//----------------------------------------------------------------------
void ProbitBartPosteriorSampler::impute_latent_data_point(DataType *data) {
double eta = data->prediction();
int n = data->n();
int number_positive = data->y();
int number_negative = n - number_positive;
double sum_of_probits = 0;
if (number_positive > 5) {
double mean = 0;
double variance = 1;
trun_norm_moments(eta, 1, 0, true, &mean, &variance);
sum_of_probits += rnorm_mt(rng(),
number_positive * mean,
sqrt(number_positive * variance));
} else {
for (int i = 0; i < number_positive; ++i) {
sum_of_probits += rtrun_norm_mt(rng(), eta, 1, 0, true);
}
}
if (number_negative > 5) {
double mean = 0;
double variance = 1;
trun_norm_moments(eta, 1, 0, false, &mean, &variance);
sum_of_probits += rnorm_mt(rng(),
number_negative * mean,
sqrt(number_negative * variance));
} else {
for (int i = 0; i < number_negative; ++i) {
sum_of_probits += rtrun_norm_mt(rng(), eta, 1, 0, false);
}
}
data->set_sum_of_residuals(sum_of_probits - (n * eta));
}
inline Vector SimulateLocalLinearTrend(
RNG &rng, int length, double initial_level, double initial_slope,
double level_sd, double slope_sd) {
Vector state = {initial_level, initial_slope};
Vector ans(length);
Matrix transition = rbind(Vector{1, 1}, Vector{0, 1});
for (int i = 0; i < length; ++i) {
ans[i] = state[0];
state = transition * state;
state[0] += rnorm_mt(rng, 0, level_sd);
state[1] += rnorm_mt(rng, 0, slope_sd);
}
return ans;
}
double rlnorm_mt(RNG & rng, double logmean, double logsd)
{
if(!R_FINITE(logmean) || !R_FINITE(logsd) || logsd < 0.)
ML_ERR_return_NAN;
return exp(rnorm_mt(rng, logmean, logsd));
}
Vector rmvn_L_mt(RNG &rng, const Vector &mu, const Matrix &L) {
// L is the lower cholesky triangle of Sigma.
uint n = mu.size();
Vector wsp(n);
for (uint i = 0; i < n; ++i) wsp[i] = rnorm_mt(rng, 0, 1);
return Lmult(L, wsp) + mu;
}
//======================================================================
Vector rmvn_mt(RNG &rng, const Vector &mu, const DiagonalMatrix &V) {
Vector ans(mu);
const ConstVectorView variances(V.diag());
for (int i = 0; i < mu.size(); ++i) {
ans[i] += rnorm_mt(rng, 0, sqrt(variances[i]));
}
return ans;
}
//----------------------------------------------------------------------
double PoissonBartPosteriorSampler::draw_mean(Bart::TreeNode *leaf) {
const Bart::PoissonSufficientStatistics &suf(
dynamic_cast<const Bart::PoissonSufficientStatistics &>(
leaf->compute_suf()));
double ivar = suf.sum_of_weights() + 1.0 / mean_prior_variance();
double posterior_mean = suf.weighted_sum_of_residuals() / ivar;
double posterior_sd = sqrt(1.0 / ivar);
return rnorm_mt(rng(), posterior_mean, posterior_sd);
}
inline Vector SimulateLocalLevel(RNG &rng, int length, double initial_value,
double sd) {
Vector ans(length);
ans[0] = initial_value;
for (int i = 1; i < length; ++i) {
ans[i] = rnorm_mt(rng, ans[i - 1], sd);
}
return ans;
}
Vector rmvn_precision_upper_cholesky_mt(
RNG &rng, const Vector &mu, const Matrix &precision_upper_cholesky) {
// U is the upper cholesky factor of the inverse variance Matrix
uint n = mu.size();
Vector z(n);
for (uint i = 0; i < n; ++i) z[i] = rnorm_mt(rng, 0, 1);
// if precision = L L^T then Sigma = (L^T)^{-1} L^{-1} = U U^T
return Usolve_inplace(precision_upper_cholesky, z) + mu;
}
Vector rmvn_suf_mt(RNG &rng, const SpdMatrix &Ivar, const Vector &IvarMu) {
Cholesky L(Ivar);
uint n = IvarMu.size();
Vector z(n);
for (uint i = 0; i < n; ++i) z[i] = rnorm_mt(rng);
LTsolve_inplace(L.getL(), z); // returns LT^-1 z which is ~ N(0, Ivar.inv)
z += L.solve(IvarMu);
return z;
}
//----------------------------------------------------------------------
std::pair<double, double> BinomialLogitCltDataImputer::impute_large_sample(
RNG &rng, double number_of_trials, double number_of_successes,
double linear_predictor) const {
double information = 0.0;
const Vector &mixing_weights(mixture_approximation.weights());
const Vector &sigma(mixture_approximation.sigma());
double negative_logit_support = plogis(0, linear_predictor, 1, true);
double positive_logit_support = plogis(0, linear_predictor, 1, false);
Vector p0 = mixing_weights / negative_logit_support;
Vector p1 = mixing_weights / positive_logit_support;
for (int m = 0; m < mixture_approximation.dim(); ++m) {
p0[m] *= pnorm(0, linear_predictor, sigma[m], true);
p1[m] *= pnorm(0, linear_predictor, sigma[m], false);
}
// p0 is the probability distribution over the mixture component
// indicators for the failures. N0 is the count of the number of
// failures belonging to each mixture component.
std::vector<int> N0 =
rmultinom_mt(rng, number_of_trials - number_of_successes, p0 / sum(p0));
// p1 is the probability distribution over the mixture component
// indicators for the successes. N1 is the count of the number
// of successes in each mixture component.
std::vector<int> N1 = rmultinom_mt(rng, number_of_successes, p1 / sum(p1));
double simulation_mean = 0;
double simulation_variance = 0;
for (int m = 0; m < N0.size(); ++m) {
int total_obs = N0[m] + N1[m];
if (total_obs == 0) {
continue;
}
double sigsq = square(sigma[m]);
double sig4 = square(sigsq);
information += total_obs / sigsq;
double truncated_normal_mean;
double truncated_normal_variance;
double cutpoint = 0;
if (N0[m] > 0) {
trun_norm_moments(linear_predictor, sigma[m], cutpoint, false,
&truncated_normal_mean, &truncated_normal_variance);
simulation_mean += N0[m] * truncated_normal_mean / sigsq;
simulation_variance += N0[m] * truncated_normal_variance / sig4;
}
if (N1[m] > 0) {
trun_norm_moments(linear_predictor, sigma[m], cutpoint, true,
&truncated_normal_mean, &truncated_normal_variance);
simulation_mean += N1[m] * truncated_normal_mean / sigsq;
simulation_variance += N1[m] * truncated_normal_variance / sig4;
}
}
double information_weighted_sum =
rnorm_mt(rng, simulation_mean, sqrt(simulation_variance));
return std::make_pair(information_weighted_sum, information);
}
//----------------------------------------------------------------------
// Drawing the mean at a leaf node is like drawing the intercept in
// a logistic regression model after the other linear effects have
// been subtracted out.
double LogitBartPosteriorSampler::draw_mean(Bart::TreeNode *leaf) {
const Bart::LogitSufficientStatistics &suf(
dynamic_cast<const Bart::LogitSufficientStatistics &>(
leaf->compute_suf()));
double prior_variance = mean_prior_variance();
double ivar = (1.0 / prior_variance) + suf.sum_of_information();
double posterior_mean = suf.information_weighted_residual_sum() / ivar;
double posterior_sd = sqrt(1.0 / ivar);
return rnorm_mt(rng(), posterior_mean, posterior_sd);
}
//----------------------------------------------------------------------
double ProbitBartPosteriorSampler::draw_mean(Bart::TreeNode *leaf) {
const Bart::ProbitSufficientStatistics &suf(
dynamic_cast<const Bart::ProbitSufficientStatistics &>(
leaf->compute_suf()));
double prior_variance = mean_prior_variance();
double ivar = suf.sample_size() + (1.0 / prior_variance);
double posterior_mean = suf.sum() / ivar;
double posterior_sd = sqrt(1.0 / ivar);
return rnorm_mt(rng(), posterior_mean, posterior_sd);
}
double BinomialProbitDataImputer::impute(RNG &rng, double number_of_trials,
double number_of_successes,
double eta) const {
int64_t n = lround(number_of_trials);
int64_t y = lround(number_of_successes);
if (y < 0 || n < 0) {
report_error(
"Negative values not allowed in "
"BinomialProbitDataImputer::impute().");
}
if (y > n) {
report_error(
"Success count exceeds trial count in "
"BinomialProbitDataImputer::impute.");
}
double mean, variance;
double ans = 0;
if (y > clt_threshold_) {
trun_norm_moments(eta, 1, 0, true, &mean, &variance);
// If we draw y deviates from the same truncated normal and add
// them up we'll have a normal with mean (y * mean) and variance
// (y * variance).
ans += rnorm_mt(rng, y * mean, sqrt(y * variance));
} else {
for (int i = 0; i < y; ++i) {
// TODO: If y is large-ish but not quite
// clt_threshold_ then we might waste some time here
// constantly rebuilding the same TnSampler object.
ans += rtrun_norm_mt(rng, eta, 1, 0, true);
}
}
if (n - y > clt_threshold_) {
trun_norm_moments(eta, 1, 0, false, &mean, &variance);
ans += rnorm_mt(rng, (n - y) * mean, sqrt((n - y) * variance));
} else {
for (int i = 0; i < n - y; ++i) {
ans += rtrun_norm_mt(rng, eta, 1, 0, false);
}
}
return ans;
}
double GaussianBartPosteriorSampler::draw_mean(Bart::TreeNode *leaf) {
double sigsq = model_->sigsq();
const Bart::GaussianBartSufficientStatistics &suf(
dynamic_cast<const Bart::GaussianBartSufficientStatistics &>(
leaf->compute_suf()));
double ivar = suf.n() / sigsq + 1.0 / mean_prior_variance();
double mean = (suf.sum() / sigsq) / ivar;
double sd = sqrt(1.0 / ivar);
double value = rnorm_mt(rng(), mean, sd);
return value;
}
double rig_mt(RNG & rng, double mu, double lambda){
double y = rnorm_mt(rng);
y = y * y;
double mu2 = mu * mu;
double muy = mu * y;
double mu2lam = .5 * mu/lambda;
double x = mu + muy * mu2lam
- mu2lam * sqrt(muy * (4*lambda + muy));
double z = runif_mt(rng);
if(z > mu/(mu+x)) return mu2/x;
return x;
}
inline Vector SimulateSeasonal(RNG &rng, int length,
const Vector &initial_pattern, double sd) {
int num_seasons = initial_pattern.size() + 1;
Matrix transition = SeasonalStateMatrix(num_seasons);
Vector ans(length);
Vector state = initial_pattern;
for (int i = 0; i < length; ++i) {
state = transition * state;
state[0] += rnorm_mt(rng, 0, sd);
ans[i] = state[0];
}
return ans;
}
Vector rmvn_robust_mt(RNG &rng, const Vector &mu, const SpdMatrix &V) {
uint n = V.nrow();
Matrix eigenvectors(n, n);
Vector eigenvalues = eigen(V, eigenvectors);
for (uint i = 0; i < n; ++i) {
// We're guaranteed that eigenvalues[i] is real and non-negative. We
// can take the absolute value of eigenvalues[i] to guard against
// spurious negative numbers close to zero.
eigenvalues[i] = sqrt(fabs(eigenvalues[i])) * rnorm_mt(rng, 0, 1);
}
Vector ans(eigenvectors * eigenvalues);
ans += mu;
return ans;
}
void GMS::draw(){
Ptr<GaussianSuf> s = mod_->suf();
double ybar = s->ybar();
double n = s->n();
double sigsq = mod_->sigsq();
double mu0 = pri->mu();
double tausq = pri->sigsq();
double ivar= (n/sigsq) + (1.0/tausq);
double mean = (n*ybar/sigsq + mu0/tausq)/ivar;
double sd = sqrt(1.0/ivar);
double ans = rnorm_mt(rng(), mean, sd);
mod_->set_mu(ans);
}
void DynamicInterceptTestFramework::SimulateData(int time_dimension) {
state_modules().SimulateData(time_dimension);
Vector state = state_modules().StateContribution();
data_.clear();
for (int t = 0; t < time_dimension; ++t) {
int nobs = 1 + rpois(poisson_rate_);
Matrix predictors(nobs, true_beta_.size());
predictors.randomize();
Vector response = predictors * true_beta_;
response += state[t];
for (int j = 0; j < nobs; ++j) {
response[j] += rnorm_mt(GlobalRng::rng, 0, observation_sd_);
}
NEW(StateSpace::TimeSeriesRegressionData, data_point)(
response, predictors, Selector(response.size(), true));
data_.push_back(data_point);
xtx_ += predictors.inner();
total_nobs_ += nobs;
}
}
Vector ArModel::simulate(int n, const Vector &y0, RNG &rng) const {
if (y0.size() != number_of_lags()) {
ostringstream err;
err << "Error in ArModel::simulate." << endl
<< "Initial state value y0 was size " << y0.size()
<< ", but the model has " << number_of_lags() << " lags." << endl;
report_error(err.str());
}
const Vector &phi(this->phi());
std::deque<double> lags(y0.rbegin(), y0.rend());
Vector ans;
ans.reserve(n);
for (int i = 0; i < n; ++i) {
double mu = 0;
for (int lag = 0; lag < number_of_lags(); ++lag) {
mu += phi[lag] * lags[lag];
}
double y = rnorm_mt(rng, mu, sigma());
lags.push_front(y);
lags.pop_back();
ans.push_back(y);
}
return ans;
}
void DRSM::simulate_state_error(RNG &rng, VectorView eta, int t) const {
check_size(eta.size());
for (int i = 0; i < eta.size(); ++i) {
eta[i] = rnorm_mt(rng, 0, coefficient_transition_model_[i]->sigma());
}
}
//======================================================================
void ArStateModel::simulate_state_error(RNG &rng, VectorView eta,
int t) const {
assert(eta.size() == state_dimension());
eta = 0;
eta[0] = rnorm_mt(rng) * sigma();
}
std::pair<double, double> BinomialLogitPartialAugmentationDataImputer::impute(
RNG &rng, double number_of_trials, double number_of_successes,
double linear_predictor) const {
if (number_of_successes > number_of_trials) {
ostringstream err;
err << "The number of successes must not exceed the number of trials "
<< "in BinomialLogitPartialAugmentationDataImputer::impute()."
<< endl;
debug_status_message(err, number_of_trials, number_of_successes,
linear_predictor);
report_error(err.str());
}
if (number_of_successes < 0 || number_of_trials < 0) {
ostringstream err;
err << "The number of successes and the number of trials must both "
<< "be non-negative in "
<< "BinomialLogitPartialAugmentationDataImputer::impute()." << endl;
debug_status_message(err, number_of_trials, number_of_successes,
linear_predictor);
report_error(err.str());
}
double information_weighted_sum = 0;
double information = 0;
if (number_of_trials < clt_threshold_) {
for (int i = 0; i < number_of_trials; ++i) {
bool success = i < number_of_successes;
double latent_logit = rtrun_logit_mt(rng, linear_predictor, 0, success);
// mu is unused because the mixture is a scale-mixture only,
// but we need it for the API.
double mu, sigsq;
mixture_approximation.unmix(rng, latent_logit - linear_predictor, &mu,
&sigsq);
double current_weight = 1.0 / sigsq;
information += current_weight;
information_weighted_sum += latent_logit * current_weight;
}
} else {
// Large sample case. There are number_of_successes draws from
// the positive side, and number_of_trials - number_of_successes
// draws from the negative side.
double mean_of_logit_sum = 0;
double variance_of_logit_sum = 0;
if (number_of_successes > 0) {
mean_of_logit_sum +=
number_of_successes * trun_logit_mean(linear_predictor, 0, true);
variance_of_logit_sum += number_of_successes *
trun_logit_variance(linear_predictor, 0, true);
}
double number_of_failures = number_of_trials - number_of_successes;
if (number_of_failures > 0) {
mean_of_logit_sum +=
number_of_failures * trun_logit_mean(linear_predictor, 0, false);
variance_of_logit_sum +=
number_of_failures *
trun_logit_variance(linear_predictor, 0, false);
}
// The information_weighted_sum is the sum of the latent logits
// (approximated by a normal), divided by the weight that each
// term in the sum recieves (the variance of the logistic
// distribution, pi^2/3).
information_weighted_sum =
rnorm_mt(rng, mean_of_logit_sum, sqrt(variance_of_logit_sum));
information_weighted_sum /= Constants::pi_squared_over_3;
// Each latent logit carries the same amount of information:
// 1/pi_squared_over_3.
information = number_of_trials / Constants::pi_squared_over_3;
}
return std::make_pair(information_weighted_sum, information);
}
Vector MvReg::simulate_fake_x(RNG &rng) const {
uint p = xdim();
Vector x(p, 1.0);
for (uint i = 1; i < p; ++i) x[i] = rnorm_mt(rng);
return x;
}
