#ifndef _CCRP_H_ #define _CCRP_H_ #include #include #include #include #include #include #include #include #include "sampler.h" #include "slice_sampler.h" #include "m.h" // Chinese restaurant process (Pitman-Yor parameters) with table tracking. template > class CCRP { public: CCRP(double disc, double strength) : num_tables_(), num_customers_(), discount_(disc), strength_(strength), discount_prior_strength_(std::numeric_limits::quiet_NaN()), discount_prior_beta_(std::numeric_limits::quiet_NaN()), strength_prior_shape_(std::numeric_limits::quiet_NaN()), strength_prior_rate_(std::numeric_limits::quiet_NaN()) { check_hyperparameters(); } 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), strength_(c), discount_prior_strength_(d_strength), discount_prior_beta_(d_beta), strength_prior_shape_(c_shape), strength_prior_rate_(c_rate) { check_hyperparameters(); } void check_hyperparameters() { if (discount_ < 0.0 || discount_ >= 1.0) { std::cerr << "Bad discount: " << discount_ << std::endl; abort(); } if (strength_ <= -discount_) { std::cerr << "Bad strength: " << strength_ << " (discount=" << discount_ << ")" << std::endl; abort(); } } double discount() const { return discount_; } double strength() const { return strength_; } void set_hyperparameters(double d, double s) { discount_ = d; strength_ = s; check_hyperparameters(); } void set_discount(double d) { discount_ = d; check_hyperparameters(); } void set_strength(double a) { strength_ = a; check_hyperparameters(); } bool has_discount_prior() const { return !std::isnan(discount_prior_strength_); } bool has_strength_prior() const { return !std::isnan(strength_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 // p = probability with which the particular table was selected // excluding p0 template int increment(const Dish& dish, const T& p0, MT19937* rng, T* p = NULL) { DishLocations& loc = dish_locs_[dish]; bool share_table = false; if (loc.total_dish_count_) { 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); } 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) { if (p) { *p = T(*ti - discount_) / T(strength_ + num_customers_); } ++(*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); if (p) { *p = T(strength_ + discount_ * num_tables_) / T(strength_ + num_customers_); } ++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; } } template T prob(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_ + strength_); if (it == dish_locs_.end()) { 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_ + strength_); } } double log_crp_prob() const { 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& strength) const { double lp = 0.0; if (has_discount_prior()) 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 (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::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 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::const_iterator it = dish_locs_.begin(); it != dish_locs_.end(); ++it) { const DishLocations& cur = it->second; lp += lgamma(cur.table_counts_.size()); } } else { assert(!"discount less than 0 detected!"); } } assert(std::isfinite(lp)); return lp; } void resample_hyperparameters(MT19937* rng, const unsigned nloop = 5, const unsigned niterations = 10) { assert(has_discount_prior() || has_strength_prior()); if (num_customers() == 0) return; DiscountResampler dr(*this); StrengthResampler sr(*this); for (unsigned iter = 0; iter < nloop; ++iter) { if (has_strength_prior()) { strength_ = slice_sampler1d(sr, strength_, *rng, -discount_ + std::numeric_limits::min(), std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); } if (has_discount_prior()) { 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(sr, strength_, *rng, -discount_, 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_.strength_); } }; struct StrengthResampler { StrengthResampler(const CCRP& crp) : crp_(crp) {} const CCRP& crp_; double operator()(const double& proposed_strength) const { return crp_.log_crp_prob(crp_.discount_, proposed_strength); } }; 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=" << strength_ << ") 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 strength_; // optional beta prior on discount_ (NaN if no prior) double discount_prior_strength_; double discount_prior_beta_; // optional gamma prior on strength_ (NaN if no prior) double strength_prior_shape_; double strength_prior_rate_; }; template std::ostream& operator<<(std::ostream& o, const CCRP& c) { c.Print(&o); return o; } #endif