diff options
Diffstat (limited to 'utils')
| -rw-r--r-- | utils/ccrp.h | 106 | ||||
| -rw-r--r-- | utils/mfcr.h | 105 |
2 files changed, 115 insertions, 96 deletions
diff --git a/utils/ccrp.h b/utils/ccrp.h index c883c027..5f9db7a6 100644 --- a/utils/ccrp.h +++ b/utils/ccrp.h @@ -18,27 +18,27 @@ template <typename Dish, typename DishHash = boost::hash<Dish> > class CCRP { public: - CCRP(double disc, double alpha) : + CCRP(double disc, double strength) : num_tables_(), num_customers_(), discount_(disc), - alpha_(alpha), - discount_prior_alpha_(std::numeric_limits<double>::quiet_NaN()), + strength_(strength), + discount_prior_strength_(std::numeric_limits<double>::quiet_NaN()), discount_prior_beta_(std::numeric_limits<double>::quiet_NaN()), - alpha_prior_shape_(std::numeric_limits<double>::quiet_NaN()), - alpha_prior_rate_(std::numeric_limits<double>::quiet_NaN()) { + strength_prior_shape_(std::numeric_limits<double>::quiet_NaN()), + strength_prior_rate_(std::numeric_limits<double>::quiet_NaN()) { check_hyperparameters(); } - CCRP(double d_alpha, double d_beta, double c_shape, double c_rate, double d = 0.9, double c = 1.0) : + CCRP(double d_strength, double d_beta, double c_shape, double c_rate, double d = 0.9, double c = 1.0) : num_tables_(), num_customers_(), discount_(d), - alpha_(c), - discount_prior_alpha_(d_alpha), + strength_(c), + discount_prior_strength_(d_strength), discount_prior_beta_(d_beta), - alpha_prior_shape_(c_shape), - alpha_prior_rate_(c_rate) { + strength_prior_shape_(c_shape), + strength_prior_rate_(c_rate) { check_hyperparameters(); } @@ -47,23 +47,23 @@ class CCRP { std::cerr << "Bad discount: " << discount_ << std::endl; abort(); } - if (alpha_ <= -discount_) { - std::cerr << "Bad strength: " << alpha_ << " (discount=" << discount_ << ")" << std::endl; + if (strength_ <= -discount_) { + std::cerr << "Bad strength: " << strength_ << " (discount=" << discount_ << ")" << std::endl; abort(); } } double discount() const { return discount_; } - double alpha() const { return alpha_; } + double strength() const { return strength_; } void set_discount(double d) { discount_ = d; check_hyperparameters(); } - void set_alpha(double a) { alpha_ = a; check_hyperparameters(); } + void set_strength(double a) { strength_ = a; check_hyperparameters(); } bool has_discount_prior() const { - return !std::isnan(discount_prior_alpha_); + return !std::isnan(discount_prior_strength_); } - bool has_alpha_prior() const { - return !std::isnan(alpha_prior_shape_); + bool has_strength_prior() const { + return !std::isnan(strength_prior_shape_); } void clear() { @@ -97,7 +97,7 @@ class CCRP { DishLocations& loc = dish_locs_[dish]; bool share_table = false; if (loc.total_dish_count_) { - const double p_empty = (alpha_ + num_tables_ * discount_) * p0; + const double p_empty = (strength_ + num_tables_ * discount_) * p0; const double p_share = (loc.total_dish_count_ - loc.table_counts_.size() * discount_); share_table = rng->SelectSample(p_empty, p_share); } @@ -131,7 +131,7 @@ class CCRP { DishLocations& loc = dish_locs_[dish]; bool share_table = false; if (loc.total_dish_count_) { - const T p_empty = T(alpha_ + num_tables_ * discount_) * p0; + const T p_empty = T(strength_ + num_tables_ * discount_) * p0; const T p_share = T(loc.total_dish_count_ - loc.table_counts_.size() * discount_); share_table = rng->SelectSample(p_empty, p_share); } @@ -198,47 +198,47 @@ class CCRP { double prob(const Dish& dish, const double& p0) const { const typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.find(dish); - const double r = num_tables_ * discount_ + alpha_; + const double r = num_tables_ * discount_ + strength_; if (it == dish_locs_.end()) { - return r * p0 / (num_customers_ + alpha_); + return r * p0 / (num_customers_ + strength_); } else { return (it->second.total_dish_count_ - discount_ * it->second.table_counts_.size() + r * p0) / - (num_customers_ + alpha_); + (num_customers_ + strength_); } } template <typename T> T probT(const Dish& dish, const T& p0) const { const typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.find(dish); - const T r = T(num_tables_ * discount_ + alpha_); + const T r = T(num_tables_ * discount_ + strength_); if (it == dish_locs_.end()) { - return r * p0 / T(num_customers_ + alpha_); + return r * p0 / T(num_customers_ + strength_); } else { return (T(it->second.total_dish_count_ - discount_ * it->second.table_counts_.size()) + r * p0) / - T(num_customers_ + alpha_); + T(num_customers_ + strength_); } } double log_crp_prob() const { - return log_crp_prob(discount_, alpha_); + return log_crp_prob(discount_, strength_); } // taken from http://en.wikipedia.org/wiki/Chinese_restaurant_process // does not include P_0's - double log_crp_prob(const double& discount, const double& alpha) const { + double log_crp_prob(const double& discount, const double& strength) const { double lp = 0.0; if (has_discount_prior()) - lp = Md::log_beta_density(discount, discount_prior_alpha_, discount_prior_beta_); - if (has_alpha_prior()) - lp += Md::log_gamma_density(alpha + discount, alpha_prior_shape_, alpha_prior_rate_); + lp = Md::log_beta_density(discount, discount_prior_strength_, discount_prior_beta_); + if (has_strength_prior()) + lp += Md::log_gamma_density(strength + discount, strength_prior_shape_, strength_prior_rate_); assert(lp <= 0.0); if (num_customers_) { if (discount > 0.0) { const double r = lgamma(1.0 - discount); - if (alpha) - lp += lgamma(alpha) - lgamma(alpha / discount); - lp += - lgamma(alpha + num_customers_) - + num_tables_ * log(discount) + lgamma(alpha / discount + num_tables_); + if (strength) + lp += lgamma(strength) - lgamma(strength / discount); + lp += - lgamma(strength + num_customers_) + + num_tables_ * log(discount) + lgamma(strength / discount + num_tables_); assert(std::isfinite(lp)); for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { @@ -247,8 +247,16 @@ class CCRP { lp += lgamma(*ti - discount) - r; } } + } else if (!discount) { // discount == 0.0 + lp += lgamma(strength) + num_tables_ * log(strength) - lgamma(strength + num_tables_); + assert(std::isfinite(lp)); + for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); + it != dish_locs_.end(); ++it) { + const DishLocations& cur = it->second; + lp += lgamma(cur.table_counts_.size()); + } } else { - assert(!"not implemented yet"); + assert(!"discount less than 0 detected!"); } } assert(std::isfinite(lp)); @@ -256,22 +264,22 @@ class CCRP { } void resample_hyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) { - assert(has_discount_prior() || has_alpha_prior()); + assert(has_discount_prior() || has_strength_prior()); DiscountResampler dr(*this); StrengthResampler sr(*this); for (int iter = 0; iter < nloop; ++iter) { - if (has_alpha_prior()) { - alpha_ = slice_sampler1d(sr, alpha_, *rng, -discount_, + if (has_strength_prior()) { + strength_ = slice_sampler1d(sr, strength_, *rng, -discount_, std::numeric_limits<double>::infinity(), 0.0, niterations, 100*niterations); } if (has_discount_prior()) { double min_discount = std::numeric_limits<double>::min(); - if (alpha_ < 0.0) min_discount = -alpha_; + if (strength_ < 0.0) min_discount = -strength_; discount_ = slice_sampler1d(dr, discount_, *rng, min_discount, 1.0, 0.0, niterations, 100*niterations); } } - alpha_ = slice_sampler1d(sr, alpha_, *rng, -discount_, + strength_ = slice_sampler1d(sr, strength_, *rng, -discount_, std::numeric_limits<double>::infinity(), 0.0, niterations, 100*niterations); } @@ -279,15 +287,15 @@ class CCRP { DiscountResampler(const CCRP& crp) : crp_(crp) {} const CCRP& crp_; double operator()(const double& proposed_discount) const { - return crp_.log_crp_prob(proposed_discount, crp_.alpha_); + return crp_.log_crp_prob(proposed_discount, crp_.strength_); } }; struct StrengthResampler { StrengthResampler(const CCRP& crp) : crp_(crp) {} const CCRP& crp_; - double operator()(const double& proposed_alpha) const { - return crp_.log_crp_prob(crp_.discount_, proposed_alpha); + double operator()(const double& proposed_strength) const { + return crp_.log_crp_prob(crp_.discount_, proposed_strength); } }; @@ -299,7 +307,7 @@ class CCRP { }; void Print(std::ostream* out) const { - std::cerr << "PYP(d=" << discount_ << ",c=" << alpha_ << ") customers=" << num_customers_ << std::endl; + std::cerr << "PYP(d=" << discount_ << ",c=" << strength_ << ") customers=" << num_customers_ << std::endl; for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { (*out) << it->first << " (" << it->second.total_dish_count_ << " on " << it->second.table_counts_.size() << " tables): "; @@ -324,15 +332,15 @@ class CCRP { std::tr1::unordered_map<Dish, DishLocations, DishHash> dish_locs_; double discount_; - double alpha_; + double strength_; // optional beta prior on discount_ (NaN if no prior) - double discount_prior_alpha_; + double discount_prior_strength_; double discount_prior_beta_; - // optional gamma prior on alpha_ (NaN if no prior) - double alpha_prior_shape_; - double alpha_prior_rate_; + // optional gamma prior on strength_ (NaN if no prior) + double strength_prior_shape_; + double strength_prior_rate_; }; template <typename T,typename H> diff --git a/utils/mfcr.h b/utils/mfcr.h index df988f51..aeaf599d 100644 --- a/utils/mfcr.h +++ b/utils/mfcr.h @@ -39,37 +39,37 @@ template <typename Dish, typename DishHash = boost::hash<Dish> > class MFCR { public: - MFCR(unsigned num_floors, double d, double alpha) : + MFCR(unsigned num_floors, double d, double strength) : num_floors_(num_floors), num_tables_(), num_customers_(), discount_(d), - alpha_(alpha), - discount_prior_alpha_(std::numeric_limits<double>::quiet_NaN()), + strength_(strength), + discount_prior_strength_(std::numeric_limits<double>::quiet_NaN()), discount_prior_beta_(std::numeric_limits<double>::quiet_NaN()), - alpha_prior_shape_(std::numeric_limits<double>::quiet_NaN()), - alpha_prior_rate_(std::numeric_limits<double>::quiet_NaN()) {} + strength_prior_shape_(std::numeric_limits<double>::quiet_NaN()), + strength_prior_rate_(std::numeric_limits<double>::quiet_NaN()) {} - MFCR(unsigned num_floors, double discount_alpha, double discount_beta, double alpha_shape, double alpha_rate, double d = 0.9, double alpha = 10.0) : + MFCR(unsigned num_floors, double discount_strength, double discount_beta, double strength_shape, double strength_rate, double d = 0.9, double strength = 10.0) : num_floors_(num_floors), num_tables_(), num_customers_(), discount_(d), - alpha_(alpha), - discount_prior_alpha_(discount_alpha), + strength_(strength), + discount_prior_strength_(discount_strength), discount_prior_beta_(discount_beta), - alpha_prior_shape_(alpha_shape), - alpha_prior_rate_(alpha_rate) {} + strength_prior_shape_(strength_shape), + strength_prior_rate_(strength_rate) {} double discount() const { return discount_; } - double alpha() const { return alpha_; } + double strength() const { return strength_; } bool has_discount_prior() const { - return !std::isnan(discount_prior_alpha_); + return !std::isnan(discount_prior_strength_); } - bool has_alpha_prior() const { - return !std::isnan(alpha_prior_shape_); + bool has_strength_prior() const { + return !std::isnan(strength_prior_shape_); } void clear() { @@ -122,7 +122,7 @@ class MFCR { int floor = -1; bool share_table = false; if (loc.total_dish_count_) { - const double p_empty = (alpha_ + num_tables_ * discount_) * marg_p0; + const double p_empty = (strength_ + num_tables_ * discount_) * marg_p0; const double p_share = (loc.total_dish_count_ - loc.table_counts_.size() * discount_); share_table = rng->SelectSample(p_empty, p_share); } @@ -206,44 +206,53 @@ class MFCR { const double marg_p0 = std::inner_product(p0s.begin(), p0s.end(), lambdas.begin(), 0.0); assert(marg_p0 <= 1.0); const typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.find(dish); - const double r = num_tables_ * discount_ + alpha_; + const double r = num_tables_ * discount_ + strength_; if (it == dish_locs_.end()) { - return r * marg_p0 / (num_customers_ + alpha_); + return r * marg_p0 / (num_customers_ + strength_); } else { return (it->second.total_dish_count_ - discount_ * it->second.table_counts_.size() + r * marg_p0) / - (num_customers_ + alpha_); + (num_customers_ + strength_); } } double log_crp_prob() const { - return log_crp_prob(discount_, alpha_); + return log_crp_prob(discount_, strength_); } // taken from http://en.wikipedia.org/wiki/Chinese_restaurant_process // does not include draws from G_w's - double log_crp_prob(const double& d, const double& alpha) const { + double log_crp_prob(const double& discount, const double& strength) const { double lp = 0.0; if (has_discount_prior()) - lp = Md::log_beta_density(d, discount_prior_alpha_, discount_prior_beta_); - if (has_alpha_prior()) - lp += Md::log_gamma_density(alpha, alpha_prior_shape_, alpha_prior_rate_); + lp = Md::log_beta_density(discount, discount_prior_strength_, discount_prior_beta_); + if (has_strength_prior()) + lp += Md::log_gamma_density(strength + discount, strength_prior_shape_, strength_prior_rate_); assert(lp <= 0.0); if (num_customers_) { - if (d > 0.0) { - const double r = lgamma(1.0 - d); - lp += lgamma(alpha) - lgamma(alpha + num_customers_) - + num_tables_ * log(d) + lgamma(alpha / d + num_tables_) - - lgamma(alpha / d); + if (discount > 0.0) { + const double r = lgamma(1.0 - discount); + if (strength) + lp += lgamma(strength) - lgamma(strength / discount); + lp += - lgamma(strength + num_customers_) + + num_tables_ * log(discount) + lgamma(strength / discount + num_tables_); assert(std::isfinite(lp)); for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { const DishLocations& cur = it->second; for (std::list<TableCount>::const_iterator ti = cur.table_counts_.begin(); ti != cur.table_counts_.end(); ++ti) { - lp += lgamma(ti->count - d) - r; + lp += lgamma(ti->count - discount) - r; } } + } else if (!discount) { // discount == 0.0 + lp += lgamma(strength) + num_tables_ * log(strength) - lgamma(strength + num_tables_); + assert(std::isfinite(lp)); + for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); + it != dish_locs_.end(); ++it) { + const DishLocations& cur = it->second; + lp += lgamma(cur.table_counts_.size()); + } } else { - assert(!"not implemented yet"); + assert(!"discount less than 0 detected!"); } } assert(std::isfinite(lp)); @@ -251,20 +260,22 @@ class MFCR { } void resample_hyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) { - assert(has_discount_prior() || has_alpha_prior()); + assert(has_discount_prior() || has_strength_prior()); DiscountResampler dr(*this); - ConcentrationResampler cr(*this); + StrengthResampler sr(*this); for (int iter = 0; iter < nloop; ++iter) { - if (has_alpha_prior()) { - alpha_ = slice_sampler1d(cr, alpha_, *rng, 0.0, + if (has_strength_prior()) { + strength_ = slice_sampler1d(sr, strength_, *rng, -discount_, std::numeric_limits<double>::infinity(), 0.0, niterations, 100*niterations); } if (has_discount_prior()) { - discount_ = slice_sampler1d(dr, discount_, *rng, std::numeric_limits<double>::min(), + double min_discount = std::numeric_limits<double>::min(); + if (strength_ < 0.0) min_discount = -strength_; + discount_ = slice_sampler1d(dr, discount_, *rng, min_discount, 1.0, 0.0, niterations, 100*niterations); } } - alpha_ = slice_sampler1d(cr, alpha_, *rng, 0.0, + strength_ = slice_sampler1d(sr, strength_, *rng, -discount_, std::numeric_limits<double>::infinity(), 0.0, niterations, 100*niterations); } @@ -272,15 +283,15 @@ class MFCR { DiscountResampler(const MFCR& crp) : crp_(crp) {} const MFCR& crp_; double operator()(const double& proposed_d) const { - return crp_.log_crp_prob(proposed_d, crp_.alpha_); + return crp_.log_crp_prob(proposed_d, crp_.strength_); } }; - struct ConcentrationResampler { - ConcentrationResampler(const MFCR& crp) : crp_(crp) {} + struct StrengthResampler { + StrengthResampler(const MFCR& crp) : crp_(crp) {} const MFCR& crp_; - double operator()(const double& proposediscount_alpha) const { - return crp_.log_crp_prob(crp_.discount_, proposediscount_alpha); + double operator()(const double& proposediscount_strength) const { + return crp_.log_crp_prob(crp_.discount_, proposediscount_strength); } }; @@ -292,7 +303,7 @@ class MFCR { }; void Print(std::ostream* out) const { - (*out) << "MFCR(d=" << discount_ << ",alpha=" << alpha_ << ") customers=" << num_customers_ << std::endl; + (*out) << "MFCR(d=" << discount_ << ",strength=" << strength_ << ") customers=" << num_customers_ << std::endl; for (typename std::tr1::unordered_map<Dish, DishLocations, DishHash>::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { (*out) << it->first << " (" << it->second.total_dish_count_ << " on " << it->second.table_counts_.size() << " tables): "; @@ -318,15 +329,15 @@ class MFCR { std::tr1::unordered_map<Dish, DishLocations, DishHash> dish_locs_; double discount_; - double alpha_; + double strength_; // optional beta prior on discount_ (NaN if no prior) - double discount_prior_alpha_; + double discount_prior_strength_; double discount_prior_beta_; - // optional gamma prior on alpha_ (NaN if no prior) - double alpha_prior_shape_; - double alpha_prior_rate_; + // optional gamma prior on strength_ (NaN if no prior) + double strength_prior_shape_; + double strength_prior_rate_; }; template <typename T,typename H> |