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use crate::{
DependentJoint, Distribution, IndependentJoint, RandomVariable, SampleableDistribution,
};
use crate::{DistributionError, WishartParams};
use crate::{ExactMultivariateNormalParams, MultivariateNormal};
use opensrdk_linear_algebra::pp::trf::PPTRF;
use opensrdk_linear_algebra::*;
use rand::prelude::*;
use std::{ops::BitAnd, ops::Mul};
#[derive(Clone, Debug)]
pub struct Wishart;
#[derive(thiserror::Error, Debug)]
pub enum WishartError {
#[error("Dimension mismatch")]
DimensionMismatch,
#[error("'n' must be >= dimension")]
NMustBeGTEDimension,
}
impl Distribution for Wishart {
type Value = PPTRF;
type Condition = WishartParams;
fn p_kernel(&self, x: &Self::Value, theta: &Self::Condition) -> Result<f64, DistributionError> {
let lv = theta.lv();
let n = theta.n();
let p = x.0.dim() as f64;
let lx = x.0.to_mat();
Ok(lx.trdet().powf(n + p + 1.0) * (-0.5 * lv.clone().pptrs(&lx * lx.t())?.tr()).exp())
}
}
impl<Rhs, TRhs> Mul<Rhs> for Wishart
where
Rhs: Distribution<Value = TRhs, Condition = WishartParams>,
TRhs: RandomVariable,
{
type Output = IndependentJoint<Self, Rhs, PPTRF, TRhs, WishartParams>;
fn mul(self, rhs: Rhs) -> Self::Output {
IndependentJoint::new(self, rhs)
}
}
impl<Rhs, URhs> BitAnd<Rhs> for Wishart
where
Rhs: Distribution<Value = WishartParams, Condition = URhs>,
URhs: RandomVariable,
{
type Output = DependentJoint<Self, Rhs, PPTRF, WishartParams, URhs>;
fn bitand(self, rhs: Rhs) -> Self::Output {
DependentJoint::new(self, rhs)
}
}
impl SampleableDistribution for Wishart {
fn sample(
&self,
theta: &Self::Condition,
rng: &mut dyn RngCore,
) -> Result<Self::Value, DistributionError> {
let lv = theta.lv();
let n = theta.n() as usize;
let p = lv.0.dim();
let normal = MultivariateNormal::new();
let normal_params = ExactMultivariateNormalParams::new(vec![0.0; p], lv.clone())?;
let w = (0..n)
.into_iter()
.map(|_| normal.sample(&normal_params, rng))
.try_fold::<Matrix, _, Result<Matrix, DistributionError>>(
Matrix::new(p, p),
|acc, v: Result<Vec<f64>, DistributionError>| {
let v = v?;
Ok(acc + v.clone().row_mat() * v.col_mat())
},
)?;
Ok(SymmetricPackedMatrix::from_mat(&w)
.unwrap()
.pptrf()
.unwrap())
}
}
#[cfg(test)]
mod tests {
#[test]
fn it_works() {
assert_eq!(2 + 2, 4);
}
}