#include // erf, sqrt #include #include #include #include #include "../../squiggle.h" #define NUM_SAMPLES 1000000 #define STOP_BETA 1.0e-8 #define TINY_BETA 1.0e-30 // Example cdf float cdf_uniform_0_1(float x) { if (x < 0) { return 0; } else if (x > 1) { return 1; } else { return x; } } float cdf_squared_0_1(float x) { if (x < 0) { return 0; } else if (x > 1) { return 1; } else { return x * x; } } float cdf_normal_0_1(float x) { float mean = 0; float std = 1; return 0.5 * (1 + erf((x - mean) / (std * sqrt(2)))); // erf from math.h } struct box incbeta(float a, float b, float x) { // Descended from , // // but modified to return a box struct and floats instead of doubles. // [ ] to do: add attribution in README // Original code under this license: /* * zlib License * * Regularized Incomplete Beta Function * * Copyright (c) 2016, 2017 Lewis Van Winkle * http://CodePlea.com * * This software is provided 'as-is', without any express or implied * warranty. In no event will the authors be held liable for any damages * arising from the use of this software. * * Permission is granted to anyone to use this software for any purpose, * including commercial applications, and to alter it and redistribute it * freely, subject to the following restrictions: * * 1. The origin of this software must not be misrepresented; you must not * claim that you wrote the original software. If you use this software * in a product, an acknowledgement in the product documentation would be * appreciated but is not required. * 2. Altered source versions must be plainly marked as such, and must not be * misrepresented as being the original software. * 3. This notice may not be removed or altered from any source distribution. */ if (x < 0.0 || x > 1.0) { PROCESS_ERROR("x out of bounds [0, 1], in function incbeta"); } /*The continued fraction converges nicely for x < (a+1)/(a+b+2)*/ if (x > (a + 1.0) / (a + b + 2.0)) { struct box symmetric_incbeta = incbeta(b, a, 1.0 - x); if (symmetric_incbeta.empty) { return symmetric_incbeta; // propagate error } else { struct box result = { .empty = 0, .content = 1 - symmetric_incbeta.content }; return result; } } /*Find the first part before the continued fraction.*/ const float lbeta_ab = lgamma(a) + lgamma(b) - lgamma(a + b); const float front = exp(log(x) * a + log(1.0 - x) * b - lbeta_ab) / a; /*Use Lentz's algorithm to evaluate the continued fraction.*/ float f = 1.0, c = 1.0, d = 0.0; int i, m; for (i = 0; i <= 200; ++i) { m = i / 2; float numerator; if (i == 0) { numerator = 1.0; /*First numerator is 1.0.*/ } else if (i % 2 == 0) { numerator = (m * (b - m) * x) / ((a + 2.0 * m - 1.0) * (a + 2.0 * m)); /*Even term.*/ } else { numerator = -((a + m) * (a + b + m) * x) / ((a + 2.0 * m) * (a + 2.0 * m + 1)); /*Odd term.*/ } /*Do an iteration of Lentz's algorithm.*/ d = 1.0 + numerator * d; if (fabs(d) < TINY_BETA) d = TINY_BETA; d = 1.0 / d; c = 1.0 + numerator / c; if (fabs(c) < TINY_BETA) c = TINY_BETA; const float cd = c * d; f *= cd; /*Check for stop.*/ if (fabs(1.0 - cd) < STOP_BETA) { struct box result = { .empty = 0, .content = front * (f - 1.0) }; return result; } } PROCESS_ERROR("More loops needed, did not converge, in function incbeta"); } struct box cdf_beta(float x) { if (x < 0) { struct box result = { .empty = 0, .content = 0 }; return result; } else if (x > 1) { struct box result = { .empty = 0, .content = 1 }; return result; } else { float successes = 1, failures = (2023 - 1945); return incbeta(successes, failures, x); } } // Some testers void test_inverse_cdf_float(char* cdf_name, float cdf_float(float)) { struct box result = inverse_cdf_float(cdf_float, 0.5); if (result.empty) { printf("Inverse for %s not calculated\n", cdf_name); exit(1); } else { printf("Inverse of %s at %f is: %f\n", cdf_name, 0.5, result.content); } } void test_inverse_cdf_box(char* cdf_name, struct box cdf_box(float)) { struct box result = inverse_cdf_box(cdf_box, 0.5); if (result.empty) { printf("Inverse for %s not calculated\n", cdf_name); exit(1); } else { printf("Inverse of %s at %f is: %f\n", cdf_name, 0.5, result.content); } } void test_and_time_sampler_float(char* cdf_name, float cdf_float(float), uint32_t* seed) { printf("\nGetting some samples from %s:\n", cdf_name); clock_t begin = clock(); for (int i = 0; i < NUM_SAMPLES; i++) { struct box sample = sampler_float_cdf(cdf_float, seed); if (sample.empty) { printf("Error in sampler function for %s", cdf_name); } else { // printf("%f\n", sample.content); } } clock_t end = clock(); float time_spent = (float)(end - begin) / CLOCKS_PER_SEC; printf("Time spent: %f\n", time_spent); } void test_and_time_sampler_box(char* cdf_name, struct box cdf_box(float), uint32_t* seed) { printf("\nGetting some samples from %s:\n", cdf_name); clock_t begin = clock(); for (int i = 0; i < NUM_SAMPLES; i++) { struct box sample = sampler_box_cdf(cdf_box, seed); if (sample.empty) { printf("Error in sampler function for %s", cdf_name); } else { // printf("%f\n", sample.content); } } clock_t end = clock(); float time_spent = (float)(end - begin) / CLOCKS_PER_SEC; printf("Time spent: %f\n", time_spent); } int main() { // Test inverse cdf float test_inverse_cdf_float("cdf_uniform_0_1", cdf_uniform_0_1); test_inverse_cdf_float("cdf_squared_0_1", cdf_squared_0_1); test_inverse_cdf_float("cdf_normal_0_1", cdf_normal_0_1); // Test inverse cdf box test_inverse_cdf_box("cdf_beta", cdf_beta); // Testing samplers // set randomness seed uint32_t* seed = malloc(sizeof(uint32_t)); *seed = 1000; // xorshift can't start with 0 // Test float sampler test_and_time_sampler_float("cdf_uniform_0_1", cdf_uniform_0_1, seed); test_and_time_sampler_float("cdf_squared_0_1", cdf_squared_0_1, seed); test_and_time_sampler_float("cdf_normal_0_1", cdf_normal_0_1, seed); // Get some normal samples using a previous approach printf("\nGetting some samples from unit_normal\n"); clock_t begin_2 = clock(); for (int i = 0; i < NUM_SAMPLES; i++) { float normal_sample = unit_normal(seed); // printf("%f\n", normal_sample); } clock_t end_2 = clock(); float time_spent_2 = (float)(end_2 - begin_2) / CLOCKS_PER_SEC; printf("Time spent: %f\n", time_spent_2); // Test box sampler test_and_time_sampler_box("cdf_beta", cdf_beta, seed); // Ok, this is slower than python!! // Partly this is because I am using a more general algorithm, // which applies to any cdf // But I am also using really anal convergence conditions. // This could be optimized. free(seed); return 0; }