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use crate::consts::LN_2PI; use crate::data::{DataOrSuffStat, MvGaussianSuffStat}; use crate::dist::{MvGaussian, NormalInvWishart}; use crate::misc::lnmv_gamma; use crate::traits::{ConjugatePrior, SuffStat}; use nalgebra::{DMatrix, DVector}; use std::f64::consts::{LN_2, PI}; type MvgData<'a> = DataOrSuffStat<'a, DVector<f64>, MvGaussian>; macro_rules! extract_stat_then { ($ndims: expr, $x: ident, $func: expr) => {{ match $x { DataOrSuffStat::SuffStat(ref stat) => $func(&stat), DataOrSuffStat::Data(xs) => { let mut stat = MvGaussianSuffStat::new($ndims); stat.observe_many(&xs); $func(&stat) } DataOrSuffStat::None => { let stat = MvGaussianSuffStat::new($ndims); $func(&stat) } } }}; } fn ln_z(k: f64, df: usize, scale: &DMatrix<f64>) -> f64 { let d = scale.nrows(); let p = d as f64; let v2 = (df as f64) / 2.0; (v2 * p) * LN_2 + lnmv_gamma(d, v2) + (p / 2.0) * (2.0 * PI / k).ln() - v2 * scale.clone().determinant().ln() } impl ConjugatePrior<DVector<f64>, MvGaussian> for NormalInvWishart { type Posterior = NormalInvWishart; fn posterior(&self, x: &MvgData) -> NormalInvWishart { if x.n() == 0 { return self.clone(); } let nf = x.n() as f64; extract_stat_then!(self.ndims(), x, |stat: &MvGaussianSuffStat| { let xbar = stat.sum_x() / stat.n() as f64; let diff = &xbar - self.mu(); let s = stat.sum_x_sq() - nf * (&xbar * &xbar.transpose()); let kn = self.k() + stat.n() as f64; let vn = self.df() + stat.n(); let mn = (self.k() * self.mu() + stat.sum_x()) / kn; let sn = self.scale() + s + (self.k() * stat.n() as f64) / kn * &diff * &diff.transpose(); NormalInvWishart::new(mn, kn, vn, sn) .expect("Invalid posterior parameters") }) } fn ln_m(&self, x: &MvgData) -> f64 { let post = self.posterior(&x); let z0 = ln_z(self.k(), self.df(), self.scale()); let zn = ln_z(post.k(), post.df(), post.scale()); let nd: f64 = (self.ndims() as f64) * (x.n() as f64); zn - z0 - nd / 2.0 * LN_2PI } fn ln_pp(&self, y: &DVector<f64>, x: &MvgData) -> f64 { let mut y_stat = MvGaussianSuffStat::new(self.ndims()); y_stat.observe(&y); let y_packed = DataOrSuffStat::SuffStat(&y_stat); let post = self.posterior(&x); let pred = post.posterior(&y_packed); let zn = ln_z(post.k(), post.df(), post.scale()); let zm = ln_z(pred.k(), pred.df(), pred.scale()); let d: f64 = self.ndims() as f64; zm - zn - d / 2.0 * LN_2PI } } #[cfg(test)] mod tests { use super::*; const TOL: f64 = 1E-12; fn obs_fxtr() -> MvGaussianSuffStat { let x0v = vec![3.57839693972576, 0.725404224946106]; let x1v = vec![2.76943702988488, -0.0630548731896562]; let x2v = vec![-1.34988694015652, 0.714742903826096]; let x3v = vec![3.03492346633185, -0.204966058299775]; let x0 = DVector::<f64>::from_column_slice(&x0v); let x1 = DVector::<f64>::from_column_slice(&x1v); let x2 = DVector::<f64>::from_column_slice(&x2v); let x3 = DVector::<f64>::from_column_slice(&x3v); let mut stat = MvGaussianSuffStat::new(1); stat.observe(&x0); stat.observe(&x1); stat.observe(&x2); stat.observe(&x3); stat } #[test] fn ln_z_identity() { let z1 = ln_z(1.0, 2, &DMatrix::identity(2, 2)); assert::close(z1, 4.3689013133786361, TOL); } #[test] fn ln_m_identity() { let niw = NormalInvWishart::new( DVector::zeros(2), 1.0, 2, DMatrix::identity(2, 2), ) .unwrap(); let obs = obs_fxtr(); let data: MvgData = DataOrSuffStat::SuffStat(&obs); let pp = niw.ln_m(&data); assert::close(pp, -16.3923777220275, TOL); } }