nealAlgorithm3 {sams} | R Documentation |
Conjugate Gibbs Sampler for a Partition
Description
Algorithm 3 from Neal (2000) to update the state of a partition based on the "Chinese Restaurant Process" (CRP) prior and a user-supplied log posterior predictive density function, with additional functionality for the two parameter CRP prior.
Usage
nealAlgorithm3(
partition,
logPosteriorPredictiveDensity = function(i, subset) 0,
mass = 1,
discount = 0,
nUpdates = 1L
)
Arguments
partition |
A numeric vector of cluster labels representing the current partition. |
logPosteriorPredictiveDensity |
A function taking an index |
mass |
A specification of the mass (concentration) parameter in the CRP
prior. Must be greater than the |
discount |
A numeric value on the interval [0,1) corresponding to the discount parameter in the two parameter CRP prior. Set to zero for the usual, one parameter CRP prior. |
nUpdates |
An integer giving the number of Gibbs scans before returning. This has the effect of thinning the Markov chain. |
Value
A numeric vector giving the updated partition encoded using cluster labels.
References
Neal, R. M. (2000). Markov chain sampling methods for Dirichlet process mixture models. Journal of computational and graphical statistics, 9(2), 249-265.
Examples
nealData <- c(-1.48, -1.40, -1.16, -1.08, -1.02, 0.14, 0.51, 0.53, 0.78)
mkLogPosteriorPredictiveDensity <- function(data = nealData,
sigma2 = 0.1^2,
mu0 = 0,
sigma02 = 1) {
function(i, subset) {
posteriorVariance <- 1 / ( 1/sigma02 + length(subset)/sigma2 )
posteriorMean <- posteriorVariance * ( mu0/sigma02 + sum(data[subset])/sigma2 )
posteriorPredictiveSD <- sqrt(posteriorVariance + sigma2)
dnorm(data[i], posteriorMean, posteriorPredictiveSD, log=TRUE)
}
}
logPostPredict <- mkLogPosteriorPredictiveDensity()
nSamples <- 1000L
partitions <- matrix(0, nrow = nSamples, ncol = length(nealData))
for (i in 2:nSamples) {
partitions[i,] <- nealAlgorithm3(partitions[i-1,], logPostPredict, mass = 1.0, nUpdates = 1)
}
# convergence and mixing diagnostics
nSubsets <- apply(partitions, 1, function(x) length(unique(x)))
mean(nSubsets)
sum(acf(nSubsets)$acf) - 1 # Autocorrelation time
entropy <- apply(partitions, 1, partitionEntropy)
plot.ts(entropy)