finished code, beginning writeup

.gitignore

@@ -4,7 +4,7 @@ __pycache__/
 *$py.class
 
 *.pdf
-*~
+*~*
 
 # C extensions
 *.so

markov.py

@@ -1,11 +1,9 @@
-from dataclasses import dataclass, field
-from typing import List
 import numpy as np
-from numpy import log as ln
 
 from maths import gaussian
 
 class MarkovModel:
+    """Describes a single training iteration including likelihoods and reestimation params"""
 
     def __init__(self, states: list, observations: list = list(), state_transitions: list = list()):
         self.observations = observations
@@ -36,15 +34,29 @@ class MarkovModel:
         return self.get_other_state_index(state_in - 1) + 1
 
     def populate(self):
+        """Calculate all likelihoods and both P(O|model)'s"""
+
         self.populate_forward()
         self.calculate_p_obs_forward()
         self.populate_backward()
         self.calculate_p_obs_backward()
         self.populate_occupation()
+        return self
+    
+    @property
+    def observation_likelihood(self):
+        """abstraction for getting P(O|model) for future calculations (occupation/transition)"""
+        return self.p_obs_forward
+
+    ####################################
+    #           Likelihoods
+    ####################################
     
     def populate_forward(self):
+        """Populate forward likelihoods for all states/times"""
+
         for t, observation in enumerate(self.observations): # iterate through observations (time)
-            for state_index, state in enumerate(self.states):
+            for state_index, state in enumerate(self.states): # both states at each step
 
                 state_number = state_index + 1 # for easier reading (arrays 0-indexed, numbers start at 1)
 
@@ -62,12 +74,10 @@ class MarkovModel:
 
                     self.forward[state_index, t] = (this_to_this + other_to_this) * gaussian(observation, state.mean, state.std_dev)
 
-    @property
-    def observation_likelihood(self):
-        """abstraction for getting p(obs|model) for future calculations (occupation/transition)"""
-        return self.p_obs_forward
+        return self.forward
 
     def calculate_p_obs_forward(self):
+        """Calculate, store and return P(O|model) going forwards"""
 
         sum = 0
         for state_index, final_likelihood in enumerate(self.forward[:, -1]):       
@@ -77,13 +87,16 @@ class MarkovModel:
         return sum
 
     def populate_backward(self):
+        """Populate backward likelihoods for all states/times"""
 
-        # initialise from exit probabilities
+        # initialise with exit probabilities
         self.backward[:, -1] = self.state_transitions[1:len(self.states) + 1, -1]
 
+        # below iterator skips first observation (will be used when finalising P(O|model)) then reverses list [::-1]
         for t, observation in list(enumerate(self.observations[1:]))[::-1]: # iterate backwards through observations (time)
+            
             # print(t, observation)
-            for state_index, state in enumerate(self.states):
+            for state_index in range(len(self.states)):
 
                 state_number = state_index + 1 # for easier reading (arrays 0-indexed, numbers start at 1)
 
@@ -95,30 +108,45 @@ class MarkovModel:
                 # observation for transitions from the other state
                 other_state_gaussian = gaussian(observation, self.states[other_index].mean, self.states[other_index].std_dev)
                 
-                # beta * a * b
-                this_from_this = self.backward[state_index, t + 1] * self.state_transitions[state_number, state_number] * this_state_gaussian
-                other_from_this = self.backward[other_index, t + 1] * self.state_transitions[other_number, state_number] * other_state_gaussian
+                # a * b * beta
+                this_from_this = self.state_transitions[state_number, state_number] * this_state_gaussian * self.backward[state_index, t + 1]
+                other_from_this = self.state_transitions[state_number, other_number] * other_state_gaussian * self.backward[other_index, t + 1]
 
-                self.backward[state_index, t] = (this_from_this + other_from_this)
+                self.backward[state_index, t] = this_from_this + other_from_this
+        
+        return self.backward
 
     def calculate_p_obs_backward(self):
+        """Calculate, store and return P(O|model) going backwards"""
 
         sum = 0
         for state_index, initial_likelihood in enumerate(self.backward[:, 0]):
-            # pi * b * beta
-            sum += self.state_transitions[0, state_index + 1] * gaussian(self.observations[0], self.states[state_index].mean, self.states[state_index].std_dev) * initial_likelihood
+
+            pi = self.state_transitions[0, state_index + 1]
+            b = gaussian(self.observations[0], self.states[state_index].mean, self.states[state_index].std_dev)
+            beta = initial_likelihood
+
+            sum +=  pi * b * beta
 
         self.p_obs_backward = sum
         return sum
 
     def populate_occupation(self):
-        for t, observation in enumerate(self.observations): # iterate through observations (time)
-            for state_index, state in enumerate(self.states):
+        """Populate occupation likelihoods for all states/times"""
+
+        for t in range(len(self.observations)): # iterate through observations (time)
+            for state_index in range(len(self.states)):
                 
                 forward_backward = self.forward[state_index, t] * self.backward[state_index, t]
                 self.occupation[state_index, t] = forward_backward / self.observation_likelihood
 
+        return self.occupation
+
     def transition_likelihood(self, from_index, to_index, t):
+        """Get specific transition likelihood given state index either side and the timestep"""
+        #from_index = i, from equations in the notes
+        #to_index = j, from equations in the notes
+
         if t == 0:
             print("no transition likelihood for t == 0")
 
@@ -129,31 +157,62 @@ class MarkovModel:
 
         return (forward * transition * emission * backward) / self.observation_likelihood
 
-    def baum_welch_state_transitions(self):
+    ####################################
+    #     Baum-Welch Re-estimations
+    ####################################
 
-        new_transitions = np.zeros((len(self.states), len(self.states)))
+    def reestimated_state_transitions(self):
+        """Re-estimate state transitions using Baum-Welch training (Not on mark scheme)"""
+
+        length = len(self.states)
+        new_transitions = np.zeros((length, length))
 
         # i
-        for from_index, from_state in enumerate(self.states):
+        for from_index in range(length):
             # j
-            for to_index, to_state in enumerate(self.states):
+            for to_index in range(length):
 
-                transition_sum = 0
-                for t in range(1, len(self.observations)):
-                    transition_sum += self.transition_likelihood(from_index, to_index, t)
-
-                occupation_sum = 0
-                for t in range(0, len(self.observations)):
-                    occupation_sum = self.occupation[to_index, t]
+                # numerator iterates from t = 1 (when 0 indexing, 2 in the notes)
+                transition_sum = sum(self.transition_likelihood(from_index, to_index, t) for t in range(1, len(self.observations)))
+                occupation_sum = sum(self.occupation[from_index, t] for t in range(0, len(self.observations)))
 
                 new_transitions[from_index, to_index] = transition_sum / occupation_sum
 
         return new_transitions
 
+    def reestimated_state_mean(self, state_index):
+        """Re-estimate the gaussian mean for a state using occupation likelihoods, baum-welch"""
+        
+        numerator = 0 # sum over observations( occupation * observation )
+        denominator = 0 # sum over observations( occupation )
+        for t, observation in enumerate(self.observations): # iterate through observations (time)
+
+            occupation_likelihood = self.occupation[state_index, t]
+
+            numerator += occupation_likelihood * observation
+            denominator += occupation_likelihood
+
+        return numerator / denominator
+
+    def reestimated_mean(self):
+        """Get all re-estimated gaussian means using occupation likelihoods"""
+        return [self.reestimated_state_mean(idx) for idx in range(len(self.states))]
 
 
-# child object to replace normal prob/likeli operations with log prob operations (normal prob for debugging)
-class LogMarkovModel(MarkovModel):
+    def reestimated_state_variance(self, state_index):
+        """Re-estimate the gaussian variance for a state using occupation likelihoods, baum-welch"""
         
-    def log_state_transitions(self):
-        self.state_transitions = ln(self.state_transitions)
+        numerator = 0 # sum over observations( occupation * (observation - mean)^2 )
+        denominator = 0 # sum over observations( occupation )
+        for t, observation in enumerate(self.observations): # iterate through observations (time)
+
+            occupation_likelihood = self.occupation[state_index, t]
+
+            numerator += occupation_likelihood * pow(observation - self.states[state_index].mean, 2)
+            denominator += occupation_likelihood
+
+        return numerator / denominator
+
+    def reestimated_variance(self):
+        """Get all re-estimated gaussian variances using occupation likelihoods"""
+        return [self.reestimated_state_variance(idx) for idx in range(len(self.states))]

markovlog.py

@@ -0,0 +1,10 @@
+from numpy import log as ln
+
+from maths import gaussian
+from markov import MarkovModel
+
+# child object to replace normal prob/likeli operations with log prob operations (normal prob for debugging)
+class LogMarkovModel(MarkovModel):
+
+    def log_state_transitions(self):
+        self.state_transitions = ln(self.state_transitions)

notebook.py

@@ -0,0 +1,255 @@
+# %%
+#IMPORTS AND COMMON VARIABLES
+import matplotlib.pyplot as plt
+from matplotlib import cm
+import numpy as np
+from math import sqrt
+
+from constants import *
+from maths import gaussian
+from markov import MarkovModel
+from markovlog import LogMarkovModel
+
+x = np.linspace(-4, 8, 120) # x values for figures
+x_label = "Observation Space"
+y_label = "Probability Density"
+
+# %% [markdown]
+# State Probability Functions (1)
+# ===================
+
+# %%
+state_1_y = [gaussian(i, state1.mean, state1.std_dev) for i in x]
+state_2_y = [gaussian(i, state2.mean, state2.std_dev) for i in x]
+
+plt.plot(x, state_1_y, c='r', label="State 1")
+plt.plot(x, state_2_y, c='b', label="State 2")
+
+plt.legend()
+plt.title("State Probability Density Functions")
+
+plt.xlabel(x_label)
+plt.ylabel(y_label)
+plt.grid(linestyle="--")
+
+plt.show()
+
+# %% [markdown]
+# Output Probability Densities (2)
+# ==========
+
+# %%
+for obs in observations:
+    print(f'{obs} -> State 1: {gaussian(obs, state1.mean, state1.std_dev)}, State 2: {gaussian(obs, state2.mean, state2.std_dev)}')
+
+
+# %%
+state_1_y = [gaussian(i, state1.mean, state1.std_dev) for i in x]
+state_2_y = [gaussian(i, state2.mean, state2.std_dev) for i in x]
+
+plt.plot(x, state_1_y, c='r', label="State 1")
+plt.plot(x, state_2_y, c='b', label="State 2")
+
+plt.legend()
+plt.title("State Probability Density Functions With Observations")
+
+plt.xlabel(x_label)
+plt.ylabel(y_label)
+plt.grid(linestyle="--")
+
+state1_pd = [gaussian(i, state1.mean, state1.std_dev) for i in observations]
+state2_pd = [gaussian(i, state2.mean, state2.std_dev) for i in observations]
+
+#############################################
+#             Observation Marks  
+#############################################
+
+config = {
+    "s": 65,
+    "marker": 'x'
+}
+
+plt.scatter(observations, state1_pd, color=(0.5, 0, 0), **config)
+plt.scatter(observations, state2_pd, color=(0, 0, 0.5), **config)
+
+plt.show()
+
+# %% [markdown]
+# # Forward Procedure (3)
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition)
+model.populate_forward()
+
+print(model.forward)
+
+forward = model.forward
+model.calculate_p_obs_forward()
+
+# %% [markdown]
+# # Backward Procedure (4)
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition)
+model.populate_backward()
+
+print(model.backward)
+
+backward = model.backward
+model.calculate_p_obs_backward()
+
+# %% [markdown]
+# # Compare Forward/Backward Final
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition)
+model.populate_forward()
+model.populate_backward()
+
+print("forward:", model.calculate_p_obs_forward())
+print("backward:", model.calculate_p_obs_backward())
+
+print("diff: ", model.p_obs_forward - model.p_obs_backward)
+
+# %% [markdown]
+# # Occupation Likelihoods (5)
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition).populate()
+
+occupation = model.occupation
+print(model.occupation)
+
+# %% [markdown]
+# # Re-estimate Mean & Variance (6)
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition).populate()
+
+print("mean: ", [state1.mean, state2.mean])
+print("variance: ", [state1.variance, state2.variance])
+print()
+
+print("mean: ", model.reestimated_mean())
+print("variance: ", model.reestimated_variance())
+
+# %% [markdown]
+# New PDFs (7)
+# ===================
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition).populate()
+
+new_mean = model.reestimated_mean()
+new_var = model.reestimated_variance()
+new_std_dev = [sqrt(x) for x in new_var]
+
+state_1_y = [gaussian(i, new_mean[0], new_std_dev[0]) for i in x]
+state_2_y = [gaussian(i, new_mean[1], new_std_dev[1]) for i in x]
+
+plt.plot(x, state_1_y, c='r', label="State 1")
+plt.plot(x, state_2_y, c='b', label="State 2")
+
+plt.legend()
+plt.title("Re-estimated Probability Density Functions")
+
+plt.xlabel(x_label)
+plt.ylabel(y_label)
+plt.grid(linestyle="--")
+
+plt.show()
+
+# %% [markdown]
+# # Compare PDFs (7)
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition).populate()
+
+new_mean = model.reestimated_mean()
+new_var = model.reestimated_variance()
+new_std_dev = [sqrt(x) for x in new_var]
+
+#######################################
+#              Original
+#######################################
+state_1_y = [gaussian(i, state1.mean, state1.std_dev) for i in x]
+state_2_y = [gaussian(i, state2.mean, state2.std_dev) for i in x]
+plt.plot(x, state_1_y, '--', c='r', label="State 1", linewidth=1.0)
+plt.plot(x, state_2_y, '--', c='b', label="State 2", linewidth=1.0)
+
+#######################################
+#            Re-Estimated
+#######################################
+state_1_new_y = [gaussian(i, new_mean[0], new_std_dev[0]) for i in x]
+state_2_new_y = [gaussian(i, new_mean[1], new_std_dev[1]) for i in x]
+plt.plot(x, state_1_new_y, c='r', label="New State 1")
+plt.plot(x, state_2_new_y, c='b', label="New State 2")
+
+plt.legend()
+plt.title("Re-estimated Probability Density Functions")
+
+plt.xlabel(x_label)
+plt.ylabel(y_label)
+plt.grid(linestyle="--")
+
+plt.show()
+
+# %% [markdown]
+# # Multiple Iterations
+
+# %%
+iterations = 5
+
+mean = [state1.mean, state2.mean]
+var = [state1.variance, state2.variance]
+
+plt.plot(x, [gaussian(i, mean[0], sqrt(var[0])) for i in x], '--', c='r', linewidth=1.0)
+plt.plot(x, [gaussian(i, mean[1], sqrt(var[1])) for i in x], '--', c='b', linewidth=1.0)
+
+for i in range(iterations):
+    model = MarkovModel(states=[State(mean[0], var[0], state1.entry, state1.exit), State(mean[1], var[1], state2.entry, state2.exit)], 
+                        observations=observations, 
+                        state_transitions=state_transition)
+    model.populate()
+
+    mean = model.reestimated_mean()
+    var = model.reestimated_variance()
+
+    print(f"mean ({i}): ", mean)
+    print(f"var ({i}): ", var)
+    print()
+
+    state_1_y = [gaussian(i, mean[0], sqrt(var[0])) for i in x]
+    state_2_y = [gaussian(i, mean[1], sqrt(var[1])) for i in x]
+
+    style = '--'
+    linewidth = 1.0
+    if i == iterations - 1:
+        style = '-'
+        linewidth = 2.0
+
+    plt.plot(x, state_1_y, style, c='r', linewidth=linewidth)
+    plt.plot(x, state_2_y, style, c='b', linewidth=linewidth)
+
+plt.title("Probability Density Function Iterations")
+
+plt.xlabel(x_label)
+plt.ylabel(y_label)
+plt.grid(linestyle="--")
+
+plt.show()
+
+# %% [markdown]
+# # Baum-Welch State Transition Re-estimations
+
+# %%
+model = MarkovModel(states=[state1, state2], observations=observations, state_transitions=state_transition).populate()
+
+print(a_matrix)
+model.reestimated_state_transitions()
+
+
+# %%
+
+
+

report/references.bib

@@ -0,0 +1,11 @@
+@misc{towards-data-science-markov-intro,
+	author = {Rocca, Joseph},
+	howpublished = {Online},
+	month = feb,
+	organization = {Towards Data Science},
+	title = {Introduction to Markov chains},
+	url = {https://towardsdatascience.com/brief-introduction-to-markov-chains-2c8cab9c98ab},
+	urldate = {2020-12-31},
+	year = {2019}
+}
+

scratchpad.ipynb

@@ -11,7 +11,8 @@
     "\n",
     "from constants import *\n",
     "from maths import gaussian\n",
-    "from markov import MarkovModel, LogMarkovModel"
+    "from markov import MarkovModel\n",
+    "from markovlog import LogMarkovModel"
    ]
   },
   {
@@ -344,7 +345,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.8.4-final"
+   "version": "3.8.6-final"
   }
  },
  "nbformat": 4,