Mixtures. The Jain-Neal split-merge samplers

[AngelBerihuete]

Dear Mamba users,

I wonder if it is possible to include the Jain-Neal split-merge samplers in order to do a nonparametric Bayesian mixture and/or Bayesian clustering as @jwmi does with BayesianMixtures.jl for mixture of finite mixtures. Maybe the best way to do that it would be to incorporate the BayesianMixtures.jl as sampling function ... but I don't know if that thing is possible.

Here a reproducible example in order to do inference, a three components mixture of 2D Gaussians.

• The dataset

using Mamba
srand(12345)

spread = 5

mu_0 = zeros(2)
mu_1 = spread*ones(2)
mu_2 = -spread*ones(2)
sigma_0 = [1.0 0.0; 0.0 1.0]
sigma_1 = [2.0 0.0; 0.0 1.0]
sigma_2 = [2.0 0.0; 0.0 1.0]

X = MixtureModel(MvNormal, [(mu_0, sigma_0), (mu_1, sigma_1), (mu_2, sigma_2),
 ], [0.2, 0.2, 0.6])

data = Dict{Symbol, Any}(
  :y => rand(X, 100)'
)

• The model using Mamba.jl

data[:N] = size(data[:y])[1]
data[:K] = 3
data[:alpha] = ones(data[:K])
data[:mean] = ones(2)
data[:var] = eye(2)
data[:P0] = [200.0 0.0; 0.0 1.0]

model = Model(

  P = Stochastic(1,
    alpha -> Dirichlet(alpha)
  ),

  T = Stochastic(1,
    (N, P) -> UnivariateDistribution[Categorical(P) for i in 1:N], 
    false
  ),

  mu = Stochastic(2,
    (K, mu0, sigma0) -> MultivariateDistribution[MvNormal(mu0, sigma0) 
    for k in 1:K]
  ),

  mu0 = Stochastic(1,
    (mean, var) -> MvNormal(mean, var),
    false
    ),

  sigma0 = Stochastic(2,
    (P0) -> InverseWishart(2.0, P0),
    false
  ),

  y = Stochastic(2,
    (mu, N, T) -> 
    begin
      MultivariateDistribution[
      begin
        mu_aux = mu[Int(T[i]),:]
        MvNormal(mu_aux, eye(2))
      end
      for i in 1:N
      ]
    end,
    false
  )
)

inits = [
  Dict(:y => data[:y], :T => fill(1, data[:N]), :P => ones(data[:K])/data[:K],
    :mu0 => zeros(2), :sigma0 => data[:P0], :mu => repmat([0 0], data[:K],1)),
  Dict(:y => data[:y], :T => fill(1, data[:N]), :P => ones(data[:K])/data[:K],
    :mu0 => zeros(2), :sigma0 => data[:P0], :mu => repmat([0 0], data[:K], 1))
]

# Sampling Scheme
# ---------------
scheme = [DGS(:T),
          Slice(:mu, 1.0),
          SliceSimplex(:P, scale=0.75)]

setsamplers!(model, scheme)

# MCMC Simulations
# ----------------

sim = mcmc(model, data, inits, 1000, burnin=250, thin=2, chains=2)

[bdeonovic]

After skimming the paper it looks like something reasonable that could be implemented. I won't have time for awhile (December? January?) But feel free to try and take a stab at it yourself! Brian and I can answer any questions you have.

[jwmi]

Hi everyone, It would be great if you want to use the BayesianMixtures package in Mamba. I'd be interested to stay in the loop. Cheers, Jeff

On Mon, Oct 17, 2016 at 8:59 PM, Benjamin Deonovic <notifications@github.com

wrote:

After skimming the paper it looks like something reasonable that could be implemented. I won't have time for awhile (December? January?) But feel free to try and take a stab at it yourself! Brian and I can answer any questions you have.

— You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub https://github.com/brian-j-smith/Mamba.jl/issues/106#issuecomment-254377591, or mute the thread https://github.com/notifications/unsubscribe-auth/AHrTJk7vMrvu6D8UiFe-_Z2uuPzYtqCIks5q1BoGgaJpZM4KYt17 .

[AngelBerihuete]

Dear @bdeonovic and @jwmi I am afraid that I would not be able to code such thing in a short period of time. It is my second week using Julia and I think this task has a lot of specific requirements. My proposal tries to resolve a problem I proposed to @jwmi last week in other context.

Anyway, only for curiosity, do you have any example (documentation) to code a sampling function? What would be the steps to incorporate BaesianMixtures.jl to Mamba? Cheers, Angel

[bdeonovic]

A good example of a basic sampler can be found in the tutorial where a Gibbs sampler is coded up for Bayesian linear regression