Nothing
dmixture = function(x, para, lambda){
lambda[1]*dbeta(x, para[1], 1) + (1 - lambda[1])*dbeta(x, 1, para[2])
}
pmixture = function(x, para, lambda){
lambda[1]*pbeta(x, para[1], 1) + (1 - lambda[1])*pbeta(x, 1, para[2])
}
qmix <- function(p,a,lambda,nbisect=20){
n <- length(p)
mid <- rep(0,n)
top <- rep(1,n)
bot <- rep(0,n)
gohigher <- rep(FALSE,n)
for (j in 1:nbisect){
mid <- (top+bot)/2
gohigher <- (pmixture(mid,a,lambda)<p)
bot[gohigher] <- mid[gohigher]
top[!gohigher] <- mid[!gohigher]
}
return(mid)
}
rmix <- function(n,a,lambda){
u<-runif(n)
return(qmix(u,a,lambda))
}
getComponent = function(x, i, para){
if(i == 1)
return(dbeta(x, para[1], 1))
else
return(dbeta(x, 1, para[2]))
}
loglik = function(para, X, lambda){
para = exp(para) + 1
-sum(log(dmixture(X, para, lambda)))
}
bmixture.mle = function(X, para, lambda){
res <- optim(log(para) - 1, fn=loglik, X=X,lambda=lambda, method="L-BFGS-B", upper=5, lower=-10)
list(para=exp(res$par) + 1, lambda=lambda, logLik=res$value+1e-50)
}
beta.EM = function(X, alpha=1.5, beta=5, lambda=0.5, tol=1e-4){
converged <- FALSE
para <- c(alpha, beta)
ncomp <- 2
lambda = c(lambda, 1-lambda)
cat("start values: (alpha, beta) = ", para, "lambda = ",lambda,"\n")
logLik <- 0
Z <- matrix(0,nrow=length(X),ncol=ncomp)
while(!converged){
# E-step
for(i in 1:ncomp)
Z[,i] <- lambda[i]*getComponent(X,i,para)/dmixture(X, para, lambda)
lambdanew <- apply(Z,2,mean, na.rm=TRUE)
# M-step
paras <- bmixture.mle(X,para,lambdanew)
converged <- (abs(logLik/paras$logLik - 1) < tol)
para <- paras$para
lambda <- lambdanew
logLik <- paras$logLik
cat("logLik = ", logLik, "(alpha, beta) = ", para, "lambda = ",lambda,"\n")
}
print("converged!")
hist(X,probability=TRUE, main="histogram")
x <- 1:100/100
lines(x,dmixture(x,para,lambda),lwd=3)
lines(x,lambda[1]*dbeta(x, para[1], 1),lwd=2,col="red")
lines(x,lambda[2]*dbeta(x, 1, para[2]),lwd=2,col="green")
return(list(para=para,lambda=lambda,Z=Z,logLik=logLik))
}
suggestThreshold = function(prob, fpr=0.001){
em = beta.EM(prob)
tau1 = qbeta(1 - fpr, 1, em$para[2])
# tau2 = optim(0.5, fn=function(x) 0.5*(log(beta(1, em$para[2])) - log(beta(em$para[1], 1)) + (em$para[1] - 1)*log(x) - (em$para[2] - 1)*log(1 - x) - lor)^2,
# gr=function(x) 1/log(2)*(1/x * (em$para[1] - 1) - (em$para[2] - 1)/(x-1)), lower=0.01, upper=0.99)$par
#print(tau1)
#print(tau2)
#pmax(tau1, tau2)
tau1
}
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