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annotate toolboxes/FullBNT-1.0.7/bnt/inference/dynamic/@bk_ff_hmm_inf_engine/private/bk_ff_fb.m @ 0:e9a9cd732c1e tip

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first hg version after svn
author wolffd
date Tue, 10 Feb 2015 15:05:51 +0000
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wolffd@0 1 function [gamma, loglik, marginals, marginalsT] = bk_ff_fb(prior, transmat, obslik, filter_only, hnodes, ns)
wolffd@0 2 % BK_FF_FB Fully factored Boyen-Koller version of forwards-backwards
wolffd@0 3 % [gamma, loglik, marginals, marginalsT] = bk_ff_hmm(prior, transmat, obslik, filter_only, hnodes, ns)
wolffd@0 4
wolffd@0 5 ss = length(ns);
wolffd@0 6 S = length(prior);
wolffd@0 7 T = size(obslik, 2);
wolffd@0 8 marginals = cell(ss,T);
wolffd@0 9 marginalsT = cell(ss,T);
wolffd@0 10 scale = zeros(1,T);
wolffd@0 11 alpha = zeros(S, T);
wolffd@0 12
wolffd@0 13 transmat2 = transmat';
wolffd@0 14 for t=1:T
wolffd@0 15 if t==1
wolffd@0 16 [alpha(:,t), scale(t)] = normalise(prior(:) .* obslik(:,t));
wolffd@0 17 else
wolffd@0 18 [alpha(:,t), scale(t)] = normalise((transmat2 * alpha(:,t-1)) .* obslik(:,t));
wolffd@0 19 end
wolffd@0 20 [marginals(:,t), marginalsT(:,t)] = project_joint_onto_marginals(alpha(:,t), hnodes, ns);
wolffd@0 21 alpha(:,t) = combine_marginals_into_joint(marginalsT(:,t), hnodes, ns);
wolffd@0 22 %fprintf('alpha t=%d\n', t);
wolffd@0 23 %celldisp(marginals(1:8,t))
wolffd@0 24 end
wolffd@0 25 loglik = sum(log(scale));
wolffd@0 26
wolffd@0 27 if filter_only
wolffd@0 28 gamma = alpha;
wolffd@0 29 return;
wolffd@0 30 end
wolffd@0 31
wolffd@0 32 beta = zeros(S,T);
wolffd@0 33 gamma = zeros(S,T);
wolffd@0 34 t = T;
wolffd@0 35 beta(:,t) = ones(S,1);
wolffd@0 36 gamma(:,t) = normalise(alpha(:,t) .* beta(:,t));
wolffd@0 37 [marginals(:,t), marginalsT(:,t)] = project_joint_onto_marginals(gamma(:,t), hnodes, ns);
wolffd@0 38
wolffd@0 39 for t=T-1:-1:1
wolffd@0 40 b = beta(:,t+1) .* obslik(:,t+1);
wolffd@0 41 beta(:,t) = normalise((transmat * b));
wolffd@0 42 [junk, tempT] = project_joint_onto_marginals(beta(:,t), hnodes, ns);
wolffd@0 43 beta(:,t) = combine_marginals_into_joint(tempT, hnodes, ns);
wolffd@0 44 %gamma(:,t) = normalise(alpha(:,t) .* beta(:,t));
wolffd@0 45 %[marginals(:,t), marginalsT(:,t)] = project_joint_onto_marginals(gamma(:,t), hnodes, ns);
wolffd@0 46 end
wolffd@0 47
wolffd@0 48 gamma2 = zeros(S,T);
wolffd@0 49 for t=T-1:-1:1
wolffd@0 50 b = beta(:,t+1) .* obslik(:,t+1);
wolffd@0 51 xi(:,:,t) = normalise((transmat .* (alpha(:,t) * b')));
wolffd@0 52 if t==T-1
wolffd@0 53 gamma2(:,T) = sum(xi(:,:,T-1), 1)';
wolffd@0 54 end
wolffd@0 55 gamma2(:,t) = sum(xi(:,:,t), 2);
wolffd@0 56 [marginals(:,t), marginalsT(:,t)] = project_joint_onto_marginals(gamma2(:,t), hnodes, ns);
wolffd@0 57 end
wolffd@0 58
wolffd@0 59