Merge pull request #440 from quantified-uncertainty/fromsamples

`fromSamples`
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Quinn 2022-04-30 10:14:50 -04:00 committed by GitHub
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10 changed files with 97 additions and 28 deletions

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@ -1,5 +1,5 @@
import { Distribution } from "../../src/js/index"; import { Distribution } from "../../src/js/index";
import { expectErrorToBeBounded, failDefault } from "./TestHelpers"; import { expectErrorToBeBounded, failDefault, testRun } from "./TestHelpers";
import * as fc from "fast-check"; import * as fc from "fast-check";
// Beware: float64Array makes it appear in an infinite loop. // Beware: float64Array makes it appear in an infinite loop.
@ -212,3 +212,18 @@ describe("mean is mean", () => {
); );
}); });
}); });
describe("fromSamples function", () => {
test.skip("gives a mean near the mean of the input", () => {
fc.assert(
fc.property(arrayGen(), (xs_) => {
let xs = Array.from(xs_);
let xsString = xs.toString();
let squiggleString = `x = fromSamples([${xsString}]); mean(x)`;
let squiggleResult = testRun(squiggleString);
let mean = xs.reduce((a, b) => a + b, 0.0) / xs.length;
expect(squiggleResult.value).toBeCloseTo(mean, 4);
})
);
});
});

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@ -189,6 +189,11 @@ let rec run = (~env, functionCallInfo: functionCallInfo): outputType => {
->GenericDist.mixture(~scaleMultiplyFn=scaleMultiply, ~pointwiseAddFn=pointwiseAdd) ->GenericDist.mixture(~scaleMultiplyFn=scaleMultiply, ~pointwiseAddFn=pointwiseAdd)
->E.R2.fmap(r => Dist(r)) ->E.R2.fmap(r => Dist(r))
->OutputLocal.fromResult ->OutputLocal.fromResult
| FromSamples(xs) => xs
->SampleSetDist.make
->E.R2.errMap(x => DistributionTypes.SampleSetError(x))
->E.R2.fmap(x => x->DistributionTypes.SampleSet->Dist)
->OutputLocal.fromResult
} }
} }
@ -229,6 +234,7 @@ module Constructors = {
let isNormalized = (~env, dist) => C.isNormalized(dist)->run(~env)->toBoolR let isNormalized = (~env, dist) => C.isNormalized(dist)->run(~env)->toBoolR
let toPointSet = (~env, dist) => C.toPointSet(dist)->run(~env)->toDistR let toPointSet = (~env, dist) => C.toPointSet(dist)->run(~env)->toDistR
let toSampleSet = (~env, dist, n) => C.toSampleSet(dist, n)->run(~env)->toDistR let toSampleSet = (~env, dist, n) => C.toSampleSet(dist, n)->run(~env)->toDistR
let fromSamples = (~env, xs) => C.fromSamples(xs)->run(~env)->toDistR
let truncate = (~env, dist, leftCutoff, rightCutoff) => let truncate = (~env, dist, leftCutoff, rightCutoff) =>
C.truncate(dist, leftCutoff, rightCutoff)->run(~env)->toDistR C.truncate(dist, leftCutoff, rightCutoff)->run(~env)->toDistR
let inspect = (~env, dist) => C.inspect(dist)->run(~env)->toDistR let inspect = (~env, dist) => C.inspect(dist)->run(~env)->toDistR

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@ -61,6 +61,8 @@ module Constructors: {
@genType @genType
let toSampleSet: (~env: env, genericDist, int) => result<genericDist, error> let toSampleSet: (~env: env, genericDist, int) => result<genericDist, error>
@genType @genType
let fromSamples: (~env: env, SampleSetDist.t) => result<genericDist, error>
@genType
let truncate: (~env: env, genericDist, option<float>, option<float>) => result<genericDist, error> let truncate: (~env: env, genericDist, option<float>, option<float>) => result<genericDist, error>
@genType @genType
let inspect: (~env: env, genericDist) => result<genericDist, error> let inspect: (~env: env, genericDist) => result<genericDist, error>

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@ -11,7 +11,7 @@ type error =
| NotYetImplemented | NotYetImplemented
| Unreachable | Unreachable
| DistributionVerticalShiftIsInvalid | DistributionVerticalShiftIsInvalid
| TooFewSamples | SampleSetError(SampleSetDist.sampleSetError)
| ArgumentError(string) | ArgumentError(string)
| OperationError(Operation.Error.t) | OperationError(Operation.Error.t)
| PointSetConversionError(SampleSetDist.pointsetConversionError) | PointSetConversionError(SampleSetDist.pointsetConversionError)
@ -35,7 +35,8 @@ module Error = {
| DistributionVerticalShiftIsInvalid => "Distribution Vertical Shift is Invalid" | DistributionVerticalShiftIsInvalid => "Distribution Vertical Shift is Invalid"
| ArgumentError(s) => `Argument Error ${s}` | ArgumentError(s) => `Argument Error ${s}`
| LogarithmOfDistributionError(s) => `Logarithm of input error: ${s}` | LogarithmOfDistributionError(s) => `Logarithm of input error: ${s}`
| TooFewSamples => "Too Few Samples" | SampleSetError(TooFewSamples) => "Too Few Samples"
| SampleSetError(NonNumericInput(err)) => `Found a non-number in input: ${err}`
| OperationError(err) => Operation.Error.toString(err) | OperationError(err) => Operation.Error.toString(err)
| PointSetConversionError(err) => SampleSetDist.pointsetConversionErrorToString(err) | PointSetConversionError(err) => SampleSetDist.pointsetConversionErrorToString(err)
| SparklineError(err) => PointSetTypes.sparklineErrorToString(err) | SparklineError(err) => PointSetTypes.sparklineErrorToString(err)
@ -47,10 +48,7 @@ module Error = {
let resultStringToResultError: result<'a, string> => result<'a, error> = n => let resultStringToResultError: result<'a, string> => result<'a, error> = n =>
n->E.R2.errMap(r => r->fromString) n->E.R2.errMap(r => r->fromString)
let sampleErrorToDistErr = (err: SampleSetDist.sampleSetError): error => let sampleErrorToDistErr = (err: SampleSetDist.sampleSetError): error => SampleSetError(err)
switch err {
| TooFewSamples => TooFewSamples
}
} }
@genType @genType
@ -99,6 +97,7 @@ module DistributionOperation = {
type genericFunctionCallInfo = type genericFunctionCallInfo =
| FromDist(fromDist, genericDist) | FromDist(fromDist, genericDist)
| FromFloat(fromDist, float) | FromFloat(fromDist, float)
| FromSamples(array<float>)
| Mixture(array<(genericDist, float)>) | Mixture(array<(genericDist, float)>)
let distCallToString = (distFunction: fromDist): string => let distCallToString = (distFunction: fromDist): string =>
@ -124,6 +123,7 @@ module DistributionOperation = {
switch d { switch d {
| FromDist(f, _) | FromFloat(f, _) => distCallToString(f) | FromDist(f, _) | FromFloat(f, _) => distCallToString(f)
| Mixture(_) => `mixture` | Mixture(_) => `mixture`
| FromSamples(_) => `fromSamples`
} }
} }
module Constructors = { module Constructors = {
@ -140,6 +140,7 @@ module Constructors = {
let isNormalized = (dist): t => FromDist(ToBool(IsNormalized), dist) let isNormalized = (dist): t => FromDist(ToBool(IsNormalized), dist)
let toPointSet = (dist): t => FromDist(ToDist(ToPointSet), dist) let toPointSet = (dist): t => FromDist(ToDist(ToPointSet), dist)
let toSampleSet = (dist, r): t => FromDist(ToDist(ToSampleSet(r)), dist) let toSampleSet = (dist, r): t => FromDist(ToDist(ToSampleSet(r)), dist)
let fromSamples = (xs): t => FromSamples(xs)
let truncate = (dist, left, right): t => FromDist(ToDist(Truncate(left, right)), dist) let truncate = (dist, left, right): t => FromDist(ToDist(Truncate(left, right)), dist)
let inspect = (dist): t => FromDist(ToDist(Inspect), dist) let inspect = (dist): t => FromDist(ToDist(Inspect), dist)
let toString = (dist): t => FromDist(ToString(ToString), dist) let toString = (dist): t => FromDist(ToString(ToString), dist)

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@ -1,11 +1,12 @@
@genType @genType
module Error = { module Error = {
@genType @genType
type sampleSetError = TooFewSamples type sampleSetError = TooFewSamples | NonNumericInput(string)
let sampleSetErrorToString = (err: sampleSetError): string => let sampleSetErrorToString = (err: sampleSetError): string =>
switch err { switch err {
| TooFewSamples => "Too few samples when constructing sample set" | TooFewSamples => "Too few samples when constructing sample set"
| NonNumericInput(err) => `Found a non-number in input: ${err}`
} }
@genType @genType

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@ -1,27 +1,30 @@
//The math here was taken from https://github.com/jasondavies/science.js/blob/master/src/stats/SampleSetDist_Bandwidth.js //The math here was taken from https://github.com/jasondavies/science.js/blob/master/src/stats/SampleSetDist_Bandwidth.js
let {iqr_percentile, nrd0_lo_denominator, one, nrd0_coef, nrd_coef, nrd_fractionalPower} = module(
MagicNumbers.SampleSetBandwidth
)
let len = x => E.A.length(x) |> float_of_int let len = x => E.A.length(x) |> float_of_int
let iqr = x => Jstat.percentile(x, 0.75, true) -. Jstat.percentile(x, 0.25, true) let iqr = x =>
Jstat.percentile(x, iqr_percentile, true) -. Jstat.percentile(x, 1.0 -. iqr_percentile, true)
// Silverman, B. W. (1986) Density Estimation. London: Chapman and Hall. // Silverman, B. W. (1986) Density Estimation. London: Chapman and Hall.
let nrd0 = x => { let nrd0 = x => {
let hi = Js_math.sqrt(Jstat.variance(x)) let hi = Js_math.sqrt(Jstat.variance(x))
let lo = Js_math.minMany_float([hi, iqr(x) /. 1.34]) let lo = Js_math.minMany_float([hi, iqr(x) /. nrd0_lo_denominator])
let e = Js_math.abs_float(x[1]) let e = Js_math.abs_float(x[1])
let lo' = switch (lo, hi, e) { let lo' = switch (lo, hi, e) {
| (lo, _, _) if !Js.Float.isNaN(lo) => lo | (lo, _, _) if !Js.Float.isNaN(lo) => lo
| (_, hi, _) if !Js.Float.isNaN(hi) => hi | (_, hi, _) if !Js.Float.isNaN(hi) => hi
| (_, _, e) if !Js.Float.isNaN(e) => e | (_, _, e) if !Js.Float.isNaN(e) => e
| _ => 1.0 | _ => one
} }
0.9 *. lo' *. Js.Math.pow_float(~base=len(x), ~exp=-0.2) nrd0_coef *. lo' *. Js.Math.pow_float(~base=len(x), ~exp=nrd_fractionalPower)
} }
// Scott, D. W. (1992) Multivariate Density Estimation: Theory, Practice, and Visualization. Wiley. // Scott, D. W. (1992) Multivariate Density Estimation: Theory, Practice, and Visualization. Wiley.
let nrd = x => { let nrd = x => {
let h = iqr(x) /. 1.34 let h = iqr(x) /. nrd0_lo_denominator
1.06 *. nrd_coef *.
Js.Math.min_float(Js.Math.sqrt(Jstat.variance(x)), h) *. Js.Math.min_float(Js.Math.sqrt(Jstat.variance(x)), h) *.
Js.Math.pow_float(~base=len(x), ~exp=-1.0 /. 5.0) Js.Math.pow_float(~base=len(x), ~exp=nrd_fractionalPower)
} }

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@ -35,3 +35,16 @@ module ToPointSet = {
*/ */
let minDiscreteToKeep = samples => max(20, E.A.length(samples) / 50) let minDiscreteToKeep = samples => max(20, E.A.length(samples) / 50)
} }
module SampleSetBandwidth = {
// Silverman, B. W. (1986) Density Estimation. London: Chapman and Hall.
// Scott, D. W. (1992) Multivariate Density Estimation: Theory, Practice, and Visualization. Wiley.
let iqr_percentile = 0.75
let iqr_percentile_complement = 1.0 -. iqr_percentile
let nrd0_lo_denominator = 1.34
let one = 1.0
let nrd0_coef = 0.9
let nrd_coef = 1.06
let nrd_fractionalPower = -0.2
}

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@ -218,6 +218,14 @@ let dispatchToGenericOutput = (call: ExpressionValue.functionCall): option<
Helpers.toDistFn(ToSampleSet(Belt.Int.fromFloat(float)), dist) Helpers.toDistFn(ToSampleSet(Belt.Int.fromFloat(float)), dist)
| ("toSampleSet", [EvDistribution(dist)]) => | ("toSampleSet", [EvDistribution(dist)]) =>
Helpers.toDistFn(ToSampleSet(MagicNumbers.Environment.defaultSampleCount), dist) Helpers.toDistFn(ToSampleSet(MagicNumbers.Environment.defaultSampleCount), dist)
| ("fromSamples", [EvArray(inputArray)]) => {
let _wrapInputErrors = x => SampleSetDist.NonNumericInput(x)
let parsedArray = Helpers.parseNumberArray(inputArray)->E.R2.errMap(_wrapInputErrors)
switch parsedArray {
| Ok(array) => runGenericOperation(FromSamples(array))
| Error(e) => GenDistError(SampleSetError(e))
}->Some
}
| ("inspect", [EvDistribution(dist)]) => Helpers.toDistFn(Inspect, dist) | ("inspect", [EvDistribution(dist)]) => Helpers.toDistFn(Inspect, dist)
| ("truncateLeft", [EvDistribution(dist), EvNumber(float)]) => | ("truncateLeft", [EvDistribution(dist), EvNumber(float)]) =>
Helpers.toDistFn(Truncate(Some(float), None), dist) Helpers.toDistFn(Truncate(Some(float), None), dist)

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@ -289,6 +289,13 @@ module R = {
| Ok(r) => r->Ok | Ok(r) => r->Ok
| Error(x) => x->f->Error | Error(x) => x->f->Error
} }
//I'm not sure what to call this.
let unify = (a: result<'a, 'b>, c: 'b => 'a): 'a =>
switch a {
| Ok(x) => x
| Error(x) => c(x)
}
} }
module R2 = { module R2 = {
@ -307,6 +314,8 @@ module R2 = {
| Ok(x) => x->Ok | Ok(x) => x->Ok
| Error(x) => x->f->Error | Error(x) => x->f->Error
} }
let toExn = (a, b) => R.toExn(b, a)
} }
let safe_fn_of_string = (fn, s: string): option<'a> => let safe_fn_of_string = (fn, s: string): option<'a> =>

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@ -98,6 +98,19 @@ bound `a`, mode `b` and upper bound `c`.
Squiggle, when the context is right, automatically casts a float to a constant distribution. Squiggle, when the context is right, automatically casts a float to a constant distribution.
## `fromSamples`
The last distribution constructor takes an array of samples and constructs a sample set distribution.
<SquiggleEditor initialSquiggleString="fromSamples([1,2,3,4,6,5,5,5])" />
#### Validity
For `fromSamples(xs)`,
- `xs.length > 5`
- Strictly every element of `xs` must be a number.
## Operating on distributions ## Operating on distributions
Here are the ways we combine distributions. Here are the ways we combine distributions.
@ -315,6 +328,16 @@ Or `PointSet` format
<SquiggleEditor initialSquiggleString="toPointSet(normal(5, 10))" /> <SquiggleEditor initialSquiggleString="toPointSet(normal(5, 10))" />
### `toSampleSet` has two signatures
Above, we saw the unary `toSampleSet`, which uses an internal hardcoded number of samples. If you'd like to provide the number of samples, it has a binary signature as well (floored)
<SquiggleEditor initialSquiggleString="toSampleSet(0.1 to 1, 100.1)" />
#### Validity
- Second argument to `toSampleSet` must be a number.
## Normalization ## Normalization
Some distribution operations (like horizontal shift) return an unnormalized distriibution. Some distribution operations (like horizontal shift) return an unnormalized distriibution.
@ -333,18 +356,6 @@ We provide a predicate `isNormalized`, for when we have simple control flow
- Input to `isNormalized` must be a dist - Input to `isNormalized` must be a dist
## Convert any distribution to a sample set distribution
`toSampleSet` has two signatures
It is unary when you use an internal hardcoded number of samples
<SquiggleEditor initialSquiggleString="toSampleSet(0.1 to 1)" />
And binary when you provide a number of samples (floored)
<SquiggleEditor initialSquiggleString="toSampleSet(0.1 to 1, 100)" />
## `inspect` ## `inspect`
You may like to debug by right clicking your browser and using the _inspect_ functionality on the webpage, and viewing the _console_ tab. Then, wrap your squiggle output with `inspect` to log an internal representation. You may like to debug by right clicking your browser and using the _inspect_ functionality on the webpage, and viewing the _console_ tab. Then, wrap your squiggle output with `inspect` to log an internal representation.