データマイニングによる異常検知 共立出版 山西健司先生

#SDEM p.23

library(mvtnorm)

data(iris)

data=iris[1:150,]

X=data[,!(colnames(data) %in% "Species")]

X=matrix(as.numeric(unlist(X)),ncol=ncol(X))



#初期パラメータ

r=0.01

k=3

alpha=3

mu=matrix(sample(1:9,k*ncol(X),replace=T)/100,ncol=ncol(X))

mu_bar=mu

lam=diag(rep(1,ncol(X)))

for(j in 1:(k-1)){
  
lam=cbind(lam,diag(rep(1,ncol(X))))  
  
}

lam_bar=lam

c=rep(1,k)/k


loglik_vec=c()


for(l in 1:nrow(X)){
  
mu_pre=mu;lam_pre=lam  

x=X[l,]  
  
sum_p=c()

val=array(0,dim=c(nrow(X),k))
  
for(i in 1:k){
  
sig=lam[,(ncol(X)*(i-1)+1):(i*ncol(X))]  
  
sum_p=c(sum_p,dmvnorm(x,mu[i,],sig)*c[i])
  
val[,i]=dmvnorm(X[1:nrow(X),],mu[i,],sig)

}

loglik=log(val%*%c)

loglik_vec=c(loglik_vec,sum(loglik))

print(paste0(l,":",sum(loglik*r*(1-r)^(nrow(X)-c(1:nrow(X))))))

gam=(1-alpha*r)*sum_p/sum(sum_p)+alpha*r/k
  
c=(1-r)*c+r*gam

mu_bar=(1-r)*mu_bar+r*t(t(c(gam)))%*%t(as.numeric(x)) 

mu=mu_bar/c

lam_bar=(1-r)*lam_bar
  
for(i in 1:k){
  
lam_bar[,(ncol(X)*(i-1)+1):(i*ncol(X))]=lam_bar[,(ncol(X)*(i-1)+1):(i*ncol(X))]+r*gam[i]*t(t(as.numeric(x)))%*%t(as.numeric(x))  
  
lam[,(ncol(X)*(i-1)+1):(i*ncol(X))]=lam_bar[,(ncol(X)*(i-1)+1):(i*ncol(X))]/c[i]-t(t(c(mu[i,])))%*%t(c(mu[i,]))

}


}

#SDAR p.52　確認中

data("AirPassengers")

values=c(AirPassengers)

k=3

x=array(0,dim=c((length(values)-k),k))

y=c()

for(j in 1:(length(values)-k)){

vec=values[j:(j+k-1)]  

x[j,]=vec

y=c(y,(values[k+j]))

}

mu=1

r=0.00001

w=rep(1,k)

Cj=rep(1,k+1)

sig=1


for(l in (k+1):nrow(X)){

mu=mu*(1-r)+r*values[l]  

for(j in 1:(k+1)){

Cj[j]=Cj[j]*(1-r)+r*(values[l]-mu)*(values[l-(j-1)]-mu)  

}

mat=array(0,dim=c(k,k))

for(i in 1:k){

mat[i:k,i]=Cj[1:(k-(i-1))]  

}

w=solve(mat,Cj[-1])

pre=(x-mu)%*%w+mu

sig=(1-r)*sig+r*sum((y-pre)^2)

loglik=-(nrow(X)-k)*log(sqrt(sig))-sum((y-pre)^2)/(2*sig)

print(loglik)



}

#混合正規分布の最尤推定 p.122

library(mvtnorm)

data(iris)

data=iris[1:150,]

X=data[,!(colnames(data) %in% "Species")]

X=matrix(as.numeric(unlist(X)),ncol=ncol(X))

X=t((t(X)-apply(X,2,mean))/apply(X,2,sd))


#初期パラメータ


k=3

mu=matrix(sample(1:9,k*ncol(X),replace=T)/100,ncol=ncol(X))

lam=diag(rep(1,ncol(X)))

for(j in 1:(k-1)){
  
lam=cbind(lam,diag(rep(1,ncol(X))))  
  
}

c=rep(1,k)/k

ite=100


for(l in 1:ite){
  
sum_p=array(0,dim=c(nrow(X),k))

val=array(0,dim=c(l,k))
  
for(i in 1:k){
  
sig=lam[,(ncol(X)*(i-1)+1):(i*ncol(X))]  
  
sum_p[,i]=dmvnorm(X,mu[i,],sig)
  
}

val=sum_p

loglik=log(ifelse(val%*%c>0,val%*%c,1))

loglik_vec=c(loglik_vec,sum(loglik))

print(paste0(l,":",sum(loglik)))

cp=(t(sum_p)*c)

gam=t(cp)/apply(cp,2,sum)
  
c=apply(t(cp)/apply(cp,2,sum),2,mean)

mu=t(t(X)%*%gam)/apply(gam,2,sum)

for(i in 1:k){
  
lam[,(ncol(X)*(i-1)+1):(i*ncol(X))]=t(X)%*%diag(c(gam[,i]/sum(gam[,i])))%*%X-t(t(c(mu[i,])))%*%t(c(mu[i,]))

}

}