[mlpack] 55/149: Added Smooth and Filter functions

[Barak A. Pearlmutter]

This is an automated email from the git hooks/post-receive script.

bap pushed a commit to branch svn-trunk
in repository mlpack.

commit a24ac4c4ab09d4d7aa9272f3f135de883ecd65bc
Author: michaelfox99 <michaelfox99 at 9d5b8971-822b-0410-80eb-d18c1038ef23>
Date:   Sun Nov 2 17:45:05 2014 +0000

    Added Smooth and Filter functions
    
    
    git-svn-id: http://svn.cc.gatech.edu/fastlab/mlpack/trunk@17275 9d5b8971-822b-0410-80eb-d18c1038ef23
---
 src/mlpack/methods/hmm/hmm.hpp | 42 ++++++++++++++++++++++++++++++++++++------
 1 file changed, 36 insertions(+), 6 deletions(-)

diff --git a/src/mlpack/methods/hmm/hmm.hpp b/src/mlpack/methods/hmm/hmm.hpp
index b3a3fe9..05300be 100644
--- a/src/mlpack/methods/hmm/hmm.hpp
+++ b/src/mlpack/methods/hmm/hmm.hpp
@@ -261,6 +261,36 @@ class HMM
    */
   double LogLikelihood(const arma::mat& dataSeq) const;
 
+  /**
+   * HMM filtering. Computes the k-step-ahead expected emission at each time
+   * conditioned only on prior observations. That is
+   * E{ Y[t+k] | Y[0], ..., Y[t] }.
+   * The returned matrix has columns equal to the number of observations. Note
+   * that the expectation may not be meaningful for discrete emissions.
+   * 
+   * @param dataSeq Sequence of observations.
+   * @param filterSeq Vector in which the expected emission sequence will be
+   *    stored.
+   * @param ahead Number of steps ahead (k) for expectations.
+   */
+  void Filter(const arma::mat& dataSeq,
+              arma::mat& filterSeq,
+              size_t ahead = 0) const;
+  
+  /**
+   * HMM smoothing. Computes expected emission at each time conditioned on all
+   * observations. That is
+   * E{ Y[t] | Y[0], ..., Y[T] }.
+   * The returned matrix has columns equal to the number of observations. Note
+   * that the expectation may not be meaningful for discrete emissions.
+   *  
+   * @param dataSeq Sequence of observations.
+   * @param smoothSeq Vector in which the expected emission sequence will be
+   *    stored.
+   */
+  void Smooth(const arma::mat& dataSeq,
+              arma::mat& smoothSeq) const;
+  
   //! Return the vector of initial state probabilities.
   const arma::vec& Initial() const { return initial; }
   //! Modify the vector of initial state probabilities.
@@ -300,10 +330,9 @@ class HMM
    * Returns a string indicating the type.
    */
   static std::string const Type() { return "HMM"; }
-  
- private:
-  // Helper functions.
 
+ protected:
+  // Helper functions.
   /**
    * The Forward algorithm (part of the Forward-Backward algorithm).  Computes
    * forward probabilities for each state for each observation in the given data
@@ -333,15 +362,16 @@ class HMM
                 const arma::vec& scales,
                 arma::mat& backwardProb) const;
 
+  //! Set of emission probability distributions; one for each state.
+  std::vector<Distribution> emission;
+  
+ private:
   //! Initial state probability vector.
   arma::vec initial;
 
   //! Transition probability matrix.
   arma::mat transition;
 
-  //! Set of emission probability distributions; one for each state.
-  std::vector<Distribution> emission;
-
   //! Dimensionality of observations.
   size_t dimensionality;
 

-- 
Alioth's /usr/local/bin/git-commit-notice on /srv/git.debian.org/git/debian-science/packages/mlpack.git