#ifndef _CCRP_H_ #define _CCRP_H_ #include #include #include #include #include #include #include #include #include "sampler.h" #include "slice_sampler.h" // Chinese restaurant process (Pitman-Yor parameters) with table tracking. template > class CCRP { public: CCRP(double disc, double conc) : num_tables_(), num_customers_(), discount_(disc), concentration_(conc), discount_prior_alpha_(std::numeric_limits::quiet_NaN()), discount_prior_beta_(std::numeric_limits::quiet_NaN()), concentration_prior_shape_(std::numeric_limits::quiet_NaN()), concentration_prior_rate_(std::numeric_limits::quiet_NaN()) {} CCRP(double d_alpha, double d_beta, double c_shape, double c_rate, double d = 0.9, double c = 1.0) : num_tables_(), num_customers_(), discount_(d), concentration_(c), discount_prior_alpha_(d_alpha), discount_prior_beta_(d_beta), concentration_prior_shape_(c_shape), concentration_prior_rate_(c_rate) {} double discount() const { return discount_; } double concentration() const { return concentration_; } bool has_discount_prior() const { return !std::isnan(discount_prior_alpha_); } bool has_concentration_prior() const { return !std::isnan(concentration_prior_shape_); } void clear() { num_tables_ = 0; num_customers_ = 0; dish_locs_.clear(); } unsigned num_tables() const { return num_tables_; } unsigned num_tables(const Dish& dish) const { const typename std::tr1::unordered_map::const_iterator it = dish_locs_.find(dish); if (it == dish_locs_.end()) return 0; return it->second.table_counts_.size(); } unsigned num_customers() const { return num_customers_; } unsigned num_customers(const Dish& dish) const { const typename std::tr1::unordered_map::const_iterator it = dish_locs_.find(dish); if (it == dish_locs_.end()) return 0; return it->total_dish_count_; } // returns +1 or 0 indicating whether a new table was opened int increment(const Dish& dish, const double& p0, MT19937* rng) { DishLocations& loc = dish_locs_[dish]; bool share_table = false; if (loc.total_dish_count_) { const double p_empty = (concentration_ + 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); } if (share_table) { double r = rng->next() * (loc.total_dish_count_ - loc.table_counts_.size() * discount_); for (typename std::list::iterator ti = loc.table_counts_.begin(); ti != loc.table_counts_.end(); ++ti) { r -= (*ti - discount_); if (r <= 0.0) { ++(*ti); break; } } if (r > 0.0) { std::cerr << "Serious error: r=" << r << std::endl; Print(&std::cerr); assert(r <= 0.0); } } else { loc.table_counts_.push_back(1u); ++num_tables_; } ++loc.total_dish_count_; ++num_customers_; return (share_table ? 0 : 1); } // returns +1 or 0 indicating whether a new table was opened template int incrementT(const Dish& dish, const T& p0, MT19937* rng) { DishLocations& loc = dish_locs_[dish]; bool share_table = false; if (loc.total_dish_count_) { const T p_empty = T(concentration_ + 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); } if (share_table) { double r = rng->next() * (loc.total_dish_count_ - loc.table_counts_.size() * discount_); for (typename std::list::iterator ti = loc.table_counts_.begin(); ti != loc.table_counts_.end(); ++ti) { r -= (*ti - discount_); if (r <= 0.0) { ++(*ti); break; } } if (r > 0.0) { std::cerr << "Serious error: r=" << r << std::endl; Print(&std::cerr); assert(r <= 0.0); } } else { loc.table_counts_.push_back(1u); ++num_tables_; } ++loc.total_dish_count_; ++num_customers_; return (share_table ? 0 : 1); } // returns -1 or 0, indicating whether a table was closed int decrement(const Dish& dish, MT19937* rng) { DishLocations& loc = dish_locs_[dish]; assert(loc.total_dish_count_); if (loc.total_dish_count_ == 1) { dish_locs_.erase(dish); --num_tables_; --num_customers_; return -1; } else { int delta = 0; // sample customer to remove UNIFORMLY. that is, do NOT use the discount // here. if you do, it will introduce (unwanted) bias! double r = rng->next() * loc.total_dish_count_; --loc.total_dish_count_; for (typename std::list::iterator ti = loc.table_counts_.begin(); ti != loc.table_counts_.end(); ++ti) { r -= *ti; if (r <= 0.0) { if ((--(*ti)) == 0) { --num_tables_; delta = -1; loc.table_counts_.erase(ti); } break; } } if (r > 0.0) { std::cerr << "Serious error: r=" << r << std::endl; Print(&std::cerr); assert(r <= 0.0); } --num_customers_; return delta; } } double prob(const Dish& dish, const double& p0) const { const typename std::tr1::unordered_map::const_iterator it = dish_locs_.find(dish); const double r = num_tables_ * discount_ + concentration_; if (it == dish_locs_.end()) { return r * p0 / (num_customers_ + concentration_); } else { return (it->second.total_dish_count_ - discount_ * it->second.table_counts_.size() + r * p0) / (num_customers_ + concentration_); } } template T probT(const Dish& dish, const T& p0) const { const typename std::tr1::unordered_map::const_iterator it = dish_locs_.find(dish); const T r = T(num_tables_ * discount_ + concentration_); if (it == dish_locs_.end()) { return r * p0 / T(num_customers_ + concentration_); } else { return (T(it->second.total_dish_count_ - discount_ * it->second.table_counts_.size()) + r * p0) / T(num_customers_ + concentration_); } } double log_crp_prob() const { return log_crp_prob(discount_, concentration_); } static double log_beta_density(const double& x, const double& alpha, const double& beta) { assert(x > 0.0); assert(x < 1.0); assert(alpha > 0.0); assert(beta > 0.0); const double lp = (alpha-1)*log(x)+(beta-1)*log(1-x)+lgamma(alpha+beta)-lgamma(alpha)-lgamma(beta); return lp; } 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& discount, const double& concentration) const { double lp = 0.0; if (has_discount_prior()) lp = log_beta_density(discount, discount_prior_alpha_, discount_prior_beta_); if (has_concentration_prior()) lp += log_gamma_density(concentration, concentration_prior_shape_, concentration_prior_rate_); assert(lp <= 0.0); if (num_customers_) { if (discount > 0.0) { const double r = lgamma(1.0 - discount); lp += lgamma(concentration) - lgamma(concentration + num_customers_) + num_tables_ * log(discount) + lgamma(concentration / discount + num_tables_) - lgamma(concentration / discount); assert(std::isfinite(lp)); for (typename std::tr1::unordered_map::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { const DishLocations& cur = it->second; for (std::list::const_iterator ti = cur.table_counts_.begin(); ti != cur.table_counts_.end(); ++ti) { lp += lgamma(*ti - discount) - r; } } } else { assert(!"not implemented yet"); } } assert(std::isfinite(lp)); return lp; } void resample_hyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) { assert(has_discount_prior() || has_concentration_prior()); DiscountResampler dr(*this); ConcentrationResampler cr(*this); for (int iter = 0; iter < nloop; ++iter) { if (has_concentration_prior()) { concentration_ = slice_sampler1d(cr, concentration_, *rng, 0.0, std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); } if (has_discount_prior()) { discount_ = slice_sampler1d(dr, discount_, *rng, std::numeric_limits::min(), 1.0, 0.0, niterations, 100*niterations); } } concentration_ = slice_sampler1d(cr, concentration_, *rng, 0.0, std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); } struct DiscountResampler { DiscountResampler(const CCRP& crp) : crp_(crp) {} const CCRP& crp_; double operator()(const double& proposed_discount) const { return crp_.log_crp_prob(proposed_discount, crp_.concentration_); } }; struct ConcentrationResampler { ConcentrationResampler(const CCRP& crp) : crp_(crp) {} const CCRP& crp_; double operator()(const double& proposed_concentration) const { return crp_.log_crp_prob(crp_.discount_, proposed_concentration); } }; struct DishLocations { DishLocations() : total_dish_count_() {} unsigned total_dish_count_; // customers at all tables with this dish std::list table_counts_; // list<> gives O(1) deletion and insertion, which we want // .size() is the number of tables for this dish }; void Print(std::ostream* out) const { std::cerr << "PYP(d=" << discount_ << ",c=" << concentration_ << ") customers=" << num_customers_ << std::endl; for (typename std::tr1::unordered_map::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): "; for (typename std::list::const_iterator i = it->second.table_counts_.begin(); i != it->second.table_counts_.end(); ++i) { (*out) << " " << *i; } (*out) << std::endl; } } typedef typename std::tr1::unordered_map::const_iterator const_iterator; const_iterator begin() const { return dish_locs_.begin(); } const_iterator end() const { return dish_locs_.end(); } unsigned num_tables_; unsigned num_customers_; std::tr1::unordered_map dish_locs_; double discount_; double concentration_; // optional beta prior on discount_ (NaN if no prior) double discount_prior_alpha_; double discount_prior_beta_; // optional gamma prior on concentration_ (NaN if no prior) double concentration_prior_shape_; double concentration_prior_rate_; }; template std::ostream& operator<<(std::ostream& o, const CCRP& c) { c.Print(&o); return o; } #endif