#include #include #include #include #include #include #include #include // Some error niceties; these won't be used until later #define MAX_ERROR_LENGTH 500 #define EXIT_ON_ERROR 0 #define PROCESS_ERROR(error_msg) process_error(error_msg, EXIT_ON_ERROR, __FILE__, __LINE__) // # More cool stuff // This is no longer necessary to do basic estimation, // but is still cool // ## Sample from an arbitrary cdf struct box { int empty; double 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); // NOLINT: We are being carefull here by considering MAX_ERROR_LENGTH explicitly. 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 doubles // - input: cdf: double => double, p // - output: Box(number|error) // - box, dealing with cdfs that return a box. // - input: cdf: double => Box(number|error), p // - output: Box(number|error) struct box inverse_cdf_double(double cdf(double), double 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 double low = -1.0; double 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))) { double mid = (high + low) / 2; int mid_not_new = (mid == low) || (mid == high); // double width = high - low; // if ((width < 1e-8) || mid_not_new){ if (mid_not_new) { convergence_condition = 1; } else { double 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(double), double 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 double low = -1.0; double 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))) { double mid = (high + low) / 2; int mid_not_new = (mid == low) || (mid == high); // double 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); } double 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(double), uint64_t* seed) { double p = sample_unit_uniform(seed); struct box result = inverse_cdf_box(cdf, p); return result; } struct box sampler_cdf_double(double cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); struct box result = inverse_cdf_double(cdf, p); return result; } /* Could also define other variations, e.g., double sampler_danger(struct box cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); struct box result = inverse_cdf_box(cdf, p); if(result.empty){ exit(1); }else{ return result.content; } } */ // Get confidence intervals, given a sampler typedef struct ci_t { float low; float high; } ci; int compare_doubles(const void* p, const void* q) { // https://wikiless.esmailelbob.xyz/wiki/Qsort?lang=en double x = *(const double*)p; double y = *(const double*)q; /* Avoid return x - y, which can cause undefined behaviour because of signed integer overflow. */ if (x < y) return -1; // Return -1 if you want ascending, 1 if you want descending order. else if (x > y) return 1; // Return 1 if you want ascending, -1 if you want descending order. return 0; } ci get_90_confidence_interval(double (*sampler)(uint64_t*), uint64_t* seed) { int n = 100 * 1000; double* samples_array = malloc(n * sizeof(double)); for (int i = 0; i < n; i++) { samples_array[i] = sampler(seed); } qsort(samples_array, n, sizeof(double), compare_doubles); ci result = { .low = samples_array[5000], .high = samples_array[94999], }; free(samples_array); return result; } // # Small algebra manipulations // here I discover named structs, // which mean that I don't have to be typing // struct blah all the time. typedef struct normal_params_t { double mean; double std; } normal_params; normal_params algebra_sum_normals(normal_params a, normal_params b) { normal_params result = { .mean = a.mean + b.mean, .std = sqrt((a.std * a.std) + (b.std * b.std)), }; return result; } typedef struct lognormal_params_t { double logmean; double logstd; } lognormal_params; lognormal_params algebra_product_lognormals(lognormal_params a, lognormal_params b) { lognormal_params result = { .logmean = a.logmean + b.logmean, .logstd = sqrt((a.logstd * a.logstd) + (b.logstd * b.logstd)), }; return result; } lognormal_params convert_ci_to_lognormal_params(ci x) { double loghigh = logf(x.high); double loglow = logf(x.low); double logmean = (loghigh + loglow) / 2.0; double logstd = (loghigh - loglow) / (2.0 * NORMAL90CONFIDENCE); lognormal_params result = { .logmean = logmean, .logstd = logstd }; return result; } ci convert_lognormal_params_to_ci(lognormal_params y) { double h = y.logstd * NORMAL90CONFIDENCE; double loghigh = y.logmean + h; double loglow = y.logmean - h; ci result = { .low = exp(loglow), .high = exp(loghigh) }; return result; }