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Math Help - Solve integral function

  1. #1
    ade
    ade is offline
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    Solve integral function

    Hi, could any one please solve this integral function for me using any method apart from laplacian approximation.

    P (i |F, u) = ∫ Dirichlet (I) (p|F +u) pi .dIp

    PROBLEM


    The likelihood function for a simple belief network with no hidden nodes is a product of factors, one for each unknown probability vector p, of the form

    P(F | p) = ∏ pi Fi ,
    i

    where p is a probability vector with I components, and F is a vector of counts Fi , the number of times that outcome i occurred when we sampled from the distribution p.

    Using Dirichlet distribution for a probability vector p parameterized by a measure u (a vector with all coefficients ui > 0):

    P(.p | u) = 1/Z Dir(u) ∏ pi ui≤1σ ( ∑ Pi ≤ 1) ≤ Dirichlet(I) (p | u).
    i=1 i
    The function .x/ is the Dirac delta function which simply restricts the distribution to the simplex such that p is normalized, i.e., Pi pi D 1; the distribution is restricted to non-negative pi ’s. The normalizing constant of the Dirichlet distribution is

    ZDir (u ) = ∏ ᴦ(ui) / ᴦ (u),

    where we define u=∑i ui . We will similarly define F=∑i Fi . The hyperparameter vector u controls how compact the prior distribution over p is. If u is large then the distribution over p is concentrated around the mean of the distribution, ui/u. If all the components of u are small then extreme large and small probabilities are expected.
    In the case of our bent die model, assuming a Dirichlet prior, the posterior probability of p given the data F is;
    P (p|F, u) = P (F|p) P (p|u) / p (F|u)
    = ∏ pi Fi ∏ pi ui ≤1 σ( ∑pi ≤ 1 ((ZDir(u) / P(F|u)

    = Dirichlet(I) (p|F +U).

    The predictive distribution, that is the probability that the next outcome will be an i, is given by

    P (i |F, u) = ∫ Dirichlet (I) (p|F +u) pi .dIp
    Last edited by mr fantastic; September 7th 2009 at 02:25 PM. Reason: Increased font size to normal.
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