python做马尔科夫模型预测法_python实现隐马尔科夫模型HMM

#coding=utf8

'''''

Created on 2017-8-5

里面的代码许多地方可以精简，但为了百分百还原公式，就没有精简了。

@author: adzhua

'''

import numpy as np

class HMM(object):

def __init__(self, A, B, pi):

'''''

A: 状态转移概率矩阵

B: 输出观察概率矩阵

pi: 初始化状态向量

'''

self.A = np.array(A)

self.B = np.array(B)

self.pi = np.array(pi)

self.N = self.A.shape[0] # 总共状态个数

self.M = self.B.shape[1] # 总共观察值个数

# 输出HMM的参数信息

def printHMM(self):

print ("==================================================")

print ("HMM content: N =",self.N,",M =",self.M)

for i in range(self.N):

if i==0:

print ("hmm.A ",self.A[i,:]," hmm.B ",self.B[i,:])

else:

print (" ",self.A[i,:]," ",self.B[i,:])

print ("hmm.pi",self.pi)

print ("==================================================")

# 前向算法

def forwar(self, T, O, alpha, prob):

'''''

T: 观察序列的长度

O: 观察序列

alpha: 运算中用到的临时数组

prob: 返回值所要求的概率

'''

# 初始化

for i in range(self.N):

alpha[0, i] = self.pi[i] * self.B[i, O[0]]

# 递归

for t in range(T-1):

for j in range(self.N):

sum = 0.0

for i in range(self.N):

sum += alpha[t, i] * self.A[i, j]

alpha[t+1, j] = sum * self.B[j, O[t+1]]

# 终止

sum = 0.0

for i in range(self.N):

sum += alpha[T-1, i]

prob[0] *= sum

# 带修正的前向算法

def forwardWithScale(self, T, O, alpha, scale, prob):

scale[0] = 0.0

# 初始化

for i in range(self.N):

alpha[0, i] = self.pi[i] * self.B[i, O[0]]

scale[0] += alpha[0, i]

for i in range(self.N):

alpha[0, i] /= scale[0]

# 递归

for t in range(T-1):

scale[t+1] = 0.0

for j in range(self.N):

sum = 0.0

for i in range(self.N):

sum += alpha[t, i] * self.A[i, j]

alpha[t+1, j] = sum * self.B[j, O[t+1]]

scale[t+1] += alpha[t+1, j]

for j in range(self.N):

alpha[t+1, j] /= scale[t+1]

# 终止

for t in range(T):

prob[0] += np.log(scale[t])

def back(self, T, O, beta, prob):

'''''

T: 观察序列的长度 len(O)

O: 观察序列

beta: 计算时用到的临时数组

prob: 返回值；所要求的概率

'''

# 初始化

for i in range(self.N):

beta[T-1, i] = 1.0

# 递归

for t in range(T-2, -1, -1): # 从T-2开始递减；即T-2, T-3, T-4, ..., 0

for i in range(self.N):

sum = 0.0

for j in range(self.N):

sum += self.A[i, j] * self.B[j, O[t+1]] * beta[t+1, j]

beta[t, i] = sum

# 终止

sum = 0.0

for i in range(self.N):

sum += self.pi[i]*self.B[i,O[0]]*beta[0,i]

prob[0] = sum

# 带修正的后向算法

def backwardWithScale(self, T, O, beta, scale):

'''''

T: 观察序列的长度 len(O)

O: 观察序列

beta: 计算时用到的临时数组

'''

# 初始化

for i in range(self.N):

beta[T-1, i] = 1.0

# 递归

for t in range(T-2, -1, -1):

for i in range(self.N):

sum = 0.0

for j in range(self.N):

sum += self.A[i, j] * self.B[j, O[t+1]] * beta[t+1, j]

beta[t, i] = sum / scale[t+1]

# viterbi算法

def viterbi(self, O):

'''''

O: 观察序列

'''

T = len(O)

# 初始化

delta = np.zeros((T, self.N), np.float)

phi = np.zeros((T, self.N), np.float)

I = np.zeros(T)

for i in range(self.N):

delta[0, i] = self.pi[i] * self.B[i, O[0]]

phi[0, i] = 0.0

# 递归

for t in range(1, T):

for i in range(self.N):

delta[t, i] = self.B[i, O[t]] * np.array([delta[t-1, j] * self.A[j, i] for j in range(self.N)] ).max()

phi = np.array([delta[t-1, j] * self.A[j, i] for j in range(self.N)]).argmax()

# 终止

prob = delta[T-1, :].max()

I[T-1] = delta[T-1, :].argmax()

for t in range(T-2, -1, -1):

I[t] = phi[I[t+1]]

return prob, I

# 计算gamma(计算A所需的分母；详情见李航的统计学习) : 时刻t时马尔可夫链处于状态Si的概率

def computeGamma(self, T, alpha, beta, gamma):

''''''''

for t in range(T):

for i in range(self.N):

sum = 0.0

for j in range(self.N):

sum += alpha[t, j] * beta[t, j]

gamma[t, i] = (alpha[t, i] * beta[t, i]) / sum

# 计算sai(i,j)(计算A所需的分子) 为给定训练序列O和模型lambda时

def computeXi(self, T, O, alpha, beta, Xi):

for t in range(T-1):

sum = 0.0

for i in range(self.N):

for j in range(self.N):

Xi[t, i, j] = alpha[t, i] * self.A[i, j] * self.B[j, O[t+1]] * beta[t+1, j]

sum += Xi[t, i, j]

for i in range(self.N):

for j in range(self.N):

Xi[t, i, j] /= sum

# 输入 L个观察序列O，初始模型：HMM={A,B,pi,N,M}

def BaumWelch(self, L, T, O, alpha, beta, gamma):

DELTA = 0.01 ; round = 0 ; flag = 1 ; probf = [0.0]

delta = 0.0; probprev = 0.0 ; ratio = 0.0 ; deltaprev = 10e-70

xi = np.zeros((T, self.N, self.N)) # 计算A的分子

pi = np.zeros((T), np.float) # 状态初始化概率

denominatorA = np.zeros((self.N), np.float) # 辅助计算A的分母的变量

denominatorB = np.zeros((self.N), np.float)

numeratorA = np.zeros((self.N, self.N), np.float) # 辅助计算A的分子的变量

numeratorB = np.zeros((self.N, self.M), np.float) # 针对输出观察概率矩阵

scale = np.zeros((T), np.float)

while True:

probf[0] =0

# E_step

for l in range(L):

self.forwardWithScale(T, O[l], alpha, scale, probf)

self.backwardWithScale(T, O[l], beta, scale)

self.computeGamma(T, alpha, beta, gamma) # (t, i)

self.computeXi(T, O[l], alpha, beta, xi) #(t, i, j)

for i in range(self.N):

pi[i] += gamma[0, i]

for t in range(T-1):

denominatorA[i] += gamma[t, i]

denominatorB[i] += gamma[t, i]

denominatorB[i] += gamma[T-1, i]

for j in range(self.N):

for t in range(T-1):

numeratorA[i, j] += xi[t, i, j]

for k in range(self.M): # M为观察状态取值个数

for t in range(T):

if O[l][t] == k:

numeratorB[i, k] += gamma[t, i]

# M_step。 计算pi, A, B

for i in range(self.N): # 这个for循环也可以放到for l in range(L)里面

self.pi[i] = 0.001 / self.N + 0.999 * pi[i] / L

for j in range(self.N):

self.A[i, j] = 0.001 / self.N + 0.999 * numeratorA[i, j] / denominatorA[i]

numeratorA[i, j] = 0.0

for k in range(self.M):

self.B[i, k] = 0.001 / self.N + 0.999 * numeratorB[i, k] / denominatorB[i]

numeratorB[i, k] = 0.0

#重置

pi[i] = denominatorA[i] = denominatorB[i] = 0.0

if flag == 1:

flag = 0

probprev = probf[0]

ratio = 1

continue

delta = probf[0] - probprev

ratio = delta / deltaprev

probprev = probf[0]

deltaprev = delta

round += 1

if ratio <= DELTA :

print('num iteration: ', round)

break

if __name__ == '__main__':

print ("python my HMM")

# 初始的状态概率矩阵pi；状态转移矩阵A；输出观察概率矩阵B; 观察序列

pi = [0.5,0.5]

A = [[0.8125,0.1875],[0.2,0.8]]

B = [[0.875,0.125],[0.25,0.75]]

O = [

[1,0,0,1,1,0,0,0,0],

[1,1,0,1,0,0,1,1,0],

[0,0,1,1,0,0,1,1,1]

]

L = len(O)

T = len(O[0]) # T等于最长序列的长度就好了

hmm = HMM(A, B, pi)

alpha = np.zeros((T,hmm.N),np.float)

beta = np.zeros((T,hmm.N),np.float)

gamma = np.zeros((T,hmm.N),np.float)

# 训练

hmm.BaumWelch(L,T,O,alpha,beta,gamma)

# 输出HMM参数信息

hmm.printHMM()