467 lines
19 KiB
Plaintext
467 lines
19 KiB
Plaintext
/* Notes: See commit 5ce0a6979d9f95d77e4ddbdffc40009de73821e3 for last commit which has more detailed helper functions. These might be useful when coming back to this code after a long time. */
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open FunctionRegistry_Core
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open FunctionRegistry_Helpers
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let nameSpace = "Danger"
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let requiresNamespace = true
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module Combinatorics = {
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module Helpers = {
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let laplace = (successes, trials) => (successes +. 1.0) /. (trials +. 2.0)
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let factorial = Stdlib.Math.factorial
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let choose = (n, k) => factorial(n) /. (factorial(n -. k) *. factorial(k))
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let pow = (base, exp) => Js.Math.pow_float(~base, ~exp)
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let binomial = (n, k, p) => choose(n, k) *. pow(p, k) *. pow(1.0 -. p, n -. k)
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}
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module Lib = {
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let laplace = Function.make(
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~name="laplace",
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~nameSpace,
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~requiresNamespace,
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~output=EvtNumber,
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~examples=[`Danger.laplace(1, 20)`],
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~definitions=[DefineFn.Numbers.twoToOne("laplace", Helpers.laplace)],
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(),
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)
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let factorial = Function.make(
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~name="factorial",
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~nameSpace,
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~requiresNamespace,
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~output=EvtNumber,
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~examples=[`Danger.factorial(20)`],
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~definitions=[DefineFn.Numbers.oneToOne("factorial", Helpers.factorial)],
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(),
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)
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let choose = Function.make(
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~name="choose",
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~nameSpace,
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~requiresNamespace,
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~output=EvtNumber,
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~examples=[`Danger.choose(1, 20)`],
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~definitions=[DefineFn.Numbers.twoToOne("choose", Helpers.choose)],
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(),
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)
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let binomial = Function.make(
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~name="binomial",
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~nameSpace,
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~requiresNamespace,
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~output=EvtNumber,
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~examples=[`Danger.binomial(1, 20, 0.5)`],
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~definitions=[DefineFn.Numbers.threeToOne("binomial", Helpers.binomial)],
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(),
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)
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}
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}
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module Integration = {
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module Helpers = {
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let integrateFunctionBetweenWithNumIntegrationPoints = (
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aLambda,
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min: float,
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max: float,
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numIntegrationPoints: float, // cast as int?
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environment,
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reducer,
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) => {
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let applyFunctionAtFloatToFloatOption = (point: float) => {
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// Defined here so that it has access to environment, reducer
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let pointAsInternalExpression = FunctionRegistry_Helpers.Wrappers.evNumber(point)
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let resultAsInternalExpression = Reducer_Expression_Lambda.doLambdaCall(
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aLambda,
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[pointAsInternalExpression],
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environment,
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reducer,
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)
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let result = switch resultAsInternalExpression {
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| Reducer_T.IEvNumber(x) => Ok(x)
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| _ =>
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Error(
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"Error 1 in Danger.integrate. It's possible that your function doesn't return a number, try definining auxiliaryFunction(x) = mean(yourFunction(x)) and integrate auxiliaryFunction instead"->Reducer_ErrorValue.REOther,
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)
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}
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result
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}
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// Variables are punctiliously defined because it's otherwise easy to make off-by one errors.
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let numTotalPoints = Belt.Float.toInt(numIntegrationPoints) // superflous declaration, but useful to keep track that we are interpreting "numIntegrationPoints" as the total number on which we evaluate the function, not e.g., as the inner integration points.
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let numInnerPoints = numTotalPoints - 2
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let numOuterPoints = 2
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let totalWeight = max -. min
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let weightForAnInnerPoint = totalWeight /. E.I.toFloat(numTotalPoints - 1)
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let weightForAnOuterPoint = totalWeight /. E.I.toFloat(numTotalPoints - 1) /. 2.0
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let innerPointIncrement = (max -. min) /. E.I.toFloat(numTotalPoints - 1)
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let innerXs = Belt.Array.makeBy(numInnerPoints, i =>
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min +. Belt_Float.fromInt(i + 1) *. innerPointIncrement
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)
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// Gotcha: makeBy goes from 0 to (n-1): <https://rescript-lang.org/docs/manual/latest/api/belt/array#makeby>
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let ysOptions = Belt.Array.map(innerXs, x => applyFunctionAtFloatToFloatOption(x))
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/* Logging, with a worked example. */
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// Useful for understanding what is happening.
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// assuming min = 0, max = 10, numTotalPoints=10, results below:
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let verbose = false
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if verbose {
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Js.Console.log2("numTotalPoints", numTotalPoints) // 5
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Js.Console.log2("numInnerPoints", numInnerPoints) // 3
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Js.Console.log2("numOuterPoints", numOuterPoints) // always 2
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Js.Console.log2("totalWeight", totalWeight) // 10 - 0 = 10
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Js.Console.log2("weightForAnInnerPoint", weightForAnInnerPoint) // 10/4 = 2.5
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Js.Console.log2("weightForAnOuterPoint", weightForAnOuterPoint) // 10/4/2 = 1.25
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Js.Console.log2(
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"weightForAnInnerPoint * numInnerPoints + weightForAnOuterPoint * numOuterPoints",
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weightForAnInnerPoint *. E.I.toFloat(numInnerPoints) +.
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weightForAnOuterPoint *. E.I.toFloat(numOuterPoints),
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) // should be 10
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Js.Console.log2(
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"sum of weights == totalWeight",
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weightForAnInnerPoint *. E.I.toFloat(numInnerPoints) +.
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weightForAnOuterPoint *. E.I.toFloat(numOuterPoints) == totalWeight,
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) // true
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Js.Console.log2("innerPointIncrement", innerPointIncrement) // (10-0)/4 = 2.5
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Js.Console.log2("innerXs", innerXs) // 2.5, 5, 7.5
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Js.Console.log2("ysOptions", ysOptions)
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}
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let result = switch E.A.R.firstErrorOrOpen(ysOptions) {
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| Ok(ys) => {
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let innerPointsSum = ys->E.A.reduce(0.0, (a, b) => a +. b)
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let resultWithOuterPoints = switch (
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applyFunctionAtFloatToFloatOption(min),
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applyFunctionAtFloatToFloatOption(max),
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) {
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| (Ok(yMin), Ok(yMax)) => {
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let result =
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(yMin +. yMax) *. weightForAnOuterPoint +. innerPointsSum *. weightForAnInnerPoint
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let wrappedResult = result->Reducer_T.IEvNumber->Ok
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wrappedResult
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}
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| (Error(b), _) => Error(b)
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| (_, Error(b)) => Error(b)
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}
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resultWithOuterPoints
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}
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| Error(b) =>
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("Integration error 2 in Danger.integrate. It's possible that your function doesn't return a number, try definining auxiliaryFunction(x) = mean(yourFunction(x)) and integrate auxiliaryFunction instead." ++
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"Original error: " ++
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b->Reducer_ErrorValue.errorToString)
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->Reducer_ErrorValue.REOther
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->Error
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}
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result
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}
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}
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module Lib = {
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let integrateFunctionBetweenWithNumIntegrationPoints = Function.make(
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~name="integrateFunctionBetweenWithNumIntegrationPoints",
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~nameSpace,
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~output=EvtNumber,
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~requiresNamespace=false,
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~examples=[`Danger.integrateFunctionBetweenWithNumIntegrationPoints({|x| x+1}, 1, 10, 10)`],
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// For the example of integrating x => x+1 between 1 and 10,
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// result should be close to 58.5
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// [x^2/2 + x]1_10 = (100/2 + 10) - (1/2 + 1) = 60 - 1.5 = 58.5
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// https://www.wolframalpha.com/input?i=integrate+x%2B1+from+1+to+10
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~definitions=[
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FnDefinition.make(
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~name="integrateFunctionBetweenWithNumIntegrationPoints",
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~inputs=[FRTypeLambda, FRTypeNumber, FRTypeNumber, FRTypeNumber],
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~run=(inputs, env, reducer) => {
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let result = switch inputs {
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| [_, _, _, IEvNumber(0.0)] =>
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"Integration error 4 in Danger.integrate: Increment can't be 0."
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->Reducer_ErrorValue.REOther
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->Error
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IEvLambda(aLambda),
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IEvNumber(min),
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IEvNumber(max),
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IEvNumber(numIntegrationPoints),
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] =>
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Helpers.integrateFunctionBetweenWithNumIntegrationPoints(
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aLambda,
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min,
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max,
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numIntegrationPoints,
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env,
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reducer,
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)
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| _ =>
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Error(
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Reducer_ErrorValue.REOther(
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"Integration error 5 in Danger.integrate. Remember that inputs are (function, number (min), number (max), number(increment))",
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),
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)
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}
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result
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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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let integrateFunctionBetweenWithEpsilon = Function.make(
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~name="integrateFunctionBetweenWithEpsilon",
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~nameSpace,
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~output=EvtNumber,
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~requiresNamespace=false,
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~examples=[`Danger.integrateFunctionBetweenWithEpsilon({|x| x+1}, 1, 10, 0.1)`],
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~definitions=[
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FnDefinition.make(
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~name="integrateFunctionBetweenWithEpsilon",
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~inputs=[FRTypeLambda, FRTypeNumber, FRTypeNumber, FRTypeNumber],
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~run=(inputs, env, reducer) => {
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let result = switch inputs {
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| [_, _, _, IEvNumber(0.0)] =>
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"Integration error in Danger.integrate: Increment can't be 0."
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->Reducer_ErrorValue.REOther
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->Error
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| [IEvLambda(aLambda), IEvNumber(min), IEvNumber(max), IEvNumber(epsilon)] =>
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Helpers.integrateFunctionBetweenWithNumIntegrationPoints(
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aLambda,
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min,
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max,
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(max -. min) /. epsilon,
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env,
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reducer,
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)->E.R2.errMap(b =>
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("Integration error 7 in Danger.integrate. Something went wrong along the way: " ++
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b->Reducer_ErrorValue.errorToString)->Reducer_ErrorValue.REOther
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)
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| _ =>
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"Integration error 8 in Danger.integrate. Remember that inputs are (function, number (min), number (max), number(increment))"
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->Reducer_ErrorValue.REOther
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->Error
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}
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result
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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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}
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}
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module DiminishingReturns = {
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module Helpers = {
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type diminishingReturnsAccumulatorInner = {
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optimalAllocations: array<float>,
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currentMarginalReturns: result<array<float>, errorValue>,
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}
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let findBiggestElementIndex = (xs: array<float>) =>
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E.A.reducei(xs, 0, (acc, newElement, index) => {
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switch newElement > xs[acc] {
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| true => index
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| false => acc
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}
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})
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type diminishingReturnsAccumulator = result<diminishingReturnsAccumulatorInner, errorValue>
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// TODO: This is so complicated, it probably should be its own file. It might also make sense to have it work in Rescript directly, taking in a function rather than a reducer; then something else can wrap that function in the reducer/lambdas/environment.
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/*
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The key idea for this function is that
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1. we keep track of past spending and current marginal returns for each function
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2. we look an additional increment in funds
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3. we assign it to the function with the best marginal returns
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4. we update the spending, and we compute the new returns for that function, with more spending
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- But we only compute the new marginal returns for the function we end up assigning the spending to.
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5. We continue doing this until all the funding is exhausted
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This is currently being done with a reducer, that keeps track of:
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- Value of marginal spending for each function
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- How much has been assigned to each function.
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*/
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/*
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Two possible algorithms (n=funds/increment, m=num lambdas)
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1. O(n): Iterate through value on next n dollars. At each step, only compute the new marginal return of the function which is spent. (This is what we are doing.)
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2. O(n*(m-1)): Iterate through all possible spending combinations. The advantage of this option is that it wouldn't assume that the returns of marginal spending are diminishing.
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*/
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let optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions = (
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lambdas,
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funds,
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approximateIncrement,
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environment,
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reducer,
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) => {
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switch (
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E.A.length(lambdas) > 1,
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funds > 0.0,
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approximateIncrement > 0.0,
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funds > approximateIncrement,
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) {
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| (false, _, _, _) =>
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Error(
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"Error in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions, number of functions should be greater than 1."->Reducer_ErrorValue.REOther,
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)
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| (_, false, _, _) =>
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Error(
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"Error in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions, funds should be greater than 0."->Reducer_ErrorValue.REOther,
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)
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| (_, _, false, _) =>
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Error(
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"Error in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions, approximateIncrement should be greater than 0."->Reducer_ErrorValue.REOther,
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)
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| (_, _, _, false) =>
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Error(
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"Error in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions, approximateIncrement should be smaller than funds amount."->Reducer_ErrorValue.REOther,
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)
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| (true, true, true, true) => {
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let applyFunctionAtPoint = (lambda, point: float) => {
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// Defined here so that it has access to environment, reducer
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let pointAsInternalExpression = FunctionRegistry_Helpers.Wrappers.evNumber(point)
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let resultAsInternalExpression = Reducer_Expression_Lambda.doLambdaCall(
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lambda,
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[pointAsInternalExpression],
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environment,
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reducer,
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)
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switch resultAsInternalExpression {
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| Reducer_T.IEvNumber(x) => Ok(x)
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| _ =>
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Error(
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"Error 1 in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions. It's possible that your function doesn't return a number, try definining auxiliaryFunction(x) = mean(yourFunction(x)) and integrate auxiliaryFunction instead"->Reducer_ErrorValue.REOther,
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)
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}
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}
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let numDivisions = Js.Math.round(funds /. approximateIncrement)
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let increment = funds /. numDivisions
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let arrayOfIncrements = Belt.Array.make(Belt.Float.toInt(numDivisions), increment)
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// ^ make the increment cleanly divide the amount of funds
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// nicely simplifies the calculations.
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let initAccumulator: diminishingReturnsAccumulator = Ok({
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optimalAllocations: Belt.Array.make(E.A.length(lambdas), 0.0),
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currentMarginalReturns: E.A.fmap(
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lambda => applyFunctionAtPoint(lambda, 0.0),
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lambdas,
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)->E.A.R.firstErrorOrOpen,
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})
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let optimalAllocationEndAccumulator = E.A.reduce(arrayOfIncrements, initAccumulator, (
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acc,
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newIncrement,
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) => {
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switch acc {
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| Ok(accInner) => {
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let oldMarginalReturnsWrapped = accInner.currentMarginalReturns
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let newAccWrapped = switch oldMarginalReturnsWrapped {
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| Ok(oldMarginalReturns) => {
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let indexOfBiggestDMR = findBiggestElementIndex(oldMarginalReturns)
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let newOptimalAllocations = Belt.Array.copy(accInner.optimalAllocations)
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let newOptimalAllocationsi =
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newOptimalAllocations[indexOfBiggestDMR] +. newIncrement
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newOptimalAllocations[indexOfBiggestDMR] = newOptimalAllocationsi
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let lambdai = lambdas[indexOfBiggestDMR]
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let newMarginalResultsLambdai = applyFunctionAtPoint(
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lambdai,
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newOptimalAllocationsi,
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)
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let newCurrentMarginalReturns = switch newMarginalResultsLambdai {
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| Ok(value) => {
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let result = Belt.Array.copy(oldMarginalReturns)
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result[indexOfBiggestDMR] = value
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Ok(result)
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}
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| Error(b) => Error(b)
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}
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let newAcc: diminishingReturnsAccumulatorInner = {
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optimalAllocations: newOptimalAllocations,
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currentMarginalReturns: newCurrentMarginalReturns,
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}
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Ok(newAcc)
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}
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| Error(b) => Error(b)
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}
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newAccWrapped
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}
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| Error(b) => Error(b)
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}
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})
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let optimalAllocationResult = switch optimalAllocationEndAccumulator {
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| Ok(inner) =>
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Ok(FunctionRegistry_Helpers.Wrappers.evArrayOfEvNumber(inner.optimalAllocations))
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| Error(b) => Error(b)
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}
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optimalAllocationResult
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}
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}
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}
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}
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module Lib = {
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let optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions = Function.make(
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~name="optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions",
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~nameSpace,
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~output=EvtArray,
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~requiresNamespace=false,
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~examples=[
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`Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions([{|x| x+1}, {|y| 10}], 100, 0.01)`,
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],
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~definitions=[
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FnDefinition.make(
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~name="optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions",
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~inputs=[FRTypeArray(FRTypeLambda), FRTypeNumber, FRTypeNumber],
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~run=(inputs, environment, reducer) =>
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switch inputs {
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| [IEvArray(innerlambdas), IEvNumber(funds), IEvNumber(approximateIncrement)] => {
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let individuallyWrappedLambdas = E.A.fmap(innerLambda => {
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switch innerLambda {
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| Reducer_T.IEvLambda(lambda) => Ok(lambda)
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| _ =>
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"Error in Danger.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions. A member of the array wasn't a function"
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->Reducer_ErrorValue.REOther
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->Error
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}
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}, innerlambdas)
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let wrappedLambdas = E.A.R.firstErrorOrOpen(individuallyWrappedLambdas)
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let result = switch wrappedLambdas {
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| Ok(lambdas) => {
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let result = Helpers.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions(
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lambdas,
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funds,
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approximateIncrement,
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environment,
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reducer,
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)
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result
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}
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| Error(b) => Error(b)
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}
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result
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}
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| _ =>
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"Error in Danger.diminishingMarginalReturnsForTwoFunctions"
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->Reducer_ErrorValue.REOther
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->Error
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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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}
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}
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let library = [
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// Combinatorics
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Combinatorics.Lib.laplace,
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Combinatorics.Lib.factorial,
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Combinatorics.Lib.choose,
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Combinatorics.Lib.binomial,
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// Integration
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Integration.Lib.integrateFunctionBetweenWithNumIntegrationPoints,
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// ^ Integral in terms of function, min, max, epsilon (distance between points)
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// Execution time will be less predictable, because it
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// will depend on min, max and epsilon together,
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// as well and the complexity of the function
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Integration.Lib.integrateFunctionBetweenWithEpsilon,
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// ^ Integral in terms of function, min, max, num points
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// Note that execution time will be more predictable, because it
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// will only depend on num points and the complexity of the function
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// Diminishing marginal return functions
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DiminishingReturns.Lib.optimalAllocationGivenDiminishingMarginalReturnsForManyFunctions,
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]
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