HMM matlab代碼實(shí)現(xiàn)+分析

Robin Garden 2012-04-20

展開全文

早就想吧HMM的代碼整理出來,，今天找個(gè)時(shí)間弄一下,。

我看過這篇文章,，其中講解了HMM的實(shí)現(xiàn),。

*********************************************************************

一下是HMM的代碼

dhmm_em.m

function [LL, prior, transmat, obsmat, nrIterations] = …
dhmm_em(data, prior, transmat, obsmat, varargin)
% LEARN_DHMM Find the ML/MAP parameters of an HMM with discrete outputs using EM.
% [ll_trace, prior, transmat, obsmat, iterNr] = learn_dhmm(data, prior0, transmat0, obsmat0, …)
%
% Notation: Q(t) = hidden state, Y(t) = observation
%H% INPUTS:
% data{ex} or data(ex,:) if all sequences have the same length
% prior(i)
% transmat(i,j)
% obsmat(i,o)
%
% Optional parameters may be passed as ‘param_name’, param_value pairs.
% Parameter names are shown below; default values in [] – if none, argument is mandatory.
%
% ‘max_iter’ – max number of EM iterations [10]
% ‘thresh’ – convergence threshold [1e-4]
% ‘verbose’ – if 1, print out loglik at every iteration [1]
% ‘obs_prior_weight’ – weight to apply to uniform dirichlet prior on observation matrix [0]
%
% To clamp some of the parameters, so learning does not change them:
% ‘a(chǎn)dj_prior’ – if 0, do not change prior [1]
% ‘a(chǎn)dj_trans’ – if 0, do not change transmat [1]
% ‘a(chǎn)dj_obs’ – if 0, do not change obsmat [1]
%
% Modified by Herbert Jaeger so xi are not computed individually
% but only their sum (over time) as xi_summed; this is the only way how they are used
% and it saves a lot of memory.

[max_iter, thresh, verbose, obs_prior_weight, adj_prior, adj_trans, adj_obs] = …
process_options(varargin, ‘max_iter’, 10, ‘thresh’, 1e-4, ‘verbose’, 1, …
‘obs_prior_weight’, 0, ‘a(chǎn)dj_prior’, 1, ‘a(chǎn)dj_trans’, 1, ‘a(chǎn)dj_obs’, 1);

previous_loglik = -inf;
loglik = 0;
converged = 0;
num_iter = 1;
LL = [];

if ~iscell(data)
data = num2cell(data, 2); % each row gets its own cell
end

while (num_iter <= max_iter) & ~converged
% E step
[loglik, exp_num_trans, exp_num_visits1, exp_num_emit] = …
compute_ess_dhmm(prior, transmat, obsmat, data, obs_prior_weight);

% M step
if adj_prior
prior = normalise(exp_num_visits1);
end
if adj_trans & ~isempty(exp_num_trans)
transmat = mk_stochastic(exp_num_trans);
end
if adj_obs
obsmat = mk_stochastic(exp_num_emit);
end

if verbose, fprintf(1, ‘iteration %d, loglik = %f\n’, num_iter, loglik); end
num_iter = num_iter + 1;
converged = em_converged(loglik, previous_loglik, thresh);
previous_loglik = loglik;
LL = [LL loglik];
end
nrIterations = num_iter – 1;

%%%%%%%%%%%%%%%%%%%%%%%

function [loglik, exp_num_trans, exp_num_visits1, exp_num_emit, exp_num_visitsT] = …
compute_ess_dhmm(startprob, transmat, obsmat, data, dirichlet)
% COMPUTE_ESS_DHMM Compute the Expected Sufficient Statistics for an HMM with discrete outputs
% function [loglik, exp_num_trans, exp_num_visits1, exp_num_emit, exp_num_visitsT] = …
% compute_ess_dhmm(startprob, transmat, obsmat, data, dirichlet)
%
% INPUTS:
% startprob(i)
% transmat(i,j)
% obsmat(i,o)
% data{seq}(t)
% dirichlet – weighting term for uniform dirichlet prior on expected emissions
%
% OUTPUTS:
% exp_num_trans(i,j) = sum_l sum_{t=2}^T Pr(X(t-1) = i, X(t) = j| Obs(l))
% exp_num_visits1(i) = sum_l Pr(X(1)=i | Obs(l))
% exp_num_visitsT(i) = sum_l Pr(X(T)=i | Obs(l))
% exp_num_emit(i,o) = sum_l sum_{t=1}^T Pr(X(t) = i, O(t)=o| Obs(l))
% where Obs(l) = O_1 .. O_T for sequence l.

numex = length(data);
[S O] = size(obsmat);
exp_num_trans = zeros(S,S);
exp_num_visits1 = zeros(S,1);
exp_num_visitsT = zeros(S,1);
exp_num_emit = dirichlet*ones(S,O);
loglik = 0;

for ex=1:numex
obs = data{ex};
T = length(obs);
%obslik = eval_pdf_cond_multinomial(obs, obsmat);
obslik = multinomial_prob(obs, obsmat);
[alpha, beta, gamma, current_ll, xi_summed] = fwdback(startprob, transmat, obslik);

loglik = loglik + current_ll;
exp_num_trans = exp_num_trans + xi_summed;
exp_num_visits1 = exp_num_visits1 + gamma(:,1);
exp_num_visitsT = exp_num_visitsT + gamma(:,T);
% loop over whichever is shorter
if T < O
for t=1:T
o = obs(t);
exp_num_emit(:,o) = exp_num_emit(:,o) + gamma(:,t);
end
else
for o=1:O
ndx = find(obs==o);
if ~isempty(ndx)
exp_num_emit(:,o) = exp_num_emit(:,o) + sum(gamma(:, ndx), 2);
end
end
end
end
——–

dhmm_logprob.m

——–

function [loglik, errors] = dhmm_logprob(data, prior, transmat, obsmat)
% LOG_LIK_DHMM Compute the log-likelihood of a dataset using a discrete HMM
% [loglik, errors] = log_lik_dhmm(data, prior, transmat, obsmat)
%
% data{m} or data(m,:) is the m’th sequence
% errors is a list of the cases which received a loglik of -infinity

if ~iscell(data)
data = num2cell(data, 2);
end
ncases = length(data);

loglik = 0;
errors = [];
for m=1:ncases
obslik = multinomial_prob(data{m}, obsmat);
[alpha, beta, gamma, ll] = fwdback(prior, transmat, obslik, ‘fwd_only’, 1);
if ll==-inf
errors = [errors m];
end
loglik = loglik + ll;
end
——-

em_converged.m

——-

function [converged, decrease] = em_converged(loglik, previous_loglik, threshold)
% EM_CONVERGED Has EM converged?
% [converged, decrease] = em_converged(loglik, previous_loglik, threshold)
%
% We have converged if
% |f(t) – f(t-1)| / avg < threshold,
% where avg = (|f(t)| + |f(t-1)|)/2 and f is log lik.
% threshold defaults to 1e-4.

if nargin < 3
threshold = 1e-4;
end

converged = 0;
decrease = 0;

if loglik – previous_loglik < -1e-3 % allow for a little imprecision
fprintf(1, ‘******likelihood decreased from %6.4f to %6.4f!\n’, previous_loglik, loglik);
decrease = 1;
end

% The following stopping criterion is from Numerical Recipes in C p423
delta_loglik = abs(loglik – previous_loglik);
avg_loglik = (abs(loglik) + abs(previous_loglik) + eps)/2;
if (delta_loglik / avg_loglik) < threshold, converged = 1; end
——-

fwdback.m

——-

function [alpha, beta, gamma, loglik, xi_summed, gamma2] = fwdback(init_state_distrib, …
transmat, obslik, varargin)
% FWDBACK Compute the posterior probs. in an HMM using the forwards backwards algo.
%
% [alpha, beta, gamma, loglik, xi, gamma2] = fwdback(init_state_distrib, transmat, obslik, …)
%
% Notation:
% Y(t) = observation, Q(t) = hidden state, M(t) = mixture variable (for MOG outputs)
% A(t) = discrete input (action) (for POMDP models)
%
% INPUT:
% init_state_distrib(i) = Pr(Q(1) = i)
% transmat(i,j) = Pr(Q(t) = j | Q(t-1)=i)
% or transmat{a}(i,j) = Pr(Q(t) = j | Q(t-1)=i, A(t-1)=a) if there are discrete inputs
% obslik(i,t) = Pr(Y(t)| Q(t)=i)
% (Compute obslik using eval_pdf_xxx on your data sequence first.)
%
% Optional parameters may be passed as ‘param_name’, param_value pairs.
% Parameter names are shown below; default values in [] – if none, argument is mandatory.
%
% For HMMs with MOG outputs: if you want to compute gamma2, you must specify
% ‘obslik2′ – obslik(i,j,t) = Pr(Y(t)| Q(t)=i,M(t)=j) []
% ‘mixmat’ – mixmat(i,j) = Pr(M(t) = j | Q(t)=i) []
% or mixmat{t}(m,q) if not stationary
%
% For HMMs with discrete inputs:
% ‘a(chǎn)ct’ – act(t) = action performed at step t
%
% Optional arguments:
% ‘fwd_only’ – if 1, only do a forwards pass and set beta=[], gamma2=[] [0]
% ‘scaled’ – if 1, normalize alphas and betas to prevent underflow [1]
% ‘maximize’ – if 1, use max-product instead of sum-product [0]
%
% OUTPUTS:
% alpha(i,t) = p(Q(t)=i | y(1:t)) (or p(Q(t)=i, y(1:t)) if scaled=0)
% beta(i,t) = p(y(t+1:T) | Q(t)=i)*p(y(t+1:T)|y(1:t)) (or p(y(t+1:T) | Q(t)=i) if scaled=0)
% gamma(i,t) = p(Q(t)=i | y(1:T))
% loglik = log p(y(1:T))
% xi(i,j,t-1) = p(Q(t-1)=i, Q(t)=j | y(1:T)) – NO LONGER COMPUTED
% xi_summed(i,j) = sum_{t=}^{T-1} xi(i,j,t) – changed made by Herbert Jaeger
% gamma2(j,k,t) = p(Q(t)=j, M(t)=k | y(1:T)) (only for MOG outputs)
%
% If fwd_only = 1, these become
% alpha(i,t) = p(Q(t)=i | y(1:t))
% beta = []
% gamma(i,t) = p(Q(t)=i | y(1:t))
% xi(i,j,t-1) = p(Q(t-1)=i, Q(t)=j | y(1:t))
% gamma2 = []
%
% Note: we only compute xi if it is requested as a return argument, since it can be very large.
% Similarly, we only compute gamma2 on request (and if using MOG outputs).
%
% Examples:
%
% [alpha, beta, gamma, loglik] = fwdback(pi, A, multinomial_prob(sequence, B));
%
% [B, B2] = mixgauss_prob(data, mu, Sigma, mixmat);
% [alpha, beta, gamma, loglik, xi, gamma2] = fwdback(pi, A, B, ‘obslik2′, B2, ‘mixmat’, mixmat);

if 0 % nargout >= 5
warning(‘this now returns sum_t xi(i,j,t) not xi(i,j,t)’)
end

if nargout >= 5, compute_xi = 1; else compute_xi = 0; end
if nargout >= 6, compute_gamma2 = 1; else compute_gamma2 = 0; end

[obslik2, mixmat, fwd_only, scaled, act, maximize, compute_xi, compute_gamma2] = …
process_options(varargin, …
‘obslik2′, [], ‘mixmat’, [], …
‘fwd_only’, 0, ‘scaled’, 1, ‘a(chǎn)ct’, [], ‘maximize’, 0, …
‘compute_xi’, compute_xi, ‘compute_gamma2′, compute_gamma2);

[Q T] = size(obslik);

if isempty(obslik2)
compute_gamma2 = 0;
end

if isempty(act)
act = ones(1,T);
transmat = { transmat } ;
end

scale = ones(1,T);

% scale(t) = Pr(O(t) | O(1:t-1)) = 1/c(t) as defined by Rabiner (1989).
% Hence prod_t scale(t) = Pr(O(1)) Pr(O(2)|O(1)) Pr(O(3) | O(1:2)) … = Pr(O(1), … ,O(T))
% or log P = sum_t log scale(t).
% Rabiner suggests multiplying beta(t) by scale(t), but we can instead
% normalise beta(t) – the constants will cancel when we compute gamma.

loglik = 0;

alpha = zeros(Q,T);
gamma = zeros(Q,T);
if compute_xi
xi_summed = zeros(Q,Q);
else
xi_summed = [];
end

%%%%%%%%% Forwards %%%%%%%%%%

t = 1;
alpha(:,1) = init_state_distrib(:) .* obslik(:,t);
if scaled
%[alpha(:,t), scale(t)] = normaliseC(alpha(:,t));
[alpha(:,t), scale(t)] = normalise(alpha(:,t));
end
%assert(approxeq(sum(alpha(:,t)),1))
for t=2:T
%trans = transmat(:,:,act(t-1))’;
trans = transmat{act(t-1)};
if maximize
m = max_mult(trans’, alpha(:,t-1));
%A = repmat(alpha(:,t-1), [1 Q]);
%m = max(trans .* A, [], 1);
else
m = trans’ * alpha(:,t-1);
end
alpha(:,t) = m(:) .* obslik(:,t);
if scaled
%[alpha(:,t), scale(t)] = normaliseC(alpha(:,t));
[alpha(:,t), scale(t)] = normalise(alpha(:,t));
end
if compute_xi & fwd_only % useful for online EM
%xi(:,:,t-1) = normaliseC((alpha(:,t-1) * obslik(:,t)’) .* trans);
xi_summed = xi_summed + normalise((alpha(:,t-1) * obslik(:,t)’) .* trans);
end
%assert(approxeq(sum(alpha(:,t)),1))
end
if scaled
if any(scale==0)
loglik = -inf;
else
loglik = sum(log(scale));
end
else
loglik = log(sum(alpha(:,T)));
end

if fwd_only
gamma = alpha;
beta = [];
gamma2 = [];
return;
end

%%%%%%%%% Backwards %%%%%%%%%%

beta = zeros(Q,T);
if compute_gamma2
if iscell(mixmat)
M = size(mixmat{1},2);
else
M = size(mixmat, 2);
end
gamma2 = zeros(Q,M,T);
else
gamma2 = [];
end

beta(:,T) = ones(Q,1);
%gamma(:,T) = normaliseC(alpha(:,T) .* beta(:,T));
gamma(:,T) = normalise(alpha(:,T) .* beta(:,T));
t=T;
if compute_gamma2
denom = obslik(:,t) + (obslik(:,t)==0); % replace 0s with 1s before dividing
if iscell(mixmat)
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat{t} .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
else
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
end
%gamma2(:,:,t) = normaliseC(obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M])); % wrong!
end
for t=T-1:-1:1
b = beta(:,t+1) .* obslik(:,t+1);
%trans = transmat(:,:,act(t));
trans = transmat{act(t)};
if maximize
B = repmat(b(:)’, Q, 1);
beta(:,t) = max(trans .* B, [], 2);
else
beta(:,t) = trans * b;
end
if scaled
%beta(:,t) = normaliseC(beta(:,t));
beta(:,t) = normalise(beta(:,t));
end
%gamma(:,t) = normaliseC(alpha(:,t) .* beta(:,t));
gamma(:,t) = normalise(alpha(:,t) .* beta(:,t));
if compute_xi
%xi(:,:,t) = normaliseC((trans .* (alpha(:,t) * b’)));
xi_summed = xi_summed + normalise((trans .* (alpha(:,t) * b’)));
end
if compute_gamma2
denom = obslik(:,t) + (obslik(:,t)==0); % replace 0s with 1s before dividing
if iscell(mixmat)
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat{t} .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
else
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
end
%gamma2(:,:,t) = normaliseC(obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]));
end
end

mk_stochastic.m

——-

function CPT = mk_stochastic(CPT)
% MK_STOCHASTIC Make a matrix stochastic, i.e., the sum over the last dimension is 1.
% T = mk_stochastic(T)
%
% If T is a vector, it will be normalized.
% If T is a matrix, each row will sum to 1.
% If T is e.g., a 3D array, then sum_k T(i,j,k) = 1 for all i,j.

if isvec(CPT)
CPT = normalise(CPT);
else
n = ndims(CPT);
% Copy the normalizer plane for each i.
normalizer = sum(CPT, n);
normalizer = repmat(normalizer, [ones(1,n-1) size(CPT,n)]);
% Set zeros to 1 before dividing
% This is valid since normalizer(i) = 0 iff CPT(i) = 0
normalizer = normalizer + (normalizer==0);
CPT = CPT ./ normalizer;
end

%%%%%%%
function p = isvec(v)

s=size(v);
if ndims(v)<=2 & (s(1) == 1 | s(2) == 1)
p = 1;
else
p = 0;
end
——–

multinomial_prob.m

——–

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% 已知：觀察序列data和觀察值概率矩陣obsmat
% 求解：條件概率矩陣B
function B = eval_pdf_cond_multinomial(data, obsmat)
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% EVAL_PDF_COND_MULTINOMIAL Evaluate pdf of conditional multinomial
% function B = eval_pdf_cond_multinomial(data, obsmat)
% From the MIT-toolbox by Kevin Murphy, 2003.
% Notation: Y = observation (O values), Q = conditioning variable (K values)
%
% Inputs:
% data(t) = t’th observation – must be an integer in {1,2,…,K}: cannot be 0!
% obsmat(i,o) = Pr(Y(t)=o | Q(t)=i)
%
% Output:
% B(i,t) = Pr(y(t) | Q(t)=i)

[Q O] = size(obsmat);
T = prod(size(data)); % length(data);
B = zeros(Q,T);

for t=1:T
B(:,t) = obsmat(:, data(t));
end
—–

normalise.m

—–

function [M, c] = normalise(M)
% NORMALISE Make the entries of a (multidimensional) array sum to 1
% [M, c] = normalise(M)

c = sum(M(:));
% Set any zeros to one before dividing
d = c + (c==0);
M = M / d;

%if c==0
% tiny = exp(-700);
% M = M / (c+tiny);
%else
% M = M / (c);
%end
——

process_options.m

——

% PROCESS_OPTIONS – Processes options passed to a Matlab function.
%                   This function provides a simple means of
%                   parsing attribute-value options. Each option is
%                   named by a unique string and is given a default
%                   value.
%
% Usage: [var1, var2, ..., varn[, unused]] = …
%           process_options(args, …
%                           str1, def1, str2, def2, …, strn, defn)
%
% Arguments:
%            args            – a cell array of input arguments, such
%                              as that provided by VARARGIN. Its contents
%                              should alternate between strings and
%                              values.
%            str1, …, strn – Strings that are associated with a
%                              particular variable
%            def1, …, defn – Default values returned if no option
%                              is supplied
%
% Returns:
%            var1, …, varn – values to be assigned to variables
%            unused          – an optional cell array of those
%                              string-value pairs that were unused;
%                              if this is not supplied, then a
%                              warning will be issued for each
%                              option in args that lacked a match.
%
% Examples:
%
% Suppose we wish to define a Matlab function ‘func’ that has
% required parameters x and y, and optional arguments ‘u’ and ‘v’.
% With the definition
%
%   function y = func(x, y, varargin)
%
%     [u, v] = process_options(varargin, ‘u’, 0, ‘v’, 1);
%
% calling func(0, 1, ‘v’, 2) will assign 0 to x, 1 to y, 0 to u, and 2
% to v. The parameter names are insensitive to case; calling
% func(0, 1, ‘V’, 2) has the same effect. The function call
%
%   func(0, 1, ‘u’, 5, ‘z’, 2);
%
% will result in u having the value 5 and v having value 1, but
% will issue a warning that the ‘z’ option has not been used. On
% the other hand, if func is defined as
%
%   function y = func(x, y, varargin)
%
%     [u, v, unused_args] = process_options(varargin, ‘u’, 0, ‘v’, 1);
%
% then the call func(0, 1, ‘u’, 5, ‘z’, 2) will yield no warning,
% and unused_args will have the value {‘z’, 2}. This behaviour is
% useful for functions with options that invoke other functions
% with options; all options can be passed to the outer function and
% its unprocessed arguments can be passed to the inner function.

% Copyright (C) 2002 Mark A. Paskin
%
% 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.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

function [varargout] = process_options(args, varargin)

% Check the number of input arguments
n = length(varargin);
if (mod(n, 2))
error(‘Each option must be a string/value pair.’);
end

% Check the number of supplied output arguments
if (nargout < (n / 2))
error(‘Insufficient number of output arguments given’);
elseif (nargout == (n / 2))
warn = 1;
nout = n / 2;
else
warn = 0;
nout = n / 2 + 1;
end

% Set outputs to be defaults
varargout = cell(1, nout);
for i=2:2:n
varargout{i/2} = varargin{i};
end

% Now process all arguments
nunused = 0;
for i=1:2:length(args)
found = 0;
for j=1:2:n
if strcmpi(args{i}, varargin{j})
varargout{(j + 1)/2} = args{i + 1};
found = 1;
break;
end
end
if (~found)
if (warn)
warning(sprintf(‘Option ”%s” not used.’, args{i}));
args{i}
else
nunused = nunused + 1;
unused{2 * nunused – 1} = args{i};
unused{2 * nunused} = args{i + 1};
end
end
end

% Assign the unused arguments
if (~warn)
if (nunused)
varargout{nout} = unused;
else
varargout{nout} = cell(0);
end
end
——

viterbi_path.m

——

function [path, loglik] = viterbi_path(prior, transmat, obsmat)
% VITERBI Find the most-probable (Viterbi) path through the HMM state trellis.
% path = viterbi(prior, transmat, obsmat)
%
% Inputs:
% prior(i) = Pr(Q(1) = i)
% transmat(i,j) = Pr(Q(t+1)=j | Q(t)=i)
% obsmat(i,t) = Pr(y(t) | Q(t)=i)
%
% Outputs:
% path(t) = q(t), where q1 … qT is the argmax of the above expression.
% delta(j,t) = prob. of the best sequence of length t-1 and then going to state j, and O(1:t)
% psi(j,t) = the best predecessor state, given that we ended up in state j at t

scaled = 1;

T = size(obsmat, 2);
prior = prior(:);
Q = length(prior);

delta = zeros(Q,T);
psi = zeros(Q,T);
path = zeros(1,T);
scale = ones(1,T);
t=1;
delta(:,t) = prior .* obsmat(:,t);
if scaled
[delta(:,t), n] = normalise(delta(:,t));
scale(t) = 1/n;
end
psi(:,t) = 0; % arbitrary value, since there is no predecessor to t=1
for t=2:T
for j=1:Q
[delta(j,t), psi(j,t)] = max(delta(:,t-1) .* transmat(:,j));
delta(j,t) = delta(j,t) * obsmat(j,t);
end
if scaled
[delta(:,t), n] = normalise(delta(:,t));
scale(t) = 1/n;
end
end
[p, path(T)] = max(delta(:,T));
for t=T-1:-1:1
path(t) = psi(path(t+1),t+1);
end

% loglik = log p.
% If scaled==0, p = prob_path(best_path)
% If scaled==1, p = Pr(replace sum with max and proceed as in the scaled forwards algo)
% loglik computed by the two methods will be different, but the best path will be the same.

if scaled
loglik = -sum(log(scale));
%loglik = prob_path(prior, transmat, obsmat, path);
else
loglik = log(p);
end
——-

測(cè)試類：

HMMsample.m

——-

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% ①定義一個(gè)HMM并訓(xùn)練這個(gè)HMM,。
% ②用一組觀察值測(cè)試這個(gè)HMM,，計(jì)算該組觀察值域HMM的匹配度,。
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% O：觀察狀態(tài)數(shù)
O = 3;
% Q：HMM狀態(tài)數(shù)
Q = 4;
%訓(xùn)練的數(shù)據(jù)集,每一行數(shù)據(jù)就是一組訓(xùn)練的觀察值
data=[1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;
1,2,3,1,2,2,1,2,3,1,2,3,1;]

% initial guess of parameters
% 初始化參數(shù)
prior1 = normalise(rand(Q,1));
transmat1 = mk_stochastic(rand(Q,Q));
obsmat1 = mk_stochastic(rand(Q,O));

% improve guess of parameters using EM
% 用data數(shù)據(jù)集訓(xùn)練參數(shù)矩陣形成新的HMM模型
[LL, prior2, transmat2, obsmat2] = dhmm_em(data, prior1, transmat1, obsmat1, ‘max_iter’, size(data,1));
% 訓(xùn)練后那行觀察值與HMM匹配度
LL
% 訓(xùn)練后的初始概率分布
prior2
% 訓(xùn)練后的狀態(tài)轉(zhuǎn)移概率矩陣
transmat2
% 觀察值概率矩陣
obsmat2

% use model to compute log likelihood
data1=[1,2,3,1,2,2,1,2,3,1,2,3,1]
loglik = dhmm_logprob(data1, prior2, transmat2, obsmat2)
% log lik is slightly different than LL(end), since it is computed after the final M step
% loglik 代表著data和這個(gè)hmm(三參數(shù)為prior2, transmat2, obsmat2)的匹配值,，越大說明越匹配，0為極大值,。

% path為viterbi算法的結(jié)果,，即最大概率path
B = multinomial_prob(data1,obsmat2);
path = viterbi_path(prior2, transmat2, B)
save(‘sa.mat’);

——

運(yùn)行結(jié)果

——

data =

1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1
1     2     3     1     2     2     1     2     3     1     2     3     1

iteration 1, loglik = -145.133619
iteration 2, loglik = -129.152758
iteration 3, loglik = -121.983369
iteration 4, loglik = -108.932612
iteration 5, loglik = -75.882159
iteration 6, loglik = -36.882898
iteration 7, loglik = -24.678418
iteration 8, loglik = -22.670350
iteration 9, loglik = -22.494931
iteration 10, loglik = -22.493406

LL =

Columns 1 through 9

-145.1336 -129.1528 -121.9834 -108.9326 -75.8822 -36.8829 -24.6784 -22.6704 -22.4949

Column 10

-22.4934
prior2 =

0.0000
0.0000
1.0000
0.0000
transmat2 =

0.0000    0.0000    0.0000    1.0000
0.0000    0.0000    0.0000    1.0000
0.9537    0.0463    0.0000    0.0000
0.0000    0.0000    1.0000    0.0000
obsmat2 =

0.0000    1.0000    0.0000
0.0000    1.0000    0.0000
1.0000    0.0000    0.0000
0.0000    0.2500    0.7500
data1 =

1 2 3 1 2 2 1 2 3 1 2 3 1
loglik =

-2.2493
path =

3 1 4 3 1 4 3 1 4 3 1 4 3

這個(gè)是我整理好的1維HMM代碼，大家可以找個(gè)HMM說明看看,。就能了解這個(gè)HMM的實(shí)現(xiàn),。

希望對(duì)各位博友有幫助。

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