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use super::{LogLikelihood, Weighted}; use crate::error::Error; use crate::error::Error::*; use argmin::prelude::*; use argmin::solver::neldermead::NelderMead; use ndarray::RawData; use num_traits::{Float, FloatConst, FromPrimitive}; use serde::{Deserialize, Serialize}; use std::convert::TryFrom; use std::fmt::{Debug, Display}; use std::marker::PhantomData; const NON_ZERO_DELTA: f64 = 0.05; const ZERO_DELTA: f64 = 0.00025; pub trait InitialSolvePoint<T> { fn initial_solve_point(&self) -> T; } impl<T, Distribution, W, D> InitialSolvePoint<Distribution> for Weighted<T, W, D> where W: RawData, T: InitialSolvePoint<Distribution>, { fn initial_solve_point(&self) -> Distribution { self.time.initial_solve_point() } } pub trait InitialNelderMeanSimplex<T> { fn initial_simplex(&self) -> Result<Vec<T>, Error>; } impl<F> InitialNelderMeanSimplex<Vec<F>> for [F] where F: Float + FromPrimitive, { fn initial_simplex(&self) -> Result<Vec<Vec<F>>, Error> { let initial_point: Vec<F> = self.into(); let d = initial_point.len(); let mut simplex = vec![initial_point; d + 1]; for (index_within_point, point) in simplex.iter_mut().skip(1).enumerate() { if point[index_within_point] != F::zero() { let delta_multiple = 1.0 + NON_ZERO_DELTA; point[index_within_point] = F::from(delta_multiple) .ok_or(NumericalConversion(delta_multiple))? * point[index_within_point] } else { point[index_within_point] = F::from(ZERO_DELTA).ok_or(NumericalConversion(ZERO_DELTA))? } } Ok(simplex) } } pub struct BaseFitter<S, D, F> { input_state: S, distribution: PhantomData<D>, float: PhantomData<F>, pub max_iterations: u64, } impl<S, D, F> BaseFitter<S, D, F> { pub fn new(data: S) -> Self { BaseFitter { input_state: data, distribution: PhantomData, float: PhantomData, max_iterations: 100, } } } impl<'f, S, D, F> ArgminOp for &'f BaseFitter<S, D, F> where S: LogLikelihood<D, F>, D: for<'a> TryFrom<&'a [F], Error = Error>, F: Float + FloatConst + FromPrimitive + Debug + Display + Serialize + for<'de> Deserialize<'de>, { type Param = Vec<F>; type Output = F; type Hessian = (); type Jacobian = (); type Float = F; fn apply(&self, params: &Self::Param) -> Result<Self::Output, anyhow::Error> { let distribution = D::try_from(params)?; Ok(-self.input_state.log_likelihood(&distribution)) } } pub trait Fitter<S, P> { fn fit(&self) -> Result<P, Error>; } macro_rules! impl_fit { ($ty: ty) => { impl<S, D> Fitter<S, D> for BaseFitter<S, D, $ty> where S: LogLikelihood<D, $ty> + InitialSolvePoint<D>, D: for<'a> TryFrom<&'a [$ty], Error = Error> + Into<Vec<$ty>> + Debug, { fn fit(&self) -> Result<D, Error> { let initial_point: Vec<$ty> = self.input_state.initial_solve_point().into(); let initial_simplex = initial_point.initial_simplex()?; let solver = NelderMead::new().with_initial_params(initial_simplex); let res = Executor::new(self, solver, initial_point.clone()) .max_iters(self.max_iterations) .run()?; D::try_from(&res.state.best_param) } } }; } impl_fit!(f32); impl_fit!(f64); #[cfg(test)] mod tests { use super::*; use crate::distribution::weibull::WeibullDistribution; use crate::sample::{IntervalCensored, Weighted}; use ndarray::prelude::*; const TOLERANCE: f64 = 1e-5; #[test] fn test_fit() { let data = Weighted { time: IntervalCensored { start: array![0., 2., 5., 10.], stop: array![2., 5., 10., 1e10f64], }, weight: array![1000. - 376., 376. - 82., 82. - 7., 7.], }; let fitter = BaseFitter::new(data); let actual: WeibullDistribution<_> = fitter.fit().unwrap(); let expected = WeibullDistribution { scale: 2.0410538960706726, shape: 1.0170410407859767, }; assert!((actual.scale - expected.scale).abs() < TOLERANCE); assert!((actual.shape - expected.shape).abs() < TOLERANCE); } }