combineAlongSupportOfSecondArgument implemented, tests still failing

Value: [1e-4 to 4e-2]

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

@@ -4,11 +4,11 @@ open TestHelpers
 
 describe("kl divergence", () => {
   let klDivergence = DistributionOperation.Constructors.klDivergence(~env)
-  test("", () => {
   exception KlFailed
-    let lowAnswer = 4.3526e0
+  test("of two uniforms is equal to the analytic expression", () => {
+    let lowAnswer = 2.3526e0
     let highAnswer = 8.5382e0
-    let lowPrediction = 4.3526e0
+    let lowPrediction = 2.3526e0
     let highPrediction = 1.2345e1
     let answer =
       uniformMakeR(lowAnswer, highAnswer)->E.R2.errMap(s => DistributionTypes.ArgumentError(s))
@@ -17,11 +17,30 @@ describe("kl divergence", () => {
         s,
       ))
     // integral along the support of the answer of answer.pdf(x) times log of prediction.pdf(x) divided by answer.pdf(x) dx
+    let analyticalKl = Js.Math.log((highPrediction -. lowPrediction) /. (highAnswer -. lowAnswer))
+    let kl = E.R.liftJoin2(klDivergence, prediction, answer)
+    switch kl {
+    | Ok(kl') => kl'->expect->toBeCloseTo(analyticalKl)
+    | Error(err) => {
+        Js.Console.log(DistributionTypes.Error.toString(err))
+        raise(KlFailed)
+      }
+    }
+  })
+  test("of two normals is equal to the formula", () => {
+    // This test case comes via Nuño https://github.com/quantified-uncertainty/squiggle/issues/433
+    let mean1 = 4.0
+    let mean2 = 1.0
+    let stdev1 = 1.0
+    let stdev2 = 1.0
+
+    let prediction =
+      normalMakeR(mean1, stdev1)->E.R2.errMap(s => DistributionTypes.ArgumentError(s))
+    let answer = normalMakeR(mean2, stdev2)->E.R2.errMap(s => DistributionTypes.ArgumentError(s))
     let analyticalKl =
-      -1.0 /.
-      (highAnswer -. lowAnswer) *.
-      Js.Math.log((highAnswer -. lowAnswer) /. (highPrediction -. lowPrediction)) *.
-      (highAnswer -. lowAnswer)
+      Js.Math.log(stdev2 /. stdev1) +.
+      stdev1 ** 2.0 /. 2.0 /. stdev2 ** 2.0 +.
+      (mean1 -. mean2) ** 2.0 /. 2.0 /. stdev2 ** 2.0 -. 0.5
     let kl = E.R.liftJoin2(klDivergence, prediction, answer)
     switch kl {
     | Ok(kl') => kl'->expect->toBeCloseTo(analyticalKl)

packages/squiggle-lang/__tests__/XYShape_test.res

@@ -38,19 +38,6 @@ describe("XYShapes", () => {
     )
   })
 
-  describe("logScorePoint", () => {
-    makeTest("When identical", XYShape.logScorePoint(30, pointSetDist1, pointSetDist1), Some(0.0))
-    makeTest(
-      "When similar",
-      XYShape.logScorePoint(30, pointSetDist1, pointSetDist2),
-      Some(1.658971191043856),
-    )
-    makeTest(
-      "When very different",
-      XYShape.logScorePoint(30, pointSetDist1, pointSetDist3),
-      Some(210.3721280423322),
-    )
-  })
   describe("integrateWithTriangles", () =>
     makeTest(
       "integrates correctly",

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

@@ -86,6 +86,7 @@ let stepwiseToLinear = (t: t): t =>
 
 // Note: This results in a distribution with as many points as the sum of those in t1 and t2.
 let combinePointwise = (
+  ~combiner=XYShape.PointwiseCombination.combine,
   ~integralSumCachesFn=(_, _) => None,
   ~distributionType: PointSetTypes.distributionType=#PDF,
   fn: (float, float) => result<float, Operation.Error.t>,
@@ -119,7 +120,7 @@ let combinePointwise = (
 
   let interpolator = XYShape.XtoY.continuousInterpolator(t1.interpolation, extrapolation)
 
-  XYShape.PointwiseCombination.combine(fn, interpolator, t1.xyShape, t2.xyShape)->E.R2.fmap(x =>
+  combiner(fn, interpolator, t1.xyShape, t2.xyShape)->E.R2.fmap(x =>
     make(~integralSumCache=combinedIntegralSum, x)
   )
 }
@@ -271,7 +272,12 @@ module T = Dist({
     XYShape.Analysis.getVarianceDangerously(t, mean, Analysis.getMeanOfSquares)
 
   let klDivergence = (prediction: t, answer: t) => {
-    combinePointwise(PointSetDist_Scoring.KLDivergence.integrand, prediction, answer)
+    combinePointwise(
+      ~combiner=XYShape.PointwiseCombination.combineAlongSupportOfSecondArgument,
+      PointSetDist_Scoring.KLDivergence.integrand,
+      prediction,
+      answer,
+    )
     |> E.R.fmap(shapeMap(XYShape.T.filterYValues(Js.Float.isFinite)))
     |> E.R.fmap(integralEndY)
   }

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

@@ -33,6 +33,7 @@ let shapeFn = (fn, t: t) => t |> getShape |> fn
 let lastY = (t: t) => t |> getShape |> XYShape.T.lastY
 
 let combinePointwise = (
+  ~combiner=XYShape.PointwiseCombination.combine,
   ~integralSumCachesFn=(_, _) => None,
   ~fn=(a, b) => Ok(a +. b),
   t1: PointSetTypes.discreteShape,
@@ -48,12 +49,10 @@ let combinePointwise = (
   // It could be done for pointwise additions, but is that ever needed?
 
   make(
-    XYShape.PointwiseCombination.combine(
-      fn,
-      XYShape.XtoY.discreteInterpolator,
-      t1.xyShape,
-      t2.xyShape,
-    )->E.R.toExn("Addition operation should never fail", _),
+    combiner(fn, XYShape.XtoY.discreteInterpolator, t1.xyShape, t2.xyShape)->E.R.toExn(
+      "Addition operation should never fail",
+      _,
+    ),
   )->Ok
 }
 
@@ -231,6 +230,7 @@ module T = Dist({
 
   let klDivergence = (prediction: t, answer: t) => {
     combinePointwise(
+      ~combiner=XYShape.PointwiseCombination.combineAlongSupportOfSecondArgument,
       ~fn=PointSetDist_Scoring.KLDivergence.integrand,
       prediction,
       answer,

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

@@ -48,7 +48,7 @@ let combinePointwise = (
     |> E.A.fmap(toDiscrete)
     |> E.A.O.concatSomes
     |> Discrete.reduce(~integralSumCachesFn, fn)
-    |> E.R.toExn("foo")
+    |> E.R.toExn("Theoretically unreachable state")
 
   let reducedContinuous =
     [t1, t2]

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

@@ -1,5 +1,5 @@
 module KLDivergence = {
-  let logFn = Js.Math.log
+  let logFn = Js.Math.log // base e
   let integrand = (predictionElement: float, answerElement: float): result<
     float,
     Operation.Error.t,
@@ -7,9 +7,9 @@ module KLDivergence = {
     if predictionElement == 0.0 {
       Error(Operation.NegativeInfinityError)
     } else if answerElement == 0.0 {
-      Ok(answerElement)
+      Ok(0.0)
     } else {
       let quot = predictionElement /. answerElement
-      quot < 0.0 ? Error(Operation.ComplexNumberError) : Ok(-.answerElement *. logFn(quot))
+      quot < 0.0 ? Error(Operation.ComplexNumberError) : Ok(answerElement *. logFn(quot))
     }
 }

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

@@ -97,7 +97,20 @@ module T = {
   let equallyDividedXs = (t: t, newLength) => E.A.Floats.range(minX(t), maxX(t), newLength)
   let toJs = (t: t) => {"xs": t.xs, "ys": t.ys}
   let filterYValues = (fn, t: t): t => t |> zip |> E.A.filter(((_, y)) => fn(y)) |> fromZippedArray
-
+  let filterOkYs = (xs: array<float>, ys: array<result<float, 'b>>): t => {
+    let n = E.A.length(xs) // Assume length(xs) == length(ys)
+    let newXs = []
+    let newYs = []
+    for i in 0 to n - 1 {
+      switch ys[i] {
+      | Ok(y) =>
+        let _ = Js.Array.push(xs[i], newXs)
+        let _ = Js.Array.push(y, newYs)
+      | Error(_) => ()
+      }
+    }
+    {xs: newXs, ys: newYs}
+  }
   module Validator = {
     let fnName = "XYShape validate"
     let notSortedError = (p: string): error => NotSorted(p)
@@ -377,6 +390,64 @@ module PointwiseCombination = {
       }
     `)
 
+  // This function is used for kl divergence
+  let combineAlongSupportOfSecondArgument: (
+    (float, float) => result<float, Operation.Error.t>,
+    interpolator,
+    T.t,
+    T.t,
+  ) => result<T.t, Operation.Error.t> = (fn, interpolator, t1, t2) => {
+    let newYs = []
+    let newXs = []
+    let (l1, l2) = (E.A.length(t1.xs), E.A.length(t2.xs))
+    let (i, j) = (ref(0), ref(0))
+    let minX = t2.xs[0]
+    let maxX = t2.xs[l2 - 1]
+    while j.contents < l2 - 1 && i.contents < l1 - 1 {
+      let (x, y1, y2) = {
+        let x1 = t1.xs[i.contents + 1]
+        let x2 = t2.xs[j.contents + 1]
+        /* if t1 has to catch up to t2 */ if (
+          i.contents < l1 - 1 && j.contents < l2 && x1 < x2 && minX <= x1 && x2 <= maxX
+        ) {
+          i := i.contents + 1
+          let x = x1
+          let y1 = t1.ys[i.contents]
+          let y2 = interpolator(t2, j.contents, x)
+          (x, y1, y2)
+        } else if (
+          /* if t2 has to catch up to t1 */
+          i.contents < l1 && j.contents < l2 - 1 && x1 > x2 && x2 >= minX && maxX >= x1
+        ) {
+          j := j.contents + 1
+          let x = x2
+          let y1 = interpolator(t1, i.contents, x)
+          let y2 = t2.ys[j.contents]
+          (x, y1, y2)
+        } else if (
+          /* move both ahead if they are equal */
+          i.contents < l1 - 1 && j.contents < l2 - 1 && x1 == x2 && x1 >= minX && maxX >= x2
+        ) {
+          i := i.contents + 1
+          j := j.contents + 1
+          let x = x1
+          let y1 = t1.ys[i.contents]
+          let y2 = t2.ys[j.contents]
+          (x, y1, y2)
+        } else {
+          i := i.contents + 1
+          (0.0, 0.0, 0.0) // for the function I have in mind, this will error out
+          // exception PointwiseCombinationError
+          // raise(PointwiseCombinationError)
+        }
+      }
+      // Js.Console.log(newYs)
+      let _ = Js.Array.push(fn(y1, y2), newYs)
+      let _ = Js.Array.push(x, newXs)
+    }
+    T.filterOkYs(newXs, newYs)->Ok
+  }
+
   let addCombine = (interpolator: interpolator, t1: T.t, t2: T.t): T.t =>
     combine((a, b) => Ok(a +. b), interpolator, t1, t2)->E.R.toExn(
       "Add operation should never fail",
@@ -490,25 +561,6 @@ module Range = {
   }
 }
 
-let pointLogScore = (prediction, answer) =>
-  switch answer {
-  | 0. => 0.0
-  | answer => answer *. Js.Math.log2(Js.Math.abs_float(prediction /. answer))
-  }
-
-let logScorePoint = (sampleCount, t1, t2) =>
-  PointwiseCombination.combineEvenXs(
-    ~fn=pointLogScore,
-    ~xToYSelection=XtoY.linear,
-    sampleCount,
-    t1,
-    t2,
-  )
-  |> Range.integrateWithTriangles
-  |> E.O.fmap(T.accumulateYs(\"+."))
-  |> E.O.fmap(Pairs.last)
-  |> E.O.fmap(Pairs.y)
-
 module Analysis = {
   let getVarianceDangerously = (t: 't, mean: 't => float, getMeanOfSquares: 't => float): float => {
     let meanSquared = mean(t) ** 2.0