Function get_signals

hmm_class/generate_c.py:57–70

(N=20, T=100, init=big_init)

    return M, K, D, pi, A, R, mu, sigma

def get_signals(N=20, T=100, init=big_init):
    M, K, D, pi, A, R, mu, sigma = init()
    X = []
    for n in range(N):
        x = np.zeros((T, D))
        s = 0 # initial state is 0 since pi[0] = 1
        r = np.random.choice(K, p=R[s]) # choose mixture
        x[0] = np.random.multivariate_normal(mu[s][r], sigma[s][r])
        for t in range(1, T):
            s = np.random.choice(M, p=A[s]) # choose state
            r = np.random.choice(K, p=R[s]) # choose mixture
            x[t] = np.random.multivariate_normal(mu[s][r], sigma[s][r])
        X.append(x)
    return X

if __name__ == '__main__':
    T = 500