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use crate::{Distribution, DistributionError, RandomVariable, SampleableDistribution};
use rand::prelude::*;
use rayon::prelude::*;
use std::f64::consts::PI;
pub struct EllipticalSliceSampler<'a, L, P, A, B>
where
L: Distribution<Value = A, Condition = B>,
P: SampleableDistribution<Value = B, Condition = ()>,
A: RandomVariable,
B: RandomVariable,
{
value: &'a A,
likelihood: &'a L,
prior: &'a P,
}
impl<'a, L, P, A, B> EllipticalSliceSampler<'a, L, P, A, B>
where
L: Distribution<Value = A, Condition = B>,
P: SampleableDistribution<Value = B, Condition = ()>,
A: RandomVariable,
B: RandomVariable,
{
pub fn new(value: &'a A, likelihood: &'a L, prior: &'a P) -> Self {
Self {
value,
likelihood,
prior,
}
}
fn step(mut v: Vec<f64>, theta: f64, nu: &Vec<f64>) -> Vec<f64> {
let cos = theta.cos();
let sin = theta.sin();
v.par_iter_mut()
.zip(nu.par_iter())
.for_each(|(bi, &nui)| *bi = *bi * cos + nui * sin);
v
}
pub fn sample(&self, rng: &mut dyn RngCore) -> Result<B, DistributionError> {
let nu = self.prior.sample(&(), rng)?;
let mut b = self.prior.sample(&(), rng)?;
let rho = self.likelihood.p_kernel(self.value, &b)? * rng.gen_range(0.0..1.0);
let mut theta = rng.gen_range(0.0..2.0 * PI);
let mut start = theta - 2.0 * PI;
let mut end = theta;
let nu = nu.transform_vec();
loop {
let mut buf = b.transform_vec();
buf.0 = Self::step(buf.0, theta, &nu.0);
b = B::restore(&buf.0, &buf.1)?;
if rho < self.likelihood.p_kernel(self.value, &b)? {
break;
}
if 0.0 < theta {
end = 0.0;
} else {
start = 0.0;
}
theta = rng.gen_range(start..end);
}
Ok(b)
}
}
#[cfg(test)]
mod tests {
use crate::distribution::Distribution;
use crate::*;
use core::f64::consts::PI;
use rand::prelude::*;
#[test]
fn it_works() {
let distr = InstantDistribution::new(
|x: &f64, theta: &f64| {
let mu = *theta;
Ok(1.0 / (2.0 * PI * 10.0f64.powi(2)).sqrt()
* (-(x - mu).powi(2) / (2.0 * 10.0f64.powi(2))).exp())
},
|theta: &f64, rng| Normal.sample(&NormalParams::new(*theta, 10.0).unwrap(), rng),
);
let distr_2 = InstantDistribution::new(
|x: &f64, _theta: &()| {
let mu: f64 = 10.0;
Ok(1.0 / (2.0 * PI * 10.0f64.powi(2)).sqrt()
* (-(x - mu).powi(2) / (2.0 * 10.0f64.powi(2))).exp())
},
|_theta, rng| {
Normal.sample(
&NormalParams::new(10.0, (10.0f64 * 0.1).abs()).unwrap(),
rng,
)
},
);
let value = 1.0;
let likelihood = distr;
let prior = distr_2;
let start = EllipticalSliceSampler::new(&value, &likelihood, &prior);
let mut rng = StdRng::from_seed([1; 32]);
let x = start.sample(&mut rng).unwrap();
println!("{}", x);
}
}