gmr 2.0.3
Gaussian Mixture Regression
Requires Python: >=2.7

# gmr

> Gaussian Mixture Models (GMMs) for clustering and regression in Python.

[![Coverage](https://codecov.io/gh/AlexanderFabisch/gmr/branch/master/graph/badge.svg?token=R7hSIxb8M2)](https://codecov.io/gh/AlexanderFabisch/gmr)
[![DOI (JOSS)](https://joss.theoj.org/papers/10.21105/joss.03054/status.svg)](https://doi.org/10.21105/joss.03054)
[![DOI (Zenodo)](https://zenodo.org/badge/17119390.svg)](https://zenodo.org/badge/latestdoi/17119390)

![Example](https://raw.githubusercontent.com/AlexanderFabisch/gmr/master/gmr.png)

[(Source code of example)](https://github.com/AlexanderFabisch/gmr/blob/master/examples/plot_regression.py)

* Source code repository: https://github.com/AlexanderFabisch/gmr
* License: [New BSD / BSD 3-clause](https://github.com/AlexanderFabisch/gmr/blob/master/LICENSE)
* Releases: https://github.com/AlexanderFabisch/gmr/releases
* [API documentation](https://alexanderfabisch.github.io/gmr/)

## Documentation

### Installation

Install from [PyPI](https://pypi.python.org/pypi):

```bash
pip install gmr
```

If you want to be able to run all examples, pip can install all necessary
examples with

```bash
pip install gmr[all]
```

You can also install `gmr` from source:

```bash
pip install -e .
```

### Example

Estimate GMM from samples, sample from GMM, and make predictions:

```python
import numpy as np
from gmr import GMM

# Your dataset as a NumPy array of shape (n_samples, n_features):
X = np.random.randn(100, 2)

gmm = GMM(n_components=3, random_state=0)
gmm.from_samples(X)

# Estimate GMM with expectation maximization:
X_sampled = gmm.sample(100)

# Make predictions with known values for the first feature:
x1 = np.random.randn(20, 1)
x1_index = [0]
x2_predicted_mean = gmm.predict(x1_index, x1)
```

For more details, see:

```python
help(gmr)
```

or have a look at the
[API documentation](https://alexanderfabisch.github.io/gmr/)

You can see the results of all the examples [here](https://github.com/AlexanderFabisch/gmr/tree/master/examples/examples-with-gmr.ipynb).

You can find worked examples in [this Google Colab notebook](https://colab.research.google.com/drive/1fJK7z8Jhn04O6NxuPZMdLCsXT5HjvnyD?usp=sharing).

### How Does It Compare to scikit-learn?

There is an implementation of Gaussian Mixture Models for clustering in
[scikit-learn](https://scikit-learn.org/stable/modules/generated/sklearn.mixture.GaussianMixture.html)
as well. Regression could not be easily integrated in the interface of
sklearn. That is the reason why I put the code in a separate repository.
It is possible to initialize GMR from sklearn though:

```python
from sklearn.mixture import GaussianMixture
from gmr import GMM
gmm_sklearn = GaussianMixture(n_components=3, covariance_type="diag")
gmm_sklearn.fit(X)
gmm = GMM(
    n_components=3, priors=gmm_sklearn.weights_, means=gmm_sklearn.means_,
    covariances=np.array([np.diag(c) for c in gmm_sklearn.covariances_]))
```

For model selection with sklearn we furthermore provide an optional
regressor interface.


### Gallery

![](https://raw.githubusercontent.com/AlexanderFabisch/gmr/master/doc/sklearn_initialization.png)

[Diagonal covariances](https://github.com/AlexanderFabisch/gmr/blob/master/examples/plot_iris_from_sklearn.py)

![](https://raw.githubusercontent.com/AlexanderFabisch/gmr/master/doc/confidence_sampling.png)

[Sample from confidence interval](https://github.com/AlexanderFabisch/gmr/blob/master/examples/plot_sample_mvn_confidence_interval.py)

![](https://raw.githubusercontent.com/AlexanderFabisch/gmr/master/doc/trajectories.png)

[Generate trajectories](https://github.com/AlexanderFabisch/gmr/blob/master/examples/plot_trajectories.py)

![](https://raw.githubusercontent.com/AlexanderFabisch/gmr/master/doc/time_invariant_trajectories.png)

[Sample time-invariant trajectories](https://github.com/AlexanderFabisch/gmr/blob/master/examples/plot_time_invariant_trajectories.py)

You can find [all examples here](https://github.com/AlexanderFabisch/gmr/tree/master/examples).


### Saving a Model

This library does not directly offer a function to store fitted models. Since
the implementation is pure Python, it is possible, however, to use standard
Python tools to store Python objects. For example, you can use pickle to
temporarily store a GMM:

```python
import numpy as np
import pickle
import gmr
gmm = gmr.GMM(n_components=2)
gmm.from_samples(X=np.random.randn(1000, 3))

# Save object gmm to file 'file'
pickle.dump(gmm, open("file", "wb"))
# Load object from file 'file'
gmm2 = pickle.load(open("file", "rb"))
```

It might be required to store models more permanently than in a pickle file,
which might break with a change of the library or with the Python version.
In this case you can choose a storage format that you like and store the
attributes `gmm.priors`, `gmm.means`, and `gmm.covariances`. These can be
used in the constructor of the GMM class to recreate the object and they can
also be used in other libraries that provide a GMM implementation. The
MVN class only needs the attributes `mean` and `covariance` to define the
model.


### API Documentation

API documentation is available [here](https://alexanderfabisch.github.io/gmr/).


### Citation

If you use the library gmr in a scientific publication, I would appreciate
citation of the following paper:

> Fabisch, A., (2021). gmr: Gaussian Mixture Regression. Journal of Open Source
> Software, 6(62), 3054, https://doi.org/10.21105/joss.03054

Bibtex entry:

```bibtex
@article{Fabisch2021,
doi = {10.21105/joss.03054},
url = {https://doi.org/10.21105/joss.03054},
year = {2021},
publisher = {The Open Journal},
volume = {6},
number = {62},
pages = {3054},
author = {Alexander Fabisch},
title = {gmr: Gaussian Mixture Regression},
journal = {Journal of Open Source Software}
}
```


## Contributing

### How can I contribute?

If you discover bugs, have feature requests, or want to improve the
documentation, you can open an issue at the
[issue tracker](https://github.com/AlexanderFabisch/gmr/issues)
of the project.

If you want to contribute code, please open a pull request via
GitHub by forking the project, committing changes to your fork,
and then opening a
[pull request](https://github.com/AlexanderFabisch/gmr/pulls)
from your forked branch to the main branch of `gmr`.


### Development Environment

I would recommend to install `gmr` from source in editable mode with `pip` and
install all dependencies:

```bash
pip install -e .[all,test,doc]
```

You can now run tests with

```bash
pytest
```

This will also generate a coverage report and output an HTML overview to
the folder `htmlcov/`.

### Generate Documentation

The API documentation is generated with
[pdoc3](https://pdoc3.github.io/pdoc/). If you want to regenerate it,
you can run

```bash
pdoc gmr --html --skip-errors
```


## Related Publications

The first publication that presents the GMR algorithm is

> [1] Z. Ghahramani, M. I. Jordan, "Supervised learning from incomplete data via an EM approach," Advances in Neural Information Processing Systems 6, 1994, pp. 120-127, https://proceedings.neurips.cc/paper/1993/hash/f2201f5191c4e92cc5af043eebfd0946-Abstract.html

but it does not use the term Gaussian Mixture Regression, which to my knowledge occurs first in

> [2] S. Calinon, F. Guenter and A. Billard, "On Learning, Representing, and Generalizing a Task in a Humanoid Robot," in IEEE Transactions on Systems, Man, and Cybernetics, Part B (Cybernetics), vol. 37, no. 2, 2007, pp. 286-298, doi: [10.1109/TSMCB.2006.886952](https://doi.org/10.1109/TSMCB.2006.886952).

A recent survey on various regression models including GMR is the following:

> [3] F. Stulp, O. Sigaud, "Many regression algorithms, one unified model: A review," in Neural Networks, vol. 69, 2015, pp. 60-79, doi: [10.1016/j.neunet.2015.05.005](https://doi.org/10.1016/j.neunet.2015.05.005).

Sylvain Calinon has a good introduction in his [slides on nonlinear regression](https://calinon.ch/misc/EE613/EE613-nonlinearRegression.pdf) for his [machine learning course](http://calinon.ch/teaching_EPFL.htm).