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A numerically stable algorithm for the sampling from dirichlet distribution using stick breaking method

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Authors
권오란
Advisor
김용대
Major
자연과학대학 통계학과
Issue Date
2015-02
Publisher
서울대학교 대학원
Keywords
Random number generationDirichlet distributionStick Breakingrandom numberssampling
Description
학위논문 (석사)-- 서울대학교 대학원 : 통계학과, 2015. 2. 김용대.
Abstract
In a model that a Dirichlet prior distribution is given over a set of categorical-valued observations, such as LDA, parameters are estimated using MCMC techniques. When trying to estimate hyperparameters, it is inevitable to sampling from Dirichlet distribution with diverse cases of concentration parameters until convergence. In this paper, a numerically stable algorithm is proposed to generate Dirichlet random variables using stick brekaing method, when one or more concentration parameters are close to 0, which is the case where frequently happens in such as topic models. The most well-used Dirichlet random generators are based on Gamma random generators. But most popular Gamma random generators, Ahrens & Dieter, Best, and Marsaglia methods, are observed to generate randoms the undesirable distribution because of the numerical unstability problem Using stick brekaing method, we overcome this problem.
Language
English
URI
https://hdl.handle.net/10371/131293
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College of Natural Sciences (자연과학대학)Dept. of Statistics (통계학과)Theses (Master's Degree_통계학과)
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