GMM实验

聚类

实验代码：
testGmm.m ——测试主函数

function testGmm()
    X = generateData();
    K = 2;
    gamma = gmm(X, K);
    %根据最大后验概率确定类别
    [value,gamma_K] = max(gamma,[],2);
    % show result
    figure(3)
    idx1 = find(gamma_K == 1);
    plot(X(idx1,1),X(idx1,2),'ro', 'MarkerFaceColor','r');
    hold on;
    idx2 = find(gamma_K == 2);
    plot(X(idx2,1),X(idx2,2),'bo','MarkerFaceColor','b');
    title('K-Means Result');
end

generateData.m——产生模拟数据

function X = generateData()
%%
%产生混合高斯数据
%%
% show real data
figure(1)
mu = [2 3];
SIGMA = [1 0; 0 2];
r = mvnrnd(mu,SIGMA,100);
plot(r(:,1),r(:,2),'rx', 'MarkerFaceColor','r','LineWidth',2,'MarkerSize',10);
hold on;
mu = [7 8];
SIGMA = [ 1 0; 0 2];
r2 = mvnrnd(mu,SIGMA,100);
plot(r2(:,1),r2(:,2),'bx', 'MarkerFaceColor','b','LineWidth',2,'MarkerSize',10);
title('Real Data');
X = [r;r2];
figure(2)
% no label
plot(X(:,1),X(:,2),'mo', 'MarkerFaceColor','m');
title('No label data : X')
end

gmm.m——高斯混合模型的EM解法

function pGamma = gmm(X, K_or_centroids)
% ============================================================
% Expectation-Maximization iteration implementation of
% Gaussian Mixture Model.
%
% PX = GMM(X, K_OR_CENTROIDS)
% [PX MODEL] = GMM(X, K_OR_CENTROIDS)
%
%  - X: N-by-D data matrix.
%  - K_OR_CENTROIDS: either K indicating the number of
%       components or a K-by-D matrix indicating the
%       choosing of the initial K centroids.
%
%  - PX: N-by-K matrix indicating the probability of each
%       component generating each point.
%  - MODEL: a structure containing the parameters for a GMM:
%       MODEL.Miu: a K-by-D matrix.
%       MODEL.Sigma: a D-by-D-by-K matrix.
%       MODEL.Pi: a 1-by-K vector.
% ============================================================

    threshold = 1e-15;
    [N, D] = size(X);
    %是否用k-means的聚类中心点作为初值
    if isscalar(K_or_centroids)
        K = K_or_centroids;
        % randomly pick centroids
        rndp = randperm(N);
        centroids = X(rndp(1:K), :);
    else
        K = size(K_or_centroids, 1);
        centroids = K_or_centroids;
    end

    % initial values
    [pMiu pPi pSigma] = init_params();

    Lprev = -inf;
    while true
        Px = calc_prob();
        % E step : 求后验概率
        % new value for pGamma
        pGamma = Px .* repmat(pPi, N, 1);
        pGamma = pGamma ./ repmat(sum(pGamma, 2), 1, K);

        %求 pi, mu, Sigma
        % new value for parameters of each Component
        Nk = sum(pGamma, 1);
        pMiu = diag(1./Nk) * pGamma' * X;
        pPi = Nk/N;
        for kk = 1:K
            Xshift = X-repmat(pMiu(kk, :), N, 1);
            pSigma(:, :, kk) = (Xshift' * ...
                (diag(pGamma(:, kk)) * Xshift)) / Nk(kk);
        end

        %迭代终止条件
        % check for convergence
        L = sum(log(Px*pPi'));
        if L-Lprev < threshold
            break;
        end
        Lprev = L;
    end

    if nargout == 1
        varargout = {Px};
    else
        model = [];
        model.Miu = pMiu;
        model.Sigma = pSigma;
        model.Pi = pPi;
        varargout = {Px, model};
    end
   %产生初始化参数
    function [pMiu pPi pSigma] = init_params()
        pMiu = centroids;
        pPi = zeros(1, K);
        pSigma = zeros(D, D, K);

        % hard assign x to each centroids
        distmat = repmat(sum(X.*X, 2), 1, K) + ...
            repmat(sum(pMiu.*pMiu, 2)', N, 1) - ...
            2*X*pMiu';
        [dummy labels] = min(distmat, [], 2);

        for k=1:K
            Xk = X(labels == k, :);
            pPi(k) = size(Xk, 1)/N;
            pSigma(:, :, k) = cov(Xk);
        end
    end
    %计算各数据点对应单独高斯分布中的概率值
    function Px = calc_prob()
        Px = zeros(N, K);
        for k = 1:K
            Xshift = X-repmat(pMiu(k, :), N, 1);
            inv_pSigma = inv(pSigma(:, :, k));
            tmp = sum((Xshift*inv_pSigma) .* Xshift, 2);
            coef = (2*pi)^(-D/2) * sqrt(det(inv_pSigma));
            Px(:, k) = coef * exp(-0.5*tmp);
        end
    end
end

gmm.m算法来自http://blog.pluskid.org/?p=39

实验结果：
（1）真实数据

（2）不含标签数据

（3）gmm结果

相关博客
（1）GMM的EM解法： EM算法（期望最大化）——应用：GMM http://blog.csdn.net/tingyue_/article/details/70576025
（2）K-Means实验：http://blog.csdn.net/tingyue_/article/details/70767601
（3）漫谈 Clustering (3): Gaussian Mixture Model：http://blog.pluskid.org/?p=39