EM for HMM Multivariate Gaussian processes
Versión 1.8.0.0 (21,3 KB) por
Sebastien PARIS
A fast implementation of the EM Algorithm for HMM Multivariate Gaussian Mixture
em_ghmm : Expectation-Maximization algorithm for a HMM with Multivariate Gaussian measurement
Usage
-------
[logl , PI , A , M , S] = em_ghmm(Z , PI0 , A0 , M0 , S0 , [options]);
Inputs
-------
Z Measurements (m x K x n1 x ... x nl)
PI0 Initial probabilities (d x 1) : Pr(x_1 = i) , i=1,...,d. PI0 can be (d x 1 x v1 x ... x vr)
A0 Initial state transition probabilities matrix Pr(x_{k} = i| x_{k - 1} = j) such
sum_{x_k}(A0) = 1 => sum(A , 1) = 1. A0 can be (d x d x v1 x ... x vr).
M0 Initial mean vector. M0 can be (m x 1 x d x v1 x ... x vr)
S0 Initial covariance matrix. S0 can be (m x m x d x v1 x ... x vr)
options nb_ite Number of iteration (default [30])
update_PI Update PI (0/1 = no/[yes])
update_A Update PI (0/1 = no/[yes])
update_M Update M (0/1 = no/[yes])
update_S Update S (0/1 = no/[yes])
Outputs
-------
logl Final loglikelihood (n1 x ... x nl x v1 x ... x vr)
PI Estimated initial probabilities (d x 1 x n1 x ... x nl v1 x ... x vr)
A Estimated state transition probabilities matrix (d x d x n1 x ... x nl v1 x ... x vr)
M Estimated mean vector (m x 1 x d x n1 x ... x nl v1 x ... x vr)
S Estimated covariance vector (m x m x d x n1 x ... x nl v1 x ... x vr)
Please run mexme_em_ghmm to compile mex files on your platform.
Run test_em_ghmm for demo
Citar como
Sebastien PARIS (2024). EM for HMM Multivariate Gaussian processes (https://www.mathworks.com/matlabcentral/fileexchange/20712-em-for-hmm-multivariate-gaussian-processes), MATLAB Central File Exchange. Recuperado .
Compatibilidad con la versión de MATLAB
Se creó con
R2007b
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS LinuxCategorías
Más información sobre Statistics and Machine Learning Toolbox en Help Center y MATLAB Answers.
Etiquetas
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Descubra Live Editor
Cree scripts con código, salida y texto formateado en un documento ejecutable.
Versión | Publicado | Notas de la versión | |
---|---|---|---|
1.8.0.0 | - Fix mxIndex for modern Matlab versions |
||
1.7.0.0 | -Fix 2 bugs (Thanks to Jonathan for reporting) |
||
1.6.0.0 | -Fixed a bug introduced in the last update |
||
1.5.0.0 | -Minor update for Linux systems |
||
1.4.0.0 | -Fixed bug with Linux64 & GCC |
||
1.3.0.0 | Correct a bug in likelihood_mvgm.c when d=1 |
||
1.2.0.0 | Fixed bug in the likelihood constant computation |
||
1.1.0.0 | -add mexme_em_ghmm and compatible with LCC compiler |
||
1.0.0.0 |