[mlpack-svn] r17276 - mlpack/trunk/src/mlpack/methods/hmm

[fastlab-svn at coffeetalk-1.cc.gatech.edu]

Author: michaelfox99
Date: Sun Nov  2 12:45:22 2014
New Revision: 17276

Log:
Added Smooth and Filter functions


Modified:
   mlpack/trunk/src/mlpack/methods/hmm/hmm_impl.hpp

Modified: mlpack/trunk/src/mlpack/methods/hmm/hmm_impl.hpp
==============================================================================
--- mlpack/trunk/src/mlpack/methods/hmm/hmm_impl.hpp	(original)
+++ mlpack/trunk/src/mlpack/methods/hmm/hmm_impl.hpp	Sun Nov  2 12:45:22 2014
@@ -436,6 +436,53 @@
 }
 
 /**
+ * HMM filtering.
+ */
+template<typename Distribution>
+void HMM<Distribution>::Filter(const arma::mat& dataSeq,
+                               arma::mat& filterSeq,
+                               size_t ahead) const
+{
+  // First run the forward algorithm
+  arma::mat forwardProb;
+  arma::vec scales;
+  Forward(dataSeq, scales, forwardProb);
+  
+  // Propagate state ahead
+  if(ahead != 0) {
+    forwardProb = pow(transition, ahead)*forwardProb;
+  }
+  
+  // Compute expected emissions.
+  // Will not work for distributions without a Mean() function.
+  filterSeq.zeros(dimensionality, dataSeq.n_cols);
+  for(size_t i = 0; i < emission.size(); i++)
+  {
+    filterSeq = filterSeq + (emission[i].Mean())*(forwardProb.row(i));
+  }
+}
+
+/**
+ * HMM smoothing.
+ */
+template<typename Distribution>
+void HMM<Distribution>::Smooth(const arma::mat& dataSeq,
+                               arma::mat& smoothSeq) const
+{
+  // First run the forward algorithm
+  arma::mat stateProb;
+  Estimate(dataSeq, stateProb);
+  
+  // Compute expected emissions.
+  // Will not work for distributions without a Mean() function.
+  smoothSeq.zeros(dimensionality, dataSeq.n_cols);
+  for(size_t i = 0; i < emission.size(); i++)
+  {
+    smoothSeq = smoothSeq + (emission[i].Mean())*(stateProb.row(i));
+  }
+}
+
+/**
  * The Forward procedure (part of the Forward-Backward algorithm).
  */
 template<typename Distribution>