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spm_DFP.m
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spm_DFP.m
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function [DEM] = spm_DFP(DEM)
% Dynamic free-energy Fokker-Planck free-form scheme
% FORMAT [DEM] = spm_DFP(DEM)
%
% DEM.M - hierarchical model
% DEM.Y - output or data
% DEM.U - inputs or prior expectation of causes
% DEM.X - confounds
%__________________________________________________________________________
%
% generative model
%--------------------------------------------------------------------------
% M(i).g = y(t) = g(x,v,P) {inline function, string or m-file}
% M(i).f = dx/dt = f(x,v,P) {inline function, string or m-file}
%
% M(i).pE = prior expectation of p model-parameters
% M(i).pC = prior covariances of p model-parameters
% M(i).hE = prior expectation of h hyper-parameters (input noise)
% M(i).hC = prior covariances of h hyper-parameters (input noise)
% M(i).gE = prior expectation of g hyper-parameters (state noise)
% M(i).gC = prior covariances of g hyper-parameters (state noise)
% M(i).Q = precision components (input noise)
% M(i).R = precision components (state noise)
% M(i).V = fixed precision (input noise)
% M(i).W = fixed precision (state noise)
%
% M(i).m = number of inputs v(i + 1);
% M(i).n = number of states x(i);
% M(i).l = number of output v(i);
%
% conditional moments of model-states - q(u)
%--------------------------------------------------------------------------
% qU.x = Conditional expectation of hidden states
% qU.v = Conditional expectation of causal states
% qU.e = Conditional residuals
% qU.C = Conditional covariance: cov(v)
% qU.S = Conditional covariance: cov(x)
%
% conditional moments of model-parameters - q(p)
%--------------------------------------------------------------------------
% qP.P = Conditional expectation
% qP.Pi = Conditional expectation for each level
% qP.C = Conditional covariance
%
% conditional moments of hyper-parameters (log-transformed) - q(h)
%--------------------------------------------------------------------------
% qH.h = Conditional expectation
% qH.hi = Conditional expectation for each level
% qH.C = Conditional covariance
% qH.iC = Component precision: cov(vec(e[:})) = inv(kron(iC,iV))
% qH.iV = Sequential precision
%
% F = log evidence = marginal likelihood = negative free energy
%__________________________________________________________________________
%
% spm_DFP implements a variational Bayes (VB) scheme under the Laplace
% approximation to the conditional densities of the model's, parameters (p)
% and hyperparameters (h) of any analytic nonlinear hierarchical dynamic
% model, with additive Gaussian innovations. It comprises three
% variational steps (D,E and M) that update the conditional moments of u, p
% and h respectively
%
% D: qu.u = max <L>q(p,h)
% E: qp.p = max <L>q(u,h)
% M: qh.h = max <L>q(u,p)
%
% where qu.u corresponds to the conditional expectation of hidden states x
% and causal states v and so on. L is the ln p(y,u,p,h|M) under the model
% M. The conditional covariances obtain analytically from the curvature of
% L with respect to u, p and h.
%
% The D-step is implemented with variational filtering, which does not
% assume a fixed form for the conditional density; it uses the sample
% density of an ensemble of particles that drift up free-energy gradients
% and 'explore' the local curvature though (Wiener) perturbations.
%__________________________________________________________________________
% Copyright (C) 2008 Wellcome Trust Centre for Neuroimaging
% Karl Friston
% $Id: spm_DFP.m 6540 2015-09-05 10:06:42Z karl $
% Check model, data, priros and confounds and unpack
%--------------------------------------------------------------------------
[M,Y,U,X] = spm_DEM_set(DEM);
MOVIE = 0;
% find or create a DEM figure
%--------------------------------------------------------------------------
Fdem = spm_figure('GetWin','DEM');
Fdfp = spm_figure('GetWin','DFP');
% tolerance for changes in norm
%--------------------------------------------------------------------------
TOL = 1e-2;
% order parameters (d = n = 1 for static models) and checks
%==========================================================================
d = M(1).E.d + 1; % embedding order of q(v)
n = M(1).E.n + 1; % embedding order of q(x)
s = M(1).E.s; % smoothness - s.d. of kernel (bins)
try
N = M(1).E.N; % number of particles
catch
N = 16; % number of particles
end
% number of states and parameters
%--------------------------------------------------------------------------
nY = size(Y,2); % number of samples
nl = size(M,2); % number of levels
ne = sum(cat(1,M.l)); % number of e (errors)
nv = sum(cat(1,M.m)); % number of v (casual states)
nx = sum(cat(1,M.n)); % number of x (hidden states)
ny = M(1).l; % number of y (inputs)
nc = M(end).l; % number of c (prior causes)
nu = nv*d + nx*n; % number of generalised states
kt = 1; % rate constant for D-Step
% number of iterations
%--------------------------------------------------------------------------
if nx, nD = 1; else nD = 8; end
try, nE = M(1).E.nE; catch, nE = 1; end
try, nM = M(1).E.nM; catch, nM = 8; end
try, nN = M(1).E.nN; catch, nN = 8; end
% initialise regularisation parameters
%--------------------------------------------------------------------------
td = 1/nD; % integration time for D-Step
te = 2; % integration time for E-Step
% Precision (R) and covariance of generalised errors
%--------------------------------------------------------------------------
[iV,V] = spm_DEM_R(n,s);
% precision components Q{} requiring [Re]ML estimators (M-Step)
%==========================================================================
Q = {};
for i = 1:nl
q0{i,i} = sparse(M(i).l,M(i).l);
end
for i = 1:nl - 1
r0{i,i} = sparse(M(i).n,M(i).n);
end
Q0 = kron(iV,spm_cat(q0));
R0 = kron(iV,spm_cat(r0));
for i = 1:nl
for j = 1:length(M(i).Q)
q = q0;
q{i,i} = M(i).Q{j};
Q{end + 1} = blkdiag(kron(iV,spm_cat(q)),R0);
end
end
for i = 1:nl - 1
for j = 1:length(M(i).R)
q = r0;
q{i,i} = M(i).R{j};
Q{end + 1} = blkdiag(Q0,kron(iV,spm_cat(q)));
end
end
% and fixed components P
%--------------------------------------------------------------------------
Q0 = kron(iV,spm_cat(spm_diag({M.V})));
R0 = kron(iV,spm_cat(spm_diag({M.W})));
Qp = blkdiag(Q0,R0);
nh = length(Q); % number of hyperparameters
% hyperpriors
%--------------------------------------------------------------------------
ph.h = spm_vec({M.hE; M.gE}); % prior expectation of h
ph.c = spm_cat(spm_diag({M.hC M.gC})); % prior covariances of h
ph.ic = spm_pinv(ph.c); % prior precision
qh.h = ph.h; % conditional expectation
qh.c = ph.c; % conditional covariance
% priors on parameters (in reduced parameter space)
%==========================================================================
pp.c = cell(nl,nl);
qp.p = cell(nl,1);
for i = 1:(nl - 1)
% eigenvector reduction: p <- pE + qp.u*qp.p
%----------------------------------------------------------------------
qp.u{i} = spm_svd(M(i).pC); % basis for parameters
M(i).p = size(qp.u{i},2); % number of qp.p
qp.p{i} = sparse(M(i).p,1); % initial qp.p
pp.c{i,i} = qp.u{i}'*M(i).pC*qp.u{i}; % prior covariance
end
Up = spm_cat(spm_diag(qp.u));
% initialise and augment with confound parameters B; with flat priors
%--------------------------------------------------------------------------
np = sum(cat(1,M.p)); % number of model parameters
nb = size(X,1); % number of confounds
nn = nb*ny; % number of nuisance parameters
nf = np + nn; % numer of free parameters
ip = [1:np];
ib = [1:nn] + np;
pp.c = spm_cat(pp.c);
pp.ic = spm_pinv(pp.c);
% initialise conditional density q(p) (for D-Step)
%--------------------------------------------------------------------------
qp.e = spm_vec(qp.p);
qp.c = sparse(nf,nf);
qp.b = sparse(ny,nb);
% initialise dedb
%--------------------------------------------------------------------------
for i = 1:nl
dedbi{i,1} = sparse(M(i).l,nn);
end
for i = 1:nl - 1
dndbi{i,1} = sparse(M(i).n,nn);
end
for i = 1:n
dEdb{i,1} = spm_cat(dedbi);
end
for i = 1:n
dNdb{i,1} = spm_cat(dndbi);
end
dEdb = [dEdb; dNdb];
% initialise cell arrays for D-Step; e{i + 1} = (d/dt)^i[e] = e[i]
%==========================================================================
qu.x = cell(n + 1,1);
qu.v = cell(n + 1,1);
qy = cell(n + 1,1);
qc = cell(n + 1,1);
[qu.x{:}] = deal(sparse(nx,1));
[qu.v{:}] = deal(sparse(nv,1));
[qy{:} ] = deal(sparse(ny,1));
[qc{:} ] = deal(sparse(nc,1));
% initialise cell arrays for hierarchical structure of x[0] and v[0]
%--------------------------------------------------------------------------
x = {M(1:end - 1).x};
v = {M(1 + 1:end).v};
qu.x{1} = spm_vec(x);
qu.v{1} = spm_vec(v);
qu(1:N) = deal(qu);
try xp = DEM.M(1).E.xp; catch, xp = 1; end
try vp = DEM.M(1).E.vp; catch, vp = 1; end
for i = 1:N
qu(i).x{1} = qu(i).x{1} + randn(nx,1)/xp;
qu(i).v{1} = qu(i).v{1} + randn(nv,1)/vp;
end
dq = {qu(1).x{1:n} qu(1).v{1:d} qy{1:n} qc{1:d}};
% derivatives for Jacobian of D-step
%--------------------------------------------------------------------------
Dx = cell(n,n);
Dv = cell(d,d);
Dy = cell(n,n);
Dc = cell(d,d);
[Dx{:}] = deal(sparse(nx,nx));
[Dv{:}] = deal(sparse(nv,nv));
[Dy{:}] = deal(sparse(ny,ny));
[Dc{:}] = deal(sparse(nc,nc));
% Wiener process
%--------------------------------------------------------------------------
Ix = Dx;
Iv = Dv;
for i = 1:d
Iv{i,i} = speye(nv,nv);
end
for i = 1:n
Ix{i,i} = speye(nx,nx);
end
dfdw = spm_cat(spm_diag({Ix,Iv,Dy,Dc}));
% add constant terms
%--------------------------------------------------------------------------
for i = 2:d
Dv{i - 1,i} = speye(nv,nv);
Dc{i - 1,i} = speye(nc,nc);
end
for i = 2:n
Dx{i - 1,i} = speye(nx,nx);
Dy{i - 1,i} = speye(ny,ny);
end
Du = spm_cat(spm_diag({Dx,Dv}));
Dc = spm_cat(Dc);
Dy = spm_cat(Dy);
% gradients and curvatures for conditional uncertainty
%--------------------------------------------------------------------------
dUdu = sparse(nu,1);
dUdp = sparse(nf,1);
dUduu = sparse(nu,nu);
dUdpp = sparse(nf,nf);
% preclude unneceassry iterations
%--------------------------------------------------------------------------
if ~nh, nM = 1; end
if ~nf, nE = 1; end
if ~nf && ~nh, nN = 1; end
% Iterate DEM
%==========================================================================
for iN = 1:nN
% get time and celar persistent variables in evaluation routines
%----------------------------------------------------------------------
tic; clear spm_DEM_eval
% E-Step: (with embedded D-Step)
%======================================================================
mp = zeros(nf,1);
for iE = 1:nE
% [re-]set accumulators for E-Step
%------------------------------------------------------------------
dFdp = zeros(nf,1);
dFdpp = zeros(nf,nf);
EE = sparse(0);
ECE = sparse(0);
qp.ic = sparse(0);
qu_c = speye(1);
% [re-]set precisions using ReML hyperparameter estimates
%------------------------------------------------------------------
iS = Qp;
for i = 1:nh
iS = iS + Q{i}*exp(qh.h(i));
end
% [re-]adjust for confounds
%------------------------------------------------------------------
Y = Y - qp.b*X;
% [re-]set states & their derivatives
%------------------------------------------------------------------
try
qu = QU{1};
end
% D-Step: (nD D-Steps for each sample)
%==================================================================
for iY = 1:nY
% [re-]set states for static systems
%--------------------------------------------------------------
if ~nx
try, qu = QU{iY}; end
end
% D-Step: until convergence for static systems
%==============================================================
for iD = 1:nD
% sampling time
%----------------------------------------------------------
ts = iY + (iD - 1)/nD;
% derivatives of responses and inputs
%----------------------------------------------------------
qy(1:n) = spm_DEM_embed(Y,n,ts);
qc(1:d) = spm_DEM_embed(U,d,ts);
% compute dEdb (derivatives of confounds)
%----------------------------------------------------------
b = spm_DEM_embed(X,n,ts);
for i = 1:n
dedbi{1} = -kron(b{i}',speye(ny,ny));
dEdb{i,1} = spm_cat(dedbi);
end
% moments of ensemble density
%==========================================================
q = [qu.x];
for i = 1:n + 1
qx{i} = mean([q{i,:}],2);
end
q = [qu.v];
for i = 1:n + 1
qv{i} = mean([q{i,:}],2);
end
% mean field effects
%----------------------------------------------------------
dudt = spm_vec({qx(2:n + 1)
qv(2:d + 1)
qy(2:n + 1)
qc(2:d + 1)});
if iD == nD
% ensemble covariance
%------------------------------------------------------
ux = [qu.x];
uv = [qu.v];
ux = ux(1:n,:);
uv = uv(1:d,:);
c = cov(spm_cat([ux; uv])');
% quantities for M-Step
%------------------------------------------------------
quy.x = qx;
quy.v = qv;
quy.y = qy;
quy.u = qc;
[E,dE] = spm_DEM_eval(M,quy,qp);
dE.dP = [dE.dp spm_cat(dEdb)];
qu_c = qu_c*c;
EE = E*E'+ EE;
ECE = ECE + dE.du*c*dE.du'+ dE.dP*qp.c*dE.dP';
% save states for qu(iY)
%------------------------------------------------------
qU(iY).x = qx;
qU(iY).v = qv;
qU(iY).y = qy;
qU(iY).u = qc;
qU(iY).e = E;
qU(iY).c = c;
end
% evaluate functions:
% e = v - g(x,v), dx/dt = f(x,v) and derivatives dE.dx, ...
%==========================================================
for iP = 1:N
quy.x = qu(iP).x;
quy.v = qu(iP).v;
quy.y = qy;
quy.u = qc;
[e,de] = spm_DEM_eval(M,quy,qp);
% conditional uncertainty about parameters
%======================================================
if np
for i = 1:nu
% 1st-order derivatives: dUdv, ... ;
%----------------------------------------------
CJ = qp.c(ip,ip)*de.dpu{i}'*iS;
dUdu(i,1) = trace(CJ*de.dp);
% 2nd-order derivatives
%----------------------------------------------
for j = 1:nu
dUduu(i,j) = trace(CJ*de.dpu{j});
end
end
end
% D-step update: of causes v{i}, and other states u(i)
%======================================================
% compute dqdt: q = {u y c}; and dudt: u = {v{1:d} x}
%------------------------------------------------------
dIdu = -de.du'*iS*e - dUdu/2;
% and second-order derivatives
%------------------------------------------------------
dIduu = -de.du'*iS*de.du - dUduu/2;
dIduy = -de.du'*iS*de.dy;
dIduc = -de.du'*iS*de.dc;
% gradient
%------------------------------------------------------
dFdu = dudt;
dFdu(1:nu) = dIdu + dFdu(1:nu);
% Jacobian
%------------------------------------------------------
dFduu = spm_cat({dIduu dIduy dIduc;
[] Dy [] ;
[] [] Dc}) ;
% update conditional modes of states
%------------------------------------------------------
du = spm_sde_dx(dFduu,dfdw,dFdu,td);
dq = spm_unvec(du,dq);
for i = 1:n
qu(iP).x{i} = qu(iP).x{i} + dq{i};
end
for i = 1:d
qu(iP).v{i} = qu(iP).v{i} + dq{i + n};
end
end
end % D-Step
% D-Step: save ensemble density and plot (over samples)
%--------------------------------------------------------------
QU{iY} = qu;
figure(Fdfp)
spm_DFP_plot(QU,nY)
if MOVIE
subplot(2,1,1)
set(gca,'YLim',[-0.4 1.2])
drawnow
MOV(iY) = getframe(gca);
end
% Gradients and curvatures for E-Step:
%==============================================================
for i = ip
% 1st-order derivatives: U = tr(C*J'*iS*J)
%----------------------------------------------------------
CJ = c*dE.dup{i}'*iS;
dUdp(i,1) = trace(CJ*dE.du);
% 2nd-order derivatives
%----------------------------------------------------------
for j = ip
dUdpp(i,j) = trace(CJ*dE.dup{j});
end
end
% Accumulate; dF/dP = <dL/dp>, dF/dpp = ...
%--------------------------------------------------------------
dFdp = dFdp - dUdp/2 - dE.dP'*iS*E;
dFdpp = dFdpp - dUdpp/2 - dE.dP'*iS*dE.dP;
qp.ic = qp.ic + dE.dP'*iS*dE.dP;
end % sequence (iY)
% augment with priors
%------------------------------------------------------------------
dFdp(ip) = dFdp(ip) - pp.ic*qp.e;
dFdpp(ip,ip) = dFdpp(ip,ip) - pp.ic;
qp.ic(ip,ip) = qp.ic(ip,ip) + pp.ic;
qp.c = spm_pinv(qp.ic);
% E-step: update expectation (p)
%==================================================================
% update conditional expectation
%------------------------------------------------------------------
dp = spm_dx(dFdpp,dFdp,{te});
qp.e = qp.e + dp(ip);
qp.p = spm_unvec(qp.e,qp.p);
qp.b = spm_unvec(dp(ib),qp.b);
mp = mp + dp;
% convergence (E-Step)
%------------------------------------------------------------------
if (dFdp'*dp < 1e-2) || (norm(dp,1) < TOL), break, end
end % E-Step
% M-step - hyperparameters (h = exp(l))
%======================================================================
mh = zeros(nh,1);
dFdh = zeros(nh,1);
dFdhh = zeros(nh,nh);
for iM = 1:nM
% [re-]set precisions using ReML hyperparameter estimates
%------------------------------------------------------------------
iS = Qp;
for i = 1:nh
iS = iS + Q{i}*exp(qh.h(i));
end
S = inv(iS);
dS = ECE + EE - S*nY;
% 1st-order derivatives: dFdh = dF/dh
%------------------------------------------------------------------
for i = 1:nh
dPdh{i} = Q{i}*exp(qh.h(i));
dFdh(i,1) = -trace(dPdh{i}*dS)/2;
end
% 2nd-order derivatives: dFdhh
%------------------------------------------------------------------
for i = 1:nh
for j = 1:nh
dFdhh(i,j) = -trace(dPdh{i}*S*dPdh{j}*S*nY)/2;
end
end
% hyperpriors
%------------------------------------------------------------------
qh.e = qh.h - ph.h;
dFdh = dFdh - ph.ic*qh.e;
dFdhh = dFdhh - ph.ic;
% update ReML estimate of parameters
%------------------------------------------------------------------
dh = spm_dx(dFdhh,dFdh);
qh.h = qh.h + dh;
mh = mh + dh;
% conditional covariance of hyperparameters
%------------------------------------------------------------------
qh.c = -spm_pinv(dFdhh);
% convergence (M-Step)
%------------------------------------------------------------------
if (dFdh'*dh < 1e-2) || (norm(dh,1) < TOL), break, end
end % M-Step
% evaluate objective function (F)
%======================================================================
F(iN) = - trace(iS*EE)/2 ... % states (u)
- trace(qp.e'*pp.ic*qp.e)/2 ... % parameters (p)
- trace(qh.e'*ph.ic*qh.e)/2 ... % hyperparameters (h)
+ spm_logdet(qu_c)/2 ... % entropy q(u)
+ spm_logdet(qp.c)/2 ... % entropy q(p)
+ spm_logdet(qh.c)/2 ... % entropy q(h)
- spm_logdet(pp.c)/2 ... % entropy - prior p
- spm_logdet(ph.c)/2 ... % entropy - prior h
+ spm_logdet(iS)*nY/2 ... % entropy - error
- n*ny*nY*log(2*pi)/2;
% save model-states (for each time point)
%======================================================================
for t = 1:length(qU)
v = spm_unvec(qU(t).v{1},v);
x = spm_unvec(qU(t).x{1},x);
e = spm_unvec(qU(t).e,{M.v});
for i = 1:(nl - 1)
Qu.v{i + 1}(:,t) = spm_vec(v{i});
try
Qu.x{i}(:,t) = spm_vec(x{i});
end
Qu.z{i}(:,t) = spm_vec(e{i});
end
Qu.v{1}(:,t) = spm_vec(qU(t).y{1} - e{1});
Qu.z{nl}(:,t) = spm_vec(e{nl});
% and conditional covariances
%--------------------------------------------------------------
i = [1:nx];
Qu.S{t} = qU(t).c(i,i);
i = [1:nv] + nx*n;
Qu.C{t} = qU(t).c(i,i);
end
% report and break if convergence
%------------------------------------------------------------------
figure(Fdem)
spm_DEM_qU(Qu)
if np
subplot(nl,4,4*nl)
bar(full(Up*qp.e))
xlabel({'parameters';'{minus prior}'})
axis square, grid on
end
if length(F) > 2
subplot(nl,4,4*nl - 1)
plot(F(2:end))
xlabel('iteractions')
title('Log-evidence')
axis square, grid on
end
drawnow
% report (EM-Steps)
%------------------------------------------------------------------
str{1} = sprintf('DEM: %i (%i:%i:%i)',iN,iD,iE,iM);
str{2} = sprintf('F:%.6e',full(F(iN)));
str{3} = sprintf('p:%.2e',full(mp'*mp));
str{4} = sprintf('h:%.2e',full(mh'*mh));
str{5} = sprintf('(%.2e sec)',full(toc));
fprintf('%-16s%-16s%-14s%-14s%-16s\n',str{:})
if norm(mp) < TOL && norm(mh) < TOL, break, end
end
% Assemble output arguments
%==========================================================================
% conditional moments of model-parameters (rotated into original space)
%--------------------------------------------------------------------------
qP.P = spm_unvec(Up*qp.e + spm_vec(M.pE),M.pE);
qP.C = Up*qp.c(ip,ip)*Up';
qP.V = spm_unvec(diag(qP.C),M.pE);
% conditional moments of hyper-parameters (log-transformed)
%--------------------------------------------------------------------------
qH.h = spm_unvec(qh.h,{{M.hE} {M.gE}});
qH.g = qH.h{2};
qH.h = qH.h{1};
qH.C = qh.c;
qH.V = spm_unvec(diag(qH.C),{{M.hE} {M.gE}});
qH.W = qH.V{2};
qH.V = qH.V{1};
% assign output variables
%--------------------------------------------------------------------------
DEM.M = M;
DEM.U = U; % causes
DEM.X = X; % confounds
DEM.QU = QU; % sample density of model-states
DEM.qU = Qu; % conditional moments of model-states
DEM.qP = qP; % conditional moments of model-parameters
DEM.qH = qH; % conditional moments of hyper-parameters
DEM.F = F; % [-ve] Free energy
% set ButtonDownFcn
%--------------------------------------------------------------------------
if MOVIE
figure(Fdfp), subplot(2,1,1)
set(gca,'Userdata',{MOV,16})
set(gca,'ButtonDownFcn','spm_DEM_ButtonDownFcn')
end