使用C# 实现期望最大化算法

        期望最大化算法（Expectation-Maximization Algorithm，简称EM算法）是一种迭代优化算法，主要用于估计含有隐变量（latent variables）的概率模型参数。它在机器学习和统计学中有着广泛的应用，包括但不限于高斯混合模型（Gaussian Mixture Model, GMM）、隐马尔可夫模型（Hidden Markov Model, HMM）以及各种聚类和分类问题。

        算法由两步组成：E-step（期望步骤）和M-step（最大化步骤）。

首先，我们需要定义一些必要的数学函数和类。这里是一个简化版的EM算法实现，用于估计高斯混合模型的参数：

using System;
using System.Linq;

public class GaussianMixtureModel
{
    private double[][] data;
    private double[] weights;
    private double[] means;
    private double[] variances;

    public GaussianMixtureModel(double[][] data, int numComponents)
    {
        this.data = data;
        weights = Enumerable.Repeat(1.0 / numComponents, numComponents).ToArray();
        means = new double[numComponents];
        variances = new double[numComponents];

        // Initialize means and variances randomly.
        Random random = new Random();
        for (int i = 0; i < numComponents; i++)
        {
            means[i] = random.NextDouble() * 10;
            variances[i] = random.NextDouble() * 10 + 1;
        }
    }

    private double GaussianPdf(double x, double mean, double variance)
    {
        double exponent = Math.Exp(-Math.Pow(x - mean, 2) / (2 * variance));
        return (1 / Math.Sqrt(2 * Math.PI * variance)) * exponent;
    }

    public void ExpectationMaximization(int maxIterations)
    {
        for (int iteration = 0; iteration < maxIterations; iteration++)
        {
            // E-step
            double[,] responsibilities = new double[data.Length, weights.Length];
            for (int i = 0; i < data.Length; i++)
            {
                double denominator = 0;
                for (int k = 0; k < weights.Length; k++)
                {
                    responsibilities[i, k] = weights[k] * GaussianPdf(data[i][0], means[k], variances[k]);
                    denominator += responsibilities[i, k];
                }
                for (int k = 0; k < weights.Length; k++)
                {
                    responsibilities[i, k] /= denominator;
                }
            }

            // M-step
            for (int k = 0; k < weights.Length; k++)
            {
                double weightDenominator = 0;
                double meanNumerator = 0;
                for (int i = 0; i < data.Length; i++)
                {
                    weightDenominator += responsibilities[i, k];
                    meanNumerator += responsibilities[i, k] * data[i][0];
                }
                means[k] = meanNumerator / weightDenominator;
                variances[k] = data.Sum(i => responsibilities[i, k] * Math.Pow(data[i][0] - means[k], 2)) / weightDenominator;
                weights[k] = weightDenominator / data.Length;
            }
        }
    }
}

这个类GaussianMixtureModel初始化了一个具有指定数量组件的高斯混合模型，并通过ExpectationMaximization方法执行了EM算法。

原文地址：https://blog.csdn.net/u013528853/article/details/140351308

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