Use a more conservative convolution policy
This commit is contained in:
parent
998128033f
commit
2845bd3e39
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@ -7,3 +7,5 @@ node_modules
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packages/*/node_modules
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packages/*/node_modules
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packages/website/.docusaurus
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packages/website/.docusaurus
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packages/squiggle-lang/lib
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packages/squiggle-lang/lib
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packages/squiggle-lang/.nyc_output/
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packages/squiggle-lang/coverage/
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@ -67,7 +67,7 @@ describe("eval on distribution functions", () => {
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testEval("lognormal(10,2) / lognormal(5,2)", "Ok(Lognormal(5,2.8284271247461903))")
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testEval("lognormal(10,2) / lognormal(5,2)", "Ok(Lognormal(5,2.8284271247461903))")
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testEval("lognormal(5, 2) / 2", "Ok(Lognormal(4.306852819440055,2))")
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testEval("lognormal(5, 2) / 2", "Ok(Lognormal(4.306852819440055,2))")
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testEval("2 / lognormal(5, 2)", "Ok(Lognormal(-4.306852819440055,2))")
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testEval("2 / lognormal(5, 2)", "Ok(Lognormal(-4.306852819440055,2))")
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testEval("2 / normal(10, 2)", "Ok(Point Set Distribution)")
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testEval("2 / normal(10, 2)", "Ok(Sample Set Distribution)")
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testEval("normal(10, 2) / 2", "Ok(Normal(5,1))")
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testEval("normal(10, 2) / 2", "Ok(Normal(5,1))")
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})
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})
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describe("truncate", () => {
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describe("truncate", () => {
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@ -77,21 +77,21 @@ describe("eval on distribution functions", () => {
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})
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})
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describe("exp", () => {
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describe("exp", () => {
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testEval("exp(normal(5,2))", "Ok(Point Set Distribution)")
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testEval("exp(normal(5,2))", "Ok(Sample Set Distribution)")
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})
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})
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describe("pow", () => {
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describe("pow", () => {
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testEval("pow(3, uniform(5,8))", "Ok(Point Set Distribution)")
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testEval("pow(3, uniform(5,8))", "Ok(Sample Set Distribution)")
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testEval("pow(uniform(5,8), 3)", "Ok(Point Set Distribution)")
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testEval("pow(uniform(5,8), 3)", "Ok(Sample Set Distribution)")
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testEval("pow(uniform(5,8), uniform(9, 10))", "Ok(Sample Set Distribution)")
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testEval("pow(uniform(5,8), uniform(9, 10))", "Ok(Sample Set Distribution)")
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})
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})
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describe("log", () => {
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describe("log", () => {
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testEval("log(2, uniform(5,8))", "Ok(Point Set Distribution)")
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testEval("log(2, uniform(5,8))", "Ok(Sample Set Distribution)")
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testEval("log(normal(5,2), 3)", "Ok(Point Set Distribution)")
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testEval("log(normal(5,2), 3)", "Ok(Sample Set Distribution)")
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testEval("log(normal(5,2), normal(10,1))", "Ok(Sample Set Distribution)")
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testEval("log(normal(5,2), normal(10,1))", "Ok(Sample Set Distribution)")
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testEval("log(uniform(5,8))", "Ok(Point Set Distribution)")
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testEval("log(uniform(5,8))", "Ok(Sample Set Distribution)")
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testEval("log10(uniform(5,8))", "Ok(Point Set Distribution)")
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testEval("log10(uniform(5,8))", "Ok(Sample Set Distribution)")
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})
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})
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describe("dotLog", () => {
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describe("dotLog", () => {
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@ -164,7 +164,7 @@ module AlgebraicCombination = {
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let runConvolution = (
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let runConvolution = (
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toPointSet: toPointSetFn,
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toPointSet: toPointSetFn,
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arithmeticOperation: GenericDist_Types.Operation.arithmeticOperation,
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arithmeticOperation: Operation.convolutionOperation,
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t1: t,
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t1: t,
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t2: t,
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t2: t,
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) =>
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) =>
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@ -197,10 +197,23 @@ module AlgebraicCombination = {
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| _ => 1000
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| _ => 1000
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}
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}
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let chooseConvolutionOrMonteCarlo = (t2: t, t1: t) =>
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type calculationMethod = MonteCarlo | Convolution(Operation.convolutionOperation)
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expectedConvolutionCost(t1) * expectedConvolutionCost(t2) > 10000
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? #CalculateWithMonteCarlo
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let chooseConvolutionOrMonteCarlo = (
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: #CalculateWithConvolution
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op: Operation.algebraicOperation,
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t2: t,
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t1: t,
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): calculationMethod =>
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switch op {
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| #Divide
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| #Power
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| #Logarithm =>
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MonteCarlo
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| (#Add | #Subtract | #Multiply) as convOp =>
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expectedConvolutionCost(t1) * expectedConvolutionCost(t2) > 10000
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? MonteCarlo
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: Convolution(convOp)
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}
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let run = (
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let run = (
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t1: t,
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t1: t,
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@ -213,15 +226,10 @@ module AlgebraicCombination = {
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| Some(Ok(symbolicDist)) => Ok(Symbolic(symbolicDist))
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| Some(Ok(symbolicDist)) => Ok(Symbolic(symbolicDist))
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| Some(Error(e)) => Error(Other(e))
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| Some(Error(e)) => Error(Other(e))
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| None =>
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| None =>
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switch chooseConvolutionOrMonteCarlo(t1, t2) {
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switch chooseConvolutionOrMonteCarlo(arithmeticOperation, t1, t2) {
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| #CalculateWithMonteCarlo => runMonteCarlo(toSampleSetFn, arithmeticOperation, t1, t2)
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| MonteCarlo => runMonteCarlo(toSampleSetFn, arithmeticOperation, t1, t2)
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| #CalculateWithConvolution =>
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| Convolution(convOp) =>
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runConvolution(
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runConvolution(toPointSetFn, convOp, t1, t2)->E.R2.fmap(r => DistributionTypes.PointSet(r))
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toPointSetFn,
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arithmeticOperation,
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t1,
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t2,
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)->E.R2.fmap(r => DistributionTypes.PointSet(r))
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}
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}
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}
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}
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}
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}
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@ -96,36 +96,25 @@ let toDiscretePointMassesFromTriangulars = (
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}
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}
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let combineShapesContinuousContinuous = (
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let combineShapesContinuousContinuous = (
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op: Operation.algebraicOperation,
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op: Operation.convolutionOperation,
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s1: PointSetTypes.xyShape,
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s1: PointSetTypes.xyShape,
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s2: PointSetTypes.xyShape,
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s2: PointSetTypes.xyShape,
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): PointSetTypes.xyShape => {
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): PointSetTypes.xyShape => {
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// if we add the two distributions, we should probably use normal filters.
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// if we add the two distributions, we should probably use normal filters.
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// if we multiply the two distributions, we should probably use lognormal filters.
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// if we multiply the two distributions, we should probably use lognormal filters.
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let t1m = toDiscretePointMassesFromTriangulars(s1)
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let t1m = toDiscretePointMassesFromTriangulars(s1)
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let t2m = switch op {
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let t2m = toDiscretePointMassesFromTriangulars(~inverse=false, s2)
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| #Divide => toDiscretePointMassesFromTriangulars(~inverse=true, s2)
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| _ => toDiscretePointMassesFromTriangulars(~inverse=false, s2)
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}
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let combineMeansFn = switch op {
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let combineMeansFn = switch op {
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| #Add => (m1, m2) => m1 +. m2
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| #Add => (m1, m2) => m1 +. m2
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| #Subtract => (m1, m2) => m1 -. m2
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| #Subtract => (m1, m2) => m1 -. m2
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| #Multiply => (m1, m2) => m1 *. m2
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| #Multiply => (m1, m2) => m1 *. m2
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| #Divide => (m1, mInv2) => m1 *. mInv2
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| #Power => (m1, mInv2) => m1 ** mInv2
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| #Logarithm => (m1, m2) => log(m1) /. log(m2)
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} // note: here, mInv2 = mean(1 / t2) ~= 1 / mean(t2)
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} // note: here, mInv2 = mean(1 / t2) ~= 1 / mean(t2)
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// TODO: Variances are for exponentatiation or logarithms are almost totally made up and very likely very wrong.
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// converts the variances and means of the two inputs into the variance of the output
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let combineVariancesFn = switch op {
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let combineVariancesFn = switch op {
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| #Add => (v1, v2, _, _) => v1 +. v2
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| #Add => (v1, v2, _, _) => v1 +. v2
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| #Subtract => (v1, v2, _, _) => v1 +. v2
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| #Subtract => (v1, v2, _, _) => v1 +. v2
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| #Multiply => (v1, v2, m1, m2) => v1 *. v2 +. v1 *. m2 ** 2. +. v2 *. m1 ** 2.
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| #Multiply => (v1, v2, m1, m2) => v1 *. v2 +. v1 *. m2 ** 2. +. v2 *. m1 ** 2.
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| #Power => (v1, v2, m1, m2) => v1 *. v2 +. v1 *. m2 ** 2. +. v2 *. m1 ** 2.
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| #Logarithm => (v1, v2, m1, m2) => v1 *. v2 +. v1 *. m2 ** 2. +. v2 *. m1 ** 2.
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| #Divide => (v1, vInv2, m1, mInv2) => v1 *. vInv2 +. v1 *. mInv2 ** 2. +. vInv2 *. m1 ** 2.
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}
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}
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// TODO: If operating on two positive-domain distributions, we should take that into account
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// TODO: If operating on two positive-domain distributions, we should take that into account
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@ -199,7 +188,7 @@ let toDiscretePointMassesFromDiscrete = (s: PointSetTypes.xyShape): pointMassesW
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}
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}
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let combineShapesContinuousDiscrete = (
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let combineShapesContinuousDiscrete = (
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op: Operation.algebraicOperation,
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op: Operation.convolutionOperation,
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continuousShape: PointSetTypes.xyShape,
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continuousShape: PointSetTypes.xyShape,
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discreteShape: PointSetTypes.xyShape,
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discreteShape: PointSetTypes.xyShape,
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): PointSetTypes.xyShape => {
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): PointSetTypes.xyShape => {
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@ -207,7 +196,7 @@ let combineShapesContinuousDiscrete = (
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let t2n = discreteShape |> XYShape.T.length
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let t2n = discreteShape |> XYShape.T.length
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// each x pair is added/subtracted
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// each x pair is added/subtracted
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let fn = Operation.Algebraic.toFn(op)
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let fn = Operation.Convolution.toFn(op)
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let outXYShapes: array<array<(float, float)>> = Belt.Array.makeUninitializedUnsafe(t2n)
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let outXYShapes: array<array<(float, float)>> = Belt.Array.makeUninitializedUnsafe(t2n)
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@ -231,10 +220,7 @@ let combineShapesContinuousDiscrete = (
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Belt.Array.set(outXYShapes, j, dxyShape) |> ignore
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Belt.Array.set(outXYShapes, j, dxyShape) |> ignore
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()
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()
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}
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}
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| #Multiply
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| #Multiply =>
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| #Power
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| #Logarithm
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| #Divide =>
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for j in 0 to t2n - 1 {
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for j in 0 to t2n - 1 {
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// creates a new continuous shape for each one of the discrete points, and collects them in outXYShapes.
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// creates a new continuous shape for each one of the discrete points, and collects them in outXYShapes.
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let dxyShape: array<(float, float)> = Belt.Array.makeUninitializedUnsafe(t1n)
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let dxyShape: array<(float, float)> = Belt.Array.makeUninitializedUnsafe(t1n)
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@ -241,7 +241,7 @@ let downsampleEquallyOverX = (length, t): t =>
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/* This simply creates multiple copies of the continuous distribution, scaled and shifted according to
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/* This simply creates multiple copies of the continuous distribution, scaled and shifted according to
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each discrete data point, and then adds them all together. */
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each discrete data point, and then adds them all together. */
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let combineAlgebraicallyWithDiscrete = (
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let combineAlgebraicallyWithDiscrete = (
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op: Operation.algebraicOperation,
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op: Operation.convolutionOperation,
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t1: t,
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t1: t,
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t2: PointSetTypes.discreteShape,
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t2: PointSetTypes.discreteShape,
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) => {
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) => {
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@ -263,8 +263,7 @@ let combineAlgebraicallyWithDiscrete = (
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)
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)
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let combinedIntegralSum = switch op {
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let combinedIntegralSum = switch op {
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| #Multiply
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| #Multiply =>
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| #Divide =>
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Common.combineIntegralSums((a, b) => Some(a *. b), t1.integralSumCache, t2.integralSumCache)
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Common.combineIntegralSums((a, b) => Some(a *. b), t1.integralSumCache, t2.integralSumCache)
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| _ => None
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| _ => None
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}
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}
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@ -274,7 +273,7 @@ let combineAlgebraicallyWithDiscrete = (
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}
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}
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}
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}
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let combineAlgebraically = (op: Operation.algebraicOperation, t1: t, t2: t) => {
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let combineAlgebraically = (op: Operation.convolutionOperation, t1: t, t2: t) => {
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let s1 = t1 |> getShape
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let s1 = t1 |> getShape
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let s2 = t2 |> getShape
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let s2 = t2 |> getShape
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let t1n = s1 |> XYShape.T.length
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let t1n = s1 |> XYShape.T.length
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@ -72,7 +72,7 @@ let updateIntegralCache = (integralCache, t: t): t => {
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/* This multiples all of the data points together and creates a new discrete distribution from the results.
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/* This multiples all of the data points together and creates a new discrete distribution from the results.
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Data points at the same xs get added together. It may be a good idea to downsample t1 and t2 before and/or the result after. */
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Data points at the same xs get added together. It may be a good idea to downsample t1 and t2 before and/or the result after. */
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let combineAlgebraically = (op: Operation.algebraicOperation, t1: t, t2: t): t => {
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let combineAlgebraically = (op: Operation.convolutionOperation, t1: t, t2: t): t => {
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let t1s = t1 |> getShape
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let t1s = t1 |> getShape
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let t2s = t2 |> getShape
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let t2s = t2 |> getShape
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let t1n = t1s |> XYShape.T.length
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let t1n = t1s |> XYShape.T.length
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@ -84,7 +84,7 @@ let combineAlgebraically = (op: Operation.algebraicOperation, t1: t, t2: t): t =
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t2.integralSumCache,
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t2.integralSumCache,
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)
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)
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let fn = Operation.Algebraic.toFn(op)
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let fn = Operation.Convolution.toFn(op)
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let xToYMap = E.FloatFloatMap.empty()
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let xToYMap = E.FloatFloatMap.empty()
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for i in 0 to t1n - 1 {
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for i in 0 to t1n - 1 {
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@ -221,7 +221,7 @@ module T = Dist({
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}
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}
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})
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})
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let combineAlgebraically = (op: Operation.algebraicOperation, t1: t, t2: t): t => {
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let combineAlgebraically = (op: Operation.convolutionOperation, t1: t, t2: t): t => {
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// Discrete convolution can cause a huge increase in the number of samples,
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// Discrete convolution can cause a huge increase in the number of samples,
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// so we'll first downsample.
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// so we'll first downsample.
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@ -35,7 +35,7 @@ let toMixed = mapToAll((
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))
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))
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//TODO WARNING: The combineAlgebraicallyWithDiscrete will break for subtraction and division, like, discrete - continous
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//TODO WARNING: The combineAlgebraicallyWithDiscrete will break for subtraction and division, like, discrete - continous
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let combineAlgebraically = (op: Operation.algebraicOperation, t1: t, t2: t): t =>
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let combineAlgebraically = (op: Operation.convolutionOperation, t1: t, t2: t): t =>
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switch (t1, t2) {
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switch (t1, t2) {
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| (Continuous(m1), Continuous(m2)) =>
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| (Continuous(m1), Continuous(m2)) =>
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Continuous.combineAlgebraically(op, m1, m2) |> Continuous.T.toPointSetDist
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Continuous.combineAlgebraically(op, m1, m2) |> Continuous.T.toPointSetDist
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@ -9,6 +9,13 @@ type algebraicOperation = [
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| #Power
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| #Power
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| #Logarithm
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| #Logarithm
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]
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]
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type convolutionOperation = [
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| #Add
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| #Multiply
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| #Subtract
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]
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@genType
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@genType
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type pointwiseOperation = [#Add | #Multiply | #Power]
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type pointwiseOperation = [#Add | #Multiply | #Power]
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type scaleOperation = [#Multiply | #Power | #Logarithm | #Divide]
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type scaleOperation = [#Multiply | #Power | #Logarithm | #Divide]
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@ -20,6 +27,16 @@ type distToFloatOperation = [
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| #Sample
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| #Sample
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]
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]
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module Convolution = {
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type t = convolutionOperation
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let toFn: (t, float, float) => float = x =>
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switch x {
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| #Add => \"+."
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| #Subtract => \"-."
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| #Multiply => \"*."
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}
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}
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module Algebraic = {
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module Algebraic = {
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type t = algebraicOperation
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type t = algebraicOperation
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let toFn: (t, float, float) => float = x =>
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let toFn: (t, float, float) => float = x =>
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