sams (version 0.4.3)

nealAlgorithm3: Conjugate Gibbs Sampler for a Partition

Description

Algorithm 3 from Neal (2000) to update the state of a partition based on the "Chinese Restaurant Process" (CRP) prior and a user-supplied log posterior predictive density function, with additional functionality for the two parameter CRP prior.

Usage

nealAlgorithm3(
  partition,
  logPosteriorPredictiveDensity = function(i, subset) 0,
  mass = 1,
  discount = 0,
  nUpdates = 1L
)

Arguments

partition

A numeric vector of cluster labels representing the current partition.

logPosteriorPredictiveDensity

A function taking an index \(i\) (as a numeric vector of length one) and a subset of integers \(subset\), and returning the natural logarithm of \(p( y_i | y_subset )\), i.e., that item's contribution to the log integrated likelihood given a subset of the other items. The default value "turns off" the likelihood, resulting in prior simulation (rather than posterior simulation).

mass

A specification of the mass (concentration) parameter in the CRP prior. Must be greater than the -discount argument.

discount

A numeric value on the interval [0,1) corresponding to the discount parameter in the two parameter CRP prior. Set to zero for the usual, one parameter CRP prior.

nUpdates

An integer giving the number of Gibbs scans before returning. This has the effect of thinning the Markov chain.

Value

A numeric vector giving the updated partition encoded using cluster labels.

References

Neal, R. M. (2000). Markov chain sampling methods for Dirichlet process mixture models. Journal of computational and graphical statistics, 9(2), 249-265.

Examples

# NOT RUN {
nealData <- c(-1.48, -1.40, -1.16, -1.08, -1.02, 0.14, 0.51, 0.53, 0.78)
mkLogPosteriorPredictiveDensity <- function(data = nealData,
                                            sigma2 = 0.1^2,
                                            mu0 = 0,
                                            sigma02 = 1) {
  function(i, subset) {
    posteriorVariance <- 1 / ( 1/sigma02 + length(subset)/sigma2 )
    posteriorMean <- posteriorVariance * ( mu0/sigma02 + sum(data[subset])/sigma2 )
    posteriorPredictiveSD <- sqrt(posteriorVariance + sigma2)
    dnorm(data[i], posteriorMean, posteriorPredictiveSD, log=TRUE)
  }
}

logPostPredict <- mkLogPosteriorPredictiveDensity()

nSamples <- 1000L
partitions <- matrix(0, nrow = nSamples, ncol = length(nealData))
for (i in 2:nSamples) {
  partitions[i,] <- nealAlgorithm3(partitions[i-1,], logPostPredict, mass = 1.0, nUpdates = 1)
}

# convergence and mixing diagnostics
nSubsets <- apply(partitions, 1, function(x) length(unique(x)))
mean(nSubsets)
sum(acf(nSubsets)$acf) - 1   # Autocorrelation time

entropy <- apply(partitions, 1, partitionEntropy)
plot.ts(entropy)

# }