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//! A common conjugate prior for Gaussians with unknown mean and variance
#[cfg(feature = "serde1")]
use serde::{Deserialize, Serialize};
use crate::dist::{Gamma, Gaussian};
use crate::impl_display;
use crate::traits::*;
use rand::Rng;
use std::fmt;
mod gaussian_prior;
/// Prior for Gaussian
///
/// Given `x ~ N(μ, σ)`, the Normal Gamma prior implies that `μ ~ N(m, 1/(rρ))`
/// and `ρ ~ Gamma(ν/2, s/2)`.
#[derive(Debug, Clone, PartialEq)]
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
#[cfg_attr(feature = "serde1", serde(rename_all = "snake_case"))]
pub struct NormalGamma {
m: f64,
r: f64,
s: f64,
v: f64,
}
#[derive(Debug, Clone, PartialEq)]
#[cfg_attr(feature = "serde1", derive(Serialize, Deserialize))]
#[cfg_attr(feature = "serde1", serde(rename_all = "snake_case"))]
pub enum NormalGammaError {
/// The m parameter is infinite or NaN
MNotFinite { m: f64 },
/// The r parameter is less than or equal to zero
RTooLow { r: f64 },
/// The r parameter is infinite or NaN
RNotFinite { r: f64 },
/// The s parameter is less than or equal to zero
STooLow { s: f64 },
/// The s parameter is infinite or NaN
SNotFinite { s: f64 },
/// The v parameter is less than or equal to zero
VTooLow { v: f64 },
/// The v parameter is infinite or NaN
VNotFinite { v: f64 },
}
impl NormalGamma {
/// Create a new Normal Gamma distribution
///
/// # Arguments
/// - m: The prior mean
/// - r: Relative precision of μ versus data
/// - s: The mean of rho (the precision) is v/s.
/// - v: Degrees of freedom of precision of rho
pub fn new(
m: f64,
r: f64,
s: f64,
v: f64,
) -> Result<Self, NormalGammaError> {
if !m.is_finite() {
Err(NormalGammaError::MNotFinite { m })
} else if !r.is_finite() {
Err(NormalGammaError::RNotFinite { r })
} else if !s.is_finite() {
Err(NormalGammaError::SNotFinite { s })
} else if !v.is_finite() {
Err(NormalGammaError::VNotFinite { v })
} else if r <= 0.0 {
Err(NormalGammaError::RTooLow { r })
} else if s <= 0.0 {
Err(NormalGammaError::STooLow { s })
} else if v <= 0.0 {
Err(NormalGammaError::VTooLow { v })
} else {
Ok(NormalGamma { m, r, s, v })
}
}
/// Creates a new NormalGamma without checking whether the parameters are
/// valid.
#[inline]
pub fn new_unchecked(m: f64, r: f64, s: f64, v: f64) -> Self {
NormalGamma { m, r, s, v }
}
/// Get the m parameter
#[inline]
pub fn m(&self) -> f64 {
self.m
}
/// Set the value of m
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalGamma;
///
/// let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(ng.m(), 0.0);
///
/// ng.set_m(-1.1).unwrap();
/// assert_eq!(ng.m(), -1.1);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalGamma;
/// # let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(ng.set_m(-1.1).is_ok());
/// assert!(ng.set_m(std::f64::INFINITY).is_err());
/// assert!(ng.set_m(std::f64::NEG_INFINITY).is_err());
/// assert!(ng.set_m(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_m(&mut self, m: f64) -> Result<(), NormalGammaError> {
if m.is_finite() {
self.set_m_unchecked(m);
Ok(())
} else {
Err(NormalGammaError::MNotFinite { m })
}
}
/// Set the value of m without input validation
#[inline]
pub fn set_m_unchecked(&mut self, m: f64) {
self.m = m;
}
/// Get the r parameter
#[inline]
pub fn r(&self) -> f64 {
self.r
}
/// Set the value of r
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalGamma;
///
/// let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(ng.r(), 1.2);
///
/// ng.set_r(2.1).unwrap();
/// assert_eq!(ng.r(), 2.1);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalGamma;
/// # let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(ng.set_r(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(ng.set_r(0.0).is_err());
/// assert!(ng.set_r(-1.0).is_err());
///
///
/// assert!(ng.set_r(std::f64::INFINITY).is_err());
/// assert!(ng.set_r(std::f64::NEG_INFINITY).is_err());
/// assert!(ng.set_r(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_r(&mut self, r: f64) -> Result<(), NormalGammaError> {
if !r.is_finite() {
Err(NormalGammaError::RNotFinite { r })
} else if r <= 0.0 {
Err(NormalGammaError::RTooLow { r })
} else {
self.set_r_unchecked(r);
Ok(())
}
}
/// Set the value of r without input validation
#[inline]
pub fn set_r_unchecked(&mut self, r: f64) {
self.r = r;
}
/// Get the s parameter
#[inline]
pub fn s(&self) -> f64 {
self.s
}
/// Set the value of s
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalGamma;
///
/// let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(ng.s(), 2.3);
///
/// ng.set_s(3.2).unwrap();
/// assert_eq!(ng.s(), 3.2);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalGamma;
/// # let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(ng.set_s(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(ng.set_s(0.0).is_err());
/// assert!(ng.set_s(-1.0).is_err());
///
///
/// assert!(ng.set_s(std::f64::INFINITY).is_err());
/// assert!(ng.set_s(std::f64::NEG_INFINITY).is_err());
/// assert!(ng.set_s(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_s(&mut self, s: f64) -> Result<(), NormalGammaError> {
if !s.is_finite() {
Err(NormalGammaError::SNotFinite { s })
} else if s <= 0.0 {
Err(NormalGammaError::STooLow { s })
} else {
self.set_s_unchecked(s);
Ok(())
}
}
/// Set the value of s without input validation
#[inline]
pub fn set_s_unchecked(&mut self, s: f64) {
self.s = s;
}
/// Get the v parameter
#[inline]
pub fn v(&self) -> f64 {
self.v
}
/// Set the value of v
///
/// # Example
///
/// ```rust
/// use rv::dist::NormalGamma;
///
/// let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert_eq!(ng.v(), 3.4);
///
/// ng.set_v(4.3).unwrap();
/// assert_eq!(ng.v(), 4.3);
/// ```
///
/// Will error for invalid values
///
/// ```rust
/// # use rv::dist::NormalGamma;
/// # let mut ng = NormalGamma::new(0.0, 1.2, 2.3, 3.4).unwrap();
/// assert!(ng.set_v(2.1).is_ok());
///
/// // must be greater than zero
/// assert!(ng.set_v(0.0).is_err());
/// assert!(ng.set_v(-1.0).is_err());
///
///
/// assert!(ng.set_v(std::f64::INFINITY).is_err());
/// assert!(ng.set_v(std::f64::NEG_INFINITY).is_err());
/// assert!(ng.set_v(std::f64::NAN).is_err());
/// ```
#[inline]
pub fn set_v(&mut self, v: f64) -> Result<(), NormalGammaError> {
if !v.is_finite() {
Err(NormalGammaError::VNotFinite { v })
} else if v <= 0.0 {
Err(NormalGammaError::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;
}
/// Return (m, r, s, v)
#[inline]
pub fn params(&self) -> (f64, f64, f64, f64) {
(self.m, self.r, self.s, self.v)
}
}
impl From<&NormalGamma> for String {
fn from(ng: &NormalGamma) -> String {
format!(
"Normal-Gamma(m: {}, r: {}, s: {}, ν: {})",
ng.m, ng.r, ng.s, ng.v
)
}
}
impl_display!(NormalGamma);
impl Rv<Gaussian> for NormalGamma {
fn ln_f(&self, x: &Gaussian) -> f64 {
// TODO: could cache the gamma and Gaussian distributions
let rho = (x.sigma() * x.sigma()).recip();
let lnf_rho =
Gamma::new_unchecked(self.v / 2.0, self.s / 2.0).ln_f(&rho);
let prior_sigma = (self.r * rho).recip().sqrt();
let lnf_mu = Gaussian::new_unchecked(self.m, prior_sigma).ln_f(&x.mu());
lnf_rho + 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.
// BAX: The problem is, in another library, I've been having trouble
// with the posterior having invalid parameters, or with a valid
// posterior drawing Inf sigma, which I suppose means it is drawing a
// zero rho. Since things seem to go wrong in normal use, I'm using the
// `new` constructors here rather than `new_unchecked` because I want to
// catch things when they go wrong here so they don't spread. Of course,
// all this input validation hurts performance 😞.
let rho: f64 = Gamma::new(self.v / 2.0, self.s / 2.0)
.map_err(|err| {
panic!("Invalid ρ params when drawing Gaussian: {}", err)
})
.unwrap()
.draw(&mut rng);
let sigma = if rho.is_infinite() {
std::f64::EPSILON
} else {
rho.recip().sqrt()
};
let post_sigma: f64 = self.r.recip().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, rho.sqrt().recip()).expect("Invalid params")
}
}
impl Support<Gaussian> for NormalGamma {
fn supports(&self, x: &Gaussian) -> bool {
// NOTE: Could replace this with Gaussian::new(mu, sigma).is_ok(),
// but this is more explicit.
x.mu().is_finite() && x.sigma() > 0.0 && x.sigma().is_finite()
}
}
impl ContinuousDistr<Gaussian> for NormalGamma {}
impl std::error::Error for NormalGammaError {}
impl fmt::Display for NormalGammaError {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
match self {
Self::MNotFinite { m } => write!(f, "non-finite m: {}", m),
Self::RNotFinite { r } => write!(f, "non-finite r: {}", r),
Self::SNotFinite { s } => write!(f, "non-finite s: {}", s),
Self::VNotFinite { v } => write!(f, "non-finite v: {}", v),
Self::RTooLow { r } => {
write!(f, "r ({}) must be greater than zero", r)
}
Self::STooLow { s } => {
write!(f, "s ({}) must be greater than zero", s)
}
Self::VTooLow { v } => {
write!(f, "v ({}) must be greater than zero", v)
}
}
}
}
// TODO: tests!