Continuing the discussion on probabilistically clustering of data, and after understanding the modelling theory of Expectation – Maximization algorithm, its time to implement it.
Referring to the same problem, where we had assumed 3 clusters.
For each of the 3 clusters, the Gaussain distribution can be defined as follows :
We also discussed that data came from a Latent variable t that knows which data point belongs to which data point with what probability.
The Bayesian model looks like :
Now the probability of the observed data given the parameters looks like :
The point to note here is that the equation below is already in its lower bound form, so no need to apply Jensen’s inequality.
E-Step
As we know, the E-step solutions is :
q(t=c) = P(t=c | Xi ., θ)
Since there are 3 clusters in our case we will need to compute the posterior distribution for our latent carriable t for all the 3 clusters.
We will apply the above equation for all the observed data points, for every cluster with respect to every point. For example, we have 100 observed data points and 3 clusters, then the matrix of the posterior on the latent variable t is of dimension – 100 x 3.
M-Step
In the M step, we maximize our lower bound variational inference w.r.t θ and use above computed posterior distribution on our latent variable t as constants.
The equation we need to maximize w.r.t θ and π1 ,π2 , π3 , is:
The priors are computed with constraint that every prior >= 0 and sum of all
prior = 1
The E step and M step are iterated a multiple times, one after the other, in a fashion that results of E step are used in M step and results of M step are used in E step. We end the iteration when the loss function stops reducing.
The loss function is the same function which we are differentiating in the M step.
The result of applying the EM algorithm on the given data set is as below:
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