1:k,
 P = W(i)*normpdf(R,M(:,i),sqrt(V(:,:,i)));
 Q = Q + P;
 plot(R,P,'r-'); grid on,
 end
 plot(R,Q,'k-');
 xlabel('X');
 ylabel('Probability density');
else % d==2
 plot(X(:,1),X(:,2),'r.');
 for i=1:k,
 Plot_Std_Ellipse(M(:,i),V(:,:,i));
 end
 xlabel('1^{st} dimension');
 ylabel('2^{nd} dimension');
 axis([Rmin Rmax Rmin Rmax])
end
title('Gaussian Mixture estimated by EM');
%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Plot_GM %%%%
%%%%%%%%%%%%%%%%%%%%%%%%
 
function Plot_Std_Ellipse(M,V)
[Ev,D] = eig(V);
d = length(M);
if V(:,:)==zeros(d,d),
 V(:,:) = ones(d,d)*eps;
end
iV = inv(V);
% Find the larger projection
P = [1,0;0,0];  % X-axis projection operator
P1 = P * 2*sqrt(D(1,1)) * Ev(:,1);
P2 = P * 2*sqrt(D(2,2)) * Ev(:,2);
if abs(P1(1)) >= abs(P2(1)),
 Plen = P1(1);
else
 Plen = P2(1);
end
count = 1;
step = 0.001*Plen;
Contour1 = zeros(2001,2);
Contour2 = zeros(2001,2);
for x = -Plen:step:Plen,
 a = iV(2,2);
 b = x * (iV(1,2)+iV(2,1));
 c = (x^2) * iV(1,1) - 1;
 Root1 = (-b + sqrt(b^2 - 4*a*c))/(2*a);
 Root2 = (-b - sqrt(b^2 - 4*a*c))/(2*a);
 if isreal(Root1),
 Contour1(count,:) = [x,Root1] + M';
 Contour2(count,:) = [x,Root2] + M';
 count = count + 1;
 end
end
Contour1 = Contour1(1:count-1,:);
Contour2 = [Contour1(1,:);Contour2(1:count-1,:);Contour1(count-1,:)];
plot(M(1),M(2),'k+');
plot(Contour1(:,1),Contour1(:,2),'k-');
plot(Contour2(:,1),Contour2(:,2),'k-');
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%%%% End of Plot_Std_Ellipse %%%%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%