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Support for kmeans initialization with vmap #315

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@ghuckins

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@ghuckins

Hi there,

When I try to use vmap to vectorize a function that includes a kmeans initialization, I get the following error:

jax._src.errors.TracerArrayConversionError: The numpy.ndarray conversion method __array__() was called on the JAX Tracer object Traced<ShapedArray(float32[11396,7])>with<BatchTrace(level=1/0)>

And here's the code that produces the error:

    hmm = GaussianHMM(latdim, obsdim)
    data1 = jnp.array(data1)
    data2 = jnp.array(data2)
    data1_train = jnp.stack([jnp.concatenate([data1[:i], data1[i+1:]]) for i in range(len(data1))])
    data2_train = jnp.stack([jnp.concatenate([data2[:i], data2[i+1:]]) for i in range(len(data2))])

    base_params1, props1 = hmm.initialize(key=get_key(), method="kmeans", emissions=data1[:length,:,:])
    params1, _ = hmm.fit_em(base_params1, props1, data1[:length,:,:], num_iters=100, verbose=False)
    base_params2, props2 = hmm.initialize(key=get_key(), method="kmeans", emissions=data2[:length,:,:])
    params2, _ = hmm.fit_em(base_params2, props2, data2[:length,:,:], num_iters=100, verbose=False)
    def _fit_fold(train, test, params):
        base_params, props = hmm.initialize(key=get_key(), method="kmeans", emissions=train[:length,:,:])
        fit_params, _ = hmm.fit_em(base_params, props, train[:length,:,:], num_iters=100, verbose=False)
        return (hmm.marginal_log_prob(fit_params, test) > hmm.marginal_log_prob(params, test)).astype(int)

    correct1 = jnp.sum(vmap(_fit_fold, in_axes = [0,0,None])(data1_train,data1,params2))

The error traces back to scikit-learn and Kmeans. The problem seems to be that scikit-learn uses numpy functions and not jax functions. Would it be possible to update hmm.initialize so that it could be use in vectorized functions?

Thanks!

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