Readme

Source code that implements an Infinite Mixture Model for multivariate Gaussian data and infers the mixture model parameters via Gibbs MCMC.

Software provided in R.

Dependencies

1. R - install R from https://cran.r-project.org/. A version higher than 2.12.0 is recommended. sudo yum install R
2. Once installed, open a terminal and at the command prompt, type R.
3. At the R prompt: Install the following R packages by issuing command:

install.packages(c("MCMCpack","mvtnorm","coda","Matrix","Rtsne","lattice","MASS","bayesm","robustbase","chron","mnormt","schoolmath","devtools"))

Note: Until here, this is a one-time activity.

How to run code

1. Clone/Download code repository

2. At the R prompt: issue command

rm(list=ls())

graphics.off()

3. Issue setwd() to point to the path where the code repository resides. eg. if the code is downloaded at "/User/Downloads/IMM_Code/", then type

working_path <- "/Users/Downloads/IMM_Code/"

setwd(working_path);

4. At the R prompt: Issue command

source("Gibbs_InfiniteMixtureModel_MultiVariate_Gaussian.R")

Output

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1. ~/output/plots/ folder gives the various plots
2. In the R terminal, the latent variables of interest can be obtained by issuing:

• Class ## (class assignment of the observations)
• mu ## (inferred means)
• Sigma ## (inferred covariances)