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# Hidden Markov Models
#
# Author: Ron Weiss <ronweiss@gmail.com>
# Shiqiao Du <lucidfrontier.45@gmail.com>
# API changes: Jaques Grobler <jaquesgrobler@gmail.com>
# Modifications to create of the HMMLearn module: Gael Varoquaux
# More API changes: Sergei Lebedev <superbobry@gmail.com>
"""
The :mod:`hmmlearn.hmm` module implements hidden Markov models.
"""
import numpy as np
from scipy.special import logsumexp
from sklearn import cluster
from sklearn.utils import check_random_state
from . import _utils
from .stats import log_multivariate_normal_density
from .base import _BaseHMM
from .utils import iter_from_X_lengths, normalize, fill_covars
__all__ = ["GMMHMM", "GaussianHMM", "MultinomialHMM"]
COVARIANCE_TYPES = frozenset(("spherical", "diag", "full", "tied"))
class GaussianHMM(_BaseHMM):
r"""Hidden Markov Model with Gaussian emissions.
Parameters
----------
n_components : int
Number of states.
covariance_type : string, optional
String describing the type of covariance parameters to
use. Must be one of
* "spherical" --- each state uses a single variance value that
applies to all features.
* "diag" --- each state uses a diagonal covariance matrix.
* "full" --- each state uses a full (i.e. unrestricted)
covariance matrix.
* "tied" --- all states use **the same** full covariance matrix.
Defaults to "diag".
min_covar : float, optional
Floor on the diagonal of the covariance matrix to prevent
overfitting. Defaults to 1e-3.
startprob_prior : array, shape (n_components, ), optional
Parameters of the Dirichlet prior distribution for
:attr:`startprob_`.
transmat_prior : array, shape (n_components, n_components), optional
Parameters of the Dirichlet prior distribution for each row
of the transition probabilities :attr:`transmat_`.
means_prior, means_weight : array, shape (n_components, ), optional
Mean and precision of the Normal prior distribtion for
:attr:`means_`.
covars_prior, covars_weight : array, shape (n_components, ), optional
Parameters of the prior distribution for the covariance matrix
:attr:`covars_`.
If :attr:`covariance_type` is "spherical" or "diag" the prior is
the inverse gamma distribution, otherwise --- the inverse Wishart
distribution.
algorithm : string, optional
Decoder algorithm. Must be one of "viterbi" or`"map".
Defaults to "viterbi".
random_state: RandomState or an int seed, optional
A random number generator instance.
n_iter : int, optional
Maximum number of iterations to perform.
tol : float, optional
Convergence threshold. EM will stop if the gain in log-likelihood
is below this value.
verbose : bool, optional
When ``True`` per-iteration convergence reports are printed
to :data:`sys.stderr`. You can diagnose convergence via the
:attr:`monitor_` attribute.
params : string, optional
Controls which parameters are updated in the training
process. Can contain any combination of 's' for startprob,
't' for transmat, 'm' for means and 'c' for covars. Defaults
to all parameters.
init_params : string, optional
Controls which parameters are initialized prior to
training. Can contain any combination of 's' for
startprob, 't' for transmat, 'm' for means and 'c' for covars.
Defaults to all parameters.
Attributes
----------
n_features : int
Dimensionality of the Gaussian emissions.
monitor\_ : ConvergenceMonitor
Monitor object used to check the convergence of EM.
transmat\_ : array, shape (n_components, n_components)
Matrix of transition probabilities between states.
startprob\_ : array, shape (n_components, )
Initial state occupation distribution.
means\_ : array, shape (n_components, n_features)
Mean parameters for each state.
covars\_ : array
Covariance parameters for each state.
The shape depends on :attr:`covariance_type`::
(n_components, ) if "spherical",
(n_features, n_features) if "tied",
(n_components, n_features) if "diag",
(n_components, n_features, n_features) if "full"
Examples
--------
>>> from hmmlearn.hmm import GaussianHMM
>>> GaussianHMM(n_components=2)
... #doctest: +ELLIPSIS +NORMALIZE_WHITESPACE
GaussianHMM(algorithm='viterbi',...
"""
def __init__(self, n_components=1, covariance_type='diag',
min_covar=1e-3,
startprob_prior=1.0, transmat_prior=1.0,
means_prior=0, means_weight=0,
covars_prior=1e-2, covars_weight=1,
algorithm="viterbi", random_state=None,
n_iter=10, tol=1e-2, verbose=False,
params="stmc", init_params="stmc"):
_BaseHMM.__init__(self, n_components,
startprob_prior=startprob_prior,
transmat_prior=transmat_prior, algorithm=algorithm,
random_state=random_state, n_iter=n_iter,
tol=tol, params=params, verbose=verbose,
init_params=init_params)
self.covariance_type = covariance_type
self.min_covar = min_covar
self.means_prior = means_prior
self.means_weight = means_weight
self.covars_prior = covars_prior
self.covars_weight = covars_weight
@property
def covars_(self):
"""Return covars as a full matrix."""
return fill_covars(self._covars_, self.covariance_type,
self.n_components, self.n_features)
@covars_.setter
def covars_(self, covars):
self._covars_ = np.asarray(covars).copy()
def _check(self):
super(GaussianHMM, self)._check()
self.means_ = np.asarray(self.means_)
self.n_features = self.means_.shape[1]
if self.covariance_type not in COVARIANCE_TYPES:
raise ValueError('covariance_type must be one of {0}'
.format(COVARIANCE_TYPES))
_utils._validate_covars(self._covars_, self.covariance_type,
self.n_components)
def _init(self, X, lengths=None):
super(GaussianHMM, self)._init(X, lengths=lengths)
_, n_features = X.shape
if hasattr(self, 'n_features') and self.n_features != n_features:
raise ValueError('Unexpected number of dimensions, got %s but '
'expected %s' % (n_features, self.n_features))
self.n_features = n_features
if 'm' in self.init_params or not hasattr(self, "means_"):
kmeans = cluster.KMeans(n_clusters=self.n_components,
random_state=self.random_state)
kmeans.fit(X)
self.means_ = kmeans.cluster_centers_
if 'c' in self.init_params or not hasattr(self, "covars_"):
cv = np.cov(X.T) + self.min_covar * np.eye(X.shape[1])
if not cv.shape:
cv.shape = (1, 1)
self._covars_ = \
_utils.distribute_covar_matrix_to_match_covariance_type(
cv, self.covariance_type, self.n_components).copy()
def _compute_log_likelihood(self, X):
return log_multivariate_normal_density(
X, self.means_, self._covars_, self.covariance_type)
def _generate_sample_from_state(self, state, random_state=None):
random_state = check_random_state(random_state)
return random_state.multivariate_normal(
self.means_[state], self.covars_[state]
)
def _initialize_sufficient_statistics(self):
stats = super(GaussianHMM, self)._initialize_sufficient_statistics()
stats['post'] = np.zeros(self.n_components)
stats['obs'] = np.zeros((self.n_components, self.n_features))
stats['obs**2'] = np.zeros((self.n_components, self.n_features))
if self.covariance_type in ('tied', 'full'):
stats['obs*obs.T'] = np.zeros((self.n_components, self.n_features,
self.n_features))
return stats
def _accumulate_sufficient_statistics(self, stats, obs, framelogprob,
posteriors, fwdlattice, bwdlattice):
super(GaussianHMM, self)._accumulate_sufficient_statistics(
stats, obs, framelogprob, posteriors, fwdlattice, bwdlattice)
if 'm' in self.params or 'c' in self.params:
stats['post'] += posteriors.sum(axis=0)
stats['obs'] += np.dot(posteriors.T, obs)
if 'c' in self.params:
if self.covariance_type in ('spherical', 'diag'):
stats['obs**2'] += np.dot(posteriors.T, obs ** 2)
elif self.covariance_type in ('tied', 'full'):
# posteriors: (nt, nc); obs: (nt, nf); obs: (nt, nf)
# -> (nc, nf, nf)
stats['obs*obs.T'] += np.einsum(
'ij,ik,il->jkl', posteriors, obs, obs)
def _do_mstep(self, stats):
super(GaussianHMM, self)._do_mstep(stats)
means_prior = self.means_prior
means_weight = self.means_weight
# TODO: find a proper reference for estimates for different
# covariance models.
# Based on Huang, Acero, Hon, "Spoken Language Processing",
# p. 443 - 445
denom = stats['post'][:, np.newaxis]
if 'm' in self.params:
self.means_ = ((means_weight * means_prior + stats['obs'])
/ (means_weight + denom))
if 'c' in self.params:
covars_prior = self.covars_prior
covars_weight = self.covars_weight
meandiff = self.means_ - means_prior
if self.covariance_type in ('spherical', 'diag'):
cv_num = (means_weight * meandiff**2
+ stats['obs**2']
- 2 * self.means_ * stats['obs']
+ self.means_**2 * denom)
cv_den = max(covars_weight - 1, 0) + denom
self._covars_ = \
(covars_prior + cv_num) / np.maximum(cv_den, 1e-5)
if self.covariance_type == 'spherical':
self._covars_ = np.tile(
self._covars_.mean(1)[:, np.newaxis],
(1, self._covars_.shape[1]))
elif self.covariance_type in ('tied', 'full'):
cv_num = np.empty((self.n_components, self.n_features,
self.n_features))
for c in range(self.n_components):
obsmean = np.outer(stats['obs'][c], self.means_[c])
cv_num[c] = (means_weight * np.outer(meandiff[c],
meandiff[c])
+ stats['obs*obs.T'][c]
- obsmean - obsmean.T
+ np.outer(self.means_[c], self.means_[c])
* stats['post'][c])
cvweight = max(covars_weight - self.n_features, 0)
if self.covariance_type == 'tied':
self._covars_ = ((covars_prior + cv_num.sum(axis=0)) /
(cvweight + stats['post'].sum()))
elif self.covariance_type == 'full':
self._covars_ = ((covars_prior + cv_num) /
(cvweight + stats['post'][:, None, None]))
class MultinomialHMM(_BaseHMM):
r"""Hidden Markov Model with multinomial (discrete) emissions
Parameters
----------
n_components : int
Number of states.
startprob_prior : array, shape (n_components, ), optional
Parameters of the Dirichlet prior distribution for
:attr:`startprob_`.
transmat_prior : array, shape (n_components, n_components), optional
Parameters of the Dirichlet prior distribution for each row
of the transition probabilities :attr:`transmat_`.
algorithm : string, optional
Decoder algorithm. Must be one of "viterbi" or "map".
Defaults to "viterbi".
random_state: RandomState or an int seed, optional
A random number generator instance.
n_iter : int, optional
Maximum number of iterations to perform.
tol : float, optional
Convergence threshold. EM will stop if the gain in log-likelihood
is below this value.
verbose : bool, optional
When ``True`` per-iteration convergence reports are printed
to :data:`sys.stderr`. You can diagnose convergence via the
:attr:`monitor_` attribute.
params : string, optional
Controls which parameters are updated in the training
process. Can contain any combination of 's' for startprob,
't' for transmat, 'e' for emissionprob.
Defaults to all parameters.
init_params : string, optional
Controls which parameters are initialized prior to
training. Can contain any combination of 's' for
startprob, 't' for transmat, 'e' for emissionprob.
Defaults to all parameters.
Attributes
----------
n_features : int
Number of possible symbols emitted by the model (in the samples).
monitor\_ : ConvergenceMonitor
Monitor object used to check the convergence of EM.
transmat\_ : array, shape (n_components, n_components)
Matrix of transition probabilities between states.
startprob\_ : array, shape (n_components, )
Initial state occupation distribution.
emissionprob\_ : array, shape (n_components, n_features)
Probability of emitting a given symbol when in each state.
Examples
--------
>>> from hmmlearn.hmm import MultinomialHMM
>>> MultinomialHMM(n_components=2)
... #doctest: +ELLIPSIS +NORMALIZE_WHITESPACE
MultinomialHMM(algorithm='viterbi',...
"""
# TODO: accept the prior on emissionprob_ for consistency.
def __init__(self, n_components=1,
startprob_prior=1.0, transmat_prior=1.0,
algorithm="viterbi", random_state=None,
n_iter=10, tol=1e-2, verbose=False,
params="ste", init_params="ste"):
_BaseHMM.__init__(self, n_components,
startprob_prior=startprob_prior,
transmat_prior=transmat_prior,
algorithm=algorithm,
random_state=random_state,
n_iter=n_iter, tol=tol, verbose=verbose,
params=params, init_params=init_params)
def _init(self, X, lengths=None):
if not self._check_input_symbols(X):
raise ValueError("expected a sample from "
"a Multinomial distribution.")
super(MultinomialHMM, self)._init(X, lengths=lengths)
self.random_state = check_random_state(self.random_state)
if 'e' in self.init_params:
if not hasattr(self, "n_features"):
symbols = set()
for i, j in iter_from_X_lengths(X, lengths):
symbols |= set(X[i:j].flatten())
self.n_features = len(symbols)
self.emissionprob_ = self.random_state \
.rand(self.n_components, self.n_features)
normalize(self.emissionprob_, axis=1)
def _check(self):
super(MultinomialHMM, self)._check()
self.emissionprob_ = np.atleast_2d(self.emissionprob_)
n_features = getattr(self, "n_features", self.emissionprob_.shape[1])
if self.emissionprob_.shape != (self.n_components, n_features):
raise ValueError(
"emissionprob_ must have shape (n_components, n_features)")
else:
self.n_features = n_features
def _compute_log_likelihood(self, X):
return np.log(self.emissionprob_)[:, np.concatenate(X)].T
def _generate_sample_from_state(self, state, random_state=None):
cdf = np.cumsum(self.emissionprob_[state, :])
random_state = check_random_state(random_state)
return [(cdf > random_state.rand()).argmax()]
def _initialize_sufficient_statistics(self):
stats = super(MultinomialHMM, self)._initialize_sufficient_statistics()
stats['obs'] = np.zeros((self.n_components, self.n_features))
return stats
def _accumulate_sufficient_statistics(self, stats, X, framelogprob,
posteriors, fwdlattice, bwdlattice):
super(MultinomialHMM, self)._accumulate_sufficient_statistics(
stats, X, framelogprob, posteriors, fwdlattice, bwdlattice)
if 'e' in self.params:
for t, symbol in enumerate(np.concatenate(X)):
stats['obs'][:, symbol] += posteriors[t]
def _do_mstep(self, stats):
super(MultinomialHMM, self)._do_mstep(stats)
if 'e' in self.params:
self.emissionprob_ = (stats['obs']
/ stats['obs'].sum(axis=1)[:, np.newaxis])
def _check_input_symbols(self, X):
"""Check if ``X`` is a sample from a Multinomial distribution.
That is ``X`` should be an array of non-negative integers from
range ``[min(X), max(X)]``, such that each integer from the range
occurs in ``X`` at least once.
For example ``[0, 0, 2, 1, 3, 1, 1]`` is a valid sample from a
Multinomial distribution, while ``[0, 0, 3, 5, 10]`` is not.
"""
symbols = np.concatenate(X)
if (len(symbols) == 1 or # not enough data
symbols.dtype.kind != 'i' or # not an integer
(symbols < 0).any()): # contains negative integers
return False
symbols.sort()
return np.all(np.diff(symbols) <= 1)
class GMMHMM(_BaseHMM):
r"""Hidden Markov Model with Gaussian mixture emissions.
Parameters
----------
n_components : int
Number of states in the model.
n_mix : int
Number of states in the GMM.
covariance_type : string, optional
String describing the type of covariance parameters to
use. Must be one of
* "spherical" --- each state uses a single variance value that
applies to all features.
* "diag" --- each state uses a diagonal covariance matrix.
* "full" --- each state uses a full (i.e. unrestricted)
covariance matrix.
* "tied" --- all states use **the same** full covariance matrix.
Defaults to "diag".
min_covar : float, optional
Floor on the diagonal of the covariance matrix to prevent
overfitting. Defaults to 1e-3.
startprob_prior : array, shape (n_components, ), optional
Parameters of the Dirichlet prior distribution for
:attr:`startprob_`.
transmat_prior : array, shape (n_components, n_components), optional
Parameters of the Dirichlet prior distribution for each row
of the transition probabilities :attr:`transmat_`.
weights_prior : array, shape (n_mix, ), optional
Parameters of the Dirichlet prior distribution for
:attr:`weights_`.
means_prior, means_weight : array, shape (n_mix, ), optional
Mean and precision of the Normal prior distribtion for
:attr:`means_`.
covars_prior, covars_weight : array, shape (n_mix, ), optional
Parameters of the prior distribution for the covariance matrix
:attr:`covars_`.
If :attr:`covariance_type` is "spherical" or "diag" the prior is
the inverse gamma distribution, otherwise --- the inverse Wishart
distribution.
algorithm : string, optional
Decoder algorithm. Must be one of "viterbi" or "map".
Defaults to "viterbi".
random_state: RandomState or an int seed, optional
A random number generator instance.
n_iter : int, optional
Maximum number of iterations to perform.
tol : float, optional
Convergence threshold. EM will stop if the gain in log-likelihood
is below this value.
verbose : bool, optional
When ``True`` per-iteration convergence reports are printed
to :data:`sys.stderr`. You can diagnose convergence via the
:attr:`monitor_` attribute.
init_params : string, optional
Controls which parameters are initialized prior to training. Can
contain any combination of 's' for startprob, 't' for transmat, 'm'
for means, 'c' for covars, and 'w' for GMM mixing weights.
Defaults to all parameters.
params : string, optional
Controls which parameters are updated in the training process. Can
contain any combination of 's' for startprob, 't' for transmat, 'm' for
means, and 'c' for covars, and 'w' for GMM mixing weights.
Defaults to all parameters.
Attributes
----------
monitor\_ : ConvergenceMonitor
Monitor object used to check the convergence of EM.
startprob\_ : array, shape (n_components, )
Initial state occupation distribution.
transmat\_ : array, shape (n_components, n_components)
Matrix of transition probabilities between states.
weights\_ : array, shape (n_components, n_mix)
Mixture weights for each state.
means\_ : array, shape (n_components, n_mix)
Mean parameters for each mixture component in each state.
covars\_ : array
Covariance parameters for each mixture components in each state.
The shape depends on :attr:`covariance_type`::
(n_components, n_mix) if "spherical",
(n_components, n_features, n_features) if "tied",
(n_components, n_mix, n_features) if "diag",
(n_components, n_mix, n_features, n_features) if "full"
"""
def __init__(self, n_components=1, n_mix=1,
min_covar=1e-3, startprob_prior=1.0, transmat_prior=1.0,
weights_prior=1.0, means_prior=0.0, means_weight=0.0,
covars_prior=None, covars_weight=None,
algorithm="viterbi", covariance_type="diag",
random_state=None, n_iter=10, tol=1e-2,
verbose=False, params="stmcw",
init_params="stmcw"):
_BaseHMM.__init__(self, n_components,
startprob_prior=startprob_prior,
transmat_prior=transmat_prior,
algorithm=algorithm, random_state=random_state,
n_iter=n_iter, tol=tol, verbose=verbose,
params=params, init_params=init_params)
self.covariance_type = covariance_type
self.min_covar = min_covar
self.n_mix = n_mix
self.weights_prior = weights_prior
self.means_prior = means_prior
self.means_weight = means_weight
self.covars_prior = covars_prior
self.covars_weight = covars_weight
def _init(self, X, lengths=None):
super(GMMHMM, self)._init(X, lengths=lengths)
_n_samples, self.n_features = X.shape
# Default values for covariance prior parameters
self._init_covar_priors()
self._fix_priors_shape()
main_kmeans = cluster.KMeans(n_clusters=self.n_components,
random_state=self.random_state)
labels = main_kmeans.fit_predict(X)
kmeanses = []
for label in range(self.n_components):
kmeans = cluster.KMeans(n_clusters=self.n_mix,
random_state=self.random_state)
kmeans.fit(X[np.where(labels == label)])
kmeanses.append(kmeans)
if 'w' in self.init_params or not hasattr(self, "weights_"):
self.weights_ = (np.ones((self.n_components, self.n_mix)) /
(np.ones((self.n_components, 1)) * self.n_mix))
if 'm' in self.init_params or not hasattr(self, "means_"):
self.means_ = np.zeros((self.n_components, self.n_mix,
self.n_features))
for i, kmeans in enumerate(kmeanses):
self.means_[i] = kmeans.cluster_centers_
if 'c' in self.init_params or not hasattr(self, "covars_"):
cv = np.cov(X.T) + self.min_covar * np.eye(self.n_features)
if not cv.shape:
cv.shape = (1, 1)
if self.covariance_type == 'tied':
self.covars_ = np.zeros((self.n_components,
self.n_features, self.n_features))
self.covars_[:] = cv
elif self.covariance_type == 'full':
self.covars_ = np.zeros((self.n_components, self.n_mix,
self.n_features, self.n_features))
self.covars_[:] = cv
elif self.covariance_type == 'diag':
self.covars_ = np.zeros((self.n_components, self.n_mix,
self.n_features))
self.covars_[:] = np.diag(cv)
elif self.covariance_type == 'spherical':
self.covars_ = np.zeros((self.n_components, self.n_mix))
self.covars_[:] = cv.mean()
def _init_covar_priors(self):
if self.covariance_type == "full":
if self.covars_prior is None:
self.covars_prior = 0.0
if self.covars_weight is None:
self.covars_weight = -(1.0 + self.n_features + 1.0)
elif self.covariance_type == "tied":
if self.covars_prior is None:
self.covars_prior = 0.0
if self.covars_weight is None:
self.covars_weight = -(self.n_mix + self.n_features + 1.0)
elif self.covariance_type == "diag":
if self.covars_prior is None:
self.covars_prior = -1.5
if self.covars_weight is None:
self.covars_weight = 0.0
elif self.covariance_type == "spherical":
if self.covars_prior is None:
self.covars_prior = -(self.n_mix + 2.0) / 2.0
if self.covars_weight is None:
self.covars_weight = 0.0
def _fix_priors_shape(self):
# If priors are numbers, this function will make them into a
# matrix of proper shape
self.weights_prior = np.broadcast_to(
self.weights_prior, (self.n_components, self.n_mix)).copy()
self.means_prior = np.broadcast_to(
self.means_prior,
(self.n_components, self.n_mix, self.n_features)).copy()
self.means_weight = np.broadcast_to(
self.means_weight,
(self.n_components, self.n_mix)).copy()
if self.covariance_type == "full":
self.covars_prior = np.broadcast_to(
self.covars_prior,
(self.n_components, self.n_mix,
self.n_features, self.n_features)).copy()
self.covars_weight = np.broadcast_to(
self.covars_weight, (self.n_components, self.n_mix)).copy()
elif self.covariance_type == "tied":
self.covars_prior = np.broadcast_to(
self.covars_prior,
(self.n_components, self.n_features, self.n_features)).copy()
self.covars_weight = np.broadcast_to(
self.covars_weight, self.n_components).copy()
elif self.covariance_type == "diag":
self.covars_prior = np.broadcast_to(
self.covars_prior,
(self.n_components, self.n_mix, self.n_features)).copy()
self.covars_weight = np.broadcast_to(
self.covars_weight,
(self.n_components, self.n_mix, self.n_features)).copy()
elif self.covariance_type == "spherical":
self.covars_prior = np.broadcast_to(
self.covars_prior, (self.n_components, self.n_mix)).copy()
self.covars_weight = np.broadcast_to(
self.covars_weight, (self.n_components, self.n_mix)).copy()
def _check(self):
super(GMMHMM, self)._check()
if not hasattr(self, "n_features"):
self.n_features = self.means_.shape[2]
self._init_covar_priors()
self._fix_priors_shape()
# Checking covariance type
if self.covariance_type not in COVARIANCE_TYPES:
raise ValueError("covariance_type must be one of {0}"
.format(COVARIANCE_TYPES))
self.weights_ = np.array(self.weights_)
# Checking mixture weights' shape
if self.weights_.shape != (self.n_components, self.n_mix):
raise ValueError("mixture weights must have shape "
"(n_components, n_mix), "
"actual shape: {0}".format(self.weights_.shape))
# Checking mixture weights' mathematical correctness
if not np.allclose(np.sum(self.weights_, axis=1),
np.ones(self.n_components)):
raise ValueError("mixture weights must sum up to 1")
# Checking means' shape
self.means_ = np.array(self.means_)
if self.means_.shape != (self.n_components, self.n_mix,
self.n_features):
raise ValueError("mixture means must have shape "
"(n_components, n_mix, n_features), "
"actual shape: {0}".format(self.means_.shape))
# Checking covariances' shape
self.covars_ = np.array(self.covars_)
covars_shape = self.covars_.shape
needed_shapes = {
"spherical": (self.n_components, self.n_mix),
"tied": (self.n_components, self.n_features, self.n_features),
"diag": (self.n_components, self.n_mix, self.n_features),
"full": (self.n_components, self.n_mix,
self.n_features, self.n_features)
}
needed_shape = needed_shapes[self.covariance_type]
if covars_shape != needed_shape:
raise ValueError("{!r} mixture covars must have shape {0}, "
"actual shape: {1}"
.format(self.covariance_type,
needed_shape, covars_shape))
# Checking covariances' mathematical correctness
from scipy import linalg
if (self.covariance_type == "spherical" or
self.covariance_type == "diag"):
if np.any(self.covars_ <= 0):
raise ValueError("{!r} mixture covars must be non-negative"
.format(self.covariance_type))
elif self.covariance_type == "tied":
for i, covar in enumerate(self.covars_):
if (not np.allclose(covar, covar.T) or
np.any(linalg.eigvalsh(covar) <= 0)):
raise ValueError("'tied' mixture covars must be "
"symmetric, positive-definite")
elif self.covariance_type == "full":
for i, mix_covars in enumerate(self.covars_):
for j, covar in enumerate(mix_covars):
if (not np.allclose(covar, covar.T) or
np.any(linalg.eigvalsh(covar) <= 0)):
raise ValueError("'full' covariance matrix of "
"mixture {0} of component {1} must be "
"symmetric, positive-definite"
.format(j, i))
def _generate_sample_from_state(self, state, random_state=None):
if random_state is None:
random_state = self.random_state
random_state = check_random_state(random_state)
cur_weights = self.weights_[state]
i_gauss = random_state.choice(self.n_mix, p=cur_weights)
if self.covariance_type == 'tied':
# self.covars_.shape == (n_components, n_features, n_features)
# shouldn't that be (n_mix, ...)?
covs = self.covars_
else:
covs = self.covars_[:, i_gauss]
covs = fill_covars(covs, self.covariance_type,
self.n_components, self.n_features)
return random_state.multivariate_normal(
self.means_[state, i_gauss], covs[state]
)
def _compute_log_weighted_gaussian_densities(self, X, i_comp):
cur_means = self.means_[i_comp]
cur_covs = self.covars_[i_comp]
if self.covariance_type == 'spherical':
cur_covs = cur_covs[:, np.newaxis]
log_cur_weights = np.log(self.weights_[i_comp])
return log_multivariate_normal_density(
X, cur_means, cur_covs, self.covariance_type
) + log_cur_weights
def _compute_log_likelihood(self, X):
n_samples, _ = X.shape
res = np.zeros((n_samples, self.n_components))
for i in range(self.n_components):
log_denses = self._compute_log_weighted_gaussian_densities(X, i)
with np.errstate(under="ignore"):
res[:, i] = logsumexp(log_denses, axis=1)
return res
def _initialize_sufficient_statistics(self):
stats = super(GMMHMM, self)._initialize_sufficient_statistics()
stats['n_samples'] = 0
stats['post_comp_mix'] = None
stats['post_mix_sum'] = np.zeros((self.n_components, self.n_mix))
stats['post_sum'] = np.zeros(self.n_components)
stats['samples'] = None
stats['centered'] = None
return stats
def _accumulate_sufficient_statistics(self, stats, X, framelogprob,
post_comp, fwdlattice, bwdlattice):
# TODO: support multiple frames
super(GMMHMM, self)._accumulate_sufficient_statistics(
stats, X, framelogprob, post_comp, fwdlattice, bwdlattice
)
n_samples, _ = X.shape
stats['n_samples'] = n_samples
stats['samples'] = X
prob_mix = np.zeros((n_samples, self.n_components, self.n_mix))
for p in range(self.n_components):
log_denses = self._compute_log_weighted_gaussian_densities(X, p)
with np.errstate(under="ignore"):
prob_mix[:, p, :] = np.exp(log_denses) + np.finfo(np.float).eps
prob_mix_sum = np.sum(prob_mix, axis=2)
post_mix = prob_mix / prob_mix_sum[:, :, np.newaxis]
post_comp_mix = post_comp[:, :, np.newaxis] * post_mix
stats['post_comp_mix'] = post_comp_mix
stats['post_mix_sum'] = np.sum(post_comp_mix, axis=0)
stats['post_sum'] = np.sum(post_comp, axis=0)
stats['centered'] = X[:, np.newaxis, np.newaxis, :] - self.means_
def _do_mstep(self, stats):
super(GMMHMM, self)._do_mstep(stats)
n_samples = stats['n_samples']
n_features = self.n_features
# Maximizing weights
alphas_minus_one = self.weights_prior - 1
new_weights_numer = stats['post_mix_sum'] + alphas_minus_one
new_weights_denom = (
stats['post_sum'] + np.sum(alphas_minus_one, axis=1)
)[:, np.newaxis]
new_weights = new_weights_numer / new_weights_denom
# Maximizing means
lambdas, mus = self.means_weight, self.means_prior
new_means_numer = np.einsum(
'ijk,il->jkl',
stats['post_comp_mix'], stats['samples']
) + lambdas[:, :, np.newaxis] * mus
new_means_denom = (stats['post_mix_sum'] + lambdas)[:, :, np.newaxis]
new_means = new_means_numer / new_means_denom
# Maximizing covariances
centered_means = self.means_ - mus
if self.covariance_type == 'full':
centered = stats['centered'].reshape((
n_samples, self.n_components, self.n_mix, self.n_features, 1
))
centered_t = stats['centered'].reshape((
n_samples, self.n_components, self.n_mix, 1, self.n_features
))
centered_dots = centered * centered_t
psis_t = np.transpose(self.covars_prior, axes=(0, 1, 3, 2))
nus = self.covars_weight
centr_means_resh = centered_means.reshape((
self.n_components, self.n_mix, self.n_features, 1
))
centr_means_resh_t = centered_means.reshape((
self.n_components, self.n_mix, 1, self.n_features
))
centered_means_dots = centr_means_resh * centr_means_resh_t
new_cov_numer = np.einsum(
'ijk,ijklm->jklm',
stats['post_comp_mix'], centered_dots
) + psis_t + (lambdas[:, :, np.newaxis, np.newaxis] *
centered_means_dots)
new_cov_denom = (
stats['post_mix_sum'] + 1 + nus + self.n_features + 1
)[:, :, np.newaxis, np.newaxis]
new_cov = new_cov_numer / new_cov_denom
elif self.covariance_type == 'diag':
centered2 = stats['centered'] ** 2
centered_means2 = centered_means ** 2
alphas = self.covars_prior
betas = self.covars_weight
new_cov_numer = np.einsum(
'ijk,ijkl->jkl',
stats['post_comp_mix'], centered2
) + lambdas[:, :, np.newaxis] * centered_means2 + 2 * betas
new_cov_denom = (
stats['post_mix_sum'][:, :, np.newaxis] + 1 + 2 * (alphas + 1)
)
new_cov = new_cov_numer / new_cov_denom
elif self.covariance_type == 'spherical':
centered_norm2 = np.sum(stats['centered'] ** 2, axis=-1)
alphas = self.covars_prior
betas = self.covars_weight
centered_means_norm2 = np.sum(centered_means ** 2, axis=-1)
new_cov_numer = np.einsum(
'ijk,ijk->jk',
stats['post_comp_mix'], centered_norm2
) + lambdas * centered_means_norm2 + 2 * betas
new_cov_denom = (
n_features * stats['post_mix_sum'] + n_features +
2 * (alphas + 1)
)
new_cov = new_cov_numer / new_cov_denom
elif self.covariance_type == 'tied':
centered = stats['centered'].reshape((
n_samples, self.n_components, self.n_mix, self.n_features, 1
))
centered_t = stats['centered'].reshape((
n_samples, self.n_components, self.n_mix, 1, self.n_features
))
centered_dots = centered * centered_t
psis_t = np.transpose(self.covars_prior, axes=(0, 2, 1))
nus = self.covars_weight
centr_means_resh = centered_means.reshape((
self.n_components, self.n_mix, self.n_features, 1
))
centr_means_resh_t = centered_means.reshape((
self.n_components, self.n_mix, 1, self.n_features
))
centered_means_dots = centr_means_resh * centr_means_resh_t
lambdas_cmdots_prod_sum = np.einsum(
'ij,ijkl->ikl',
lambdas, centered_means_dots
)
new_cov_numer = np.einsum(
'ijk,ijklm->jlm',
stats['post_comp_mix'], centered_dots
) + lambdas_cmdots_prod_sum + psis_t
new_cov_denom = (
stats['post_sum'] + self.n_mix + nus + self.n_features + 1
)[:, np.newaxis, np.newaxis]
new_cov = new_cov_numer / new_cov_denom
# Assigning new values to class members
self.weights_ = new_weights
self.means_ = new_means
self.covars_ = new_cov
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