Multi-start best-of wrapper

Runs the supplied fitter from each of several initialisations and returns the fit with the best score, following Karlis and Xekalaki (2003)'s recommendation.

Usage

multi_start_best_of(fit_fn, inits, score_fn, ...)

Arguments

fit_fn

A function with signature function(init, ...) returning a gmm_fit.

inits

A list of gmm initialisations.

score_fn

A function function(fit) returning a numeric score — larger is better (typically the final log-target evidence).

...

Additional arguments forwarded to fit_fn.

Value

The gmm_fit with the largest score_fn(fit).

See also

Other init: init_kmeans(), init_moment_seed(), init_random(), init_warm_start()

Examples

x <- matrix(stats::rnorm(200), ncol = 2)
tgt <- gmm_target_from_samples(x)
inits <- list(init_random(2L, 2L, seed = 1L),
              init_moment_seed(x, N = 2L))
best <- multi_start_best_of(
  fit_fn   = function(init, ...) fit_em_samples(tgt, init = init, ...),
  inits    = inits,
  score_fn = function(fit) fit@diagnostics$loglik_final,
  max_iter = 25L
)
best@diagnostics$loglik_final
#> [1] -285.4343