www.pudn.com > HMM1.zip > fwdback_xi.m
function [alpha, beta, gamma, loglik, xi, gamma2] = fwdback_xi(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) []
%
% For HMMs with discrete inputs:
% 'act' - 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))
% 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 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, 'act', [], '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 = zeros(Q,Q,T-1);
else
xi = [];
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
if scaled, assert(approxeq(sum(alpha(:,t)),1)), end
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(:,:,t-1) = normalise((alpha(:,t-1) * obslik(:,t)') .* trans);
end
if scaled, assert(approxeq(sum(alpha(:,t)),1)), end
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
M = size(mixmat, 2);
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
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
%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(:,:,t) = normalise((trans .* (alpha(:,t) * b')));
%xi(:,:,t) = (trans .* (alpha(:,t) * b'));
end
if compute_gamma2
denom = obslik(:,t) + (obslik(:,t)==0); % replace 0s with 1s before dividing
gamma2(:,:,t) = obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]) ./ repmat(denom, [1 M]);
%gamma2(:,:,t) = normaliseC(obslik2(:,:,t) .* mixmat .* repmat(gamma(:,t), [1 M]));
end
end
% We now explain the equation for gamma2
% Let zt=y(1:t-1,t+1:T) be all observations except y(t)
% gamma2(Q,M,t) = P(Qt,Mt|yt,zt) = P(yt|Qt,Mt,zt) P(Qt,Mt|zt) / P(yt|zt)
% = P(yt|Qt,Mt) P(Mt|Qt) P(Qt|zt) / P(yt|zt)
% Now gamma(Q,t) = P(Qt|yt,zt) = P(yt|Qt) P(Qt|zt) / P(yt|zt)
% hence
% P(Qt,Mt|yt,zt) = P(yt|Qt,Mt) P(Mt|Qt) [P(Qt|yt,zt) P(yt|zt) / P(yt|Qt)] / P(yt|zt)
% = P(yt|Qt,Mt) P(Mt|Qt) P(Qt|yt,zt) / P(yt|Qt)
%