clusterBMA: Bayesian model averaging for clustering

Abstract: Various methods have been developed to combine inference across multiple sets of results for unsupervised clustering, within the ensemble clustering literature. The approach of reporting results from one `best' model out of several candidate clustering models generally ignores the uncertainty that arises from model selection, and results in inferences that are sensitive to the particular model and parameters chosen. Bayesian model averaging (BMA) is a popular approach for combining results across multiple models that offers some attractive benefits in this setting, including probabilistic interpretation of the combined cluster structure and quantification of model-based uncertainty. In this work we introduce clusterBMA, a method that enables weighted model averaging across results from multiple unsupervised clustering algorithms. We use clustering internal validation criteria to develop an approximation of the posterior model probability, used for weighting the results from each model. From a consensus matrix representing a weighted average of the clustering solutions across models, we apply symmetric simplex matrix factorisation to calculate final probabilistic cluster allocations. In addition to outperforming other ensemble clustering methods on simulated data, clusterBMA offers unique features including probabilistic allocation to averaged clusters, combining allocation probabilities from 'hard' and 'soft' clustering algorithms, and measuring model-based uncertainty in averaged cluster allocation. This method is implemented in an accompanying R package of the same name.