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Diffstat (limited to 'sourcecodes/bnt-master/KPMtools/em_converged.m')
| -rw-r--r-- | sourcecodes/bnt-master/KPMtools/em_converged.m | 32 |
1 files changed, 32 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/KPMtools/em_converged.m b/sourcecodes/bnt-master/KPMtools/em_converged.m new file mode 100644 index 00000000..2b2919e2 --- /dev/null +++ b/sourcecodes/bnt-master/KPMtools/em_converged.m @@ -0,0 +1,32 @@ +function [converged, decrease] = em_converged(loglik, previous_loglik, threshold, check_increased) +% EM_CONVERGED Has EM converged? +% [converged, decrease] = em_converged(loglik, previous_loglik, threshold) +% +% We have converged if the slope of the log-likelihood function falls below 'threshold', +% i.e., |f(t) - f(t-1)| / avg < threshold, +% where avg = (|f(t)| + |f(t-1)|)/2 and f(t) is log lik at iteration t. +% 'threshold' defaults to 1e-4. +% +% This stopping criterion is from Numerical Recipes in C p423 +% +% If we are doing MAP estimation (using priors), the likelihood can decrase, +% even though the mode of the posterior is increasing. + +if nargin < 3, threshold = 1e-4; end +if nargin < 4, check_increased = 1; end + +converged = 0; +decrease = 0; + +if check_increased + if loglik - previous_loglik < -1e-3 % allow for a little imprecision + fprintf(1, '******likelihood decreased from %6.4f to %6.4f!\n', previous_loglik, loglik); + decrease = 1; +converged = 0; +return; + end +end + +delta_loglik = abs(loglik - previous_loglik); +avg_loglik = (abs(loglik) + abs(previous_loglik) + eps)/2; +if (delta_loglik / avg_loglik) < threshold, converged = 1; end |
