STK_Gamma_aj_bk.h

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/*--------------------------------------------------------------------*/
/*     Copyright (C) 2004-2016  Serge Iovleff, Université Lille 1, Inria
 
    This program is free software; you can redistribute it and/or modify
    it under the terms of the GNU Lesser General Public License as
    published by the Free Software Foundation; either version 2 of the
    License, or (at your option) any later version.
 
    This program is distributed in the hope that it will be useful,
    but WITHOUT ANY WARRANTY; without even the implied warranty of
    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    GNU Lesser General Public License for more details.
 
    You should have received a copy of the GNU Lesser General Public
    License along with this program; if not, write to the
    Free Software Foundation, Inc.,
    59 Temple Place,
    Suite 330,
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    USA
 
    Contact : S..._DOT_I..._AT_stkpp.org (see copyright for ...)
*/
 
/*
 * Project: stkpp::Clustering
 * created on: 5 sept. 2013
 * Author:  iovleff, serge.iovleff@stkpp.org
 **/
 
#ifndef STK_GAMMA_AJ_BK_H
#define STK_GAMMA_AJ_BK_H
 
#include <STatistiK/include/STK_Law_Exponential.h>
#include "../GammaModels/STK_GammaBase.h"
 
#define MAXITER 400
#define TOL 1e-8
 
namespace STK
{
template<class Array>class Gamma_aj_bk;
 
namespace hidden
{
template<class Array_>
struct MixtureTraits< Gamma_aj_bk<Array_> >
{
  typedef Array_ Array;
  typedef ModelParameters<Clust::Gamma_aj_bk_> Parameters;
};
 
} // namespace Clust
 
template<class Array>
class Gamma_aj_bk: public GammaBase< Gamma_aj_bk<Array> >
{
  public:
    typedef GammaBase< Gamma_aj_bk<Array> > Base;
    using Base::param_;
 
    using Base::p_data;
    using Base::meanjk;
    using Base::variancejk;
 
    Gamma_aj_bk( int nbCluster): Base(nbCluster) {}
    Gamma_aj_bk( Gamma_aj_bk const& model): Base(model) {}
    ~Gamma_aj_bk() {}
    void randomInit( CArrayXX const* const& p_tik, CPointX const* const& p_tk) ;
    bool run( CArrayXX const* const& p_tik, CPointX const* const& p_tk) ;
    inline int computeNbFreeParameters() const
    { return(this->nbCluster()+p_data()->sizeCols());}
};
 
/* Initialize randomly the parameters of the gamma mixture. The centers
 *  will be selected randomly among the data set and the standard-deviation
 *  will be set to 1.
 */
template<class Array>
void Gamma_aj_bk<Array>::randomInit( CArrayXX const* const& p_tik, CPointX const* const& p_tk)
{
  // compute moments
  this->moments(p_tik);
  // simulate aj
  for (int j=p_data()->beginCols(); j < p_data()->endCols(); ++j)
  {
    Real value= 0.;
    for (int k= p_tik->beginCols(); k < p_tik->endCols(); ++k)
    {
      Real mean = meanjk(j,k), variance = variancejk(j,k);
      value += p_tk->elt(k) * mean*mean/variance;
    }
    param_.shape_[j] = Law::Exponential::rand(value/(this->nbSample()));
  }
  // simulates bk
  for (int k= p_tik->beginCols(); k < p_tik->endCols(); ++k)
  { param_.scale_[k] = Law::Exponential::rand((this->variancek(k)/this->meank(k)));}
#ifdef STK_MIXTURE_VERY_VERBOSE
  stk_cout << _T(" Gamma_aj_bk<Array>::randomInit done\n");
#endif
}
 
/* Compute the weighted mean and the common variance. */
template<class Array>
bool Gamma_aj_bk<Array>::run( CArrayXX const* const& p_tik, CPointX const* const& p_tk)
{
  bool flag = true;
  if (!this->moments(p_tik)) { flag = false;}
  // start estimations of the ajk and bj
  Real qvalue = this->qValue(p_tik, p_tk);
  // enter iterative algorithm
  int iter;
  for(iter = 0; iter<MAXITER; ++iter)
  {
    // compute aj
    for (int j=p_data()->beginCols(); j<p_data()->endCols(); ++j)
    {
      // moment estimate and oldest value
      Real y = 0, x0 = 0;
      for (int k= p_tik->beginCols(); k < p_tik->endCols(); ++k)
      {
        Real mean = meanjk(j,k), variance = variancejk(j,k);
        y  += p_tk->elt(k) * (param_.meanLog_[k][j] - std::log(param_.scale_[k]));
        x0 += p_tk->elt(k) * mean*mean/variance;
      }
      y /= this->nbSample();
      x0/= this->nbSample();
      Real x1 = param_.shape_[j];
      if ((x0 <=0.) || !Arithmetic<Real>::isFinite(x0))
      { x0 = 1; flag = false;}
      // compute shape
      hidden::invPsi f(y);
      Real a = x0; // use moment estimate
      try
      {
        a = Algo::findZero(f, x0, x1, 1e-08);
      }
      catch (...)
      {
    #ifdef STK_MIXTURE_DEBUG
          stk_cout << "ML estimation failed in Gamma_aj_bk::run( CArrayXX const* const& p_tik, CPointX const* const& p_tk) \n";
          stk_cout << "x0 =" << x0 << _T("\n";);
          stk_cout << "f(x0) =" << f(x0) << _T("\n";);
          stk_cout << "x1 =" << x1 << _T("\n";);
          stk_cout << "f(x1) =" << f(x1) << _T("\n";);
    #endif
          a = x0; // use moment estimate
          flag = false;
      }
      if (!Arithmetic<Real>::isFinite(a))
      {
#ifdef STK_MIXTURE_DEBUG
        stk_cout << _T("ML estimation failed in Gamma_aj_bk::run( CArrayXX const* const& p_tik, CPointX const* const& p_tk) \n");
        stk_cout << "x0 =" << x0 << _T("\n";);
        stk_cout << "f(x0) =" << f(x0) << _T("\n";);
        stk_cout << "x1 =" << x1 << _T("\n";);
        stk_cout << "f(x1) =" << f(x1) << _T("\n";);
#endif
        a = 1.;
        flag = false;
      }
      param_.shape_[j] = a;
      // compute bk
      Real sum = param_.shape_.sum();
      for (int k= p_tik->beginCols(); k < p_tik->endCols(); ++k)
      { // update bk
        param_.scale_[k] = param_.mean_[k].sum()/sum;
      }
    }
  // check convergence
    Real value = this->qValue(p_tik, p_tk);
#ifdef STK_MIXTURE_VERBOSE
  if (value < qvalue)
  {
    stk_cout << _T("In Gamma_aj_bk::run( CArrayXX const* const& p_tik, CPointX const* const& p_tk) : run( CArrayXX const* const& p_tik, CPointX const* const& p_tk)  diverge\n");
    stk_cout << _T("New value =") << value << _T(", qvalue =") << qvalue << _T("\n");
  }
#endif
    if ((value - qvalue) < TOL) break;
    qvalue = value;
  }
#ifdef STK_MIXTURE_VERBOSE
  if (iter == MAXITER)
  {
    stk_cout << _T("In Gamma_aj_bk::run( CArrayXX const* const& p_tik, CPointX const* const& p_tk) : run( CArrayXX const* const& p_tik, CPointX const* const& p_tk)  did not converge\n");
    stk_cout << _T("qvalue =") << qvalue << _T("\n");
  }
#endif
  return flag;
}
 
}  // namespace STK
 
#undef MAXITER
#undef TOL
 
#endif /* STK_Gamma_AJ_BK_H */