| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with this |
| * work for additional information regarding copyright ownership. The ASF |
| * licenses this file to You under the Apache License, Version 2.0 (the |
| * "License"); you may not use this file except in compliance with the License. |
| * You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, WITHOUT |
| * WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the |
| * License for the specific language governing permissions and limitations under |
| * the License. |
| */ |
| package org.apache.commons.math4.distribution.fitting; |
| |
| import java.util.ArrayList; |
| import java.util.Arrays; |
| import java.util.List; |
| |
| import org.apache.commons.math4.distribution.MixtureMultivariateNormalDistribution; |
| import org.apache.commons.math4.distribution.MultivariateNormalDistribution; |
| import org.apache.commons.math4.exception.ConvergenceException; |
| import org.apache.commons.math4.exception.DimensionMismatchException; |
| import org.apache.commons.math4.exception.NotStrictlyPositiveException; |
| import org.apache.commons.math4.exception.NumberIsTooSmallException; |
| import org.apache.commons.math4.linear.Array2DRowRealMatrix; |
| import org.apache.commons.math4.linear.RealMatrix; |
| import org.apache.commons.math4.util.Pair; |
| import org.junit.Assert; |
| import org.junit.Test; |
| |
| /** |
| * Test that demonstrates the use of |
| * {@link MultivariateNormalMixtureExpectationMaximization}. |
| */ |
| public class MultivariateNormalMixtureExpectationMaximizationTest { |
| |
| @Test(expected = NotStrictlyPositiveException.class) |
| public void testNonEmptyData() { |
| // Should not accept empty data |
| new MultivariateNormalMixtureExpectationMaximization(new double[][] {}); |
| } |
| |
| @Test(expected = DimensionMismatchException.class) |
| public void testNonJaggedData() { |
| // Reject data with nonconstant numbers of columns |
| double[][] data = new double[][] { |
| { 1, 2, 3 }, |
| { 4, 5, 6, 7 }, |
| }; |
| new MultivariateNormalMixtureExpectationMaximization(data); |
| } |
| |
| @Test(expected = NumberIsTooSmallException.class) |
| public void testMultipleColumnsRequired() { |
| // Data should have at least 2 columns |
| double[][] data = new double[][] { |
| { 1 }, { 2 } |
| }; |
| new MultivariateNormalMixtureExpectationMaximization(data); |
| } |
| |
| @Test(expected = NotStrictlyPositiveException.class) |
| public void testMaxIterationsPositive() { |
| // Maximum iterations for fit must be positive integer |
| double[][] data = getTestSamples(); |
| MultivariateNormalMixtureExpectationMaximization fitter = |
| new MultivariateNormalMixtureExpectationMaximization(data); |
| |
| MixtureMultivariateNormalDistribution |
| initialMix = MultivariateNormalMixtureExpectationMaximization.estimate(data, 2); |
| |
| fitter.fit(initialMix, 0, 1E-5); |
| } |
| |
| @Test(expected = NotStrictlyPositiveException.class) |
| public void testThresholdPositive() { |
| // Maximum iterations for fit must be positive |
| double[][] data = getTestSamples(); |
| MultivariateNormalMixtureExpectationMaximization fitter = |
| new MultivariateNormalMixtureExpectationMaximization( |
| data); |
| |
| MixtureMultivariateNormalDistribution |
| initialMix = MultivariateNormalMixtureExpectationMaximization.estimate(data, 2); |
| |
| fitter.fit(initialMix, 1000, 0); |
| } |
| |
| @Test(expected = ConvergenceException.class) |
| public void testConvergenceException() { |
| // ConvergenceException thrown if fit terminates before threshold met |
| double[][] data = getTestSamples(); |
| MultivariateNormalMixtureExpectationMaximization fitter |
| = new MultivariateNormalMixtureExpectationMaximization(data); |
| |
| MixtureMultivariateNormalDistribution |
| initialMix = MultivariateNormalMixtureExpectationMaximization.estimate(data, 2); |
| |
| // 5 iterations not enough to meet convergence threshold |
| fitter.fit(initialMix, 5, 1E-5); |
| } |
| |
| @Test(expected = DimensionMismatchException.class) |
| public void testIncompatibleInitialMixture() { |
| // Data has 3 columns |
| double[][] data = new double[][] { |
| { 1, 2, 3 }, { 4, 5, 6 }, { 7, 8, 9 } |
| }; |
| double[] weights = new double[] { 0.5, 0.5 }; |
| |
| // These distributions are compatible with 2-column data, not 3-column |
| // data |
| MultivariateNormalDistribution[] mvns = new MultivariateNormalDistribution[2]; |
| |
| mvns[0] = new MultivariateNormalDistribution(new double[] { |
| -0.0021722935000328823, 3.5432892936887908 }, |
| new double[][] { |
| { 4.537422569229048, 3.5266152281729304 }, |
| { 3.5266152281729304, 6.175448814169779 } }); |
| mvns[1] = new MultivariateNormalDistribution(new double[] { |
| 5.090902706507635, 8.68540656355283 }, new double[][] { |
| { 2.886778573963039, 1.5257474543463154 }, |
| { 1.5257474543463154, 3.3794567673616918 } }); |
| |
| // Create components and mixture |
| List<Pair<Double, MultivariateNormalDistribution>> components = |
| new ArrayList<>(); |
| components.add(new Pair<>( |
| weights[0], mvns[0])); |
| components.add(new Pair<>( |
| weights[1], mvns[1])); |
| |
| MixtureMultivariateNormalDistribution badInitialMix |
| = new MixtureMultivariateNormalDistribution(components); |
| |
| MultivariateNormalMixtureExpectationMaximization fitter |
| = new MultivariateNormalMixtureExpectationMaximization(data); |
| |
| fitter.fit(badInitialMix); |
| } |
| |
| @Test |
| public void testInitialMixture() { |
| // Testing initial mixture estimated from data |
| final double[] correctWeights = new double[] { 0.5, 0.5 }; |
| |
| final double[][] correctMeans = new double[][] { |
| {-0.0021722935000328823, 3.5432892936887908}, |
| {5.090902706507635, 8.68540656355283}, |
| }; |
| |
| final RealMatrix[] correctCovMats = new Array2DRowRealMatrix[2]; |
| |
| correctCovMats[0] = new Array2DRowRealMatrix(new double[][] { |
| { 4.537422569229048, 3.5266152281729304 }, |
| { 3.5266152281729304, 6.175448814169779 } }); |
| |
| correctCovMats[1] = new Array2DRowRealMatrix( new double[][] { |
| { 2.886778573963039, 1.5257474543463154 }, |
| { 1.5257474543463154, 3.3794567673616918 } }); |
| |
| final MultivariateNormalDistribution[] correctMVNs = new |
| MultivariateNormalDistribution[2]; |
| |
| correctMVNs[0] = new MultivariateNormalDistribution(correctMeans[0], |
| correctCovMats[0].getData()); |
| |
| correctMVNs[1] = new MultivariateNormalDistribution(correctMeans[1], |
| correctCovMats[1].getData()); |
| |
| final MixtureMultivariateNormalDistribution initialMix |
| = MultivariateNormalMixtureExpectationMaximization.estimate(getTestSamples(), 2); |
| |
| int i = 0; |
| for (Pair<Double, MultivariateNormalDistribution> component : initialMix |
| .getComponents()) { |
| Assert.assertEquals(correctWeights[i], component.getFirst(), |
| Math.ulp(1d)); |
| |
| final double[] means = component.getValue().getMeans(); |
| Assert.assertTrue(Arrays.equals(correctMeans[i], means)); |
| |
| final RealMatrix covMat = component.getValue().getCovariances(); |
| Assert.assertEquals(correctCovMats[i], covMat); |
| i++; |
| } |
| } |
| |
| @Test |
| public void testFit() { |
| // Test that the loglikelihood, weights, and models are determined and |
| // fitted correctly |
| final double[][] data = getTestSamples(); |
| final double correctLogLikelihood = -4.292431006791994; |
| final double[] correctWeights = new double[] { 0.2962324189652912, 0.7037675810347089 }; |
| |
| final double[][] correctMeans = new double[][]{ |
| {-1.4213112715121132, 1.6924690505757753}, |
| {4.213612224374709, 7.975621325853645} |
| }; |
| |
| final RealMatrix[] correctCovMats = new Array2DRowRealMatrix[2]; |
| correctCovMats[0] = new Array2DRowRealMatrix(new double[][] { |
| { 1.739356907285747, -0.5867644251487614 }, |
| { -0.5867644251487614, 1.0232932029324642 } } |
| ); |
| correctCovMats[1] = new Array2DRowRealMatrix(new double[][] { |
| { 4.245384898007161, 2.5797798966382155 }, |
| { 2.5797798966382155, 3.9200272522448367 } }); |
| |
| final MultivariateNormalDistribution[] correctMVNs = new MultivariateNormalDistribution[2]; |
| correctMVNs[0] = new MultivariateNormalDistribution(correctMeans[0], correctCovMats[0].getData()); |
| correctMVNs[1] = new MultivariateNormalDistribution(correctMeans[1], correctCovMats[1].getData()); |
| |
| MultivariateNormalMixtureExpectationMaximization fitter |
| = new MultivariateNormalMixtureExpectationMaximization(data); |
| |
| MixtureMultivariateNormalDistribution initialMix |
| = MultivariateNormalMixtureExpectationMaximization.estimate(data, 2); |
| fitter.fit(initialMix); |
| MixtureMultivariateNormalDistribution fittedMix = fitter.getFittedModel(); |
| List<Pair<Double, MultivariateNormalDistribution>> components = fittedMix.getComponents(); |
| |
| Assert.assertEquals(correctLogLikelihood, |
| fitter.getLogLikelihood(), |
| Math.ulp(1d)); |
| |
| int i = 0; |
| for (Pair<Double, MultivariateNormalDistribution> component : components) { |
| final double weight = component.getFirst(); |
| final MultivariateNormalDistribution mvn = component.getSecond(); |
| final double[] mean = mvn.getMeans(); |
| final RealMatrix covMat = mvn.getCovariances(); |
| Assert.assertEquals(correctWeights[i], weight, Math.ulp(1d)); |
| Assert.assertTrue(Arrays.equals(correctMeans[i], mean)); |
| Assert.assertEquals(correctCovMats[i], covMat); |
| i++; |
| } |
| } |
| |
| private double[][] getTestSamples() { |
| // generated using R Mixtools rmvnorm with mean vectors [-1.5, 2] and |
| // [4, 8.2] |
| return new double[][] { { 7.358553610469948, 11.31260831446758 }, |
| { 7.175770420124739, 8.988812210204454 }, |
| { 4.324151905768422, 6.837727899051482 }, |
| { 2.157832219173036, 6.317444585521968 }, |
| { -1.890157421896651, 1.74271202875498 }, |
| { 0.8922409354455803, 1.999119343923781 }, |
| { 3.396949764787055, 6.813170372579068 }, |
| { -2.057498232686068, -0.002522983830852255 }, |
| { 6.359932157365045, 8.343600029975851 }, |
| { 3.353102234276168, 7.087541882898689 }, |
| { -1.763877221595639, 0.9688890460330644 }, |
| { 6.151457185125111, 9.075011757431174 }, |
| { 4.281597398048899, 5.953270070976117 }, |
| { 3.549576703974894, 8.616038155992861 }, |
| { 6.004706732349854, 8.959423391087469 }, |
| { 2.802915014676262, 6.285676742173564 }, |
| { -0.6029879029880616, 1.083332958357485 }, |
| { 3.631827105398369, 6.743428504049444 }, |
| { 6.161125014007315, 9.60920569689001 }, |
| { -1.049582894255342, 0.2020017892080281 }, |
| { 3.910573022688315, 8.19609909534937 }, |
| { 8.180454017634863, 7.861055769719962 }, |
| { 1.488945440439716, 8.02699903761247 }, |
| { 4.813750847823778, 12.34416881332515 }, |
| { 0.0443208501259158, 5.901148093240691 }, |
| { 4.416417235068346, 4.465243084006094 }, |
| { 4.0002433603072, 6.721937850166174 }, |
| { 3.190113818788205, 10.51648348411058 }, |
| { 4.493600914967883, 7.938224231022314 }, |
| { -3.675669533266189, 4.472845076673303 }, |
| { 6.648645511703989, 12.03544085965724 }, |
| { -1.330031331404445, 1.33931042964811 }, |
| { -3.812111460708707, 2.50534195568356 }, |
| { 5.669339356648331, 6.214488981177026 }, |
| { 1.006596727153816, 1.51165463112716 }, |
| { 5.039466365033024, 7.476532610478689 }, |
| { 4.349091929968925, 7.446356406259756 }, |
| { -1.220289665119069, 3.403926955951437 }, |
| { 5.553003979122395, 6.886518211202239 }, |
| { 2.274487732222856, 7.009541508533196 }, |
| { 4.147567059965864, 7.34025244349202 }, |
| { 4.083882618965819, 6.362852861075623 }, |
| { 2.203122344647599, 7.260295257904624 }, |
| { -2.147497550770442, 1.262293431529498 }, |
| { 2.473700950426512, 6.558900135505638 }, |
| { 8.267081298847554, 12.10214104577748 }, |
| { 6.91977329776865, 9.91998488301285 }, |
| { 0.1680479852730894, 6.28286034168897 }, |
| { -1.268578659195158, 2.326711221485755 }, |
| { 1.829966451374701, 6.254187605304518 }, |
| { 5.648849025754848, 9.330002040750291 }, |
| { -2.302874793257666, 3.585545172776065 }, |
| { -2.629218791709046, 2.156215538500288 }, |
| { 4.036618140700114, 10.2962785719958 }, |
| { 0.4616386422783874, 0.6782756325806778 }, |
| { -0.3447896073408363, 0.4999834691645118 }, |
| { -0.475281453118318, 1.931470384180492 }, |
| { 2.382509690609731, 6.071782429815853 }, |
| { -3.203934441889096, 2.572079552602468 }, |
| { 8.465636032165087, 13.96462998683518 }, |
| { 2.36755660870416, 5.7844595007273 }, |
| { 0.5935496528993371, 1.374615871358943 }, |
| { -2.467481505748694, 2.097224634713005 }, |
| { 4.27867444328542, 10.24772361238549 }, |
| { -2.013791907543137, 2.013799426047639 }, |
| { 6.424588084404173, 9.185334939684516 }, |
| { -0.8448238876802175, 0.5447382022282812 }, |
| { 1.342955703473923, 8.645456317633556 }, |
| { 3.108712208751979, 8.512156853800064 }, |
| { 4.343205178315472, 8.056869549234374 }, |
| { -2.971767642212396, 3.201180146824761 }, |
| { 2.583820931523672, 5.459873414473854 }, |
| { 4.209139115268925, 8.171098193546225 }, |
| { 0.4064909057902746, 1.454390775518743 }, |
| { 3.068642411145223, 6.959485153620035 }, |
| { 6.085968972900461, 7.391429799500965 }, |
| { -1.342265795764202, 1.454550012997143 }, |
| { 6.249773274516883, 6.290269880772023 }, |
| { 4.986225847822566, 7.75266344868907 }, |
| { 7.642443254378944, 10.19914817500263 }, |
| { 6.438181159163673, 8.464396764810347 }, |
| { 2.520859761025108, 7.68222425260111 }, |
| { 2.883699944257541, 6.777960331348503 }, |
| { 2.788004550956599, 6.634735386652733 }, |
| { 3.331661231995638, 5.794191300046592 }, |
| { 3.526172276645504, 6.710802266815884 }, |
| { 3.188298528138741, 10.34495528210205 }, |
| { 0.7345539486114623, 5.807604004180681 }, |
| { 1.165044595880125, 7.830121829295257 }, |
| { 7.146962523500671, 11.62995162065415 }, |
| { 7.813872137162087, 10.62827008714735 }, |
| { 3.118099164870063, 8.286003148186371 }, |
| { -1.708739286262571, 1.561026755374264 }, |
| { 1.786163047580084, 4.172394388214604 }, |
| { 3.718506403232386, 7.807752990130349 }, |
| { 6.167414046828899, 10.01104941031293 }, |
| { -1.063477247689196, 1.61176085846339 }, |
| { -3.396739609433642, 0.7127911050002151 }, |
| { 2.438885945896797, 7.353011138689225 }, |
| { -0.2073204144780931, 0.850771146627012 }, }; |
| } |
| } |