Computes the average log-likelihood \(\frac{1}{N} \ell(\mathbf{W}; \mathcal{D})\) as a function of the weight matrix \(\mathbf{W}\) and the predictive state distributions \(P(X = x \mid S = s_j) \approx P(X = x \mid \mathbf{W}_j)\) for all \(j = 1, \ldots, K\). See References.
compute_LICORS_loglik(weight.matrix, pdfs.FLC, lambda = 0, penalty = "entropy", q = 2,
base = exp(1))\(N \times K\) weight matrix
an \(N \times K\) matrix containing the estimates of all \(K\) FLC densities evaluated at all \(N\) sample FLCs.
regularization parameter. Default:
lambda=0 (penalty and q will be
ignored in this case).
type of penalty: c("entropy",
"1-Lq", "lognorm"). Default: "entropy"
logarithm base for the "entropy"
penalty. Default: base = 2. Any other real number
is allowed; if base = "num.states" then it will
internally assign it base = ncol(weight.matrix).
exponent for \(L_q\) norm.