diff toolboxes/FullBNT-1.0.7/KPMstats/logistK.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/KPMstats/logistK.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,287 @@
+function [beta,post,lli] = logistK(x,y,w,beta)
+% [beta,post,lli] = logistK(x,y,beta,w) 
+%
+% k-class logistic regression with optional sample weights
+%
+% k = number of classes
+% n = number of samples
+% d = dimensionality of samples
+%
+% INPUT
+% 	x 	dxn matrix of n input column vectors
+% 	y 	kxn vector of class assignments
+% 	[w]	1xn vector of sample weights 
+%	[beta]	dxk matrix of model coefficients
+%
+% OUTPUT
+% 	beta 	dxk matrix of fitted model coefficients 
+%		(beta(:,k) are fixed at 0) 
+% 	post 	kxn matrix of fitted class posteriors
+% 	lli 	log likelihood
+%
+% Let p(i,j) = exp(beta(:,j)'*x(:,i)),
+% Class j posterior for observation i is:
+%	post(j,i) = p(i,j) / (p(i,1) + ... p(i,k))
+%
+% See also logistK_eval.
+%
+% David Martin <[e-mail]> 
+% May 3, 2002
+
+% Copyright (C) 2002 David R. Martin <[e-mail]>
+%
+% This program is free software; you can redistribute it and/or
+% modify it under the terms of the GNU 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
+% General Public License for more details.
+% 
+% You should have received a copy of the GNU General Public License
+% along with this program; if not, write to the Free Software
+% Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA
+% 02111-1307, USA, or see http://www.gnu.org/copyleft/gpl.html.
+
+% TODO - this code would be faster if x were transposed
+
+error(nargchk(2,4,nargin));
+
+debug = 0;
+if debug>0,
+  h=figure(1);
+  set(h,'DoubleBuffer','on');
+end
+
+% get sizes
+[d,nx] = size(x);
+[k,ny] = size(y);
+
+% check sizes
+if k < 2,
+  error('Input y must encode at least 2 classes.');
+end
+if nx ~= ny,
+  error('Inputs x,y not the same length.'); 
+end
+
+n = nx;
+
+% make sure class assignments have unit L1-norm
+sumy = sum(y,1);
+if abs(1-sumy) > eps,
+  sumy = sum(y,1);
+  for i = 1:k, y(i,:) = y(i,:) ./ sumy; end
+end
+clear sumy;
+
+% if sample weights weren't specified, set them to 1
+if nargin < 3, 
+  w = ones(1,n);
+end
+
+% normalize sample weights so max is 1
+w = w / max(w);
+
+% if starting beta wasn't specified, initialize randomly
+if nargin < 4,
+  beta = 1e-3*rand(d,k);
+  beta(:,k) = 0;	% fix beta for class k at zero
+else
+  if sum(beta(:,k)) ~= 0,
+    error('beta(:,k) ~= 0');
+  end
+end
+
+stepsize = 1;
+minstepsize = 1e-2;
+
+post = computePost(beta,x);
+lli = computeLogLik(post,y,w);
+
+for iter = 1:100,
+  %disp(sprintf('  logist iter=%d lli=%g',iter,lli));
+  vis(x,y,beta,lli,d,k,iter,debug);
+
+  % gradient and hessian
+  [g,h] = derivs(post,x,y,w);
+
+  % make sure Hessian is well conditioned
+  if rcond(h) < eps, 
+    % condition with Levenberg-Marquardt method
+    for i = -16:16,
+      h2 = h .* ((1 + 10^i)*eye(size(h)) + (1-eye(size(h))));
+      if rcond(h2) > eps, break, end
+    end
+    if rcond(h2) < eps,
+      warning(['Stopped at iteration ' num2str(iter) ...
+               ' because Hessian can''t be conditioned']);
+      break 
+    end
+    h = h2;
+  end
+
+  % save lli before update
+  lli_prev = lli;
+
+  % Newton-Raphson with step-size halving
+  while stepsize >= minstepsize,
+    % Newton-Raphson update step
+    step = stepsize * (h \ g);
+    beta2 = beta;
+    beta2(:,1:k-1) = beta2(:,1:k-1) - reshape(step,d,k-1);
+
+    % get the new log likelihood
+    post2 = computePost(beta2,x);
+    lli2 = computeLogLik(post2,y,w);
+
+    % if the log likelihood increased, then stop
+    if lli2 > lli, 
+      post = post2; lli = lli2; beta = beta2;
+      break
+    end
+
+    % otherwise, reduce step size by half
+    stepsize = 0.5 * stepsize;
+  end
+
+  % stop if the average log likelihood has gotten small enough
+  if 1-exp(lli/n) < 1e-2, break, end
+
+  % stop if the log likelihood changed by a small enough fraction
+  dlli = (lli_prev-lli) / lli;
+  if abs(dlli) < 1e-3, break, end
+
+  % stop if the step size has gotten too small
+  if stepsize < minstepsize, brea, end
+
+  % stop if the log likelihood has decreased; this shouldn't happen
+  if lli < lli_prev,
+    warning(['Stopped at iteration ' num2str(iter) ...
+             ' because the log likelihood decreased from ' ...
+             num2str(lli_prev) ' to ' num2str(lli) '.' ...
+            ' This may be a bug.']);
+    break
+  end
+end
+
+if debug>0, 
+  vis(x,y,beta,lli,d,k,iter,2); 
+end
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% class posteriors
+function post = computePost(beta,x)
+  [d,n] = size(x);
+  [d,k] = size(beta);
+  post = zeros(k,n);
+  bx = zeros(k,n);
+  for j = 1:k, 
+    bx(j,:) = beta(:,j)'*x; 
+  end
+  for j = 1:k, 
+    post(j,:) = 1 ./ sum(exp(bx - repmat(bx(j,:),k,1)),1);
+  end
+  
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% log likelihood
+function lli = computeLogLik(post,y,w)
+  [k,n] = size(post);
+  lli = 0;
+  for j = 1:k,
+    lli = lli + sum(w.*y(j,:).*log(post(j,:)+eps));
+  end
+  if isnan(lli), 
+    error('lli is nan'); 
+  end
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% gradient and hessian
+%% These are computed in what seems a verbose manner, but it is
+%% done this way to use minimal memory.  x should be transposed
+%% to make it faster.
+function [g,h] = derivs(post,x,y,w)
+
+  [k,n] = size(post);
+  [d,n] = size(x);
+
+  % first derivative of likelihood w.r.t. beta
+  g = zeros(d,k-1);
+  for j = 1:k-1,
+    wyp = w .* (y(j,:) - post(j,:));
+    for ii = 1:d, 
+      g(ii,j) = x(ii,:) * wyp'; 
+    end
+  end
+  g = reshape(g,d*(k-1),1);
+
+  % hessian of likelihood w.r.t. beta
+  h = zeros(d*(k-1),d*(k-1)); 
+  for i = 1:k-1,	% diagonal
+    wt = w .* post(i,:) .* (1 - post(i,:));
+    hii = zeros(d,d);
+    for a = 1:d,
+      wxa = wt .* x(a,:);
+      for b = a:d,
+        hii_ab = wxa * x(b,:)';
+        hii(a,b) = hii_ab;
+        hii(b,a) = hii_ab;
+      end
+    end
+    h( (i-1)*d+1 : i*d , (i-1)*d+1 : i*d ) = -hii;
+  end
+  for i = 1:k-1,	% off-diagonal
+    for j = i+1:k-1,
+      wt = w .* post(j,:) .* post(i,:);
+      hij = zeros(d,d);
+      for a = 1:d,
+        wxa = wt .* x(a,:);
+        for b = a:d,
+          hij_ab = wxa * x(b,:)';
+          hij(a,b) = hij_ab;
+          hij(b,a) = hij_ab;
+        end
+      end
+      h( (i-1)*d+1 : i*d , (j-1)*d+1 : j*d ) = hij;
+      h( (j-1)*d+1 : j*d , (i-1)*d+1 : i*d ) = hij;
+    end
+  end
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% debug/visualization
+function vis (x,y,beta,lli,d,k,iter,debug)
+
+  if debug<=0, return, end
+
+  disp(['iter=' num2str(iter) ' lli=' num2str(lli)]);
+  if debug<=1, return, end
+
+  if d~=3 | k>10, return, end
+
+  figure(1);
+  res = 100;
+  r = abs(max(max(x)));
+  dom = linspace(-r,r,res);
+  [px,py] = meshgrid(dom,dom);
+  xx = px(:); yy = py(:);
+  points = [xx' ; yy' ; ones(1,res*res)];
+  func = zeros(k,res*res);
+  for j = 1:k,
+    func(j,:) = exp(beta(:,j)'*points);
+  end
+  [mval,ind] = max(func,[],1);
+  hold off; 
+  im = reshape(ind,res,res);
+  imagesc(xx,yy,im);
+  hold on;
+  syms = {'w.' 'wx' 'w+' 'wo' 'w*' 'ws' 'wd' 'wv' 'w^' 'w<'};
+  for j = 1:k,
+    [mval,ind] = max(y,[],1);
+    ind = find(ind==j);
+    plot(x(1,ind),x(2,ind),syms{j});
+  end
+  pause(0.1);
+
+% eof