EM_MVGM

Fast implementation of EM algorithm for multivariate gaussian mixture

Description

Mex implementation of EM algorithm for multivariate Gaussian mixture. Multiple data/initial parameters are allowed by ND slices definition

 em_mvgm : Expectation-Maximization algorithm for Multivariate Gaussian Mixtures

 Usage
 -------

 [logl , M , S , P] = em_mvgm(Z , M0 , S0 , P0 , [nbite]);

 Inputs
 -------

 Z Measurements (m x K x [n1] x ... x [nl])
 M0 Initial mean vector. M0 can be (m x 1 x p x [v1] x ... x [vr])
 S0 Initial covariance matrix. S0 can be (m x m x p x [v1] x ... x [vr])
 P0 Initial mixture probabilities (1 x 1 x p) : P0 can be (1 x 1 x d x [v1] x ... x [vr])
 nbite Number of iteration (default = 10)

 Outputs
 -------

 logl Final loglikelihood (n1 x ... x nl x v1 x ... x vr)
 M Estimated mean vector (d x 1 x p x n1 x ... x nl v1 x ... x vr)
 S Estimated covariance vector (d x d x p x n1 x ... x nl v1 x ... x vr)
 P Estimated initial probabilities (1 x 1 x p x n1 x ... x nl v1 x ... x vr)

Please run mexme_em_mvgm for compile mex file on your own systems.

Run test_em_mvgm.m for a demo

Acknowledgements

Fast Nd Multidimensional Gaussian Mixture Random Generator inspired this file.

• MATLAB release: MATLAB 7.5 (R2007b)
• Other requirements: A C compiler

[Gayathri]

Works like charm after running the mex compilation code and the test program included. Will post more comments after checking the correctness of the program.

[Florian]

Hi,

thank you very much for the fast reply!

Unfortunately I still get NaNs in all elements of the em_ghmm results (command: [logl , PIest , Aest , Mest , Sest] = em_ghmm(Ztrain , PI0 , A0 , M0 , S0 , options);).

Maybe these information are also useful:
I needed to add

#define max(a,b) ( (a) >= (b) ? (a) : (b) )

in some of the files (also in em_ghmm.c) to overcome the error

undefined reference to `max'

With this addition, everything compiles fine, with a warning when I compile ndellipse.c:

ndellipse.c:138: warning: assignment discards qualifiers from pointer target type
ndellipse.c:165: warning: assignment discards qualifiers from pointer target type
ndellipse.c:205: warning: assignment discards qualifiers from pointer target type

But as far I can see, the ndellipse function is not used until the first call of em_ghmm in the fest file test_em_ghmm.m.

[Sebastien PARIS]

Have you tried by recompiling as this script below ?

echo on
mex em_ghmm.c
mex -Dbetanormalize forward_backward.c
mex likelihood_mvgm.c
mex ndellipse.c
mex -DranSHR3 sample_ghmm.c
echo off

Never tried on 64 bits system

[Florian]

I am using R2008a on a 64bit machine under Linux. I made the files compile, but unfortunately, when I run the test_em_mvgm.m, I get NaN as results of the em_mvgm-function. Do I have to set specific options when compiling the files? Did anyone else have similar problems and solve this problem?

[Sebastien PARIS]

Please recompile the mex-File by following command :

mex -output em_mvgm.dll em_mvgm.c

[Scott Miller]

Hmm. Seems to crash my machine after the first pause with a minidump. I'm running 2007b

[Dimitri Shvorob]

How is your implementation different from
http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=8636&objectType=file
apart from yours being in C rather than Matlab?