RcppHMM (version 1.2.2)

learnEM: Expectation-Maximization algorithm to estimate the model parameters

Description

Expectation-Maximization algorithm to estimate the model parameters based on a single or multiple observed sequences.

Usage

learnEM(hmm, sequences, iter = 100, delta = 1e-05, pseudo = 0, print = TRUE )

Arguments

hmm

a list with the necessary variables to define a hidden Markov model.

sequences

sequences of observations to be used as training set. HMM and PHMM use a matrix. GHMM uses a 3D array.

iter

a value that sets the maximum number of iterations to run.

delta

a value set to be the minimum error considered as a convergence criteria.

pseudo

a value set to consider pseudo-counts.

print

a logical value to print the error at each iteration.

Value

A "list" that contains the estimated hidden Markov model parameters.

Details

This function can be used for univariate or multivariate distributions. HMM and PHMM use a matrix with different sequences as rows and consecutive observations in the columns. GHMM uses an array with the variables as rows, consecutive observations in the columns and different sequences as slices.

References

Cited references are listed on the RcppHMM manual page.

See Also

generateObservations , verifyModel

Examples

# NOT RUN {
## Values for a hidden Markov model with categorical observations
# Set the model parameters
n <- c("First","Second")
m <- c("A","T","C","G")
A <- matrix(c(0.8,0.2,
              0.1,0.9),
            nrow = 2,
            byrow = TRUE)

B <- matrix(c(0.2, 0.2, 0.3, 0.3,
              0.4, 0.4, 0.1, 0.1),
            nrow = 2,
            byrow = TRUE)

Pi <- c(0.5, 0.5)

params <- list( "Model" = "HMM",
                "StateNames" = n,
                "ObservationNames" = m,
                "A" = A,
                "B" = B,
                "Pi" = Pi)

HMM <- verifyModel(params)

# Data simulation
set.seed(100)
length <- 100
seqs <- 10

# Multiple sequences to be used as training set
observationSequences<- c()
for(i in 1:seqs){
  Y <- generateObservations(HMM , length)$Y
  observationSequences <- rbind(observationSequences , Y)
}

# New model random initialization
# Model to be trained
set.seed(1000)
newModel <- initHMM(2,4) 
n = c("X1","X2")
m = c("A","T","C","G")
newModel <- setNames(newModel,
                     list( "StateNames" = n,
                           "ObservationNames" = m) )

# }
# NOT RUN {
  newModel <- learnEM(newModel,
                      observationSequences,
                      iter= 50, 
                      delta = 1E-5,
                      pseudo = 3,
                      print = TRUE)
# }
# NOT RUN {
print(newModel)   

## Values for a hidden Markov model with discrete observations

n <- c("Low","Normal","High")

A <- matrix(c(0.5, 0.3,0.2,
              0.2, 0.6, 0.2,
              0.1, 0.3, 0.6),
            ncol=length(n), byrow=TRUE)

B <- c(2600,  # First distribution with mean 2600
       2700,  # Second distribution with mean 2700
       2800)  # Third distribution with mean 2800

Pi <- rep(1/length(n), length(n))

HMM.discrete <- verifyModel(list("Model"="PHMM", "StateNames" = n, "A" = A, "B" = B, "Pi" = Pi))

# Data simulation
set.seed(100)
length <- 100
seqs <- 50

# Multiple sequences to be evaluated
observationSequences<- c()
for(i in 1:seqs){
  Y <- generateObservations(HMM.discrete , length)$Y
  observationSequences <- rbind(observationSequences , Y)
}

dim(observationSequences)
# New model random initialization
# Model to be trained
set.seed(1000)
newModel <- initPHMM(3) 
# }
# NOT RUN {
  newModel <- learnEM(newModel,
                      observationSequences,
                      iter= 50, 
                      delta = 1E-5,
                      print = FALSE)
# }
# NOT RUN {
print(newModel)   


## Values for a hidden Markov model with continuous observations                          
# Number of hidden states = 3
# Univariate gaussian mixture model

N = c("Low","Normal", "High")
A <- matrix(c(0.5, 0.3,0.2,
              0.2, 0.6, 0.2,
              0.1, 0.3, 0.6),
            ncol= length(N), byrow = TRUE)

Mu <- matrix(c(0, 50, 100), ncol = length(N))
Sigma <- array(c(144, 400, 100), dim = c(1,1,length(N)))
Pi <- rep(1/length(N), length(N))

HMM.cont.univariate <- verifyModel(list( "Model"="GHMM", 
                              "StateNames" = N,
                              "A" = A, 
                              "Mu" = Mu, 
                              "Sigma" = Sigma, 
                              "Pi" = Pi))

# Data simulation
set.seed(100)
length <- 100
seqs <- 50

# Multiple sequences to be evaluated
observationSequences<- array(0, dim = c(1, length, seqs) )
for(i in 1:seqs){
  Y <- generateObservations(HMM.cont.univariate , length)$Y
  observationSequences[,,i] <- Y
}

dim(observationSequences)

# New model random initialization
# Model to be trained
set.seed(1000)
newModel <- initGHMM(3) 
# }
# NOT RUN {
  newModel <- learnEM(newModel,
                      observationSequences,
                      iter= 50, 
                      delta = 1E-5,
                      print = FALSE)
# }
# NOT RUN {
print(newModel)   


## Values for a hidden Markov model with continuous observations                          
# Number of hidden states = 2
# Multivariate gaussian mixture model
# Observed vector with dimensionality of 3
N = c("X1","X2")
M <- 3

# Same number of dimensions
Sigma <- array(0, dim =c(M,M,length(N)))
Sigma[,,1] <- matrix(c(1.0,0.8,0.8,
                       0.8,1.0,0.8,
                       0.8,0.8,1.0), ncol = M,  
                     byrow = TRUE)
Sigma[,,2] <- matrix(c(1.0,0.4,0.6,
                       0.4,1.0,0.8,
                       0.6,0.8,1.0), ncol = M,
                     byrow = TRUE)
Mu <- matrix(c(0, 5, 
               10, 0, 
               5, 10), 
             nrow = M, 
             byrow = TRUE)

A <- matrix(c(0.6,0.4,
              0.3, 0.7), 
            ncol = length(N),
            byrow = TRUE)
Pi <- c(0.5, 0.5)

HMM.cont.multi <- verifyModel(list( "Model" = "GHMM",
                              "StateNames" = N,
                              "A" = A, 
                              "Mu" = Mu, 
                              "Sigma" = Sigma, 
                              "Pi" = Pi))

# Data simulation
set.seed(100)
length <- 100
seqs <- 50

# Multiple sequences to be evaluated
observationSequences<- array(0, dim = c(M, length, seqs) )
for(i in 1:seqs){
  Y <- generateObservations(HMM.cont.multi , length)$Y
  observationSequences[,,i] <- Y
}

dim(observationSequences)

# New model random initialization
# Model to be trained
set.seed(1000)
newModel <- initGHMM(2, M) 
# }
# NOT RUN {
  newModel <- learnEM(newModel,
                      observationSequences,
                      iter= 50, 
                      delta = 1E-5,
                      print = FALSE)
# }
# NOT RUN {
print(newModel)   
# }