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/*
* File: MixtureOfGaussians.java
* Authors: krdixon
* Company: Sandia National Laboratories
* Project: Cognitive Foundry
*
* Copyright August 7, 2006, Sandia Corporation. Under the terms of Contract
* DE-AC04-94AL85000, there is a non-exclusive license for use of this work by
* or on behalf of the U.S. Government. Export of this program may require a
* license from the United States Government. See CopyrightHistory.txt for
* complete details.
*
*/
package gov.sandia.cognition.statistics.distribution;
import gov.sandia.cognition.algorithm.AnytimeAlgorithmWrapper;
import gov.sandia.cognition.algorithm.MeasurablePerformanceAlgorithm;
import gov.sandia.cognition.annotation.PublicationReference;
import gov.sandia.cognition.annotation.PublicationType;
import gov.sandia.cognition.collection.CollectionUtil;
import gov.sandia.cognition.learning.algorithm.AbstractAnytimeBatchLearner;
import gov.sandia.cognition.learning.algorithm.clustering.KMeansClusterer;
import gov.sandia.cognition.learning.algorithm.clustering.cluster.GaussianCluster;
import gov.sandia.cognition.math.RingAccumulator;
import gov.sandia.cognition.math.matrix.Matrix;
import gov.sandia.cognition.math.matrix.VectorFactory;
import gov.sandia.cognition.math.matrix.Vector;
import gov.sandia.cognition.statistics.DistributionEstimator;
import gov.sandia.cognition.util.ArgumentChecker;
import gov.sandia.cognition.util.DefaultNamedValue;
import gov.sandia.cognition.util.DefaultWeightedValue;
import gov.sandia.cognition.util.NamedValue;
import gov.sandia.cognition.util.ObjectUtil;
import gov.sandia.cognition.util.Randomized;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.Collection;
import java.util.Random;
/**
* Creates a probability density function (pdf) comprising of a collection of
* MultivariateGaussian and corresponding prior probability distribution that
* a particular MultivariateGaussian generates observations. This is the
* "typical" example of a multi-modal distribution
*
* @author krdixon
* @since 1.0
*
*/
@PublicationReference(
author="Wikipedia",
title="Mixture Model",
type=PublicationType.WebPage,
year=2009,
url="http://en.wikipedia.org/wiki/Mixture_model"
)
public class MixtureOfGaussians
{
/**
* PDF of the MixtureOfGaussians
*/
public static class PDF
extends MultivariateMixtureDensityModel.PDF
{
/**
* Creates a new instance of MixtureOfGaussians
* @param distributions
* Underlying distributions from which we sample
*/
public PDF(
MultivariateGaussian ... distributions )
{
this( Arrays.asList( distributions ) );
}
/**
* Creates a new instance of MixtureOfGaussians
* @param distributions
* Underlying distributions from which we sample
*/
public PDF(
Collection distributions )
{
this( distributions, null );
}
/**
* Creates a new instance of LinearMixtureModel
* @param distributions
* Underlying distributions from which we sample
* @param priorWeights
* Weights proportionate by which the distributions are sampled
*/
public PDF(
Collection distributions,
double[] priorWeights )
{
super( distributions, priorWeights );
}
/**
* Copy Constructor
* @param other
* MixtureOfGaussians to copy
*/
public PDF(
MixtureOfGaussians.PDF other )
{
this( ObjectUtil.cloneSmartElementsAsArrayList(other.getDistributions()),
ObjectUtil.deepCopy(other.getPriorWeights()) );
}
@Override
public MixtureOfGaussians.PDF clone()
{
return (MixtureOfGaussians.PDF) super.clone();
}
@Override
public MixtureOfGaussians.PDF getProbabilityFunction()
{
return this;
}
/**
* Gets the dimensionality of the MultivariateGaussian in the mixture
* @return
* Input dimensionality of the mixture
*/
public int getDimensionality()
{
return CollectionUtil.getFirst( this.getDistributions() ).getInputDimensionality();
}
/**
* Fits a single MultivariateGaussian to the given MixtureOfGaussians
* @return MultivariateGaussian that captures the mean and covariance of
* the given MixtureOfGaussians
*/
public MultivariateGaussian.PDF fitSingleGaussian()
{
Vector mean = this.getMean();
RingAccumulator covarianceAccumulator =
new RingAccumulator();
double denom = this.getPriorWeightSum();
for( int i = 0; i < this.getDistributionCount(); i++ )
{
MultivariateGaussian Gaussian =
(MultivariateGaussian) this.getDistributions().get(i);
Vector meanDiff = Gaussian.getMean().minus( mean );
covarianceAccumulator.accumulate( Gaussian.getCovariance().plus(
meanDiff.outerProduct( meanDiff ) ).scale(
this.priorWeights[i]/denom ) );
}
return new MultivariateGaussian.PDF( mean, covarianceAccumulator.getSum() );
}
/**
* Computes the weighted z-value (deviate) of the given input. This
* is the multivariate equivalent of the "number of standard deviations
* away from the mean."
* @param input
* Input about which to compute the z-value.
* @return
* Weighted z-value.
*/
public double computeWeightedZSquared(
Vector input )
{
double[] p = this.computeRandomVariableProbabilities(input);
double weightedZSquared = 0.0;
int index = 0;
for( MultivariateGaussian g : this.getDistributions() )
{
weightedZSquared += g.computeZSquared(input) * p[index];
index++;
}
return weightedZSquared;
}
}
/**
* A hard-assignment learner for a MixtureOfGaussians
*/
public static class Learner
extends AnytimeAlgorithmWrapper>
implements DistributionEstimator,
MeasurablePerformanceAlgorithm
{
// TODO: Rename this to HardLearner now this is a soft learner.
// TODO: Also, have this take any clustering algorithm that can take vectors and produce clusters rather than just KMeans.
// -- jdbasil (2009-09-11)
/**
* Creates a new Learner
* @param algorithm
* KMeansClusterer to wrap.
*/
public Learner(
KMeansClusterer algorithm )
{
super( algorithm );
}
@Override
public MixtureOfGaussians.PDF getResult()
{
Collection clusters = this.getAlgorithm().getResult();
if( (clusters != null) && (clusters.size() > 0) )
{
final int K = clusters.size();
ArrayList gaussians =
new ArrayList( K );
double[] priorProbabilities = new double[ K ];
// Vector priorProbabilities =
// VectorFactory.getDefault().createVector( clusters.size() );
int index = 0;
for( GaussianCluster cluster : clusters )
{
gaussians.add( cluster.getGaussian() );
int num = cluster.getMembers().size();
priorProbabilities[index] = num;
index++;
}
return new MixtureOfGaussians.PDF( gaussians, priorProbabilities );
}
else
{
return null;
}
}
@Override
public MixtureOfGaussians.PDF learn(
Collection data)
{
this.getAlgorithm().learn(data);
return this.getResult();
}
@Override
public NamedValue getPerformance()
{
return this.getAlgorithm().getPerformance();
}
}
/**
* An Expectation-Maximization based "soft" assignment learner.
*/
@PublicationReference
(
author="Jaakkola",
title="Estimating mixtures: the EM-algorithm",
type=PublicationType.Misc,
year=2007,
url="http://courses.csail.mit.edu/6.867/lectures/notes-em2.pdf"
)
public static class EMLearner
extends AbstractAnytimeBatchLearner, MixtureOfGaussians.PDF>
implements Randomized,
DistributionEstimator,
MeasurablePerformanceAlgorithm
{
/**
* Name of the performance measurement, {@value}.
*/
public static final String PERFORMANCE_NAME = "Assignment Change";
/**
* Default max iterations, {@value}.
*/
public static final int DEFAULT_MAX_ITERATIONS = 100;
/**
* Default tolerance, {@value}.
*/
public static final double DEFAULT_TOLERANCE = 1e-5;
/**
* Learner used to estimate each state.
*/
private MultivariateGaussian.WeightedMaximumLikelihoodEstimator learner;
/**
* Random number generator.
*/
protected Random random;
/**
* Tolerance before stopping, must be greater than or equal to 0
*/
private double tolerance;
/**
* Creates a new instance of EMLearner
* @param random
* Random number generator
*/
public EMLearner(
Random random )
{
this( 2, random );
}
/**
* Creates a new instance of EMLearner
* @param distributionCount
* Number of distributions in the mixture
* @param random
* Random number generator
*/
public EMLearner(
int distributionCount,
Random random )
{
this( distributionCount,
new MultivariateGaussian.WeightedMaximumLikelihoodEstimator(), random );
}
/**
* Creates a new instance of EMLearner
* @param distributionCount
* Number of distributions in the mixture
* @param learner
* Learner used to reestimate the components
* @param random
* Random number generator
*/
public EMLearner(
int distributionCount,
MultivariateGaussian.WeightedMaximumLikelihoodEstimator learner,
Random random )
{
super( DEFAULT_MAX_ITERATIONS );
this.setRandom(random);
this.setTolerance( DEFAULT_TOLERANCE );
this.learner = learner;
this.distributionPrior = new double[ distributionCount ];
Arrays.fill( this.distributionPrior, 1.0 );
}
/**
* Weighted data used to reestimate the PDFs
*/
private transient ArrayList> weightedData;
/**
* Assignments get each data point onto each of the "k" PDFs.
*/
private transient ArrayList assignments;
/**
* Currently estimated set of distributions from the data
*/
private transient ArrayList distributions;
/**
* Priors associated with the current estimates from the data
*/
private transient double[] distributionPrior;
/**
* Amount that the assignments change between iterations
*/
private transient double assignmentChanged;
@Override
protected boolean initializeAlgorithm()
{
final int N = this.data.size();
final int K = this.distributionPrior.length;
final int dim = CollectionUtil.getFirst(this.data).getDimensionality();
// Assign the clusters "near" random data points.
Vector[] x = new Vector[ K ];
for( int k = 0; k < K; k++ )
{
int index = this.random.nextInt( N );
x[k] = VectorFactory.getDefault().createUniformRandom(
dim, -1.0, 1.0, this.getRandom() );
x[k].plusEquals( CollectionUtil.getElement(this.data,index) );
}
this.weightedData = new ArrayList>( N );
this.assignments = new ArrayList( N );
this.distributionPrior = new double[K];
this.assignmentChanged = N;
for( Vector value : this.data )
{
// Assign the values random weights to the learners initially
this.weightedData.add( new DefaultWeightedValue(
value, 0.0 ) );
double[] assignment = new double[ K ];
double sum = 0.0;
for( int k = 0; k < K; k++ )
{
Vector delta = value.minus( x[k] );
final double ak = Math.exp( -delta.norm1() );
assignment[k] = ak;
sum += ak;
}
if( sum <= 0.0 )
{
sum = 1.0;
}
for( int k = 0; k < K; k++ )
{
assignment[k] /= sum;
this.distributionPrior[k] += assignment[k];
}
this.assignments.add( assignment );
}
// This is the initial distribution estimates
this.distributions = new ArrayList( K );
for( int k = 0; k < K; k++ )
{
for( int n = 0; n < N; n++ )
{
this.weightedData.get(n).setWeight( this.assignments.get(n)[k] );
}
this.distributions.add( this.learner.learn( this.weightedData ) );
}
return true;
}
@Override
protected boolean step()
{
final int N = this.data.size();
final int K = this.distributionPrior.length;
// Reset the counters
this.assignmentChanged = 0.0;
Arrays.fill( this.distributionPrior, 0.0 );
// Go through and set the assignments... the "E" step
double[] anold = new double[ K ];
for( int n = 0; n < N; n++ )
{
final Vector xn = this.weightedData.get(n).getValue();
double[] an = this.assignments.get(n);
System.arraycopy(an, 0, anold, 0, K);
int k = 0;
double sum = 0.0;
for( MultivariateGaussian.PDF pdf : this.distributions )
{
final double ank = pdf.evaluate(xn);
an[k] = ank;
sum += ank;
k++;
}
if( sum <= 0.0 )
{
sum = 1.0;
}
for( k = 0; k < K; k++ )
{
final double ank = an[k] / sum;
an[k] = ank;
double delta = Math.abs(ank - anold[k]);
this.distributionPrior[k] += ank;
this.assignmentChanged += delta;
}
}
if( this.assignmentChanged <= this.getTolerance() )
{
return false;
}
// Now update the distributions... the "M" step
for( int k = 0; k < K; k++ )
{
for( int n = 0; n < N; n++ )
{
this.weightedData.get(n).setWeight(this.assignments.get(n)[k]);
}
this.distributions.set( k, this.learner.learn( this.weightedData ) );
}
return true;
}
@Override
protected void cleanupAlgorithm()
{
this.weightedData = null;
this.assignments = null;
this.data = null;
}
@Override
public MixtureOfGaussians.PDF getResult()
{
return new MixtureOfGaussians.PDF(
this.distributions, this.distributionPrior );
}
@Override
public NamedValue getPerformance()
{
return new DefaultNamedValue(
PERFORMANCE_NAME, this.getAssignmentChanged());
}
/**
* Getter for tolerance
* @return
* Tolerance before stopping, must be greater than or equal to 0
*/
public double getTolerance()
{
return tolerance;
}
/**
* Setter for tolerance
* @param tolerance
* Tolerance before stopping, must be greater than or equal to 0
*/
public void setTolerance(
double tolerance)
{
ArgumentChecker.assertIsNonNegative("tolerance", tolerance);
this.tolerance = tolerance;
}
@Override
public Random getRandom()
{
return this.random;
}
@Override
public void setRandom(
Random random)
{
this.random = random;
}
/**
* Gets the total assignment change from the last completed step of
* the algorithm.
*
* @return
* The assignment changed from the last completed step.
*/
public double getAssignmentChanged()
{
return this.assignmentChanged;
}
}
}
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