diff toolboxes/FullBNT-1.0.7/HMM/fixed_lag_smoother_demo.m @ 0:e9a9cd732c1e tip

first hg version after svn

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/HMM/fixed_lag_smoother_demo.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,38 @@
+% Example of fixed lag smoothing
+
+rand('state', 1);
+S = 2;
+O = 2;
+T = 7;
+data = sample_discrete([0.5 0.5], 1, T);
+transmat = mk_stochastic(rand(S,S));
+obsmat = mk_stochastic(rand(S,O));
+obslik = multinomial_prob(data, obsmat);
+prior = [0.5 0.5]';
+
+
+[alpha0, beta0, gamma0, ll0, xi0] = fwdback(prior, transmat, obslik);
+
+w = 3;
+alpha1 = zeros(S, T);
+gamma1 = zeros(S, T);
+xi1 = zeros(S, S, T-1);
+t = 1;
+b = obsmat(:, data(t));
+olik_win = b; % window of conditional observation likelihoods
+alpha_win = normalise(prior .* b);
+alpha1(:,t) = alpha_win;
+for t=2:T
+  [alpha_win, olik_win, gamma_win, xi_win] = ...
+      fixed_lag_smoother(w, alpha_win, olik_win, obsmat(:, data(t)), transmat);
+  alpha1(:,max(1,t-w+1):t) = alpha_win;
+  gamma1(:,max(1,t-w+1):t) = gamma_win;
+  xi1(:,:,max(1,t-w+1):t-1) = xi_win;
+end
+
+e = 1e-1;
+%assert(approxeq(alpha0, alpha1, e));
+assert(approxeq(gamma0(:, T-w+1:end), gamma1(:, T-w+1:end), e));
+%assert(approxeq(xi0(:,:,T-w+1:end), xi1(:,:,T-w+1:end), e));
+
+