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Convergence tweaks for reversible MLE and sampler #45

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Aug 4, 2015

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@franknoe franknoe commented Aug 4, 2015

Affects mainly estimation: reversible tmatrix MLE and sampler:

  • Added option to suppress the not-converged warning.
  • Using that option and running only 100 steps in the initialization of the reversible transition matrix sampler. That's sufficient for the sampler because the MLE is just a starting point anyway. In cases where the reversible MLE doesn't converge well - and that seems to happen often for the fractional counts employed in Bayesian methods - we would otherwise optimize for 1M steps, just to throw that result away in the first sampling step. This change makes a huge performance difference for the Bayesian HMM, where a transition matrix sampling is run for every iteration of the algorithm (usually 100 times or more).

…press the not-converged warning. Using that option and running only 100 steps in the initialization of the reversible transition matrix sampler. That's sufficient for the sampler because the MLE is just a starting point anyway. In cases where the reversible MLE doesn't converge well - and that seems to happen often for the fractional counts employed in Bayesian methods - we would otherwise optimize for 1M steps, just to throw that result away in the first sampling step. This change makes a huge performance difference for the Bayesian HMM, where a transition matrix sampling is run for every iteration of the algorithm (usually 100 times or more).
franknoe added a commit that referenced this pull request Aug 4, 2015
Convergence tweaks for reversible MLE and sampler
@franknoe franknoe merged commit b1c6ecd into devel Aug 4, 2015
@franknoe franknoe deleted the rev_mle_convergence_tweaks branch August 4, 2015 18:40
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