squiggle.c/squiggle.c

#include <float.h>
#include <limits.h>
#include <math.h>
#include <stdint.h>
#include <stdio.h>
#include <stdlib.h>
#include <sys/types.h>
#include <time.h>

#define MAX_ERROR_LENGTH 500
#define EXIT_ON_ERROR 0
#define PROCESS_ERROR(error_msg) process_error(error_msg, EXIT_ON_ERROR, __FILE__, __LINE__)

const float PI = 3.14159265358979323846; // M_PI in gcc gnu99

// Pseudo Random number generator
uint32_t xorshift32(uint32_t* seed)
{
    // Algorithm "xor" from p. 4 of Marsaglia, "Xorshift RNGs"
    // See <https://stackoverflow.com/questions/53886131/how-does-xorshift32-works>
    // https://en.wikipedia.org/wiki/Xorshift
    // Also some drama: <https://www.pcg-random.org/posts/on-vignas-pcg-critique.html>, <https://prng.di.unimi.it/>

    uint32_t x = *seed;
    x ^= x << 13;
    x ^= x >> 17;
    x ^= x << 5;
    return *seed = x;
}

// Distribution & sampling functions
// Unit distributions
float sample_unit_uniform(uint32_t* seed)
{
    // samples uniform from [0,1] interval.
    return ((float)xorshift32(seed)) / ((float)UINT32_MAX);
}

float sample_unit_normal(uint32_t* seed)
{
    // See: <https://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform>
    float u1 = sample_unit_uniform(seed);
    float u2 = sample_unit_uniform(seed);
    float z = sqrtf(-2.0 * log(u1)) * sin(2 * PI * u2);
    return z;
}

// Composite distributions
float sample_uniform(float from, float to, uint32_t* seed)
{
    return sample_unit_uniform(seed) * (to - from) + from;
}

float sample_normal(float mean, float sigma, uint32_t* seed)
{
    return (mean + sigma * sample_unit_normal(seed));
}

float sample_lognormal(float logmean, float logsigma, uint32_t* seed)
{
    return expf(sample_normal(logmean, logsigma, seed));
}

float sample_to(float low, float high, uint32_t* seed)
{
    // Given a (positive) 90% confidence interval,
    // returns a sample from a lognormal
    // with a matching 90% c.i.
    const float NORMAL95CONFIDENCE = 1.6448536269514722;
    float loglow = logf(low);
    float loghigh = logf(high);
    float logmean = (loglow + loghigh) / 2;
    float logsigma = (loghigh - loglow) / (2.0 * NORMAL95CONFIDENCE);
    return sample_lognormal(logmean, logsigma, seed);
}

float sample_gamma(float alpha, uint32_t* seed){

  // A Simple Method for Generating Gamma Variables, Marsaglia and Wan Tsang, 2001
	// https://dl.acm.org/doi/pdf/10.1145/358407.358414
	// see also the references/ folder
	if(alpha >=1){
		float d, c, x, v, u;
		d = alpha - 1.0/3.0;
		c = 1.0/sqrt(9.0 * d);
		while(1){
			
			do {
				x = sample_unit_normal(seed);
				v = 1.0 + c * x;
			} while(v <= 0.0);

			v = pow(v, 3);
			u = sample_unit_uniform(seed);
			if( u < 1.0 - 0.0331 * pow(x, 4)){ // Condition 1
					// the 0.0331 doesn't inspire much confidence
					// however, this isn't the whole story
					// by knowing that Condition 1 implies condition 2
					// we realize that this is just a way of making the algorithm faster
					// i.e., of not using the logarithms
					return d*v;
			}
			if(log(u) < 0.5*pow(x,2) + d*(1.0 - v + log(v))){ // Condition 2
				return d*v;
			}
		}
	}else{
		return sample_gamma(1 + alpha, seed) * pow(sample_unit_uniform(seed), 1/alpha);
		// see note in p. 371 of https://dl.acm.org/doi/pdf/10.1145/358407.358414
	}
}

float sample_beta(float a, float b, uint32_t* seed){
	float gamma_a = sample_gamma(a, seed);
	float gamma_b = sample_gamma(b, seed);
	return a / (a + b);
}

// Array helpers
float array_sum(float* array, int length)
{
    float sum = 0.0;
    for (int i = 0; i < length; i++) {
        sum += array[i];
    }
    return sum;
}

void array_cumsum(float* array_to_sum, float* array_cumsummed, int length)
{
    array_cumsummed[0] = array_to_sum[0];
    for (int i = 1; i < length; i++) {
        array_cumsummed[i] = array_cumsummed[i - 1] + array_to_sum[i];
    }
}

float array_mean(float* array, int length){
	float sum = array_sum(array, length);
	return sum / length;
}

float array_std(float* array, int length){
		float mean = array_mean(array, length);
    float std = 0.0;
    for (int i = 0; i < length; i++) {
        std += pow(array[i] - mean, 2.0);
    }
		std=sqrt(std/length);
    return std;
}

// Mixture function
float sample_mixture(float (*samplers[])(uint32_t*), float* weights, int n_dists, uint32_t* seed)
{
    // You can see a simpler version of this function in the git history
    // or in C-02-better-algorithm-one-thread/
    float sum_weights = array_sum(weights, n_dists);
    float* cumsummed_normalized_weights = (float*)malloc(n_dists * sizeof(float));
    cumsummed_normalized_weights[0] = weights[0] / sum_weights;
    for (int i = 1; i < n_dists; i++) {
        cumsummed_normalized_weights[i] = cumsummed_normalized_weights[i - 1] + weights[i] / sum_weights;
    }

    float result;
    int result_set_flag = 0;
    float p = sample_uniform(0, 1, seed);
    for (int k = 0; k < n_dists; k++) {
        if (p < cumsummed_normalized_weights[k]) {
            result = samplers[k](seed);
            result_set_flag = 1;
            break;
        }
    }
    if (result_set_flag == 0)
        result = samplers[n_dists - 1](seed);

    free(cumsummed_normalized_weights);
    return result;
}

// Sample from an arbitrary cdf
struct box {
    int empty;
    float content;
    char* error_msg;
};

struct box process_error(const char* error_msg, int should_exit, char* file, int line)
{
    if (should_exit) {
        printf("@, in %s (%d)", file, line);
        exit(1);
    } else {
        char error_msg[MAX_ERROR_LENGTH];
        snprintf(error_msg, MAX_ERROR_LENGTH, "@, in %s (%d)", file, line);
        struct box error = { .empty = 1, .error_msg = error_msg };
        return error;
    }
}

// Inverse cdf at point
// Two versions of this function:
//   - raw, dealing with cdfs that return floats
//     - input: cdf: float => float, p
//     - output: Box(number|error)
//   - box, dealing with cdfs that return a box.
//     - input: cdf: float => Box(number|error), p
//     - output: Box(number|error)
struct box inverse_cdf_float(float cdf(float), float p)
{
    // given a cdf: [-Inf, Inf] => [0,1]
    // returns a box with either
    // x such that cdf(x) = p
    // or an error
    // if EXIT_ON_ERROR is set to 1, it exits instead of providing an error

    float low = -1.0;
    float high = 1.0;

    // 1. Make sure that cdf(low) < p < cdf(high)
    int interval_found = 0;
    while ((!interval_found) && (low > -FLT_MAX / 4) && (high < FLT_MAX / 4)) {
        // ^ Using FLT_MIN and FLT_MAX is overkill
        // but it's also the *correct* thing to do.

        int low_condition = (cdf(low) < p);
        int high_condition = (p < cdf(high));
        if (low_condition && high_condition) {
            interval_found = 1;
        } else if (!low_condition) {
            low = low * 2;
        } else if (!high_condition) {
            high = high * 2;
        }
    }

    if (!interval_found) {
        return PROCESS_ERROR("Interval containing the target value not found, in function inverse_cdf");
    } else {

        int convergence_condition = 0;
        int count = 0;
        while (!convergence_condition && (count < (INT_MAX / 2))) {
            float mid = (high + low) / 2;
            int mid_not_new = (mid == low) || (mid == high);
            // float width = high - low;
            // if ((width < 1e-8) || mid_not_new){
            if (mid_not_new) {
                convergence_condition = 1;
            } else {
                float mid_sign = cdf(mid) - p;
                if (mid_sign < 0) {
                    low = mid;
                } else if (mid_sign > 0) {
                    high = mid;
                } else if (mid_sign == 0) {
                    low = mid;
                    high = mid;
                }
            }
        }

        if (convergence_condition) {
            struct box result = { .empty = 0, .content = low };
            return result;
        } else {
            return PROCESS_ERROR("Search process did not converge, in function inverse_cdf");
        }
    }
}

struct box inverse_cdf_box(struct box cdf_box(float), float p)
{
    // given a cdf: [-Inf, Inf] => Box([0,1])
    // returns a box with either
    // x such that cdf(x) = p
    // or an error
    // if EXIT_ON_ERROR is set to 1, it exits instead of providing an error

    float low = -1.0;
    float high = 1.0;

    // 1. Make sure that cdf(low) < p < cdf(high)
    int interval_found = 0;
    while ((!interval_found) && (low > -FLT_MAX / 4) && (high < FLT_MAX / 4)) {
        // ^ Using FLT_MIN and FLT_MAX is overkill
        // but it's also the *correct* thing to do.
        struct box cdf_low = cdf_box(low);
        if (cdf_low.empty) {
            return PROCESS_ERROR(cdf_low.error_msg);
        }

        struct box cdf_high = cdf_box(high);
        if (cdf_high.empty) {
            return PROCESS_ERROR(cdf_low.error_msg);
        }

        int low_condition = (cdf_low.content < p);
        int high_condition = (p < cdf_high.content);
        if (low_condition && high_condition) {
            interval_found = 1;
        } else if (!low_condition) {
            low = low * 2;
        } else if (!high_condition) {
            high = high * 2;
        }
    }

    if (!interval_found) {
        return PROCESS_ERROR("Interval containing the target value not found, in function inverse_cdf");
    } else {

        int convergence_condition = 0;
        int count = 0;
        while (!convergence_condition && (count < (INT_MAX / 2))) {
            float mid = (high + low) / 2;
            int mid_not_new = (mid == low) || (mid == high);
            // float width = high - low;
            if (mid_not_new) {
                // if ((width < 1e-8) || mid_not_new){
                convergence_condition = 1;
            } else {
                struct box cdf_mid = cdf_box(mid);
                if (cdf_mid.empty) {
                    return PROCESS_ERROR(cdf_mid.error_msg);
                }
                float mid_sign = cdf_mid.content - p;
                if (mid_sign < 0) {
                    low = mid;
                } else if (mid_sign > 0) {
                    high = mid;
                } else if (mid_sign == 0) {
                    low = mid;
                    high = mid;
                }
            }
        }

        if (convergence_condition) {
            struct box result = { .empty = 0, .content = low };
            return result;
        } else {
            return PROCESS_ERROR("Search process did not converge, in function inverse_cdf");
        }
    }
}

// Sampler based on inverse cdf and randomness function
struct box sampler_cdf_box(struct box cdf(float), uint32_t* seed)
{
    float p = sample_unit_uniform(seed);
    struct box result = inverse_cdf_box(cdf, p);
    return result;
}
struct box sampler_cdf_float(float cdf(float), uint32_t* seed)
{
    float p = sample_unit_uniform(seed);
    struct box result = inverse_cdf_float(cdf, p);
    return result;
}

/* Could also define other variations, e.g.,
float sampler_danger(struct box cdf(float), uint32_t* seed)
{
    float p = sample_unit_uniform(seed);
    struct box result = inverse_cdf_box(cdf, p);
		if(result.empty){
			exit(1);
		}else{
			return result.content;
		}
}
*/