Variational inference [WIP]

1 files changed, 29 insertions, 0 deletions

diff --git a/simulation/vi.py b/simulation/vi.py
new file mode 100644
index 0000000..9f2ed40
--- /dev/null
+++ b/simulation/vi.py
@@ -0,0 +1,29 @@
+import autograd.numpy as np
+from autograd import grad
+
+
+def g(m):
+    return np.log(1 - np.exp(-m))
+
+
+def h(m):
+    return -m
+
+
+def ll(cascades, theta):
+    res = 0
+    for x, s in cascades:
+        for t in range(1, x.shape[1] + 1):
+            w = np.dot(x[t-1], theta)
+            res += g(w)[x[t]].sum() + h(w)[~x[t] & s[t]].sum()
+
+
+def sample(params):
+    return np.random.normal(*params)
+
+
+def ll_full(params, cascades):
+    nsamples = 50
+    return np.mean([ll(cascades, sample(params)) for _ in xrange(nsamples)])
+
+grad_ll_full = grad(ll_full)