Merge pull request #512 from quantified-uncertainty/kldivergence-mixed

`klDivergence` on mixed distributions

packages/squiggle-lang/__tests__/Distributions/GenericDist_Fixtures.res

@@ -11,6 +11,7 @@ let triangularDist: DistributionTypes.genericDist = Symbolic(
 )
 let exponentialDist: DistributionTypes.genericDist = Symbolic(#Exponential({rate: 2.0}))
 let uniformDist: DistributionTypes.genericDist = Symbolic(#Uniform({low: 9.0, high: 10.0}))
+let uniformDist2: DistributionTypes.genericDist = Symbolic(#Uniform({low: 8.0, high: 11.0}))
 let floatDist: DistributionTypes.genericDist = Symbolic(#Float(1e1))
 
 exception KlFailed

packages/squiggle-lang/__tests__/Distributions/KlDivergence_test.res

@@ -3,9 +3,15 @@ open Expect
 open TestHelpers
 open GenericDist_Fixtures
 
+// integral from low to high of 1 / (high - low) log(normal(mean, stdev)(x) / (1 / (high - low))) dx
+let klNormalUniform = (mean, stdev, low, high): float =>
+  -.Js.Math.log((high -. low) /. Js.Math.sqrt(2.0 *. MagicNumbers.Math.pi *. stdev ** 2.0)) +.
+  1.0 /.
+  stdev ** 2.0 *.
+  (mean ** 2.0 -. (high +. low) *. mean +. (low ** 2.0 +. high *. low +. high ** 2.0) /. 3.0)
+
 describe("klDivergence: continuous -> continuous -> float", () => {
   let klDivergence = DistributionOperation.Constructors.klDivergence(~env)
-  exception KlFailed
 
   let testUniform = (lowAnswer, highAnswer, lowPrediction, highPrediction) => {
     test("of two uniforms is equal to the analytic expression", () => {
@@ -59,6 +65,20 @@ describe("klDivergence: continuous -> continuous -> float", () => {
       }
     }
   })
+
+  test("of a normal and a uniform is equal to the formula", () => {
+    let prediction = normalDist10
+    let answer = uniformDist
+    let kl = klDivergence(prediction, answer)
+    let analyticalKl = klNormalUniform(10.0, 2.0, 9.0, 10.0)
+    switch kl {
+    | Ok(kl') => kl'->expect->toBeSoCloseTo(analyticalKl, ~digits=1)
+    | Error(err) => {
+        Js.Console.log(DistributionTypes.Error.toString(err))
+        raise(KlFailed)
+      }
+    }
+  })
 })
 
 describe("klDivergence: discrete -> discrete -> float", () => {
@@ -96,6 +116,64 @@ describe("klDivergence: discrete -> discrete -> float", () => {
   })
 })
 
+describe("klDivergence: mixed -> mixed -> float", () => {
+  let klDivergence = DistributionOperation.Constructors.klDivergence(~env)
+  let mixture' = a => DistributionTypes.DistributionOperation.Mixture(a)
+  let mixture = a => {
+    let dist' = a->mixture'->run
+    switch dist' {
+    | Dist(dist) => dist
+    | _ => raise(MixtureFailed)
+    }
+  }
+  let a = [(point1, 1.0), (uniformDist, 1.0)]->mixture
+  let b = [(point1, 1.0), (floatDist, 1.0), (normalDist10, 1.0)]->mixture
+  let c = [(point1, 1.0), (point2, 1.0), (point3, 1.0), (uniformDist, 1.0)]->mixture
+  let d =
+    [(point1, 1.0), (point2, 1.0), (point3, 1.0), (floatDist, 1.0), (uniformDist2, 1.0)]->mixture
+
+  test("finite klDivergence produces correct answer", () => {
+    let prediction = b
+    let answer = a
+    let kl = klDivergence(prediction, answer)
+    // high = 10; low = 9; mean = 10; stdev = 2
+    let analyticalKlContinuousPart = klNormalUniform(10.0, 2.0, 9.0, 10.0) /. 2.0
+    let analyticalKlDiscretePart = 1.0 /. 2.0 *. Js.Math.log(2.0 /. 1.0)
+    switch kl {
+    | Ok(kl') =>
+      kl'->expect->toBeSoCloseTo(analyticalKlContinuousPart +. analyticalKlDiscretePart, ~digits=1)
+    | Error(err) =>
+      Js.Console.log(DistributionTypes.Error.toString(err))
+      raise(KlFailed)
+    }
+  })
+  test("returns infinity when infinite", () => {
+    let prediction = a
+    let answer = b
+    let kl = klDivergence(prediction, answer)
+    switch kl {
+    | Ok(kl') => kl'->expect->toEqual(infinity)
+    | Error(err) =>
+      Js.Console.log(DistributionTypes.Error.toString(err))
+      raise(KlFailed)
+    }
+  })
+  test("finite klDivergence produces correct answer", () => {
+    let prediction = d
+    let answer = c
+    let kl = klDivergence(prediction, answer)
+    let analyticalKlContinuousPart = Js.Math.log((11.0 -. 8.0) /. (10.0 -. 9.0)) /. 4.0 // 4 = length of c' array
+    let analyticalKlDiscretePart = 3.0 /. 4.0 *. Js.Math.log(4.0 /. 3.0)
+    switch kl {
+    | Ok(kl') =>
+      kl'->expect->toBeSoCloseTo(analyticalKlContinuousPart +. analyticalKlDiscretePart, ~digits=1)
+    | Error(err) =>
+      Js.Console.log(DistributionTypes.Error.toString(err))
+      raise(KlFailed)
+    }
+  })
+})
+
 describe("combineAlongSupportOfSecondArgument0", () => {
   // This tests the version of the function that we're NOT using. Haven't deleted the test in case we use the code later.
   test("test on two uniforms", _ => {

packages/squiggle-lang/src/rescript/Distributions/PointSetDist/Mixed.res

@@ -302,10 +302,9 @@ module T = Dist({
   }
 
   let klDivergence = (prediction: t, answer: t) => {
-    Error(Operation.NotYetImplemented)
+    let klDiscretePart = Discrete.T.klDivergence(prediction.discrete, answer.discrete)
-    //    combinePointwise(PointSetDist_Scoring.KLDivergence.integrand, prediction, answer) |> E.R.fmap(
+    let klContinuousPart = Continuous.T.klDivergence(prediction.continuous, answer.continuous)
-    //     integralEndY,
+    E.R.merge(klDiscretePart, klContinuousPart)->E.R2.fmap(t => fst(t) +. snd(t))
-    //   )
   }
 })
 

packages/squiggle-lang/src/rescript/Distributions/PointSetDist/PointSetDist.res

@@ -200,6 +200,7 @@ module T = Dist({
     switch (t1, t2) {
     | (Continuous(t1), Continuous(t2)) => Continuous.T.klDivergence(t1, t2)
     | (Discrete(t1), Discrete(t2)) => Discrete.T.klDivergence(t1, t2)
+    | (Mixed(t1), Mixed(t2)) => Mixed.T.klDivergence(t1, t2)
     | _ => Error(NotYetImplemented)
     }
 })

packages/squiggle-lang/src/rescript/Utility/XYShape.res

@@ -453,6 +453,44 @@ module PointwiseCombination = {
     T.filterOkYs(newXs, newYs)->Ok
   }
 
+  /* *Dead code*: Nuño wrote this function to try to increase precision, but it didn't work.
+     If another traveler comes through with a similar idea, we hope this implementation will help them.
+     By "enrich" we mean to increase granularity.
+ */
+  let enrichXyShape = (t: T.t): T.t => {
+    let defaultEnrichmentFactor = 10
+    let length = E.A.length(t.xs)
+    let points =
+      length < MagicNumbers.Environment.defaultXYPointLength
+        ? defaultEnrichmentFactor * MagicNumbers.Environment.defaultXYPointLength / length
+        : defaultEnrichmentFactor
+
+    let getInBetween = (x1: float, x2: float): array<float> => {
+      if abs_float(x1 -. x2) < 2.0 *. MagicNumbers.Epsilon.seven {
+        [x1]
+      } else {
+        let newPointsArray = Belt.Array.makeBy(points - 1, i => i)
+        // don't repeat the x2 point, it will be gotten in the next iteration.
+        let result = Js.Array.mapi((pos, i) =>
+          if i == 0 {
+            x1
+          } else {
+            let points' = Belt.Float.fromInt(points)
+            let pos' = Belt.Float.fromInt(pos)
+            x1 *. (points' -. pos') /. points' +. x2 *. pos' /. points'
+          }
+        , newPointsArray)
+        result
+      }
+    }
+    let newXsUnflattened = Js.Array.mapi(
+      (x, i) => i < length - 2 ? getInBetween(x, t.xs[i + 1]) : [x],
+      t.xs,
+    )
+    let newXs = Belt.Array.concatMany(newXsUnflattened)
+    let newYs = E.A.fmap(x => XtoY.linear(x, t), newXs)
+    {xs: newXs, ys: newYs}
+  }
   // This function is used for klDivergence
   let combineAlongSupportOfSecondArgument: (
     (float, float) => result<float, Operation.Error.t>,