hmm_regression.hpp

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#ifndef MLPACK_METHODS_HMM_HMM_REGRESSION_HPP
#define MLPACK_METHODS_HMM_HMM_REGRESSION_HPP

#include <mlpack/prereqs.hpp>
#include <mlpack/core/dists/regression_distribution.hpp>
#include "hmm.hpp"

namespace mlpack {
namespace hmm  {

class HMMRegression : public HMM<distribution::RegressionDistribution>
{
 public:
  HMMRegression(const size_t states,
      const distribution::RegressionDistribution emissions,
      const double tolerance = 1e-5) :
      HMM<distribution::RegressionDistribution>(states, emissions, tolerance)
  { /* nothing to do */ }

  HMMRegression(const arma::vec& initial,
      const arma::mat& transition,
      const std::vector<distribution::RegressionDistribution>& emission,
      const double tolerance = 1e-5) :
      HMM<distribution::RegressionDistribution>(initial, transition, emission,
       tolerance)
  { /* nothing to do */ }



  void Train(const std::vector<arma::mat>& predictors,
             const std::vector<arma::vec>& responses);

  void Train(const std::vector<arma::mat>& predictors,
             const std::vector<arma::vec>& responses,
             const std::vector<arma::Row<size_t> >& stateSeq);

  double Estimate(const arma::mat& predictors,
                  const arma::vec& responses,
                  arma::mat& stateProb,
                  arma::mat& forwardProb,
                  arma::mat& backwardProb,
                  arma::vec& scales) const;

  double Estimate(const arma::mat& predictors,
                  const arma::vec& responses,
                  arma::mat& stateProb) const;

  double Predict(const arma::mat& predictors,
                 const arma::vec& responses,
                 arma::Row<size_t>& stateSeq) const;

  double LogLikelihood(const arma::mat& predictors,
                       const arma::vec& responses) const;
  void Filter(const arma::mat& predictors,
              const arma::vec& responses,
              arma::vec& filterSeq,
              size_t ahead = 0) const;

  void Smooth(const arma::mat& predictors,
              const arma::vec& responses,
              arma::vec& smoothSeq) const;

 private:
  void StackData(const std::vector<arma::mat>& predictors,
                 const std::vector<arma::vec>& responses,
                 std::vector<arma::mat>& dataSeq) const;

  void StackData(const arma::mat& predictors,
                 const arma::vec& responses,
                 arma::mat& dataSeq) const;

  void Forward(const arma::mat& predictors,
               const arma::vec& responses,
               arma::vec& scales,
               arma::mat& forwardProb) const;

  void Backward(const arma::mat& predictors,
                const arma::vec& responses,
                const arma::vec& scales,
                arma::mat& backwardProb) const;
};

} // namespace hmm
} // namespace mlpack

// Include implementation.
#include "hmm_regression_impl.hpp"

#endif