double search_interval(double x0,double& L, double& R, slice_function& g,double logy)
{
// assert(g(x0) > g(L) and g(x0) > g(R));
assert(g(x0) >= logy);
assert(L < R);
assert(L <= x0 and x0 <= R);
double L0 = L, R0 = R;
// std::cerr<<"** L0 = "<<L0<<" x0 = "<<x0<<" R0 = "<<R0<<std::endl;
for(int i=0;i<200;i++)
{
double x1 = L + uniform()*(R-L);
double gx1 = g(x1);
// std::cerr<<" L = "<<L <<" x = "<<g.current_value()<<" R = "<<R<<std::endl;
// std::cerr<<" logy = "<<logy<<"\n"; // logy_x0 = "<<logy_x0<<" logy_current = "<<g()<<std::endl;
if (gx1 >= logy) return x1;
if (x1 > x0)
R = x1;
else
L = x1;
}
std::cerr<<"Warning! Is size of the interval really ZERO?"<<std::endl;
double logy_x0 = g(x0);
std::cerr<<" L0 = "<<L0<<" x0 = "<<x0<<" R0 = "<<R0<<std::endl;
std::cerr<<" L = "<<L <<" x = "<<g.current_value()<<" R = "<<R<<std::endl;
std::cerr<<" logy = "<<logy<<" logy_x0 = "<<logy_x0<<" logy_current = "<<g()<<std::endl;
std::abort();
return x0;
}
inline static void inc(double& x, double w, const slice_function& g, bool& hit_upper_bound)
{
x += w;
if (g.above_upper_bound(x)) {
x = g.upper_bound;
hit_upper_bound = true;
}
}
inline static void dec(double& x, double w, const slice_function& g, bool& hit_lower_bound)
{
x -= w;
if (g.below_lower_bound(x)) {
x = g.lower_bound;
hit_lower_bound=true;
}
}
std::pair<double,double>
find_slice_boundaries_stepping_out(double x0,slice_function& g,double logy, double w,int m)
{
assert(g.in_range(x0));
double u = uniform()*w;
double L = x0 - u;
double R = x0 + (w-u);
// Expand the interval until its ends are outside the slice, or until
// the limit on steps is reached.
// std::cerr<<"!! L0 = "<<L<<" x0 = "<<x0<<" R0 = "<<R<<"\n";
if (m>1) {
int J = uniform(0,m-1);
int K = (m-1)-J;
while (J>0 and (not g.below_lower_bound(L)) and g(L)>logy) {
L -= w;
J--;
// std::cerr<<" g("<<L<<") = "<<g()<<" > "<<logy<<"\n";
// std::cerr<<"<- L0 = "<<L<<" x0 = "<<x0<<" R0 = "<<R<<"\n";
}
while (K>0 and (not g.above_upper_bound(R)) and g(R)>logy) {
R += w;
K--;
// std::cerr<<" g("<<R<<") = "<<g()<<" > "<<logy<<"\n";
// std::cerr<<"-> L0 = "<<L<<" x0 = "<<x0<<" R0 = "<<R<<"\n";
}
}
else {
while ((not g.below_lower_bound(L)) and g(L)>logy)
L -= w;
while ((not g.above_upper_bound(R)) and g(R)>logy)
R += w;
}
// Shrink interval to lower and upper bounds.
if (g.below_lower_bound(L)) L = g.lower_bound;
if (g.above_upper_bound(R)) R = g.upper_bound;
assert(L < R);
// std::cerr<<"[] L0 = "<<L<<" x0 = "<<x0<<" R0 = "<<R<<"\n";
return std::pair<double,double>(L,R);
}
double slice_sample(double x0, slice_function& g,double w, int m)
{
assert(g.in_range(x0));
double gx0 = g();
volatile double diff = gx0 - g(x0);
assert(std::abs(diff) < 1.0e-9);
// Determine the slice level, in log terms.
double logy = gx0 - exponential(1);
// Find the initial interval to sample from.
std::pair<double,double> interval = find_slice_boundaries_stepping_out(x0,g,logy,w,m);
double L = interval.first;
double R = interval.second;
// Sample from the interval, shrinking it on each rejection
return search_interval(x0,L,R,g,logy);
}
std::pair<double,double>
find_slice_boundaries_stepping_out(double x0,slice_function& g,double logy, double w,int m)
{
double u = uniform()*w;
double L = x0 - u;
double R = x0 + (w-u);
// Expand the interval until its ends are outside the slice, or until
// the limit on steps is reached.
if (m>1) {
int J = floor(uniform()*m);
int K = (m-1)-J;
while (J>0 and (not g.below_lower_bound(L)) and g(L)>logy) {
L -= w;
J--;
}
while (K>0 and (not g.above_upper_bound(R)) and g(R)>logy) {
R += w;
K--;
}
}
else {
while ((not g.below_lower_bound(L)) and g(L)>logy)
L -= w;
while ((not g.above_upper_bound(R)) and g(R)>logy)
R += w;
}
// Shrink interval to lower and upper bounds.
if (g.below_lower_bound(L)) L = g.lower_bound;
if (g.above_upper_bound(R)) R = g.upper_bound;
return std::pair<double,double>(L,R);
}
// Assumes uni-modal
std::pair<double,double> find_slice_boundaries_search(double& x0,slice_function& g,double logy,
double w,int /*m*/)
{
// the initial point should be within the bounds, if the exist
assert(not g.below_lower_bound(x0));
assert(not g.above_upper_bound(x0));
bool hit_lower_bound=false;
bool hit_upper_bound=false;
double gx0 = g(x0);
double L = x0;
double R = L;
inc(R,w,g,hit_upper_bound);
// if (gx > logy) return find_slice_boundaries_stepping_out(x,g,logy,w,m,lower_bound,lower,upper_bound,upper);
int state = -1;
while(1)
{
double gL = g(L);
double gR = g(R);
if (gx0 < logy and gL > gx0) {
x0 = L;
gx0 = gL;
}
if (gx0 < logy and gR > gx0) {
x0 = R;
gx0 = gR;
}
// below bound, and slopes upwards to the right
if (gR < logy and gL < gR)
{
if (state == 2)
break;
else if (state == 1) {
inc(R,w,g,hit_upper_bound);
break;
}
state = 0;
hit_lower_bound=false;
L = R;
inc(R,w,g,hit_upper_bound);
}
// below bound, and slopes upwards to the left
else if (gL < logy and gR < gL)
{
if (state == 2)
break;
if (state == 1)
{
dec(L,w,g,hit_lower_bound);
break;
}
state = 1;
hit_upper_bound=false;
R = L;
dec(L,w,g,hit_lower_bound);
}
else {
state = 2;
bool moved = false;
if (gL >= logy and not hit_lower_bound) {
moved = true;
dec(L,w,g,hit_lower_bound);
}
if (gR >= logy and not hit_upper_bound) {
moved = true;
inc(R,w,g,hit_upper_bound);
}
if (not moved) break;
}
}
return std::pair<double,double>(L,R);
}
double slice_sample(slice_function& g, double w, int m)
{
double x0 = g.current_value();
return slice_sample(x0,g,w,m);
}
