Question

我正在使用Pymc在一个简单的模型上运行一个Gibbs采样器，数据设置为一个包含110个元素的列表（每个维度有55个观测值）。

log y[i,j,k] = alpha[i,k] + beta[j,k] + mu[k]

其中log y遵循多元正态分布（因为k = 2），其中一些协方差矩阵被建模为rho，sigma1和sigma2。

在进行对数转换后，数据将成为110个数字的列表，范围从6到15.

这是我使用过的一段代码：

import pymc as pm
from pymc import Normal, Uniform, MvNormal, Exponential, Gamma,InverseGamma
from pymc import MCMC

mu = np.zeros(2, dtype=object)
alpha = np.zeros([10,2], dtype = object)
beta = np.zeros([10,2], dtype = object)
for k in range(2):
    mu[k] = Normal('mu_{}'.format(k), 0,1000)
    for i in range(0,10):
        alpha[i][k] = Normal('alpha_{}_{}'.format(i,k), 0, 1000)
        beta[i][k] =  Normal('beta_{}_{}'.format(i,k), 0, 1000)
rho = Uniform('rho', lower = -1, upper = 1)
sigma1 = InverseGamma('sigma1', 2.0001,1)  #sigma squared
sigma2 = InverseGamma('sigma2', 2.0001,1)

@pm.deterministic
def PRECISION():
    PREC = [[sigma2/(sigma1*sigma2*(1-rho)),(-rho*
(sigma1*sigma2)**0.5)/(sigma1*sigma2*(1-rho))],[(-rho*
(sigma1*sigma2)**0.5)/(sigma1*sigma2*(1-rho)), sigma1/(sigma1*sigma2*(1-
rho))]]
    return PREC
mean = np.zeros([10,10,2])
mean_list_1 = []
mean_list_2 = []
for i in range(10):
    for j in range(10):
        mean[i,j,0] = mu[0] + alpha[i][0] + beta[j][0]
        mean_list_1.append(mean[i,j,0])
        mean[i,j,1] = mu[1] + alpha[i][1] + beta[j][1]
        mean_list_2.append(mean[i,j,1])

#Restructure the vector
bi_mean = np.zeros(55, dtype = object)
bi_data = np.zeros(55, dtype = object)
log_Y = np.zeros(55, dtype = object)
for i in range(55):
    bi_mean[i] = [mean_list_1[i], mean_list_2[i]]
    bi_data[i] = [data[i], data[i+55]]

log_Y = [pm.MvNormal('log-Y_{}'.format(i), bi_mean[i], PRECISION, value = 
bi_data[i], observed = True) for i in range(55)]

monitor_list = [sigma1, sigma2, rho,mu, alpha, beta,log_Y]
model = MCMC([monitor_list],calc_deviance=True)
model.sample(iter=10000, burn=5000, thin=5)

我尝试在Pymc中运行它但是得到的alpha和beta值太小而不能与观察的大小相匹配。有没有办法可以检查出错的地方？谢谢。

Pymc阅读观察

0 个答案: