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livetrax/libs/qm-dsp/hmm/hmm.c
Paul Davis 3deba1921b add queen mary DSP library 
git-svn-id: svn://localhost/ardour2/branches/3.0@9029 d708f5d6-7413-0410-9779-e7cbd77b26cf
2011-03-02 12:37:39 +00:00

838 lines
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/*
* hmm.c
*
* Created by Mark Levy on 12/02/2006.
* Copyright 2006 Centre for Digital Music, Queen Mary, University of London.
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. See the file
COPYING included with this distribution for more information.
*
*/
#include <stdio.h>
#include <math.h>
#include <stdlib.h>
#include <float.h>
#include <time.h> /* to seed random number generator */
#include <clapack.h> /* LAPACK for matrix inversion */
#include "maths/nan-inf.h"
#ifdef ATLAS_ORDER
#define HAVE_ATLAS 1
#endif
#ifdef HAVE_ATLAS
// Using ATLAS C interface to LAPACK
#define dgetrf_(m, n, a, lda, ipiv, info) \
clapack_dgetrf(CblasColMajor, *m, *n, a, *lda, ipiv)
#define dgetri_(n, a, lda, ipiv, work, lwork, info) \
clapack_dgetri(CblasColMajor, *n, a, *lda, ipiv)
#endif
#ifdef _MAC_OS_X
#include <vecLib/cblas.h>
#else
#include <cblas.h> /* BLAS for matrix multiplication */
#endif
#include "hmm.h"
model_t* hmm_init(double** x, int T, int L, int N)
{
int i, j, d, e, t;
double s, ss;
model_t* model;
model = (model_t*) malloc(sizeof(model_t));
model->N = N;
model->L = L;
model->p0 = (double*) malloc(N*sizeof(double));
model->a = (double**) malloc(N*sizeof(double*));
model->mu = (double**) malloc(N*sizeof(double*));
for (i = 0; i < N; i++)
{
model->a[i] = (double*) malloc(N*sizeof(double));
model->mu[i] = (double*) malloc(L*sizeof(double));
}
model->cov = (double**) malloc(L*sizeof(double*));
for (i = 0; i < L; i++)
model->cov[i] = (double*) malloc(L*sizeof(double));
srand(time(0));
double* global_mean = (double*) malloc(L*sizeof(double));
/* find global mean */
for (d = 0; d < L; d++)
{
global_mean[d] = 0;
for (t = 0; t < T; t++)
global_mean[d] += x[t][d];
global_mean[d] /= T;
}
/* calculate global diagonal covariance */
for (d = 0; d < L; d++)
{
for (e = 0; e < L; e++)
model->cov[d][e] = 0;
for (t = 0; t < T; t++)
model->cov[d][d] += (x[t][d] - global_mean[d]) * (x[t][d] - global_mean[d]);
model->cov[d][d] /= T-1;
}
/* set all means close to global mean */
for (i = 0; i < N; i++)
{
for (d = 0; d < L; d++)
{
/* add some random noise related to covariance */
/* ideally the random number would be Gaussian(0,1), as a hack we make it uniform on [-0.25,0.25] */
model->mu[i][d] = global_mean[d] + (0.5 * rand() / (double) RAND_MAX - 0.25) * sqrt(model->cov[d][d]);
}
}
/* random intial and transition probs */
s = 0;
for (i = 0; i < N; i++)
{
model->p0[i] = 1 + rand() / (double) RAND_MAX;
s += model->p0[i];
ss = 0;
for (j = 0; j < N; j++)
{
model->a[i][j] = 1 + rand() / (double) RAND_MAX;
ss += model->a[i][j];
}
for (j = 0; j < N; j++)
{
model->a[i][j] /= ss;
}
}
for (i = 0; i < N; i++)
model->p0[i] /= s;
free(global_mean);
return model;
}
void hmm_close(model_t* model)
{
int i;
for (i = 0; i < model->N; i++)
{
free(model->a[i]);
free(model->mu[i]);
}
free(model->a);
free(model->mu);
for (i = 0; i < model->L; i++)
free(model->cov[i]);
free(model->cov);
free(model);
}
void hmm_train(double** x, int T, model_t* model)
{
int i, t;
double loglik; /* overall log-likelihood at each iteration */
int N = model->N;
int L = model->L;
double* p0 = model->p0;
double** a = model->a;
double** mu = model->mu;
double** cov = model->cov;
/* allocate memory */
double** gamma = (double**) malloc(T*sizeof(double*));
double*** xi = (double***) malloc(T*sizeof(double**));
for (t = 0; t < T; t++)
{
gamma[t] = (double*) malloc(N*sizeof(double));
xi[t] = (double**) malloc(N*sizeof(double*));
for (i = 0; i < N; i++)
xi[t][i] = (double*) malloc(N*sizeof(double));
}
/* temporary memory */
double* gauss_y = (double*) malloc(L*sizeof(double));
double* gauss_z = (double*) malloc(L*sizeof(double));
/* obs probs P(j|{x}) */
double** b = (double**) malloc(T*sizeof(double*));
for (t = 0; t < T; t++)
b[t] = (double*) malloc(N*sizeof(double));
/* inverse covariance and its determinant */
double** icov = (double**) malloc(L*sizeof(double*));
for (i = 0; i < L; i++)
icov[i] = (double*) malloc(L*sizeof(double));
double detcov;
double thresh = 0.0001;
int niter = 50;
int iter = 0;
double loglik1, loglik2;
int foundnan = 0;
while (iter < niter && !foundnan && !(iter > 1 && (loglik - loglik1) < thresh * (loglik1 - loglik2)))
{
++iter;
/*
fprintf(stderr, "calculating obsprobs...\n");
fflush(stderr);
*/
/* precalculate obs probs */
invert(cov, L, icov, &detcov);
for (t = 0; t < T; t++)
{
//int allzero = 1;
for (i = 0; i < N; i++)
{
b[t][i] = exp(loggauss(x[t], L, mu[i], icov, detcov, gauss_y, gauss_z));
//if (b[t][i] != 0)
// allzero = 0;
}
/*
if (allzero)
{
printf("all the b[t][i] were zero for t = %d, correcting...\n", t);
for (i = 0; i < N; i++)
{
b[t][i] = 0.00001;
}
}
*/
}
/*
fprintf(stderr, "forwards-backwards...\n");
fflush(stderr);
*/
forward_backwards(xi, gamma, &loglik, &loglik1, &loglik2, iter, N, T, p0, a, b);
/*
fprintf(stderr, "iteration %d: loglik = %f\n", iter, loglik);
fprintf(stderr, "re-estimation...\n");
fflush(stderr);
*/
if (ISNAN(loglik)) {
foundnan = 1;
continue;
}
baum_welch(p0, a, mu, cov, N, T, L, x, xi, gamma);
/*
printf("a:\n");
for (i = 0; i < model->N; i++)
{
for (j = 0; j < model->N; j++)
printf("%f ", model->a[i][j]);
printf("\n");
}
printf("\n\n");
*/
//hmm_print(model);
}
/* deallocate memory */
for (t = 0; t < T; t++)
{
free(gamma[t]);
free(b[t]);
for (i = 0; i < N; i++)
free(xi[t][i]);
free(xi[t]);
}
free(gamma);
free(xi);
free(b);
for (i = 0; i < L; i++)
free(icov[i]);
free(icov);
free(gauss_y);
free(gauss_z);
}
void mlss_reestimate(double* p0, double** a, double** mu, double** cov, int N, int T, int L, int* q, double** x)
{
/* fit a single Gaussian to observations in each state */
/* calculate the mean observation in each state */
/* calculate the overall covariance */
/* count transitions */
/* estimate initial probs from transitions (???) */
}
void baum_welch(double* p0, double** a, double** mu, double** cov, int N, int T, int L, double** x, double*** xi, double** gamma)
{
int i, j, t;
double* sum_gamma = (double*) malloc(N*sizeof(double));
/* temporary memory */
double* u = (double*) malloc(L*L*sizeof(double));
double* yy = (double*) malloc(T*L*sizeof(double));
double* yy2 = (double*) malloc(T*L*sizeof(double));
/* re-estimate transition probs */
for (i = 0; i < N; i++)
{
sum_gamma[i] = 0;
for (t = 0; t < T-1; t++)
sum_gamma[i] += gamma[t][i];
}
for (i = 0; i < N; i++)
{
if (sum_gamma[i] == 0)
{
/* fprintf(stderr, "sum_gamma[%d] was zero...\n", i); */
}
//double s = 0;
for (j = 0; j < N; j++)
{
a[i][j] = 0;
if (sum_gamma[i] == 0.) continue;
for (t = 0; t < T-1; t++)
a[i][j] += xi[t][i][j];
//s += a[i][j];
a[i][j] /= sum_gamma[i];
}
/*
for (j = 0; j < N; j++)
{
a[i][j] /= s;
}
*/
}
/* NB: now we need to sum gamma over all t */
for (i = 0; i < N; i++)
sum_gamma[i] += gamma[T-1][i];
/* re-estimate initial probs */
for (i = 0; i < N; i++)
p0[i] = gamma[0][i];
/* re-estimate covariance */
int d, e;
double sum_sum_gamma = 0;
for (i = 0; i < N; i++)
sum_sum_gamma += sum_gamma[i];
/*
for (d = 0; d < L; d++)
{
for (e = d; e < L; e++)
{
cov[d][e] = 0;
for (t = 0; t < T; t++)
for (j = 0; j < N; j++)
cov[d][e] += gamma[t][j] * (x[t][d] - mu[j][d]) * (x[t][e] - mu[j][e]);
cov[d][e] /= sum_sum_gamma;
if (ISNAN(cov[d][e]))
{
printf("cov[%d][%d] was nan\n", d, e);
for (j = 0; j < N; j++)
for (i = 0; i < L; i++)
if (ISNAN(mu[j][i]))
printf("mu[%d][%d] was nan\n", j, i);
for (t = 0; t < T; t++)
for (j = 0; j < N; j++)
if (ISNAN(gamma[t][j]))
printf("gamma[%d][%d] was nan\n", t, j);
exit(-1);
}
}
}
for (d = 0; d < L; d++)
for (e = 0; e < d; e++)
cov[d][e] = cov[e][d];
*/
/* using BLAS */
for (d = 0; d < L; d++)
for (e = 0; e < L; e++)
cov[d][e] = 0;
for (j = 0; j < N; j++)
{
for (d = 0; d < L; d++)
for (t = 0; t < T; t++)
{
yy[d*T+t] = x[t][d] - mu[j][d];
yy2[d*T+t] = gamma[t][j] * (x[t][d] - mu[j][d]);
}
cblas_dgemm(CblasColMajor, CblasTrans, CblasNoTrans, L, L, T, 1.0, yy, T, yy2, T, 0, u, L);
for (e = 0; e < L; e++)
for (d = 0; d < L; d++)
cov[d][e] += u[e*L+d];
}
for (d = 0; d < L; d++)
for (e = 0; e < L; e++)
cov[d][e] /= T; /* sum_sum_gamma; */
//printf("sum_sum_gamma = %f\n", sum_sum_gamma); /* fine, = T IS THIS ALWAYS TRUE with pooled cov?? */
/* re-estimate means */
for (j = 0; j < N; j++)
{
for (d = 0; d < L; d++)
{
mu[j][d] = 0;
for (t = 0; t < T; t++)
mu[j][d] += gamma[t][j] * x[t][d];
mu[j][d] /= sum_gamma[j];
}
}
/* deallocate memory */
free(sum_gamma);
free(yy);
free(yy2);
free(u);
}
void forward_backwards(double*** xi, double** gamma, double* loglik, double* loglik1, double* loglik2, int iter, int N, int T, double* p0, double** a, double** b)
{
/* forwards-backwards with scaling */
int i, j, t;
double** alpha = (double**) malloc(T*sizeof(double*));
double** beta = (double**) malloc(T*sizeof(double*));
for (t = 0; t < T; t++)
{
alpha[t] = (double*) malloc(N*sizeof(double));
beta[t] = (double*) malloc(N*sizeof(double));
}
/* scaling coefficients */
double* c = (double*) malloc(T*sizeof(double));
/* calculate forward probs and scale coefficients */
c[0] = 0;
for (i = 0; i < N; i++)
{
alpha[0][i] = p0[i] * b[0][i];
c[0] += alpha[0][i];
//printf("p0[%d] = %f, b[0][%d] = %f\n", i, p0[i], i, b[0][i]);
}
c[0] = 1 / c[0];
for (i = 0; i < N; i++)
{
alpha[0][i] *= c[0];
//printf("alpha[0][%d] = %f\n", i, alpha[0][i]); /* OK agrees with Matlab */
}
*loglik1 = *loglik;
*loglik = -log(c[0]);
if (iter == 2)
*loglik2 = *loglik;
for (t = 1; t < T; t++)
{
c[t] = 0;
for (j = 0; j < N; j++)
{
alpha[t][j] = 0;
for (i = 0; i < N; i++)
alpha[t][j] += alpha[t-1][i] * a[i][j];
alpha[t][j] *= b[t][j];
c[t] += alpha[t][j];
}
/*
if (c[t] == 0)
{
printf("c[%d] = 0, going to blow up so exiting\n", t);
for (i = 0; i < N; i++)
if (b[t][i] == 0)
fprintf(stderr, "b[%d][%d] was zero\n", t, i);
fprintf(stderr, "x[t] was \n");
for (i = 0; i < L; i++)
fprintf(stderr, "%f ", x[t][i]);
fprintf(stderr, "\n\n");
exit(-1);
}
*/
c[t] = 1 / c[t];
for (j = 0; j < N; j++)
alpha[t][j] *= c[t];
//printf("c[%d] = %e\n", t, c[t]);
*loglik -= log(c[t]);
}
/* calculate backwards probs using same coefficients */
for (i = 0; i < N; i++)
beta[T-1][i] = 1;
t = T - 1;
while (1)
{
for (i = 0; i < N; i++)
beta[t][i] *= c[t];
if (t == 0)
break;
for (i = 0; i < N; i++)
{
beta[t-1][i] = 0;
for (j = 0; j < N; j++)
beta[t-1][i] += a[i][j] * b[t][j] * beta[t][j];
}
t--;
}
/*
printf("alpha:\n");
for (t = 0; t < T; t++)
{
for (i = 0; i < N; i++)
printf("%4.4e\t\t", alpha[t][i]);
printf("\n");
}
printf("\n\n");printf("beta:\n");
for (t = 0; t < T; t++)
{
for (i = 0; i < N; i++)
printf("%4.4e\t\t", beta[t][i]);
printf("\n");
}
printf("\n\n");
*/
/* calculate posterior probs */
double tot;
for (t = 0; t < T; t++)
{
tot = 0;
for (i = 0; i < N; i++)
{
gamma[t][i] = alpha[t][i] * beta[t][i];
tot += gamma[t][i];
}
for (i = 0; i < N; i++)
{
gamma[t][i] /= tot;
//printf("gamma[%d][%d] = %f\n", t, i, gamma[t][i]);
}
}
for (t = 0; t < T-1; t++)
{
tot = 0;
for (i = 0; i < N; i++)
{
for (j = 0; j < N; j++)
{
xi[t][i][j] = alpha[t][i] * a[i][j] * b[t+1][j] * beta[t+1][j];
tot += xi[t][i][j];
}
}
for (i = 0; i < N; i++)
for (j = 0; j < N; j++)
xi[t][i][j] /= tot;
}
/*
// CHECK - fine
// gamma[t][i] = \sum_j{xi[t][i][j]}
tot = 0;
for (j = 0; j < N; j++)
tot += xi[3][1][j];
printf("gamma[3][1] = %f, sum_j(xi[3][1][j]) = %f\n", gamma[3][1], tot);
*/
for (t = 0; t < T; t++)
{
free(alpha[t]);
free(beta[t]);
}
free(alpha);
free(beta);
free(c);
}
void viterbi_decode(double** x, int T, model_t* model, int* q)
{
int i, j, t;
double max;
int havemax;
int N = model->N;
int L = model->L;
double* p0 = model->p0;
double** a = model->a;
double** mu = model->mu;
double** cov = model->cov;
/* inverse covariance and its determinant */
double** icov = (double**) malloc(L*sizeof(double*));
for (i = 0; i < L; i++)
icov[i] = (double*) malloc(L*sizeof(double));
double detcov;
double** logb = (double**) malloc(T*sizeof(double*));
double** phi = (double**) malloc(T*sizeof(double*));
int** psi = (int**) malloc(T*sizeof(int*));
for (t = 0; t < T; t++)
{
logb[t] = (double*) malloc(N*sizeof(double));
phi[t] = (double*) malloc(N*sizeof(double));
psi[t] = (int*) malloc(N*sizeof(int));
}
/* temporary memory */
double* gauss_y = (double*) malloc(L*sizeof(double));
double* gauss_z = (double*) malloc(L*sizeof(double));
/* calculate observation logprobs */
invert(cov, L, icov, &detcov);
for (t = 0; t < T; t++)
for (i = 0; i < N; i++)
logb[t][i] = loggauss(x[t], L, mu[i], icov, detcov, gauss_y, gauss_z);
/* initialise */
for (i = 0; i < N; i++)
{
phi[0][i] = log(p0[i]) + logb[0][i];
psi[0][i] = 0;
}
for (t = 1; t < T; t++)
{
for (j = 0; j < N; j++)
{
max = -1000000;
havemax = 0;
psi[t][j] = 0;
for (i = 0; i < N; i++)
{
if (phi[t-1][i] + log(a[i][j]) > max || !havemax)
{
max = phi[t-1][i] + log(a[i][j]);
phi[t][j] = max + logb[t][j];
psi[t][j] = i;
havemax = 1;
}
}
}
}
/* find maximising state at time T-1 */
max = phi[T-1][0];
q[T-1] = 0;
for (i = 1; i < N; i++)
{
if (phi[T-1][i] > max)
{
max = phi[T-1][i];
q[T-1] = i;
}
}
/* track back */
t = T - 2;
while (t >= 0)
{
q[t] = psi[t+1][q[t+1]];
t--;
}
/* de-allocate memory */
for (i = 0; i < L; i++)
free(icov[i]);
free(icov);
for (t = 0; t < T; t++)
{
free(logb[t]);
free(phi[t]);
free(psi[t]);
}
free(logb);
free(phi);
free(psi);
free(gauss_y);
free(gauss_z);
}
/* invert matrix and calculate determinant using LAPACK */
void invert(double** cov, int L, double** icov, double* detcov)
{
/* copy square matrix into a vector in column-major order */
double* a = (double*) malloc(L*L*sizeof(double));
int i, j;
for(j=0; j < L; j++)
for (i=0; i < L; i++)
a[j*L+i] = cov[i][j];
int M = (int) L;
int* ipiv = (int *) malloc(L*L*sizeof(int));
int ret;
/* LU decomposition */
ret = dgetrf_(&M, &M, a, &M, ipiv, &ret); /* ret should be zero, negative if cov is singular */
if (ret < 0)
{
fprintf(stderr, "Covariance matrix was singular, couldn't invert\n");
exit(-1);
}
/* find determinant */
double det = 1;
for(i = 0; i < L; i++)
det *= a[i*L+i];
// TODO: get this to work!!! If detcov < 0 then cov is bad anyway...
/*
int sign = 1;
for (i = 0; i < L; i++)
if (ipiv[i] != i)
sign = -sign;
det *= sign;
*/
if (det < 0)
det = -det;
*detcov = det;
/* allocate required working storage */
#ifndef HAVE_ATLAS
int lwork = -1;
double lwbest = 0.0;
dgetri_(&M, a, &M, ipiv, &lwbest, &lwork, &ret);
lwork = (int) lwbest;
double* work = (double*) malloc(lwork*sizeof(double));
#endif
/* find inverse */
dgetri_(&M, a, &M, ipiv, work, &lwork, &ret);
for(j=0; j < L; j++)
for (i=0; i < L; i++)
icov[i][j] = a[j*L+i];
#ifndef HAVE_ATLAS
free(work);
#endif
free(a);
}
/* probability of multivariate Gaussian given mean, inverse and determinant of covariance */
double gauss(double* x, int L, double* mu, double** icov, double detcov, double* y, double* z)
{
int i, j;
double s = 0;
for (i = 0; i < L; i++)
y[i] = x[i] - mu[i];
for (i = 0; i < L; i++)
{
//z[i] = 0;
//for (j = 0; j < L; j++)
// z[i] += icov[i][j] * y[j];
z[i] = cblas_ddot(L, &icov[i][0], 1, y, 1);
}
s = cblas_ddot(L, z, 1, y, 1);
//for (i = 0; i < L; i++)
// s += z[i] * y[i];
return exp(-s/2.0) / (pow(2*PI, L/2.0) * sqrt(detcov));
}
/* log probability of multivariate Gaussian given mean, inverse and determinant of covariance */
double loggauss(double* x, int L, double* mu, double** icov, double detcov, double* y, double* z)
{
int i, j;
double s = 0;
double ret;
for (i = 0; i < L; i++)
y[i] = x[i] - mu[i];
for (i = 0; i < L; i++)
{
//z[i] = 0;
//for (j = 0; j < L; j++)
// z[i] += icov[i][j] * y[j];
z[i] = cblas_ddot(L, &icov[i][0], 1, y, 1);
}
s = cblas_ddot(L, z, 1, y, 1);
//for (i = 0; i < L; i++)
// s += z[i] * y[i];
ret = -0.5 * (s + L * log(2*PI) + log(detcov));
/*
// TEST
if (ISINF(ret) > 0)
printf("loggauss returning infinity\n");
if (ISINF(ret) < 0)
printf("loggauss returning -infinity\n");
if (ISNAN(ret))
printf("loggauss returning nan\n");
*/
return ret;
}
void hmm_print(model_t* model)
{
int i, j;
printf("p0:\n");
for (i = 0; i < model->N; i++)
printf("%f ", model->p0[i]);
printf("\n\n");
printf("a:\n");
for (i = 0; i < model->N; i++)
{
for (j = 0; j < model->N; j++)
printf("%f ", model->a[i][j]);
printf("\n");
}
printf("\n\n");
printf("mu:\n");
for (i = 0; i < model->N; i++)
{
for (j = 0; j < model->L; j++)
printf("%f ", model->mu[i][j]);
printf("\n");
}
printf("\n\n");
printf("cov:\n");
for (i = 0; i < model->L; i++)
{
for (j = 0; j < model->L; j++)
printf("%f ", model->cov[i][j]);
printf("\n");
}
printf("\n\n");
}
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