merge upstream/master

1 files changed, 169 insertions, 0 deletions

diff --git a/utils/ccrp_nt.h b/utils/ccrp_nt.h
new file mode 100644
index 00000000..63b6f4c2
--- /dev/null
+++ b/utils/ccrp_nt.h
@@ -0,0 +1,169 @@
+#ifndef _CCRP_NT_H_
+#define _CCRP_NT_H_
+
+#include <numeric>
+#include <cassert>
+#include <cmath>
+#include <list>
+#include <iostream>
+#include <vector>
+#include <tr1/unordered_map>
+#include <boost/functional/hash.hpp>
+#include "sampler.h"
+#include "slice_sampler.h"
+
+// Chinese restaurant process (1 parameter)
+template <typename Dish, typename DishHash = boost::hash<Dish> >
+class CCRP_NoTable {
+ public:
+  explicit CCRP_NoTable(double conc) :
+    num_customers_(),
+    concentration_(conc),
+    concentration_prior_shape_(std::numeric_limits<double>::quiet_NaN()),
+    concentration_prior_rate_(std::numeric_limits<double>::quiet_NaN()) {}
+
+  CCRP_NoTable(double c_shape, double c_rate, double c = 10.0) :
+    num_customers_(),
+    concentration_(c),
+    concentration_prior_shape_(c_shape),
+    concentration_prior_rate_(c_rate) {}
+
+  double concentration() const { return concentration_; }
+
+  bool has_concentration_prior() const {
+    return !std::isnan(concentration_prior_shape_);
+  }
+
+  void clear() {
+    num_customers_ = 0;
+    custs_.clear();
+  }
+
+  unsigned num_customers() const {
+    return num_customers_;
+  }
+
+  unsigned num_customers(const Dish& dish) const {
+    const typename std::tr1::unordered_map<Dish, unsigned, DishHash>::const_iterator it = custs_.find(dish);
+    if (it == custs_.end()) return 0;
+    return it->second;
+  }
+
+  int increment(const Dish& dish) {
+    int table_diff = 0;
+    if (++custs_[dish] == 1)
+      table_diff = 1;
+    ++num_customers_;
+    return table_diff;
+  }
+
+  int decrement(const Dish& dish) {
+    int table_diff = 0;
+    int nc = --custs_[dish];
+    if (nc == 0) {
+      custs_.erase(dish);
+      table_diff = -1;
+    } else if (nc < 0) {
+      std::cerr << "Dish counts dropped below zero for: " << dish << std::endl;
+      abort();
+    }
+    --num_customers_;
+    return table_diff;
+  }
+
+  double prob(const Dish& dish, const double& p0) const {
+    const unsigned at_table = num_customers(dish);
+    return (at_table + p0 * concentration_) / (num_customers_ + concentration_);
+  }
+
+  double logprob(const Dish& dish, const double& logp0) const {
+    const unsigned at_table = num_customers(dish);
+    return log(at_table + exp(logp0 + log(concentration_))) - log(num_customers_ + concentration_);
+  }
+
+  double log_crp_prob() const {
+    return log_crp_prob(concentration_);
+  }
+
+  static double log_gamma_density(const double& x, const double& shape, const double& rate) {
+    assert(x >= 0.0);
+    assert(shape > 0.0);
+    assert(rate > 0.0);
+    const double lp = (shape-1)*log(x) - shape*log(rate) - x/rate - lgamma(shape);
+    return lp;
+  }
+
+  // taken from http://en.wikipedia.org/wiki/Chinese_restaurant_process
+  // does not include P_0's
+  double log_crp_prob(const double& concentration) const {
+    double lp = 0.0;
+    if (has_concentration_prior())
+      lp += log_gamma_density(concentration, concentration_prior_shape_, concentration_prior_rate_);
+    assert(lp <= 0.0);
+    if (num_customers_) {
+      lp += lgamma(concentration) - lgamma(concentration + num_customers_) +
+        custs_.size() * log(concentration);
+      assert(std::isfinite(lp));
+      for (typename std::tr1::unordered_map<Dish, unsigned, DishHash>::const_iterator it = custs_.begin();
+             it != custs_.end(); ++it) {
+          lp += lgamma(it->second);
+      }
+    }
+    assert(std::isfinite(lp));
+    return lp;
+  }
+
+  void resample_hyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) {
+    assert(has_concentration_prior());
+    ConcentrationResampler cr(*this);
+    for (int iter = 0; iter < nloop; ++iter) {
+        concentration_ = slice_sampler1d(cr, concentration_, *rng, 0.0,
+                               std::numeric_limits<double>::infinity(), 0.0, niterations, 100*niterations);
+    }
+  }
+
+  struct ConcentrationResampler {
+    ConcentrationResampler(const CCRP_NoTable& crp) : crp_(crp) {}
+    const CCRP_NoTable& crp_;
+    double operator()(const double& proposed_concentration) const {
+      return crp_.log_crp_prob(proposed_concentration);
+    }
+  };
+
+  void Print(std::ostream* out) const {
+    (*out) << "DP(alpha=" << concentration_ << ") customers=" << num_customers_ << std::endl;
+    int cc = 0;
+    for (typename std::tr1::unordered_map<Dish, unsigned, DishHash>::const_iterator it = custs_.begin();
+         it != custs_.end(); ++it) {
+      (*out) << " " << it->first << "(" << it->second << " eating)";
+      ++cc;
+      if (cc > 10) { (*out) << " ..."; break; }
+    }
+    (*out) << std::endl;
+  }
+
+  unsigned num_customers_;
+  std::tr1::unordered_map<Dish, unsigned, DishHash> custs_;
+
+  typedef typename std::tr1::unordered_map<Dish, unsigned, DishHash>::const_iterator const_iterator;
+  const_iterator begin() const {
+    return custs_.begin();
+  }
+  const_iterator end() const {
+    return custs_.end();
+  }
+
+  double concentration_;
+
+  // optional gamma prior on concentration_ (NaN if no prior)
+  double concentration_prior_shape_;
+  double concentration_prior_rate_;
+};
+
+template <typename T,typename H>
+std::ostream& operator<<(std::ostream& o, const CCRP_NoTable<T,H>& c) {
+  c.Print(&o);
+  return o;
+}
+
+#endif