Adding Dirichlet Process submodule

notebooks/dirichlet-process.ipynb

@@ -0,0 +1,224 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "id": "ddde367f",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import pymc as pm\n",
+    "import numpy as np\n",
+    "import pymc_experimental as pmx"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "45731819",
+   "metadata": {},
+   "source": [
+    "I follow **Example 9** from [here](https://projecteuclid.org/ebooks/nsf-cbms-regional-conference-series-in-probability-and-statistics/Nonparametric-Bayesian-Inference/Chapter/Chapter-3-Dirichlet-Process/10.1214/cbms/1362163748) (displayed below) and attempt to also replicate the results shown in Figure 3.2. They assume that data are drawn i.i.d. from $\\mathcal{N}(2, 4)$ but assume a base distribution $G_0 = \\mathcal{N}(0, 1)$.\n",
+    "\n",
+    "<img src=\"dp-example-9.png\" width=500>"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "id": "93713949",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "alpha = 5.0  # concentration parameter\n",
+    "K = 19  # truncation parameter\n",
+    "\n",
+    "rng = np.random.default_rng(seed=34)\n",
+    "obs = rng.normal(2.0, 2.0, size=50)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "id": "7fab0297",
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "Multiprocess sampling (4 chains in 4 jobs)\n",
+      "CompoundStep\n",
+      ">NUTS: [base_dist, sbw]\n",
+      ">BinaryGibbsMetropolis: [idx]\n",
+      ">CategoricalGibbsMetropolis: [atom_selection]\n"
+     ]
+    },
+    {
+     "data": {
+      "text/html": [
+       "\n",
+       "<style>\n",
+       "    /* Turns off some styling */\n",
+       "    progress {\n",
+       "        /* gets rid of default border in Firefox and Opera. */\n",
+       "        border: none;\n",
+       "        /* Needs to be in here for Safari polyfill so background images work as expected. */\n",
+       "        background-size: auto;\n",
+       "    }\n",
+       "    progress:not([value]), progress:not([value])::-webkit-progress-bar {\n",
+       "        background: repeating-linear-gradient(45deg, #7e7e7e, #7e7e7e 10px, #5c5c5c 10px, #5c5c5c 20px);\n",
+       "    }\n",
+       "    .progress-bar-interrupted, .progress-bar-interrupted::-webkit-progress-bar {\n",
+       "        background: #F44336;\n",
+       "    }\n",
+       "</style>\n"
+      ],
+      "text/plain": [
+       "<IPython.core.display.HTML object>"
+      ]
+     },
+     "metadata": {},
+     "output_type": "display_data"
+    },
+    {
+     "data": {
+      "text/html": [
+       "\n",
+       "    <div>\n",
+       "      <progress value='8000' class='' max='8000' style='width:300px; height:20px; vertical-align: middle;'></progress>\n",
+       "      100.00% [8000/8000 00:07&lt;00:00 Sampling 4 chains, 0 divergences]\n",
+       "    </div>\n",
+       "    "
+      ],
+      "text/plain": [
+       "<IPython.core.display.HTML object>"
+      ]
+     },
+     "metadata": {},
+     "output_type": "display_data"
+    },
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "Sampling 4 chains for 1_000 tune and 1_000 draw iterations (4_000 + 4_000 draws total) took 7 seconds.\n",
+      "Chain <xarray.DataArray 'chain' ()>\n",
+      "array(0)\n",
+      "Coordinates:\n",
+      "    chain    int64 0 reached the maximum tree depth. Increase `max_treedepth`, increase `target_accept` or reparameterize.\n",
+      "Chain <xarray.DataArray 'chain' ()>\n",
+      "array(1)\n",
+      "Coordinates:\n",
+      "    chain    int64 1 reached the maximum tree depth. Increase `max_treedepth`, increase `target_accept` or reparameterize.\n",
+      "Chain <xarray.DataArray 'chain' ()>\n",
+      "array(2)\n",
+      "Coordinates:\n",
+      "    chain    int64 2 reached the maximum tree depth. Increase `max_treedepth`, increase `target_accept` or reparameterize.\n",
+      "Chain <xarray.DataArray 'chain' ()>\n",
+      "array(3)\n",
+      "Coordinates:\n",
+      "    chain    int64 3 reached the maximum tree depth. Increase `max_treedepth`, increase `target_accept` or reparameterize.\n"
+     ]
+    }
+   ],
+   "source": [
+    "with pm.Model() as model:\n",
+    "    base_dist = pm.Normal(\"base_dist\", 0.0, 1.0, shape=(K + 1,))\n",
+    "    sbw, atoms = pmx.dp.DirichletProcess(\"dp\", alpha, base_dist, K, observed=obs)\n",
+    "\n",
+    "    trace = pm.sample()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 9,
+   "id": "9ca7b453",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "x_plot = np.linspace(-4, 8, num=1001)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 21,
+   "id": "19b4ca98",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "dirac = np.less.outer(x_plot, trace.posterior[\"atoms\"].values[0, 0])"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 26,
+   "id": "9875702b",
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "(1000, 20)"
+      ]
+     },
+     "execution_count": 26,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "trace.posterior[\"sbw\"].values[0]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 22,
+   "id": "ee2fb857",
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "(1001, 20)"
+      ]
+     },
+     "execution_count": 22,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "dirac"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "d00e46c2",
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "pymc-dev",
+   "language": "python",
+   "name": "pymc-dev"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.8"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}

pymc_experimental/__init__.py

@@ -26,6 +26,6 @@
         _log.addHandler(handler)
 
 
-from pymc_experimental import distributions, gp, utils
+from pymc_experimental import distributions, dp, gp, utils
 from pymc_experimental.inference.fit import fit
 from pymc_experimental.marginal_model import MarginalModel

pymc_experimental/dp/__init__.py

@@ -0,0 +1,18 @@
+#   Copyright 2020 The PyMC Developers
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+
+
+from pymc_experimental.dp.dp import DirichletProcess, DirichletProcessMixture
+
+__all__ = ["DirichletProcess", "DirichletProcessMixture"]

pymc_experimental/dp/dp.py

@@ -0,0 +1,119 @@
+#   Copyright 2020 The PyMC Developers
+#
+#   Licensed under the Apache License, Version 2.0 (the "License");
+#   you may not use this file except in compliance with the License.
+#   You may obtain a copy of the License at
+#
+#       http://www.apache.org/licenses/LICENSE-2.0
+#
+#   Unless required by applicable law or agreed to in writing, software
+#   distributed under the License is distributed on an "AS IS" BASIS,
+#   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#   See the License for the specific language governing permissions and
+#   limitations under the License.
+
+import numpy as np
+import pymc as pm
+import pytensor.tensor as pt
+from pymc.distributions import Mixture
+from pymc.model import modelcontext
+
+__all__ = ["DirichletProcess", "DirichletProcessMixture"]
+
+
+def DirichletProcess(name, alpha, base_dist, K, observed=None, sbw_name=None, atoms_name=None):
+    r"""
+    Truncated Dirichlet Process for Bayesian Nonparametric Density Modelling
+
+    Parameters
+    ----------
+    alpha: tensor_like of float
+        Scale concentration parameter (alpha > 0) specifying the size of "sticks", or generated
+        weights, from the stick-breaking process. Ideally, alpha should have a prior and not be
+        a fixed constant.
+    base_dist: single batched distribution
+        The base distribution for a Dirichlet Process. `base_dist` must have shape (K + 1,).
+    K: int
+        The truncation parameter for the number of components of the Dirichlet Process Mixture.
+        The Goldilocks Principle should be used in selecting an appropriate value of K: not too
+        low to capture all possible clusters and not too high to induce a heavy computational
+        burden for sampling.
+    """
+    if sbw_name is None:
+        sbw_name = "sbw"
+
+    if atoms_name is None:
+        atoms_name = "atoms"
+
+    if observed is not None:
+        observed = np.asarray(observed)
+
+        if observed.ndim > 1:
+            raise ValueError("Multi-dimensional Dirichlet Processes are not " "yet supported.")
+
+        N = observed.shape[0]
+
+    try:
+        modelcontext(None)
+    except TypeError:
+        raise ValueError(
+            "PyMC Dirichlet Processes are only available under a pm.Model() context manager."
+        )
+
+    sbw = pm.StickBreakingWeights(sbw_name, alpha, K)
+
+    if observed is None:
+        return sbw, pm.Deterministic(atoms_name, base_dist)
+
+    """
+    idx samples a new atom from `base_dist` with probability alpha/(alpha + N)
+    and an existing atom from `observed` with probability N/(alpha + N).
+
+    If a new atom is not sampled, an atom from `observed` is sampled uniformly.
+    """
+    idx = pm.Bernoulli("idx", p=alpha / (alpha + N), shape=(K + 1,))
+    atom_selection = pm.Categorical("atom_selection", p=[1 / N] * N, shape=(K + 1,))
+
+    atoms = pm.Deterministic(
+        atoms_name,
+        var=pt.stack([pt.constant(observed)[atom_selection], base_dist], axis=-1)[
+            pt.arange(K + 1), idx
+        ],
+    )
+
+    return sbw, atoms
+
+
+class DirichletProcessMixture(Mixture):
+    r"""
+    Truncated Dirichlet Process Mixture
+
+    Parameters
+    ----------
+    alpha: tensor_like of float
+        Scale concentration parameter (alpha > 0) specifying the size of "sticks", or generated
+        weights, from the stick-breaking process. Ideally, alpha should have a prior and not be
+        a fixed constant.
+    G0: single batched distribution
+        The base distribution for a Dirichlet Process Mixture should be created via the
+        `.dist()` API as this class inherits from `pm.Mixture`. Be sure that the last size
+        of G0 is K+1.
+    K: int
+        The truncation parameter for the number of components of the Dirichlet Process Mixture.
+        The Goldilocks Principle should be used in selecting an appropriate value of K: not too
+        low to capture all possible clusters and not too high to induce a heavy computational
+        burden for sampling.
+    """
+
+    def __new__(cls, name, alpha, G0, K, **kwargs):
+        if "sbw_name" in kwargs:
+            sbw_name = kwargs["sbw_name"]
+        else:
+            sbw_name = f"sbw_{name}"
+
+        model = modelcontext(None)
+        model.register_rv(
+            pm.StickBreakingWeights.dist(alpha, K, **kwargs),
+            sbw_name,
+        )
+        return super().__new__(cls, name, w=model[sbw_name], comp_dists=G0, **kwargs)