www.gusucode.com > matlab写的贝叶斯的压缩感知的代码 > BCS_CODE\bcs_ver0.1\BCS_demo\BCS_fast_rvm.m

    function [weights,used,sigma2,errbars,basis] = BCS_fast_rvm(PHI,t,sigma2,eta,adaptive,optimal,scale)
%------------------------------------------------------------------
% The BCS algorithm for the following paper:
% "Bayesian Compressive Sesning" (Preprint, 2007). The algorithm 
% adopts from the fast RVM algorithm [Tipping & Faul, 2003].
% Coded by: Shihao Ji, ECE, Duke University
% last change: Jan. 2, 2007
% You are suggested to use mt_CS.m for improved robustness
%------------------------------------------------------------------
% Input for BCS:
%   PHI: projection matrix
%   t:   CS measurements
%   sigma2: initial noise variance
%      If measurement noise exists and/or w is not truely sparse, 
%             then sigma2 = std(t)^2/1e2 (suggested)
%      If no measurement noise and w is truely sparse,
%             then sigma2 = std(t)^2/1e6 (suggested)
%      This term is in fact not updated in the implementation to allow 
%      the fast algorithm. For this reason, you are recommended to use
%      mt_CS.m, in which the noise variance is marginalized.
%   eta: threshold for stopping the algorithm (suggested value: 1e-8)
% Input for Adaptive CS:
%   adaptive: generate basis for adpative CS? (default: 0)
%   optimal: use the rigorous implementation of adaptive CS? (default: 1)
%   scale: diagonal loading parameter (default: 0.1)
% Output:
%   weights:  sparse weights
%   used:     the positions of sparse weights
%   sigma2:   re-estimated noise variance
%   errbars:  one standard deviation around the sparse weights
%   basis:    if adaptive==1, then basis = the next projection vector
%
if nargin < 5
    adaptive = 0;
end
if nargin < 6
    optimal = 1;
end
if nargin < 7
    scale = 0.1;
end

% find initial alpha
[N,M] = size(PHI);
PHIt = PHI'*t;
PHI2 = sum(PHI.^2)';
ratio = (PHIt.^2)./PHI2;
[maxr,index] = max(ratio);
alpha = PHI2(index)/(maxr-sigma2);
% compute initial mu, Sig, S, Q
phi = PHI(:,index);
Hessian = alpha + phi'*phi/sigma2;
Sig = 1/Hessian;
mu = Sig*PHIt(index)/sigma2;
left = PHI'*phi/sigma2;
S = PHI2/sigma2-Sig*left.^2;
Q = PHIt/sigma2-Sig*PHIt(index)/sigma2*left;
%
for count = 1:10000

    s = S; q = Q;
    s(index) = alpha.*S(index)./(alpha-S(index));
    q(index) = alpha.*Q(index)./(alpha-S(index));
    theta = q.^2-s;

    % choice the next alpha that maximizes marginal likelihood
    ml = -inf*ones(1,M);
    ig0 = find(theta>0);
    % index for re-estimate
    [ire,foo,which] = intersect(ig0,index);
    if ~isempty(ire)
        Alpha = s(ire).^2./theta(ire);
        delta = (alpha(which)-Alpha)./(Alpha.*alpha(which));
        ml(ire) = Q(ire).^2.*delta./(S(ire).*delta+1)-log(1+S(ire).*delta);
    end
    % index for adding
    iad = setdiff(ig0,ire);
    if ~isempty(iad)
        ml(iad) = (Q(iad).^2-S(iad))./S(iad)+log(S(iad)./(Q(iad).^2));
    end
    is0 = setdiff([1:M],ig0);
    % index for deleting
    [ide,foo,which] = intersect(is0,index);
    if ~isempty(ide)
        ml(ide) = Q(ide).^2./(S(ide)-alpha(which))-log(1-S(ide)./alpha(which));
    end

    [ML(count),idx] = max(ml);
    % check if terminates?
    if count > 2 & abs(ML(count)-ML(count-1)) < abs(ML(count)-ML(1))*eta
        break;
    end

    % update alphas
    which = find(index==idx);
    if theta(idx) > 0
        if ~isempty(which) % re-estimate
            Alpha = s(idx)^2/theta(idx);
            Sigii = Sig(which,which); mui = mu(which); Sigi = Sig(:,which);
            delta = Alpha-alpha(which);
            ki = delta/(1+Sigii*delta);
            mu = mu-ki*mui*Sigi;
            Sig = Sig-ki*Sigi*Sigi';
            comm = PHI'*(phi*Sigi)/sigma2;
            S = S + ki*comm.^2;
            Q = Q + ki*mui*comm;
            %
            alpha(which) = Alpha;
        else % adding
            Alpha = s(idx)^2/theta(idx);
            phii = PHI(:,idx); Sigii = 1/(Alpha+S(idx)); mui = Sigii*Q(idx);
            comm1 = Sig*(phi'*phii)/sigma2;
            ei = phii-phi*comm1;
            off = -Sigii*comm1;
            Sig = [Sig+Sigii*comm1*comm1', off; off', Sigii];
            mu = [mu-mui*comm1; mui];
            comm2 = PHI'*ei/sigma2;
            S = S - Sigii*comm2.^2;
            Q = Q - mui*comm2;
            %
            index = [index;idx];
            alpha = [alpha;Alpha];
            phi = [phi,phii];
        end
    else
        if ~isempty(which) % deleting
            Sigii = Sig(which,which); mui = mu(which); Sigi = Sig(:,which);
            Sig = Sig-Sigi*Sigi'/Sigii; Sig(:,which) = []; Sig(which,:) = [];
            mu  = mu-mui/Sigii*Sigi; mu(which) = [];
            comm = PHI'*(phi*Sigi)/sigma2;
            S = S + comm.^2/Sigii;
            Q = Q + mui/Sigii*comm;
            %
            index(which) = [];
            alpha(which) = [];
            phi(:,which) = [];
        end
    end

end
weights	= mu;
used = index;
% re-estimated sigma2
sigma2 = sum((t-phi*mu).^2)/(N-length(index)+alpha'*diag(Sig)); 
errbars = sqrt(diag(Sig));

% generate a basis for adaptive CS?
if adaptive
    if optimal
        [V,D] = eig(Sig);
        [foo,idx] = max(diag(D));
        basis = V(:,idx)';
    else
        temp = phi'*phi/sigma2;
        Sig_inv = temp + scale*mean(diag(temp))*eye(length(used));
        [V,D] = eig(Sig_inv);
        [foo,idx] = min(diag(D));
        basis = V(:,idx)';
    end
end