#ifndef _TIED_RESAMPLER_H_ #define _TIED_RESAMPLER_H_ #include #include "sampler.h" #include "slice_sampler.h" #include "m.h" template struct TiedResampler { explicit TiedResampler(double da, double db, double ss, double sr, double d=0.5, double s=1.0) : d_alpha(da), d_beta(db), s_shape(ss), s_rate(sr), discount(d), strength(s) {} void Add(CRP* crp) { crps.insert(crp); crp->set_discount(discount); crp->set_strength(strength); assert(!crp->has_discount_prior()); assert(!crp->has_strength_prior()); } void Remove(CRP* crp) { crps.erase(crp); } double LogLikelihood(double d, double s) const { if (s <= -d) return -std::numeric_limits::infinity(); double llh = Md::log_beta_density(d, d_alpha, d_beta) + Md::log_gamma_density(d + s, s_shape, s_rate); for (typename std::set::iterator it = crps.begin(); it != crps.end(); ++it) llh += (*it)->log_crp_prob(d, s); return llh; } struct DiscountResampler { DiscountResampler(const TiedResampler& m) : m_(m) {} const TiedResampler& m_; double operator()(const double& proposed_discount) const { return m_.LogLikelihood(proposed_discount, m_.strength); } }; struct AlphaResampler { AlphaResampler(const TiedResampler& m) : m_(m) {} const TiedResampler& m_; double operator()(const double& proposed_strength) const { return m_.LogLikelihood(m_.discount, proposed_strength); } }; void ResampleHyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) { const DiscountResampler dr(*this); const AlphaResampler ar(*this); for (int iter = 0; iter < nloop; ++iter) { strength = slice_sampler1d(ar, strength, *rng, -discount + std::numeric_limits::min(), std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); double min_discount = std::numeric_limits::min(); if (strength < 0.0) min_discount -= strength; discount = slice_sampler1d(dr, discount, *rng, min_discount, 1.0, 0.0, niterations, 100*niterations); } strength = slice_sampler1d(ar, strength, *rng, -discount + std::numeric_limits::min(), std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); std::cerr << "TiedCRPs(d=" << discount << ",s=" << strength << ") = " << LogLikelihood(discount, strength) << std::endl; for (typename std::set::iterator it = crps.begin(); it != crps.end(); ++it) { (*it)->set_discount(discount); (*it)->set_strength(strength); } } private: std::set crps; const double d_alpha, d_beta, s_shape, s_rate; double discount, strength; }; #endif