"""Bayesian Gaussian Mixture Models and Dirichlet Process Gaussian Mixture Models""" from __future__ import print_function # Author: Alexandre Passos (alexandre.tp@gmail.com) # Bertrand Thirion # # Based on mixture.py by: # Ron Weiss # Fabian Pedregosa # # Important note for the deprecation cleaning of 0.20 : # All the function and classes of this file have been deprecated in 0.18. # When you remove this file please also remove the related files # - 'sklearn/mixture/gmm.py' # - 'sklearn/mixture/test_dpgmm.py' # - 'sklearn/mixture/test_gmm.py' import numpy as np from scipy.special import digamma as _digamma, gammaln as _gammaln from scipy import linalg from scipy.linalg import pinvh from scipy.spatial.distance import cdist from ..externals.six.moves import xrange from ..utils import check_random_state, check_array, deprecated from ..utils.fixes import logsumexp from ..utils.extmath import squared_norm, stable_cumsum from ..utils.validation import check_is_fitted from .. import cluster from .gmm import _GMMBase @deprecated("The function digamma is deprecated in 0.18 and " "will be removed in 0.20. Use scipy.special.digamma instead.") def digamma(x): return _digamma(x + np.finfo(np.float32).eps) @deprecated("The function gammaln is deprecated in 0.18 and " "will be removed in 0.20. Use scipy.special.gammaln instead.") def gammaln(x): return _gammaln(x + np.finfo(np.float32).eps) @deprecated("The function log_normalize is deprecated in 0.18 and " "will be removed in 0.20.") def log_normalize(v, axis=0): """Normalized probabilities from unnormalized log-probabilities""" v = np.rollaxis(v, axis) v = v.copy() v -= v.max(axis=0) out = logsumexp(v) v = np.exp(v - out) v += np.finfo(np.float32).eps v /= np.sum(v, axis=0) return np.swapaxes(v, 0, axis) @deprecated("The function wishart_log_det is deprecated in 0.18 and " "will be removed in 0.20.") def wishart_log_det(a, b, detB, n_features): """Expected value of the log of the determinant of a Wishart The expected value of the logarithm of the determinant of a wishart-distributed random variable with the specified parameters.""" l = np.sum(digamma(0.5 * (a - np.arange(-1, n_features - 1)))) l += n_features * np.log(2) return l + detB @deprecated("The function wishart_logz is deprecated in 0.18 and " "will be removed in 0.20.") def wishart_logz(v, s, dets, n_features): "The logarithm of the normalization constant for the wishart distribution" z = 0. z += 0.5 * v * n_features * np.log(2) z += (0.25 * (n_features * (n_features - 1)) * np.log(np.pi)) z += 0.5 * v * np.log(dets) z += np.sum(gammaln(0.5 * (v - np.arange(n_features) + 1))) return z def _bound_wishart(a, B, detB): """Returns a function of the dof, scale matrix and its determinant used as an upper bound in variational approximation of the evidence""" n_features = B.shape[0] logprior = wishart_logz(a, B, detB, n_features) logprior -= wishart_logz(n_features, np.identity(n_features), 1, n_features) logprior += 0.5 * (a - 1) * wishart_log_det(a, B, detB, n_features) logprior += 0.5 * a * np.trace(B) return logprior ############################################################################## # Variational bound on the log likelihood of each class ############################################################################## def _sym_quad_form(x, mu, A): """helper function to calculate symmetric quadratic form x.T * A * x""" q = (cdist(x, mu[np.newaxis], "mahalanobis", VI=A) ** 2).reshape(-1) return q def _bound_state_log_lik(X, initial_bound, precs, means, covariance_type): """Update the bound with likelihood terms, for standard covariance types""" n_components, n_features = means.shape n_samples = X.shape[0] bound = np.empty((n_samples, n_components)) bound[:] = initial_bound if covariance_type in ['diag', 'spherical']: for k in range(n_components): d = X - means[k] bound[:, k] -= 0.5 * np.sum(d * d * precs[k], axis=1) elif covariance_type == 'tied': for k in range(n_components): bound[:, k] -= 0.5 * _sym_quad_form(X, means[k], precs) elif covariance_type == 'full': for k in range(n_components): bound[:, k] -= 0.5 * _sym_quad_form(X, means[k], precs[k]) return bound class _DPGMMBase(_GMMBase): """Variational Inference for the Infinite Gaussian Mixture Model. DPGMM stands for Dirichlet Process Gaussian Mixture Model, and it is an infinite mixture model with the Dirichlet Process as a prior distribution on the number of clusters. In practice the approximate inference algorithm uses a truncated distribution with a fixed maximum number of components, but almost always the number of components actually used depends on the data. Stick-breaking Representation of a Gaussian mixture model probability distribution. This class allows for easy and efficient inference of an approximate posterior distribution over the parameters of a Gaussian mixture model with a variable number of components (smaller than the truncation parameter n_components). Initialization is with normally-distributed means and identity covariance, for proper convergence. Read more in the :ref:`User Guide `. Parameters ---------- n_components : int, default 1 Number of mixture components. covariance_type : string, default 'diag' String describing the type of covariance parameters to use. Must be one of 'spherical', 'tied', 'diag', 'full'. alpha : float, default 1 Real number representing the concentration parameter of the dirichlet process. Intuitively, the Dirichlet Process is as likely to start a new cluster for a point as it is to add that point to a cluster with alpha elements. A higher alpha means more clusters, as the expected number of clusters is ``alpha*log(N)``. tol : float, default 1e-3 Convergence threshold. n_iter : int, default 10 Maximum number of iterations to perform before convergence. params : string, default 'wmc' Controls which parameters are updated in the training process. Can contain any combination of 'w' for weights, 'm' for means, and 'c' for covars. init_params : string, default 'wmc' Controls which parameters are updated in the initialization process. Can contain any combination of 'w' for weights, 'm' for means, and 'c' for covars. Defaults to 'wmc'. verbose : int, default 0 Controls output verbosity. Attributes ---------- covariance_type : string String describing the type of covariance parameters used by the DP-GMM. Must be one of 'spherical', 'tied', 'diag', 'full'. n_components : int Number of mixture components. weights_ : array, shape (`n_components`,) Mixing weights for each mixture component. means_ : array, shape (`n_components`, `n_features`) Mean parameters for each mixture component. precs_ : array Precision (inverse covariance) parameters for each mixture component. The shape depends on `covariance_type`:: (`n_components`, 'n_features') if 'spherical', (`n_features`, `n_features`) if 'tied', (`n_components`, `n_features`) if 'diag', (`n_components`, `n_features`, `n_features`) if 'full' converged_ : bool True when convergence was reached in fit(), False otherwise. See Also -------- GMM : Finite Gaussian mixture model fit with EM VBGMM : Finite Gaussian mixture model fit with a variational algorithm, better for situations where there might be too little data to get a good estimate of the covariance matrix. """ def __init__(self, n_components=1, covariance_type='diag', alpha=1.0, random_state=None, tol=1e-3, verbose=0, min_covar=None, n_iter=10, params='wmc', init_params='wmc'): self.alpha = alpha super(_DPGMMBase, self).__init__(n_components, covariance_type, random_state=random_state, tol=tol, min_covar=min_covar, n_iter=n_iter, params=params, init_params=init_params, verbose=verbose) def _get_precisions(self): """Return precisions as a full matrix.""" if self.covariance_type == 'full': return self.precs_ elif self.covariance_type in ['diag', 'spherical']: return [np.diag(cov) for cov in self.precs_] elif self.covariance_type == 'tied': return [self.precs_] * self.n_components def _get_covars(self): return [pinvh(c) for c in self._get_precisions()] def _set_covars(self, covars): raise NotImplementedError("""The variational algorithm does not support setting the covariance parameters.""") def score_samples(self, X): """Return the likelihood of the data under the model. Compute the bound on log probability of X under the model and return the posterior distribution (responsibilities) of each mixture component for each element of X. This is done by computing the parameters for the mean-field of z for each observation. Parameters ---------- X : array_like, shape (n_samples, n_features) List of n_features-dimensional data points. Each row corresponds to a single data point. Returns ------- logprob : array_like, shape (n_samples,) Log probabilities of each data point in X responsibilities : array_like, shape (n_samples, n_components) Posterior probabilities of each mixture component for each observation """ check_is_fitted(self, 'gamma_') X = check_array(X) if X.ndim == 1: X = X[:, np.newaxis] z = np.zeros((X.shape[0], self.n_components)) sd = digamma(self.gamma_.T[1] + self.gamma_.T[2]) dgamma1 = digamma(self.gamma_.T[1]) - sd dgamma2 = np.zeros(self.n_components) dgamma2[0] = digamma(self.gamma_[0, 2]) - digamma(self.gamma_[0, 1] + self.gamma_[0, 2]) for j in range(1, self.n_components): dgamma2[j] = dgamma2[j - 1] + digamma(self.gamma_[j - 1, 2]) dgamma2[j] -= sd[j - 1] dgamma = dgamma1 + dgamma2 # Free memory and developers cognitive load: del dgamma1, dgamma2, sd if self.covariance_type not in ['full', 'tied', 'diag', 'spherical']: raise NotImplementedError("This ctype is not implemented: %s" % self.covariance_type) p = _bound_state_log_lik(X, self._initial_bound + self.bound_prec_, self.precs_, self.means_, self.covariance_type) z = p + dgamma z = log_normalize(z, axis=-1) bound = np.sum(z * p, axis=-1) return bound, z def _update_concentration(self, z): """Update the concentration parameters for each cluster""" sz = np.sum(z, axis=0) self.gamma_.T[1] = 1. + sz self.gamma_.T[2].fill(0) for i in range(self.n_components - 2, -1, -1): self.gamma_[i, 2] = self.gamma_[i + 1, 2] + sz[i] self.gamma_.T[2] += self.alpha def _update_means(self, X, z): """Update the variational distributions for the means""" n_features = X.shape[1] for k in range(self.n_components): if self.covariance_type in ['spherical', 'diag']: num = np.sum(z.T[k].reshape((-1, 1)) * X, axis=0) num *= self.precs_[k] den = 1. + self.precs_[k] * np.sum(z.T[k]) self.means_[k] = num / den elif self.covariance_type in ['tied', 'full']: if self.covariance_type == 'tied': cov = self.precs_ else: cov = self.precs_[k] den = np.identity(n_features) + cov * np.sum(z.T[k]) num = np.sum(z.T[k].reshape((-1, 1)) * X, axis=0) num = np.dot(cov, num) self.means_[k] = linalg.lstsq(den, num)[0] def _update_precisions(self, X, z): """Update the variational distributions for the precisions""" n_features = X.shape[1] if self.covariance_type == 'spherical': self.dof_ = 0.5 * n_features * np.sum(z, axis=0) for k in range(self.n_components): # could be more memory efficient ? sq_diff = np.sum((X - self.means_[k]) ** 2, axis=1) self.scale_[k] = 1. self.scale_[k] += 0.5 * np.sum(z.T[k] * (sq_diff + n_features)) self.bound_prec_[k] = ( 0.5 * n_features * ( digamma(self.dof_[k]) - np.log(self.scale_[k]))) self.precs_ = np.tile(self.dof_ / self.scale_, [n_features, 1]).T elif self.covariance_type == 'diag': for k in range(self.n_components): self.dof_[k].fill(1. + 0.5 * np.sum(z.T[k], axis=0)) sq_diff = (X - self.means_[k]) ** 2 # see comment above self.scale_[k] = np.ones(n_features) + 0.5 * np.dot( z.T[k], (sq_diff + 1)) self.precs_[k] = self.dof_[k] / self.scale_[k] self.bound_prec_[k] = 0.5 * np.sum(digamma(self.dof_[k]) - np.log(self.scale_[k])) self.bound_prec_[k] -= 0.5 * np.sum(self.precs_[k]) elif self.covariance_type == 'tied': self.dof_ = 2 + X.shape[0] + n_features self.scale_ = (X.shape[0] + 1) * np.identity(n_features) for k in range(self.n_components): diff = X - self.means_[k] self.scale_ += np.dot(diff.T, z[:, k:k + 1] * diff) self.scale_ = pinvh(self.scale_) self.precs_ = self.dof_ * self.scale_ self.det_scale_ = linalg.det(self.scale_) self.bound_prec_ = 0.5 * wishart_log_det( self.dof_, self.scale_, self.det_scale_, n_features) self.bound_prec_ -= 0.5 * self.dof_ * np.trace(self.scale_) elif self.covariance_type == 'full': for k in range(self.n_components): sum_resp = np.sum(z.T[k]) self.dof_[k] = 2 + sum_resp + n_features self.scale_[k] = (sum_resp + 1) * np.identity(n_features) diff = X - self.means_[k] self.scale_[k] += np.dot(diff.T, z[:, k:k + 1] * diff) self.scale_[k] = pinvh(self.scale_[k]) self.precs_[k] = self.dof_[k] * self.scale_[k] self.det_scale_[k] = linalg.det(self.scale_[k]) self.bound_prec_[k] = 0.5 * wishart_log_det( self.dof_[k], self.scale_[k], self.det_scale_[k], n_features) self.bound_prec_[k] -= 0.5 * self.dof_[k] * np.trace( self.scale_[k]) def _monitor(self, X, z, n, end=False): """Monitor the lower bound during iteration Debug method to help see exactly when it is failing to converge as expected. Note: this is very expensive and should not be used by default.""" if self.verbose > 0: print("Bound after updating %8s: %f" % (n, self.lower_bound(X, z))) if end: print("Cluster proportions:", self.gamma_.T[1]) print("covariance_type:", self.covariance_type) def _do_mstep(self, X, z, params): """Maximize the variational lower bound Update each of the parameters to maximize the lower bound.""" self._monitor(X, z, "z") self._update_concentration(z) self._monitor(X, z, "gamma") if 'm' in params: self._update_means(X, z) self._monitor(X, z, "mu") if 'c' in params: self._update_precisions(X, z) self._monitor(X, z, "a and b", end=True) def _initialize_gamma(self): "Initializes the concentration parameters" self.gamma_ = self.alpha * np.ones((self.n_components, 3)) def _bound_concentration(self): """The variational lower bound for the concentration parameter.""" logprior = gammaln(self.alpha) * self.n_components logprior += np.sum((self.alpha - 1) * ( digamma(self.gamma_.T[2]) - digamma(self.gamma_.T[1] + self.gamma_.T[2]))) logprior += np.sum(- gammaln(self.gamma_.T[1] + self.gamma_.T[2])) logprior += np.sum(gammaln(self.gamma_.T[1]) + gammaln(self.gamma_.T[2])) logprior -= np.sum((self.gamma_.T[1] - 1) * ( digamma(self.gamma_.T[1]) - digamma(self.gamma_.T[1] + self.gamma_.T[2]))) logprior -= np.sum((self.gamma_.T[2] - 1) * ( digamma(self.gamma_.T[2]) - digamma(self.gamma_.T[1] + self.gamma_.T[2]))) return logprior def _bound_means(self): "The variational lower bound for the mean parameters" logprior = 0. logprior -= 0.5 * squared_norm(self.means_) logprior -= 0.5 * self.means_.shape[1] * self.n_components return logprior def _bound_precisions(self): """Returns the bound term related to precisions""" logprior = 0. if self.covariance_type == 'spherical': logprior += np.sum(gammaln(self.dof_)) logprior -= np.sum( (self.dof_ - 1) * digamma(np.maximum(0.5, self.dof_))) logprior += np.sum(- np.log(self.scale_) + self.dof_ - self.precs_[:, 0]) elif self.covariance_type == 'diag': logprior += np.sum(gammaln(self.dof_)) logprior -= np.sum( (self.dof_ - 1) * digamma(np.maximum(0.5, self.dof_))) logprior += np.sum(- np.log(self.scale_) + self.dof_ - self.precs_) elif self.covariance_type == 'tied': logprior += _bound_wishart(self.dof_, self.scale_, self.det_scale_) elif self.covariance_type == 'full': for k in range(self.n_components): logprior += _bound_wishart(self.dof_[k], self.scale_[k], self.det_scale_[k]) return logprior def _bound_proportions(self, z): """Returns the bound term related to proportions""" dg12 = digamma(self.gamma_.T[1] + self.gamma_.T[2]) dg1 = digamma(self.gamma_.T[1]) - dg12 dg2 = digamma(self.gamma_.T[2]) - dg12 cz = stable_cumsum(z[:, ::-1], axis=-1)[:, -2::-1] logprior = np.sum(cz * dg2[:-1]) + np.sum(z * dg1) del cz # Save memory z_non_zeros = z[z > np.finfo(np.float32).eps] logprior -= np.sum(z_non_zeros * np.log(z_non_zeros)) return logprior def _logprior(self, z): logprior = self._bound_concentration() logprior += self._bound_means() logprior += self._bound_precisions() logprior += self._bound_proportions(z) return logprior def lower_bound(self, X, z): """returns a lower bound on model evidence based on X and membership""" check_is_fitted(self, 'means_') if self.covariance_type not in ['full', 'tied', 'diag', 'spherical']: raise NotImplementedError("This ctype is not implemented: %s" % self.covariance_type) X = np.asarray(X) if X.ndim == 1: X = X[:, np.newaxis] c = np.sum(z * _bound_state_log_lik(X, self._initial_bound + self.bound_prec_, self.precs_, self.means_, self.covariance_type)) return c + self._logprior(z) def _set_weights(self): for i in xrange(self.n_components): self.weights_[i] = self.gamma_[i, 1] / (self.gamma_[i, 1] + self.gamma_[i, 2]) self.weights_ /= np.sum(self.weights_) def _fit(self, X, y=None): """Estimate model parameters with the variational algorithm. For a full derivation and description of the algorithm see doc/modules/dp-derivation.rst or http://scikit-learn.org/stable/modules/dp-derivation.html A initialization step is performed before entering the em algorithm. If you want to avoid this step, set the keyword argument init_params to the empty string '' when creating the object. Likewise, if you would like just to do an initialization, set n_iter=0. Parameters ---------- X : array_like, shape (n, n_features) List of n_features-dimensional data points. Each row corresponds to a single data point. Returns ------- responsibilities : array, shape (n_samples, n_components) Posterior probabilities of each mixture component for each observation. """ self.random_state_ = check_random_state(self.random_state) # initialization step X = check_array(X) if X.ndim == 1: X = X[:, np.newaxis] n_samples, n_features = X.shape z = np.ones((n_samples, self.n_components)) z /= self.n_components self._initial_bound = - 0.5 * n_features * np.log(2 * np.pi) self._initial_bound -= np.log(2 * np.pi * np.e) if (self.init_params != '') or not hasattr(self, 'gamma_'): self._initialize_gamma() if 'm' in self.init_params or not hasattr(self, 'means_'): self.means_ = cluster.KMeans( n_clusters=self.n_components, random_state=self.random_state_).fit(X).cluster_centers_[::-1] if 'w' in self.init_params or not hasattr(self, 'weights_'): self.weights_ = np.tile(1.0 / self.n_components, self.n_components) if 'c' in self.init_params or not hasattr(self, 'precs_'): if self.covariance_type == 'spherical': self.dof_ = np.ones(self.n_components) self.scale_ = np.ones(self.n_components) self.precs_ = np.ones((self.n_components, n_features)) self.bound_prec_ = 0.5 * n_features * ( digamma(self.dof_) - np.log(self.scale_)) elif self.covariance_type == 'diag': self.dof_ = 1 + 0.5 * n_features self.dof_ *= np.ones((self.n_components, n_features)) self.scale_ = np.ones((self.n_components, n_features)) self.precs_ = np.ones((self.n_components, n_features)) self.bound_prec_ = 0.5 * (np.sum(digamma(self.dof_) - np.log(self.scale_), 1)) self.bound_prec_ -= 0.5 * np.sum(self.precs_, 1) elif self.covariance_type == 'tied': self.dof_ = 1. self.scale_ = np.identity(n_features) self.precs_ = np.identity(n_features) self.det_scale_ = 1. self.bound_prec_ = 0.5 * wishart_log_det( self.dof_, self.scale_, self.det_scale_, n_features) self.bound_prec_ -= 0.5 * self.dof_ * np.trace(self.scale_) elif self.covariance_type == 'full': self.dof_ = (1 + self.n_components + n_samples) self.dof_ *= np.ones(self.n_components) self.scale_ = [2 * np.identity(n_features) for _ in range(self.n_components)] self.precs_ = [np.identity(n_features) for _ in range(self.n_components)] self.det_scale_ = np.ones(self.n_components) self.bound_prec_ = np.zeros(self.n_components) for k in range(self.n_components): self.bound_prec_[k] = wishart_log_det( self.dof_[k], self.scale_[k], self.det_scale_[k], n_features) self.bound_prec_[k] -= (self.dof_[k] * np.trace(self.scale_[k])) self.bound_prec_ *= 0.5 # EM algorithms current_log_likelihood = None # reset self.converged_ to False self.converged_ = False for i in range(self.n_iter): prev_log_likelihood = current_log_likelihood # Expectation step curr_logprob, z = self.score_samples(X) current_log_likelihood = ( curr_logprob.mean() + self._logprior(z) / n_samples) # Check for convergence. if prev_log_likelihood is not None: change = abs(current_log_likelihood - prev_log_likelihood) if change < self.tol: self.converged_ = True break # Maximization step self._do_mstep(X, z, self.params) if self.n_iter == 0: # Need to make sure that there is a z value to output # Output zeros because it was just a quick initialization z = np.zeros((X.shape[0], self.n_components)) self._set_weights() return z @deprecated("The `DPGMM` class is not working correctly and it's better " "to use `sklearn.mixture.BayesianGaussianMixture` class with " "parameter `weight_concentration_prior_type='dirichlet_process'` " "instead. DPGMM is deprecated in 0.18 and will be " "removed in 0.20.") class DPGMM(_DPGMMBase): """Dirichlet Process Gaussian Mixture Models .. deprecated:: 0.18 This class will be removed in 0.20. Use :class:`sklearn.mixture.BayesianGaussianMixture` with parameter ``weight_concentration_prior_type='dirichlet_process'`` instead. """ def __init__(self, n_components=1, covariance_type='diag', alpha=1.0, random_state=None, tol=1e-3, verbose=0, min_covar=None, n_iter=10, params='wmc', init_params='wmc'): super(DPGMM, self).__init__( n_components=n_components, covariance_type=covariance_type, alpha=alpha, random_state=random_state, tol=tol, verbose=verbose, min_covar=min_covar, n_iter=n_iter, params=params, init_params=init_params) @deprecated("The `VBGMM` class is not working correctly and it's better " "to use `sklearn.mixture.BayesianGaussianMixture` class with " "parameter `weight_concentration_prior_type=" "'dirichlet_distribution'` instead. " "VBGMM is deprecated in 0.18 and will be removed in 0.20.") class VBGMM(_DPGMMBase): """Variational Inference for the Gaussian Mixture Model .. deprecated:: 0.18 This class will be removed in 0.20. Use :class:`sklearn.mixture.BayesianGaussianMixture` with parameter ``weight_concentration_prior_type='dirichlet_distribution'`` instead. Variational inference for a Gaussian mixture model probability distribution. This class allows for easy and efficient inference of an approximate posterior distribution over the parameters of a Gaussian mixture model with a fixed number of components. Initialization is with normally-distributed means and identity covariance, for proper convergence. Read more in the :ref:`User Guide `. Parameters ---------- n_components : int, default 1 Number of mixture components. covariance_type : string, default 'diag' String describing the type of covariance parameters to use. Must be one of 'spherical', 'tied', 'diag', 'full'. alpha : float, default 1 Real number representing the concentration parameter of the dirichlet distribution. Intuitively, the higher the value of alpha the more likely the variational mixture of Gaussians model will use all components it can. tol : float, default 1e-3 Convergence threshold. n_iter : int, default 10 Maximum number of iterations to perform before convergence. params : string, default 'wmc' Controls which parameters are updated in the training process. Can contain any combination of 'w' for weights, 'm' for means, and 'c' for covars. init_params : string, default 'wmc' Controls which parameters are updated in the initialization process. Can contain any combination of 'w' for weights, 'm' for means, and 'c' for covars. Defaults to 'wmc'. verbose : int, default 0 Controls output verbosity. Attributes ---------- covariance_type : string String describing the type of covariance parameters used by the DP-GMM. Must be one of 'spherical', 'tied', 'diag', 'full'. n_features : int Dimensionality of the Gaussians. n_components : int (read-only) Number of mixture components. weights_ : array, shape (`n_components`,) Mixing weights for each mixture component. means_ : array, shape (`n_components`, `n_features`) Mean parameters for each mixture component. precs_ : array Precision (inverse covariance) parameters for each mixture component. The shape depends on `covariance_type`:: (`n_components`, 'n_features') if 'spherical', (`n_features`, `n_features`) if 'tied', (`n_components`, `n_features`) if 'diag', (`n_components`, `n_features`, `n_features`) if 'full' converged_ : bool True when convergence was reached in fit(), False otherwise. See Also -------- GMM : Finite Gaussian mixture model fit with EM DPGMM : Infinite Gaussian mixture model, using the dirichlet process, fit with a variational algorithm """ def __init__(self, n_components=1, covariance_type='diag', alpha=1.0, random_state=None, tol=1e-3, verbose=0, min_covar=None, n_iter=10, params='wmc', init_params='wmc'): super(VBGMM, self).__init__( n_components, covariance_type, random_state=random_state, tol=tol, verbose=verbose, min_covar=min_covar, n_iter=n_iter, params=params, init_params=init_params) self.alpha = alpha def _fit(self, X, y=None): """Estimate model parameters with the variational algorithm. For a full derivation and description of the algorithm see doc/modules/dp-derivation.rst or http://scikit-learn.org/stable/modules/dp-derivation.html A initialization step is performed before entering the EM algorithm. If you want to avoid this step, set the keyword argument init_params to the empty string '' when creating the object. Likewise, if you just would like to do an initialization, set n_iter=0. Parameters ---------- X : array_like, shape (n, n_features) List of n_features-dimensional data points. Each row corresponds to a single data point. Returns ------- responsibilities : array, shape (n_samples, n_components) Posterior probabilities of each mixture component for each observation. """ self.alpha_ = float(self.alpha) / self.n_components return super(VBGMM, self)._fit(X, y) def score_samples(self, X): """Return the likelihood of the data under the model. Compute the bound on log probability of X under the model and return the posterior distribution (responsibilities) of each mixture component for each element of X. This is done by computing the parameters for the mean-field of z for each observation. Parameters ---------- X : array_like, shape (n_samples, n_features) List of n_features-dimensional data points. Each row corresponds to a single data point. Returns ------- logprob : array_like, shape (n_samples,) Log probabilities of each data point in X responsibilities : array_like, shape (n_samples, n_components) Posterior probabilities of each mixture component for each observation """ check_is_fitted(self, 'gamma_') X = check_array(X) if X.ndim == 1: X = X[:, np.newaxis] dg = digamma(self.gamma_) - digamma(np.sum(self.gamma_)) if self.covariance_type not in ['full', 'tied', 'diag', 'spherical']: raise NotImplementedError("This ctype is not implemented: %s" % self.covariance_type) p = _bound_state_log_lik(X, self._initial_bound + self.bound_prec_, self.precs_, self.means_, self.covariance_type) z = p + dg z = log_normalize(z, axis=-1) bound = np.sum(z * p, axis=-1) return bound, z def _update_concentration(self, z): for i in range(self.n_components): self.gamma_[i] = self.alpha_ + np.sum(z.T[i]) def _initialize_gamma(self): self.gamma_ = self.alpha_ * np.ones(self.n_components) def _bound_proportions(self, z): logprior = 0. dg = digamma(self.gamma_) dg -= digamma(np.sum(self.gamma_)) logprior += np.sum(dg.reshape((-1, 1)) * z.T) z_non_zeros = z[z > np.finfo(np.float32).eps] logprior -= np.sum(z_non_zeros * np.log(z_non_zeros)) return logprior def _bound_concentration(self): logprior = 0. logprior = gammaln(np.sum(self.gamma_)) - gammaln(self.n_components * self.alpha_) logprior -= np.sum(gammaln(self.gamma_) - gammaln(self.alpha_)) sg = digamma(np.sum(self.gamma_)) logprior += np.sum((self.gamma_ - self.alpha_) * (digamma(self.gamma_) - sg)) return logprior def _monitor(self, X, z, n, end=False): """Monitor the lower bound during iteration Debug method to help see exactly when it is failing to converge as expected. Note: this is very expensive and should not be used by default.""" if self.verbose > 0: print("Bound after updating %8s: %f" % (n, self.lower_bound(X, z))) if end: print("Cluster proportions:", self.gamma_) print("covariance_type:", self.covariance_type) def _set_weights(self): self.weights_[:] = self.gamma_ self.weights_ /= np.sum(self.weights_)