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//! A common conjugate prior for Gaussians with unknown mean and variance
//!
//! For a reference see section 6 of [Kevin Murphy's
//! whitepaper](https://www.cs.ubc.ca/~murphyk/Papers/bayesGauss.pdf).
#[cfg(feature = "serde1")]
use serde::{Deserialize, Serialize};
mod gaussian_prior;
use crate::dist::{Gaussian, InvGamma};
use crate::impl_display;
use crate::traits::Rv;
use rand::Rng;
use std::fmt;
/// Prior for Gaussian
///
/// Given `x ~ N(μ, σ)`, the Normal Inverse Gamma prior implies that
/// `μ ~ N(m, sqrt(v)σ)` and `ρ ~ InvGamma(a, b)`.
#[derive(Debug, Clone, PartialEq)]
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
#[cfg_attr(feature = "serde1", serde(rename_all = "snake_case"))]
pub struct NormalInvGamma {
m: f64,
v: f64,
a: f64,
b: f64,
}
#[derive(Debug, Clone, PartialEq)]
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
#[cfg_attr(feature = "serde1", serde(rename_all = "snake_case"))]
pub enum NormalInvGammaError {
/// The m parameter is infinite or NaN
MNotFinite { m: f64 },
/// The v parameter is less than or equal to zero
VTooLow { v: f64 },
/// The v parameter is infinite or NaN
VNotFinite { v: f64 },
/// The a parameter is less than or equal to zero
ATooLow { a: f64 },
/// The a parameter is infinite or NaN
ANotFinite { a: f64 },
/// The b parameter is less than or equal to zero
BTooLow { b: f64 },
/// The b parameter is infinite or NaN
BNotFinite { b: f64 },
}
impl NormalInvGamma {
/// Create a new Normal Inverse Gamma distribution
///
/// # Arguments
/// - m: The prior mean
/// - v: Relative variance of μ versus data
/// - a: The mean of variance is b / (a - 1)
/// - b: Degrees of freedom of the variance
pub fn new(
m: f64,
v: f64,
a: f64,
b: f64,
) -> Result<Self, NormalInvGammaError> {
if !m.is_finite() {
Err(NormalInvGammaError::MNotFinite { m })
} else if !v.is_finite() {
Err(NormalInvGammaError::VNotFinite { v })
} else if !a.is_finite() {
Err(NormalInvGammaError::ANotFinite { a })
} else if !b.is_finite() {
Err(NormalInvGammaError::BNotFinite { b })
} else if v <= 0.0 {
Err(NormalInvGammaError::VTooLow { v })
} else if a <= 0.0 {
Err(NormalInvGammaError::ATooLow { a })
} else if b <= 0.0 {
Err(NormalInvGammaError::BTooLow { b })
} else {
Ok(NormalInvGamma { m, v, a, b })
}
}
/// Creates a new NormalInvGamma without checking whether the parameters are
/// valid.
#[inline(always)]
pub fn new_unchecked(m: f64, v: f64, a: f64, b: f64) -> Self {
NormalInvGamma { m, v, a, b }
}
/// Returns (m, v, a, b)
#[inline(always)]
pub fn params(&self) -> (f64, f64, f64, f64) {
(self.m, self.v, self.a, self.b)
}
/// Get the m parameter
#[inline(always)]
pub fn m(&self) -> f64 {
self.m
}
/// Set the value of m
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalInvGamma;
///
/// let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(nig.m(), 0.0);
///
/// nig.set_m(-1.1).unwrap();
/// assert_eq!(nig.m(), -1.1);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalInvGamma;
/// # let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(nig.set_m(-1.1).is_ok());
/// assert!(nig.set_m(std::f64::INFINITY).is_err());
/// assert!(nig.set_m(std::f64::NEG_INFINITY).is_err());
/// assert!(nig.set_m(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_m(&mut self, m: f64) -> Result<(), NormalInvGammaError> {
if m.is_finite() {
self.set_m_unchecked(m);
Ok(())
} else {
Err(NormalInvGammaError::MNotFinite { m })
}
}
/// Set the value of m without input validation
#[inline(always)]
pub fn set_m_unchecked(&mut self, m: f64) {
self.m = m;
}
/// Get the v parameter
#[inline]
pub fn v(&self) -> f64 {
self.v
}
/// Set the value of v
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalInvGamma;
///
/// let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(nig.v(), 1.2);
///
/// nig.set_v(4.3).unwrap();
/// assert_eq!(nig.v(), 4.3);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalInvGamma;
/// # let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(nig.set_v(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(nig.set_v(0.0).is_err());
/// assert!(nig.set_v(-1.0).is_err());
///
///
/// assert!(nig.set_v(std::f64::INFINITY).is_err());
/// assert!(nig.set_v(std::f64::NEG_INFINITY).is_err());
/// assert!(nig.set_v(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_v(&mut self, v: f64) -> Result<(), NormalInvGammaError> {
if !v.is_finite() {
Err(NormalInvGammaError::VNotFinite { v })
} else if v <= 0.0 {
Err(NormalInvGammaError::VTooLow { v })
} else {
self.set_v_unchecked(v);
Ok(())
}
}
/// Set the value of v without input validation
#[inline]
pub fn set_v_unchecked(&mut self, v: f64) {
self.v = v;
}
/// Get the a parameter
#[inline]
pub fn a(&self) -> f64 {
self.a
}
/// Set the value of a
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalInvGamma;
///
/// let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(nig.a(), 2.3);
///
/// nig.set_a(4.3).unwrap();
/// assert_eq!(nig.a(), 4.3);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalInvGamma;
/// # let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(nig.set_a(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(nig.set_a(0.0).is_err());
/// assert!(nig.set_a(-1.0).is_err());
///
///
/// assert!(nig.set_a(std::f64::INFINITY).is_err());
/// assert!(nig.set_a(std::f64::NEG_INFINITY).is_err());
/// assert!(nig.set_a(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_a(&mut self, a: f64) -> Result<(), NormalInvGammaError> {
if !a.is_finite() {
Err(NormalInvGammaError::ANotFinite { a })
} else if a <= 0.0 {
Err(NormalInvGammaError::ATooLow { a })
} else {
self.set_a_unchecked(a);
Ok(())
}
}
/// Set the value of a without input validation
#[inline]
pub fn set_a_unchecked(&mut self, a: f64) {
self.a = a;
}
/// Get the b parameter
#[inline]
pub fn b(&self) -> f64 {
self.b
}
/// Set the value of b
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalInvGamma;
///
/// let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(nig.b(), 3.4);
///
/// nig.set_b(4.3).unwrap();
/// assert_eq!(nig.b(), 4.3);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalInvGamma;
/// # let mut nig = NormalInvGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(nig.set_b(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(nig.set_b(0.0).is_err());
/// assert!(nig.set_b(-1.0).is_err());
///
///
/// assert!(nig.set_b(std::f64::INFINITY).is_err());
/// assert!(nig.set_b(std::f64::NEG_INFINITY).is_err());
/// assert!(nig.set_b(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_b(&mut self, b: f64) -> Result<(), NormalInvGammaError> {
if !b.is_finite() {
Err(NormalInvGammaError::BNotFinite { b })
} else if b <= 0.0 {
Err(NormalInvGammaError::BTooLow { b })
} else {
self.set_b_unchecked(b);
Ok(())
}
}
/// Set the value of b without input validation
#[inline(always)]
pub fn set_b_unchecked(&mut self, b: f64) {
self.b = b;
}
}
impl From<&NormalInvGamma> for String {
fn from(nig: &NormalInvGamma) -> String {
format!(
"Normal-Inverse-Gamma(m: {}, v: {}, a: {}, b: {})",
nig.m, nig.v, nig.a, nig.b
)
}
}
impl_display!(NormalInvGamma);
impl Rv<Gaussian> for NormalInvGamma {
fn ln_f(&self, x: &Gaussian) -> f64 {
// TODO: could cache the gamma and Gaussian distributions
let mu = x.mu();
let sigma = x.sigma();
let lnf_sigma =
InvGamma::new_unchecked(self.a, self.b).ln_f(&(sigma * sigma));
let prior_sigma = self.v.sqrt() * sigma;
let lnf_mu = Gaussian::new_unchecked(self.m, prior_sigma).ln_f(&mu);
lnf_sigma + lnf_mu
}
fn draw<R: Rng>(&self, mut rng: &mut R) -> Gaussian {
// NOTE: The parameter errors in this fn shouldn't happen if the prior
// parameters are valid.
let var: f64 = InvGamma::new(self.a, self.b)
.map_err(|err| {
panic!("Invalid σ² params when drawing Gaussian: {}", err)
})
.unwrap()
.draw(&mut rng);
let sigma = if var <= 0.0 {
std::f64::EPSILON
} else {
var.sqrt()
};
let post_sigma: f64 = self.v.sqrt() * sigma;
let mu: f64 = Gaussian::new(self.m, post_sigma)
.map_err(|err| {
panic!("Invalid μ params when drawing Gaussian: {}", err)
})
.unwrap()
.draw(&mut rng);
Gaussian::new(mu, sigma).expect("Invalid params")
}
}
impl std::error::Error for NormalInvGammaError {}
impl fmt::Display for NormalInvGammaError {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
match self {
Self::MNotFinite { m } => write!(f, "non-finite m: {}", m),
Self::VNotFinite { v } => write!(f, "non-finite v: {}", v),
Self::ANotFinite { a } => write!(f, "non-finite a: {}", a),
Self::BNotFinite { b } => write!(f, "non-finite b: {}", b),
Self::VTooLow { v } => {
write!(f, "v ({}) must be greater than zero", v)
}
Self::ATooLow { a } => {
write!(f, "a ({}) must be greater than zero", a)
}
Self::BTooLow { b } => {
write!(f, "b ({}) must be greater than zero", b)
}
}
}
}