Accelerated Gibbs Sampling for Infinite Sparse Factor Analysis

Abstract

The Indian Buffet Process (IBP) gives a probabilistic model of sparse binary matrices with an unbounded number of columns. This construct can be used, for example, to model a fixed numer of observed data points (rows) associated with an unknown number of latent features (columns). Markov Chain Monte Carlo (MCMC) methods are often used for IBP inference, and in this technical note, we provide a detailed review of the derivations of collapsed and accelerated Gibbs samplers for the linear-Gaussian infinite latent feature model. We also discuss and explain update equations for hyperparameter resampling in a 'full Bayesian' treatment and present a novel slice sampler capable of extending the accelerated Gibbs sampler to the case of infinite sparse factor analysis by allowing the use of real-valued latent features.