Code related to the paper:
Closed-form Marginal Likelihood in Gamma-Poisson Matrix Factorization
Filstroff L., Lumbreras A., Févotte C.
International Conference on Machine Learning (2018)
R/Rcpp implementation of MMLE-GaP and related algorithms.
The main MCMC-EM algorithm is in R/MMLE_MCEM.R. From this file, calls are made to methods in other files that compute the Monte Carlo E-Step and the M-step. The basic MC E-Step is a Gibbs sampler, but we have also played with other alternatives. There are R and Rcpp implementations (src/ folder) that are much faster.