add DP example with base distribution

examples/pp_dirichlet_process.py

@@ -1,8 +1,8 @@
 #!/usr/bin/env python
 """Dirichlet process.
 
-We sample from a Dirichlet process (with no base distribution) by
-using its stick breaking construction.
+We sample from a Dirichlet process (with no base distribution) via its
+stick breaking construction.
 
 References
 ----------

examples/pp_dirichlet_process_base.py

@@ -0,0 +1,86 @@
+#!/usr/bin/env python
+"""Dirichlet process.
+
+We sample from a Dirichlet process (with inputted base distribution)
+via its stick breaking construction.
+
+References
+----------
+https://probmods.org/chapters/12-non-parametric-models.html#infinite-discrete-distributions-the-dirichlet-processes
+"""
+from __future__ import absolute_import
+from __future__ import division
+from __future__ import print_function
+
+import tensorflow as tf
+
+from edward.models import Bernoulli, Beta, Normal
+
+
+
+def dirichlet_process(alpha, base_cls, sample_n=50, *args, **kwargs):
+  """A Dirichlet process DP(``alpha``, ``base_cls(*args, **kwargs)``)
+  with ``sample_n`` draws.
+
+  Only works for scalar alpha and scalar base distribution.
+
+  Parameters
+  ----------
+  alpha : float
+    Concentration parameter, with same batch shape as the base distribution.
+  base_cls : RandomVariable
+    Class of Base distribution, whose instantiation has the same batch
+    shape as ``alpha``.
+  sample_n : int, optional
+    Number of samples for each DP in the batch shape.
+  *args, **kwargs : optional
+    Arguments passed into ``base_cls``.
+
+  Returns
+  -------
+  tf.Tensor
+    A ``tf.Tensor`` of shape ``[sample_n] + batch_shape + event_shape``,
+    where ``sample_n`` is the number of samples, ``batch_shape`` is the
+    number of independent DPs, and ``event_shape`` is the ``event_shape``
+    of ``base_cls``.
+  """
+  def cond(k, beta_k, draws, bools):
+    # Proceed if at least one bool is True.
+    return tf.reduce_any(bools)
+
+  def body(k, beta_k, draws, bools):
+    k = k + 1
+    beta_k = beta_k * Beta(a=1.0, b=alpha)
+    theta_k = base_cls(*args, **kwargs)
+
+    # Assign ongoing samples to the new theta_k.
+    indicator = tf.cast(bools, draws.dtype)
+    new = indicator * theta_k
+    draws = draws * (1.0 - indicator) + new
+
+    flips = tf.cast(Bernoulli(p=beta_k), tf.bool)
+    bools = tf.logical_and(flips, tf.equal(draws, theta_k))
+    return k, beta_k, draws, bools
+
+  k = 0
+  beta_k = Beta(a=tf.ones(sample_n), b=alpha * tf.ones(sample_n))
+  theta_k = base_cls(*args, **kwargs)
+
+  # Initialize all samples as theta_k.
+  draws = tf.ones(sample_n) * theta_k
+  # Flip ``sample_n`` coins, one for each sample.
+  flips = tf.cast(Bernoulli(p=beta_k), tf.bool)
+  # Get boolean tensor for samples that return heads
+  # and are currently equal to theta_k.
+  bools = tf.logical_and(flips, tf.equal(draws, theta_k))
+
+  total_sticks, _, samples, _ = tf.while_loop(
+      cond, body, loop_vars=[k, beta_k, draws, bools])
+  return total_sticks, samples
+
+
+dp = dirichlet_process(0.1, Normal, mu=0.0, sigma=1.0)
+sess = tf.Session()
+print(sess.run(dp))
+print(sess.run(dp))
+print(sess.run(dp))