**Note to Amazon EC2 users**: To conserve memory, make sure to stop all the other notebooks before running this notebook.

```
In [1]:
```import graphlab as gl
import numpy as np
import matplotlib.pyplot as plt
import copy
from scipy.stats import multivariate_normal
%matplotlib inline
'''Check GraphLab Create version'''
from distutils.version import StrictVersion
assert (StrictVersion(gl.version) >= StrictVersion('1.8.5')), 'GraphLab Create must be version 1.8.5 or later.'

```
```

In this section, you will implement the EM algorithm. We will take the following steps:

- Create some synthetic data.
- Provide a log likelihood function for this model.
- Implement the EM algorithm.
- Visualize the progress of the parameters during the course of running EM.
- Visualize the convergence of the model.

To help us develop and test our implementation, we will generate some observations from a mixture of Gaussians and then run our EM algorithm to discover the mixture components. We'll begin with a function to generate the data, and a quick plot to visualize its output for a 2-dimensional mixture of three Gaussians.

Now we will create a function to generate data from a mixture of Gaussians model.

```
In [2]:
```def generate_MoG_data(num_data, means, covariances, weights):
""" Creates a list of data points """
num_clusters = len(weights)
data = []
for i in range(num_data):
# Use np.random.choice and weights to pick a cluster id greater than or equal to 0 and less than num_clusters.
k = np.random.choice(len(weights), 1, p=weights)[0]
# Use np.random.multivariate_normal to create data from this cluster
x = np.random.multivariate_normal(means[k], covariances[k])
data.append(x)
return data

```
In [3]:
```# Model parameters
init_means = [
[5, 0], # mean of cluster 1
[1, 1], # mean of cluster 2
[0, 5] # mean of cluster 3
]
init_covariances = [
[[.5, 0.], [0, .5]], # covariance of cluster 1
[[.92, .38], [.38, .91]], # covariance of cluster 2
[[.5, 0.], [0, .5]] # covariance of cluster 3
]
init_weights = [1/4., 1/2., 1/4.] # weights of each cluster
# Generate data
np.random.seed(4)
data = generate_MoG_data(100, init_means, init_covariances, init_weights)

```
In [4]:
```plt.figure()
d = np.vstack(data)
plt.plot(d[:,0], d[:,1],'ko')
plt.rcParams.update({'font.size':16})
plt.tight_layout()

```
```

We provide a function to calculate log likelihood for mixture of Gaussians. The log likelihood quantifies the probability of observing a given set of data under a particular setting of the parameters in our model. We will use this to assess convergence of our EM algorithm; specifically, we will keep looping through EM update steps until the log likehood ceases to increase at a certain rate.

```
In [6]:
```def log_sum_exp(Z):
""" Compute log(\sum_i exp(Z_i)) for some array Z."""
return np.max(Z) + np.log(np.sum(np.exp(Z - np.max(Z))))
def loglikelihood(data, weights, means, covs):
""" Compute the loglikelihood of the data for a Gaussian mixture model with the given parameters. """
num_clusters = len(means)
num_dim = len(data[0])
ll = 0
for d in data:
Z = np.zeros(num_clusters)
for k in range(num_clusters):
# Compute (x-mu)^T * Sigma^{-1} * (x-mu)
delta = np.array(d) - means[k]
exponent_term = np.dot(delta.T, np.dot(np.linalg.inv(covs[k]), delta))
# Compute loglikelihood contribution for this data point and this cluster
Z[k] += np.log(weights[k])
Z[k] -= 1/2. * (num_dim * np.log(2*np.pi) + np.log(np.linalg.det(covs[k])) + exponent_term)
# Increment loglikelihood contribution of this data point across all clusters
ll += log_sum_exp(Z)
return ll

You will now complete an implementation that can run EM on the data you just created. It uses the `loglikelihood`

function we provided above.

Fill in the places where you find ## YOUR CODE HERE. There are seven places in this function for you to fill in.

Hint: Some useful functions

- multivariate_normal.pdf: lets you compute the likelihood of seeing a data point in a multivariate Gaussian distribution.
- np.outer: comes in handy when estimating the covariance matrix from data.

```
In [7]:
```def EM(data, init_means, init_covariances, init_weights, maxiter=1000, thresh=1e-4):
# Make copies of initial parameters, which we will update during each iteration
means = init_means[:]
covariances = init_covariances[:]
weights = init_weights[:]
# Infer dimensions of dataset and the number of clusters
num_data = len(data)
num_dim = len(data[0])
num_clusters = len(means)
# Initialize some useful variables
resp = np.zeros((num_data, num_clusters))
ll = loglikelihood(data, weights, means, covariances)
ll_trace = [ll]
for i in range(maxiter):
if i % 5 == 0:
print("Iteration %s" % i)
# E-step: compute responsibilities
# Update resp matrix so that resp[j, k] is the responsibility of cluster k for data point j.
# Hint: To compute likelihood of seeing data point j given cluster k, use multivariate_normal.pdf.
for j in range(num_data):
for k in range(num_clusters):
# YOUR CODE HERE
resp[j, k] = weights[k] * multivariate_normal.pdf(data[j], means[k], covariances[k])
row_sums = resp.sum(axis=1)[:, np.newaxis]
resp = resp / row_sums # normalize over all possible cluster assignments
# M-step
# Compute the total responsibility assigned to each cluster, which will be useful when
# implementing M-steps below. In the lectures this is called N^{soft}
counts = np.sum(resp, axis=0)
for k in range(num_clusters):
# Update the weight for cluster k using the M-step update rule for the cluster weight, \hat{\pi}_k.
# YOUR CODE HERE
weights[k] = counts[k] / num_data
# Update means for cluster k using the M-step update rule for the mean variables.
# This will assign the variable means[k] to be our estimate for \hat{\mu}_k.
weighted_sum = 0
for j in range(num_data):
# YOUR CODE HERE
weighted_sum += resp[j, k] * data[j]
# YOUR CODE HERE
means[k] = weighted_sum / counts[k]
# Update covariances for cluster k using the M-step update rule for covariance variables.
# This will assign the variable covariances[k] to be the estimate for \hat{\Sigma}_k.
weighted_sum = np.zeros((num_dim, num_dim))
for j in range(num_data):
# YOUR CODE HERE (Hint: Use np.outer on the data[j] and this cluster's mean)
weighted_sum += resp[j, k] * np.outer(data[j] - means[k], data[j] - means[k])
# YOUR CODE HERE
covariances[k] = weighted_sum / counts[k]
# Compute the loglikelihood at this iteration
# YOUR CODE HERE
ll_latest = loglikelihood(data, weights, means, covariances)
ll_trace.append(ll_latest)
# Check for convergence in log-likelihood and store
if (ll_latest - ll) < thresh and ll_latest > -np.inf:
break
ll = ll_latest
if i % 5 != 0:
print("Iteration %s" % i)
out = {'weights': weights, 'means': means, 'covs': covariances, 'loglik': ll_trace, 'resp': resp}
return out

```
In [8]:
```np.random.seed(4)
# Initialization of parameters
chosen = np.random.choice(len(data), 3, replace=False)
initial_means = [data[x] for x in chosen]
initial_covs = [np.cov(data, rowvar=0)] * 3
initial_weights = [1/3.] * 3
# Run EM
results = EM(data, initial_means, initial_covs, initial_weights)

```
```

**Note**. Like k-means, EM is prone to converging to a local optimum. In practice, you may want to run EM multiple times with different random initialization. We have omitted multiple restarts to keep the assignment reasonably short. For the purpose of this assignment, we assign a particular random seed (`seed=4`

) to ensure consistent results among the students.

**Checkpoint**. For this particular example, the EM algorithm is expected to terminate in 23 iterations. That is, the last line of the log should say "Iteration 22". If your function stopped too early or too late, you should re-visit your code.

Our algorithm returns a dictionary with five elements:

- 'loglik': a record of the log likelihood at each iteration
- 'resp': the final responsibility matrix
- 'means': a list of K means
- 'covs': a list of K covariance matrices
- 'weights': the weights corresponding to each model component

**Quiz Question**: What is the weight that EM assigns to the first component after running the above codeblock?

```
In [10]:
```# Your code here
results['weights']

```
Out[10]:
```

**Quiz Question**: Using the same set of results, obtain the mean that EM assigns the second component. What is the mean in the first dimension?

```
In [11]:
```# Your code here
results['means']

```
Out[11]:
```

**Quiz Question**: Using the same set of results, obtain the covariance that EM assigns the third component. What is the variance in the first dimension?

```
In [15]:
```# Your code here
results['covs']

```
Out[15]:
```

One useful feature of testing our implementation on low-dimensional simulated data is that we can easily visualize the results.

We will use the following `plot_contours`

function to visualize the Gaussian components over the data at three different points in the algorithm's execution:

- At initialization (using initial_mu, initial_cov, and initial_weights)
- After running the algorithm to completion
- After just 12 iterations (using parameters estimates returned when setting
`maxiter=12`

)

```
In [16]:
```import matplotlib.mlab as mlab
def plot_contours(data, means, covs, title):
plt.figure()
plt.plot([x[0] for x in data], [y[1] for y in data],'ko') # data
delta = 0.025
k = len(means)
x = np.arange(-2.0, 7.0, delta)
y = np.arange(-2.0, 7.0, delta)
X, Y = np.meshgrid(x, y)
col = ['green', 'red', 'indigo']
for i in range(k):
mean = means[i]
cov = covs[i]
sigmax = np.sqrt(cov[0][0])
sigmay = np.sqrt(cov[1][1])
sigmaxy = cov[0][1]/(sigmax*sigmay)
Z = mlab.bivariate_normal(X, Y, sigmax, sigmay, mean[0], mean[1], sigmaxy)
plt.contour(X, Y, Z, colors = col[i])
plt.title(title)
plt.rcParams.update({'font.size':16})
plt.tight_layout()

```
In [17]:
```# Parameters after initialization
plot_contours(data, initial_means, initial_covs, 'Initial clusters')

```
```

```
In [18]:
```# Parameters after running EM to convergence
results = EM(data, initial_means, initial_covs, initial_weights)
plot_contours(data, results['means'], results['covs'], 'Final clusters')

```
```

```
In [19]:
```# YOUR CODE HERE
results = EM(data, initial_means, initial_covs, initial_weights, maxiter=12)
plot_contours(data, results['means'], results['covs'], 'Clusters after 12 iterations')

```
```

**Quiz Question**: Plot the loglikelihood that is observed at each iteration. Is the loglikelihood plot monotonically increasing, monotonically decreasing, or neither [multiple choice]?

```
In [21]:
```results = EM(data, initial_means, initial_covs, initial_weights)

```
```

```
In [22]:
```# YOUR CODE HERE
loglikelihoods = results['loglik']

```
In [23]:
```plt.plot(range(len(loglikelihoods)), loglikelihoods, linewidth=4)
plt.xlabel('Iteration')
plt.ylabel('Log-likelihood')
plt.rcParams.update({'font.size':16})
plt.tight_layout()

```
```

Now that we're confident in our implementation of the EM algorithm, we'll apply it to cluster some more interesting data. In particular, we have a set of images that come from four categories: sunsets, rivers, trees and forests, and cloudy skies. For each image we are given the average intensity of its red, green, and blue pixels, so we have a 3-dimensional representation of our data. Our goal is to find a good clustering of these images using our EM implementation; ideally our algorithm would find clusters that roughly correspond to the four image categories.

To begin with, we'll take a look at the data and get it in a form suitable for input to our algorithm. The data are provided in SFrame format:

```
In [24]:
```images = gl.SFrame('images.sf')
gl.canvas.set_target('ipynb')
import array
images['rgb'] = images.pack_columns(['red', 'green', 'blue'])['X4']
images.show()

```
```

We need to come up with initial estimates for the mixture weights and component parameters. Let's take three images to be our initial cluster centers, and let's initialize the covariance matrix of each cluster to be diagonal with each element equal to the sample variance from the full data. As in our test on simulated data, we'll start by assuming each mixture component has equal weight.

This may take a few minutes to run.

```
In [25]:
```np.random.seed(1)
# Initalize parameters
init_means = [images['rgb'][x] for x in np.random.choice(len(images), 4, replace=False)]
cov = np.diag([images['red'].var(), images['green'].var(), images['blue'].var()])
init_covariances = [cov, cov, cov, cov]
init_weights = [1/4., 1/4., 1/4., 1/4.]
# Convert rgb data to numpy arrays
img_data = [np.array(i) for i in images['rgb']]
# Run our EM algorithm on the image data using the above initializations.
# This should converge in about 125 iterations
out = EM(img_data, init_means, init_covariances, init_weights)

```
```

The following sections will evaluate the results by asking the following questions:

**Convergence**: How did the log likelihood change across iterations? Did the algorithm achieve convergence?**Uncertainty**: How did cluster assignment and uncertainty evolve?**Interpretability**: Can we view some example images from each cluster? Do these clusters correspond to known image categories?

```
In [26]:
```ll = out['loglik']
plt.plot(range(len(ll)),ll,linewidth=4)
plt.xlabel('Iteration')
plt.ylabel('Log-likelihood')
plt.rcParams.update({'font.size':16})
plt.tight_layout()

```
```

```
In [27]:
```plt.figure()
plt.plot(range(3,len(ll)),ll[3:],linewidth=4)
plt.xlabel('Iteration')
plt.ylabel('Log-likelihood')
plt.rcParams.update({'font.size':16})
plt.tight_layout()

```
```