R/diri.nr.R

Defines functions diri.nr

Documented in diri.nr

################################
#### Dirichlet distribution parameters
#### via Newton-Raphson
#### Tsagris Michail 8/2015
#### [email protected]
#### References: Estimating a Dirichlet distribution (2012)
#### Thomas P. Minka
#### http://research.microsoft.com/en-us/um/people/minka/papers/dirichlet/minka-dirichlet.pdf
################################
diri.nr <- function(x, type = 1, tol = 1e-07) {

  if (type == 1) {
    runtime <- proc.time()
    n <- dim(x)[1]  ## the sample size
    p <- dim(x)[2]  ## dimensionality
    m <- Rfast::colmeans(x)
    zx <- t( log(x) )
    down <-  - sum( m * ( Rfast::rowmeans( zx ) - log(m) ) )
    sa <- 0.5 * (p - 1) / down  ## initial value for precision
    a1 <- sa * m  ## initial values
    gm <- Rfast::rowsums(zx)
    z <- n * digamma( sa )
    g <- z - n * digamma(a1) + gm
    qk <-  - n * trigamma(a1)
    b <- sum(g / qk) / ( 1/z - sum(1 / qk) )
    a2 <- a1 - (g - b)/qk
    i <- 2
    while ( sum( abs( a2 - a1 ) ) > tol ) {
      i <- i + 1
      a1 <- a2
      z <- n * digamma( sum(a1) )
      g <- z - n * digamma(a1) + gm
      qk <-  - n * trigamma(a1)
      b <- sum(g / qk) / ( 1/z - sum(1 / qk) )
      a2 <- a1 - (g - b) / qk
    }
    loglik <- n * lgamma( sum(a2) ) - n * sum( lgamma(a2) ) + sum( zx * (a2 - 1) )
    runtime <- proc.time() - runtime

    if ( is.null(colnames(x)) ) {
      names(a2) <- paste("X", 1:p, sep = "")
    } else  names(a2) <- colnames(x)
    res <- list(iter = i, loglik = loglik, param = a2, runtime = runtime)

  } else  res <- Rfast::diri.nr2(x, tol = tol)

  res
}

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Compositional documentation built on Jan. 14, 2018, 5:03 p.m.