#ifndef _MFCR_H_ #define _MFCR_H_ #include #include #include #include #include #include #include #include #include #include "sampler.h" #include "slice_sampler.h" struct TableCount { TableCount() : count(), floor() {} TableCount(int c, int f) : count(c), floor(f) { assert(f >= 0); } int count; // count or delta (may be 0, <0, or >0) unsigned char floor; // from which floor? }; std::ostream& operator<<(std::ostream& o, const TableCount& tc) { return o << "[c=" << tc.count << " floor=" << static_cast(tc.floor) << ']'; } // Multi-Floor Chinese Restaurant as proposed by Wood & Teh (AISTATS, 2009) to simulate // graphical Pitman-Yor processes. // http://jmlr.csail.mit.edu/proceedings/papers/v5/wood09a/wood09a.pdf // // Implementation is based on Blunsom, Cohn, Goldwater, & Johnson (ACL 2009) and code // referenced therein. // http://www.aclweb.org/anthology/P/P09/P09-2085.pdf // template > class MFCR { public: MFCR(unsigned num_floors, double d, double alpha) : num_floors_(num_floors), num_tables_(), num_customers_(), d_(d), alpha_(alpha), d_prior_alpha_(std::numeric_limits::quiet_NaN()), d_prior_beta_(std::numeric_limits::quiet_NaN()), alpha_prior_shape_(std::numeric_limits::quiet_NaN()), alpha_prior_rate_(std::numeric_limits::quiet_NaN()) {} MFCR(unsigned num_floors, double d_alpha, double d_beta, double alpha_shape, double alpha_rate, double d = 0.9, double alpha = 10.0) : num_floors_(num_floors), num_tables_(), num_customers_(), d_(d), alpha_(alpha), d_prior_alpha_(d_alpha), d_prior_beta_(d_beta), alpha_prior_shape_(alpha_shape), alpha_prior_rate_(alpha_rate) {} double d() const { return d_; } double alpha() const { return alpha_; } bool has_d_prior() const { return !std::isnan(d_prior_alpha_); } bool has_alpha_prior() const { return !std::isnan(alpha_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(); } // this is not terribly efficient but it should not typically be necessary to execute this query unsigned num_tables(const Dish& dish, const unsigned floor) const { const typename std::tr1::unordered_map::const_iterator it = dish_locs_.find(dish); if (it == dish_locs_.end()) return 0; unsigned c = 0; for (typename std::list::const_iterator i = it->second.table_counts_.begin(); i != it->second.table_counts_.end(); ++i) { if (i->floor == floor) ++c; } return c; } 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 (delta, floor) indicating whether a new table (delta) was opened and on which floor TableCount increment(const Dish& dish, const std::vector& p0s, const std::vector& lambdas, MT19937* rng) { assert(p0s.size() == num_floors_); assert(lambdas.size() == num_floors_); DishLocations& loc = dish_locs_[dish]; // marg_p0 = marginal probability of opening a new table on any floor with label dish const double marg_p0 = std::inner_product(p0s.begin(), p0s.end(), lambdas.begin(), 0.0); assert(marg_p0 <= 1.0); int floor = -1; bool share_table = false; if (loc.total_dish_count_) { const double p_empty = (alpha_ + num_tables_ * d_) * marg_p0; const double p_share = (loc.total_dish_count_ - loc.table_counts_.size() * d_); share_table = rng->SelectSample(p_empty, p_share); } if (share_table) { double r = rng->next() * (loc.total_dish_count_ - loc.table_counts_.size() * d_); for (typename std::list::iterator ti = loc.table_counts_.begin(); ti != loc.table_counts_.end(); ++ti) { r -= ti->count - d_; if (r <= 0.0) { ++ti->count; floor = ti->floor; break; } } if (r > 0.0) { std::cerr << "Serious error: r=" << r << std::endl; Print(&std::cerr); assert(r <= 0.0); } } else { // sit at currently empty table -- must sample what floor double r = rng->next() * marg_p0; for (unsigned i = 0; i < p0s.size(); ++i) { r -= p0s[i] * lambdas[i]; if (r <= 0.0) { floor = i; break; } } assert(floor >= 0); loc.table_counts_.push_back(TableCount(1, floor)); ++num_tables_; } ++loc.total_dish_count_; ++num_customers_; return (share_table ? TableCount(0, floor) : TableCount(1, floor)); } // returns first = -1 or 0, indicating whether a table was closed, and on what floor (second) TableCount decrement(const Dish& dish, MT19937* rng) { DishLocations& loc = dish_locs_[dish]; assert(loc.total_dish_count_); int floor = -1; int delta = 0; if (loc.total_dish_count_ == 1) { floor = loc.table_counts_.front().floor; dish_locs_.erase(dish); --num_tables_; --num_customers_; delta = -1; } else { // sample customer to remove UNIFORMLY. that is, do NOT use the d // here. if you do, it will introduce (unwanted) bias! double r = rng->next() * loc.total_dish_count_; --loc.total_dish_count_; --num_customers_; for (typename std::list::iterator ti = loc.table_counts_.begin(); ti != loc.table_counts_.end(); ++ti) { r -= ti->count; if (r <= 0.0) { floor = ti->floor; if ((--ti->count) == 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); } } return TableCount(delta, floor); } double prob(const Dish& dish, const std::vector& p0s, const std::vector& lambdas) const { assert(p0s.size() == num_floors_); assert(lambdas.size() == num_floors_); 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::const_iterator it = dish_locs_.find(dish); const double r = num_tables_ * d_ + alpha_; if (it == dish_locs_.end()) { return r * marg_p0 / (num_customers_ + alpha_); } else { return (it->second.total_dish_count_ - d_ * it->second.table_counts_.size() + r * marg_p0) / (num_customers_ + alpha_); } } double log_crp_prob() const { return log_crp_prob(d_, alpha_); } 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 draws from G_w's double log_crp_prob(const double& d, const double& alpha) const { double lp = 0.0; if (has_d_prior()) lp = log_beta_density(d, d_prior_alpha_, d_prior_beta_); if (has_alpha_prior()) lp += log_gamma_density(alpha, alpha_prior_shape_, alpha_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); 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->count - d) - 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_d_prior() || has_alpha_prior()); DiscountResampler dr(*this); ConcentrationResampler cr(*this); for (int iter = 0; iter < nloop; ++iter) { if (has_alpha_prior()) { alpha_ = slice_sampler1d(cr, alpha_, *rng, 0.0, std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); } if (has_d_prior()) { d_ = slice_sampler1d(dr, d_, *rng, std::numeric_limits::min(), 1.0, 0.0, niterations, 100*niterations); } } alpha_ = slice_sampler1d(cr, alpha_, *rng, 0.0, std::numeric_limits::infinity(), 0.0, niterations, 100*niterations); } struct DiscountResampler { 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_); } }; struct ConcentrationResampler { ConcentrationResampler(const MFCR& crp) : crp_(crp) {} const MFCR& crp_; double operator()(const double& proposed_alpha) const { return crp_.log_crp_prob(crp_.d_, proposed_alpha); } }; 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 { (*out) << "MFCR(d=" << d_ << ",alpha=" << alpha_ << ") 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_floors_; unsigned num_tables_; unsigned num_customers_; std::tr1::unordered_map dish_locs_; double d_; double alpha_; // optional beta prior on d_ (NaN if no prior) double d_prior_alpha_; double d_prior_beta_; // optional gamma prior on alpha_ (NaN if no prior) double alpha_prior_shape_; double alpha_prior_rate_; }; template std::ostream& operator<<(std::ostream& o, const MFCR& c) { c.Print(&o); return o; } #endif