def local_meanfield(global_natparam, node_potentials):
# global_natparam = \eta_{\theta}^0
# node_potentials = r(\phi, y)
dirichlet_natparam, niw_natparams = global_natparam
node_potentials = gaussian.pack_dense(*node_potentials)
#### compute expected global parameters using current global factors
# label_global = E_{q(\pi)}[t(\pi)] here q(\pi) is posterior which is dirichlet with parameter dirichlet_natparam and t is [log\pi_1, log\pi_2....]
# gaussian_globals = E_{q(\mu, \Sigma)}[t(\mu, \Sigma)] here q(\mu, \Sigma) is posterior which is NIW
label_global = dirichlet.expectedstats(dirichlet_natparam)
gaussian_globals = niw.expectedstats(niw_natparams)
#### compute mean field fixed point using unboxed node_potentials
label_stats = meanfield_fixed_point(label_global, gaussian_globals, getval(node_potentials))
#### compute values that depend directly on boxed node_potentials at optimum
gaussian_natparam, gaussian_stats, gaussian_kl = \
gaussian_meanfield(gaussian_globals, node_potentials, label_stats)
label_natparam, label_stats, label_kl = \
label_meanfield(label_global, gaussian_globals, gaussian_stats)
#### collect sufficient statistics for gmm prior (sum across conditional iid)
dirichlet_stats = np.sum(label_stats, 0)
niw_stats = np.tensordot(label_stats, gaussian_stats, [0, 0])
local_stats = label_stats, gaussian_stats
prior_stats = dirichlet_stats, niw_stats
natparam = label_natparam, gaussian_natparam
kl = label_kl + gaussian_kl
return local_stats, prior_stats, natparam, kl
def local_meanfield(global_stats, node_potentials):
label_global, gaussian_globals = global_stats
node_potentials = gaussian.pack_dense(*node_potentials)
def make_fpfun((label_global, gaussian_globals, node_potentials)):
return lambda (local_natparam, local_stats, kl): \
meanfield_update(label_global, gaussian_globals, node_potentials, local_stats[0])
x0 = initialize_meanfield(label_global, gaussian_globals, node_potentials)
kl_diff = lambda a, b: abs(a[2]-b[2])
(label_natparam, gaussian_natparam), (label_stats, gaussian_stats), _ = \
fixed_point(make_fpfun, (label_global, gaussian_globals, node_potentials), x0, kl_diff, tol=1e-3)
# collect sufficient statistics for gmm prior (sum across conditional iid)
dirichlet_stats = np.sum(label_stats, 0)
niw_stats = np.tensordot(label_stats, gaussian_stats, [0, 0])
local_stats = label_stats, gaussian_stats
prior_stats = dirichlet_stats, niw_stats
natparam = label_natparam, gaussian_natparam
kl = local_kl(getval(gaussian_globals), getval(label_global),
label_natparam, gaussian_natparam, label_stats, gaussian_stats)
return local_stats, prior_stats, natparam, kl
def local_meanfield(global_natparam, node_potentials):
dirichlet_natparam, niw_natparams = global_natparam
node_potentials = gaussian.pack_dense(*node_potentials)
# compute expected global parameters using current global factors
label_global = dirichlet.expectedstats(dirichlet_natparam)
gaussian_globals = niw.expectedstats(niw_natparams)
# compute mean field fixed point using unboxed node_potentials
label_stats = meanfield_fixed_point(label_global, gaussian_globals, getval(node_potentials))
# compute values that depend directly on boxed node_potentials at optimum
gaussian_natparam, gaussian_stats, gaussian_kl = \
gaussian_meanfield(gaussian_globals, node_potentials, label_stats)
label_natparam, label_stats, label_kl = \
label_meanfield(label_global, gaussian_globals, gaussian_stats)
# collect sufficient statistics for gmm prior (sum across conditional iid)
dirichlet_stats = np.sum(label_stats, 0)
niw_stats = np.tensordot(label_stats, gaussian_stats, [0, 0])
local_stats = label_stats, gaussian_stats
prior_stats = dirichlet_stats, niw_stats
natparam = label_natparam, gaussian_natparam
kl = label_kl + gaussian_kl
return local_stats, prior_stats, natparam, kl
def mc_elbo(pgm_params, i):
#Here nn_potentials are just the sufficient stats of the data
x = get_batch(i)
xxT = np.einsum('ij,ik->ijk', x, x)
n = np.ones(x.shape[0]) if x.ndim == 2 else 1.
nn_potentials = pack_dense(xxT, x, n, n)
saved.stats, global_kl, local_kl = run_inference(
pgm_prior, pgm_params, nn_potentials)
return (-global_kl - num_batches * local_kl) / num_datapoints #CHECK
def check_params(natparam):
natparam2 = pack_dense(*unpack_dense(natparam))
assert np.allclose(natparam, natparam2)
def rand_gaussian(n):
J = rand_psd(n) + n * np.eye(n)
h = npr.randn(n)
return pack_dense(-1./2*J, h)
def check_params(natparam):
natparam2 = pack_dense(*unpack_dense(natparam))
assert np.allclose(natparam, natparam2)
def rand_gaussian(n):
J = rand_psd(n) + n * np.eye(n)
h = npr.randn(n)
return pack_dense(-1. / 2 * J, h)