I’m having hard time to create a Mixture of DensityDist.
In order to have a short code example I will create a very basic DensityDist that is just a cover over a Normal(Gaussian) distribution.
d1 = np.random.normal(loc=1,scale=1,size=1000) # toy data set with pm.Model() as model: mu = pm.HalfNormal('mu',sd=1,shape=1) sd = pm.HalfNormal('sd',sd=1,shape=1) g = pm.Normal.dist(mu=mu,sd=sd,shape=1) obs = pm.DensityDist('obs',logp=g.logp,random=g.random,observed=d1)
This works as expected : mu & sd converge toward 1 & 1 (like the parameter in the toy data set)
Now I try to build a mixture with such ‘DensityDist’. I add a dimension (I increase the ‘shape’ param), and add the mixture creation code, and the observable is now the mixture :
# toy dataset d1 = np.random.normal(loc=1,scale=1,size=1000) d2 = np.random.normal(loc=2,scale=2,size=1000) data = np.concatenate([d1,d2]) # a bimodal toy data set with pm.Model() as model: mu = pm.HalfNormal('mu',sd=1,shape=2) sd = pm.HalfNormal('sd',sd=1,shape=2) g = pm.Normal.dist(mu=mu,sd=sd,shape=2) comp = pm.DensityDist('comp',logp=g.logp,random=g.random,shape=2) w = pm.Dirichlet('w',a=np.array([1,1])) mix = pm.Mixture('mix',w=w,comp_dists=comp,observed=data) trace = pm.sample(draws=1000, tune=1000,chains=1) pm.traceplot(trace);plt.show()
This outputs an error message :
ValueError: length not known: comp [id A]
linked to the mixture code line.
I don’t understand it’s meaning, but I remember that the mixture components need a ‘.dist’ extension, Then I change the component line to :
comp = pm.DensityDist.dist(logp=g.logp,random=g.random,shape=2)
Then the error message become :
TypeError: 'DensityDist' object is not iterable
Still linked to the mixture creation line.
I’m totally clueless. I don’t understant why this doesn’t work : a DensityDist is a distribution after all, why does the mixture does not accept it ?