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gaussmixd

PURPOSE ^

GAUSSMIXD marginal and conditional Gaussian mixture densities

SYNOPSIS ^

function [mz,vz,wz]=gaussmixd(y,m,v,w,a,b,f,g)

DESCRIPTION ^

GAUSSMIXD marginal and conditional Gaussian mixture densities

 Usage: (1) [mz,vz,wz]=gaussmixd(y,m,v,w); % If {m,v,w} has dimension p, then y specifies
                                           % elements 1:q and {mz,vz,wz} is a GMM for elements q+1:p
        (2) [mz,vz,wz]=gaussmixd(y,m,v,w,[],[1 3 4]);    % y specifies elements 1,3,4 and {mz,vz,wz}
                                                       % is a GMM for the remaining elements

 Inputs: Input mixture: k mixtures, p dimensions
         Output mixture: k mixtures, r dimensions
         Conditioning data: n data values, q dimensions

   Y(n,q) = conditioning input data: x*a'+ b'= y
   M(k,p) = mixture means for x(p)
   V(k,p) or V(p,p,k) variances (diagonal or full)
   W(k,1) = mixture weights
   A(q,p) = conditioning transformation: y=x*A'+ B' (where y and x are row vectors).
   B(q,1)   If A is omitted or null, y=x*I(B,:)' where I is the identity matrix.
            If B is also omitted or null, y=x*I(1:q,:)'.
   F(r,p) = output transformation z = x*F'+G'  (where z and x are row vectors).
   G(r,1)   If F is omitted or null, z = x*f' where I is the identity matrix.
            If G is also omitted or null, z=x*I(q+1:p,:)' or, if A was also null,
            the complement of y.

 Outputs (if 1 or 2 outputs specified):

   MZ(n,r) = Global mean of z for each y
   VZ(r,r,n) Global full covariances of z (now dependent on y)

 Outputs (if 3 outputs specified):

   MZ(k,r,n) = mixture means of z for each y
   VZ(k,r) or VZ(r,r,k) variances of z (diagonal or full); surprisingly it is independent of y
   WZ(n,k)

 The output mixture covariances will be diagonal if either r=1 or else the following three
 conditions are all true:
  (a) the input mixture covariances are diagonal and
  (b) matrix A has at most one non-zero element in any row or column and
  (c) matrix F has at most one non-zero element in any column

 Several of the output variables can be squeezed if r=1 but this is not done automatically.

 This routine can be used for inference: if you train a GMM on p-dimensional data
 then, if y(n,q) contains observations of the first q components, then z=gaussmixd(y,m,v,w)
 will return the estimated values of the remaining p-q components.

 See also: gaussmix, gaussmixg, gaussmixp, randvec

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 function [mz,vz,wz]=gaussmixd(y,m,v,w,a,b,f,g)
0002 %GAUSSMIXD marginal and conditional Gaussian mixture densities
0003 %
0004 % Usage: (1) [mz,vz,wz]=gaussmixd(y,m,v,w); % If {m,v,w} has dimension p, then y specifies
0005 %                                           % elements 1:q and {mz,vz,wz} is a GMM for elements q+1:p
0006 %        (2) [mz,vz,wz]=gaussmixd(y,m,v,w,[],[1 3 4]);    % y specifies elements 1,3,4 and {mz,vz,wz}
0007 %                                                       % is a GMM for the remaining elements
0008 %
0009 % Inputs: Input mixture: k mixtures, p dimensions
0010 %         Output mixture: k mixtures, r dimensions
0011 %         Conditioning data: n data values, q dimensions
0012 %
0013 %   Y(n,q) = conditioning input data: x*a'+ b'= y
0014 %   M(k,p) = mixture means for x(p)
0015 %   V(k,p) or V(p,p,k) variances (diagonal or full)
0016 %   W(k,1) = mixture weights
0017 %   A(q,p) = conditioning transformation: y=x*A'+ B' (where y and x are row vectors).
0018 %   B(q,1)   If A is omitted or null, y=x*I(B,:)' where I is the identity matrix.
0019 %            If B is also omitted or null, y=x*I(1:q,:)'.
0020 %   F(r,p) = output transformation z = x*F'+G'  (where z and x are row vectors).
0021 %   G(r,1)   If F is omitted or null, z = x*f' where I is the identity matrix.
0022 %            If G is also omitted or null, z=x*I(q+1:p,:)' or, if A was also null,
0023 %            the complement of y.
0024 %
0025 % Outputs (if 1 or 2 outputs specified):
0026 %
0027 %   MZ(n,r) = Global mean of z for each y
0028 %   VZ(r,r,n) Global full covariances of z (now dependent on y)
0029 %
0030 % Outputs (if 3 outputs specified):
0031 %
0032 %   MZ(k,r,n) = mixture means of z for each y
0033 %   VZ(k,r) or VZ(r,r,k) variances of z (diagonal or full); surprisingly it is independent of y
0034 %   WZ(n,k)
0035 %
0036 % The output mixture covariances will be diagonal if either r=1 or else the following three
0037 % conditions are all true:
0038 %  (a) the input mixture covariances are diagonal and
0039 %  (b) matrix A has at most one non-zero element in any row or column and
0040 %  (c) matrix F has at most one non-zero element in any column
0041 %
0042 % Several of the output variables can be squeezed if r=1 but this is not done automatically.
0043 %
0044 % This routine can be used for inference: if you train a GMM on p-dimensional data
0045 % then, if y(n,q) contains observations of the first q components, then z=gaussmixd(y,m,v,w)
0046 % will return the estimated values of the remaining p-q components.
0047 %
0048 % See also: gaussmix, gaussmixg, gaussmixp, randvec
0049 
0050 %      Copyright (C) Mike Brookes 2000-2012
0051 %      Version: $Id: gaussmixd.m 7784 2016-04-15 11:09:50Z dmb $
0052 %
0053 %   VOICEBOX is a MATLAB toolbox for speech processing.
0054 %   Home page: http://www.ee.ic.ac.uk/hp/staff/dmb/voicebox/voicebox.html
0055 %
0056 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0057 %   This program is free software; you can redistribute it and/or modify
0058 %   it under the terms of the GNU General Public License as published by
0059 %   the Free Software Foundation; either version 2 of the License, or
0060 %   (at your option) any later version.
0061 %
0062 %   This program is distributed in the hope that it will be useful,
0063 %   but WITHOUT ANY WARRANTY; without even the implied warranty of
0064 %   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0065 %   GNU General Public License for more details.
0066 %
0067 %   You can obtain a copy of the GNU General Public License from
0068 %   http://www.gnu.org/copyleft/gpl.html or by writing to
0069 %   Free Software Foundation, Inc.,675 Mass Ave, Cambridge, MA 02139, USA.
0070 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0071 
0072 [n,q]=size(y);
0073 [k,p]=size(m);
0074 % We set fv=1 if input V contains full covariance matrices with dimensions V(r,r,k).
0075 % This is true either if V has >2 dimensions or V=V(r,r) and r>k
0076 fv=ndims(v)>2 || size(v,1)>k; % full covariance matrix is supplied
0077 anull=nargin<5 || isempty(a); % no A matrix specified
0078 if anull
0079     a=eye(p);
0080     if nargin<6 || isempty(b)
0081         b=1:q;
0082     end
0083     a=a(b,:);
0084     b0=b;  % save row selection
0085     b=zeros(q,1);
0086 elseif nargin<6 || isempty(b)
0087     b=zeros(q,1);
0088 end
0089 if nargin<7 || isempty(f)
0090     f=eye(p);
0091     if nargin<8 || isempty(g)
0092         if anull
0093             f(b0,:)=[];
0094         else
0095             f=f(q+1:end,:);
0096         end
0097     else
0098         f=f(g,:);  % G selects the output variables
0099     end
0100     r=size(f,1);
0101     g=zeros(r,1);
0102 elseif nargin<8 || isempty(g)
0103     r=size(f,1);
0104     g=zeros(r,1);
0105 else
0106     r=size(f,1);
0107 end
0108 
0109 yb=y-repmat(b',n,1);                 % remove the b term
0110 [lp,wz]=gaussmixp(yb,m,v,w,a);     % find mixture weights
0111 mz=zeros(n,r,k);
0112 ma=a~=0;                            % check for sparse a and f matrices (common case)
0113 mf=f~=0;
0114 % We set dvo=1 if the output mixture covariances are structurally
0115 % diagonal. This is the case if either:
0116 % (1) r=1 since in this case they are scalar values, or else
0117 % (2) the following three conditions are all true:
0118 %     (a) the input mixture covariances are diagonal and
0119 %     (b) matrix A has at most one non-zero element in any row or column and
0120 %     (c) matrix F has at most one non-zero element in any column
0121 dvo=r==1 || (~fv && all(sum(ma,1)<=1) && all(sum(ma,2)<=1) && all(sum(mf,1)<=1));
0122 if dvo    % structurally diagonal output covariances
0123     vz=zeros(k,r); % diagonal output variances (one row per mixture) independent of y
0124     for i=1:k                               % loop for each mixture
0125         if fv
0126             vi=v(:,:,i);
0127         else
0128             vi=diag(v(i,:));                % convert to full covariance matrices
0129         end
0130         hi=vi*a'/(a*vi*a');                 % regression coefficient matrix (p#q]
0131         vz(i,:)=diag(f*(vi-hi*a*vi)*f')';   % variance of z (independent of y)
0132         mi=m(i,:);                          % input mean for mixure i
0133         m0=(mi-mi*a'*hi')*f'+g';            % y-independent part of mean
0134         mz(:,:,i)=(repmat(m0,n,1)+yb*hi'*f'); % mean for each y
0135     end
0136 else
0137     vz=zeros(r,r,k);
0138     for i=1:k                               % loop for each mixture
0139         if fv
0140             vi=v(:,:,i);
0141         else
0142             vi=diag(v(i,:));                % convert to full covariance matrices
0143         end
0144         hi=vi*a'/(a*vi*a');                 % regression coefficient matrix (p#q]
0145         vz(:,:,i)=f*(vi-hi*a*vi)*f';        % variance of z (independent of y)
0146         mi=m(i,:);                          % input mean for mixure i
0147         m0=(mi-mi*a'*hi')*f'+g';            % y-independent part of mean
0148         mz(:,:,i)=(repmat(m0,n,1)+yb*hi'*f'); % mean for each y
0149     end
0150 end
0151 if nargout<3
0152     mt=reshape(sum(reshape(mz,n*r,k).*repmat(wz,r,1),2),n,r);       % global mean
0153     if nargout>1        % need to calculate global variance as well
0154         %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0155         % We calculate the global covariance by adding up the weighted mixture
0156         % covariances corrected for the fact that the mixture mean does not equal
0157         % the global mean.
0158         % To save calculations, we calculate only the lower triangle of the
0159         % symmetric covariance matrix and then expand it at the end into a full matrix.
0160         %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0161         rl=r*(r+1)/2;   % number of elements in lower triangular covariance matrix
0162         lix=1:r^2;
0163         cix=repmat(1:r,r,1);
0164         rix=cix';
0165         lix(cix>rix)=[];                                        % index of lower triangular elements
0166         rlix=rix(lix);
0167         clix=cix(lix);
0168         lixi=zeros(r,r);
0169         lixi(lix)=1:rl;
0170         lixi=lixi';
0171         lixi(lix)=1:rl;                                        % reverse index to build full matrices
0172 
0173         vt=zeros(n,rl);                % reserve space for lower triangular output covariances
0174         for i=1:k
0175             if dvo
0176                 vi=diag(vz(i,:));
0177             else
0178                 vi=vz(:,:,i);
0179             end
0180             mzt=mz(:,:,i)-mt;
0181             vt=vt+repmat(wz(:,i),1,r^2).*(repmat(vi(lix),n,1)+mzt(:,rlix).*mzt(:,clix));
0182         end
0183         vz=permute(reshape(vt(:,lixi),[n,r,r]),[2 3 1]);
0184     end
0185     mz=mt;
0186 else
0187     mz=permute(mz,3:-1:1);
0188 end

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