Dirichlet Process

Modelling Bernoulli Mixture Models with Dirichlet Processes in PyMC

I’ve been spending a lot of time over the last week getting Theano working on Windows playing with Dirichlet Processes for clustering binary data using PyMC3. While there is a great tutorial for mixtures of univariate distributions, there isn’t a lot out there for multivariate mixtures, and Bernoulli mixtures in particular. This notebook shows an example of fitting such a model using PyMC3 and highlights the importance of careful parameterisation as well as demonstrating that variational inference can prove advantageous over standard sampling methods like NUTS for such problems.