public static Gamma Q(Gamma ratio, [Proper] Gamma A, [Proper] Gamma B)
{
if (B.IsPointMass)
{
return(B);
}
if (ratio.IsPointMass)
{
return(GammaRatioOp.BAverageConditional(ratio.Point, A) * B);
}
double shape1 = A.Shape + B.Shape;
double shape2 = GammaFromShapeAndRateOp_Slow.AddShapesMinus1(A.Shape, ratio.Shape);
// find the maximum of the factor marginalized over Ratio and A, times B
// logf = s*log(b) - (s+ya-1)*log(b*r + yb)
// let b' = b*r and maximize over b'
double x = GammaFromShapeAndRateOp_Slow.FindMaximum(shape1, shape2, ratio.Rate, B.Rate / A.Rate);
if (x == 0)
{
return(B);
}
x /= A.Rate;
double[] dlogfss = dlogfs(x, ratio, A);
double dlogf = dlogfss[0];
double ddlogf = dlogfss[1];
return(GammaFromShapeAndRateOp_Laplace.GammaFromDerivatives(B, x, dlogf, ddlogf));
}
public void GammaFromShapeAndRateOpTest4()
{
Gamma sample = Gamma.FromShapeAndRate(2, 0);
Gamma rate = Gamma.FromShapeAndRate(4, 1);
double shape = 1;
Gamma rateExpected = GammaFromShapeAndRateOp_Slow.RateAverageConditional(sample, shape, rate);
Gamma q = GammaFromShapeAndRateOp_Laplace.Q(sample, shape, rate);
Gamma rateActual = GammaFromShapeAndRateOp_Laplace.RateAverageConditional(sample, shape, rate, q);
Assert.True(rateExpected.MaxDiff(rateActual) < 1e-4);
Gamma to_sample2 = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(sample, shape, rate, q);
double evExpected = GammaFromShapeAndRateOp_Laplace.LogEvidenceRatio(sample, shape, rate, to_sample2, q);
Console.WriteLine("sample = {0} to_sample = {1} evidence = {2}", sample, to_sample2, evExpected);
for (int i = 40; i < 41; i++)
{
sample.Rate = System.Math.Pow(0.1, i);
q = GammaFromShapeAndRateOp_Laplace.Q(sample, shape, rate);
Gamma to_sample = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(sample, shape, rate, q);
double evActual = GammaFromShapeAndRateOp_Laplace.LogEvidenceRatio(sample, shape, rate, to_sample, q);
Console.WriteLine("sample = {0} to_sample = {1} evidence = {2}", sample, to_sample, evActual);
Assert.True(to_sample2.MaxDiff(to_sample2) < 1e-4);
Assert.True(MMath.AbsDiff(evExpected, evActual) < 1e-4);
}
}
public void GammaRatioOpTest()
{
Gamma ratio = new Gamma(2, 3);
double shape = 4;
Gamma A = new Gamma(shape, 1);
Gamma B = new Gamma(5, 6);
Gamma q = GammaFromShapeAndRateOp_Laplace.Q(ratio, shape, B);
Gamma bExpected = GammaFromShapeAndRateOp_Laplace.RateAverageConditional(ratio, shape, B, q);
Gamma rExpected = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(ratio, shape, B, q);
q = GammaRatioOp_Laplace.Q(ratio, A, B);
Gamma bActual = GammaRatioOp_Laplace.BAverageConditional(ratio, A, B, q);
Gamma rActual = GammaRatioOp_Laplace.RatioAverageConditional(ratio, A, B);
Console.WriteLine("b = {0} should be {1}", bActual, bExpected);
Console.WriteLine("ratio = {0} should be {1}", rActual, rExpected);
Assert.True(bExpected.MaxDiff(bActual) < 1e-4);
Assert.True(rExpected.MaxDiff(rActual) < 1e-4);
}
public void GammaFromShapeAndRateOpTest5()
{
Gamma sample;
Gamma rate;
double shape = 1;
Gamma q, sampleExpected, sampleActual;
sample = Gamma.FromShapeAndRate(101, 6.7234079315458819E-154);
rate = Gamma.FromShapeAndRate(1, 1);
q = GammaFromShapeAndRateOp_Laplace.Q(sample, shape, rate);
Console.WriteLine(q);
Assert.True(!double.IsNaN(q.Rate));
sampleExpected = GammaFromShapeAndRateOp_Slow.SampleAverageConditional(sample, shape, rate);
sampleActual = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(sample, shape, rate, q);
Console.WriteLine("sample = {0} should be {1}", sampleActual, sampleExpected);
Assert.True(sampleExpected.MaxDiff(sampleActual) < 1e-4);
sample = Gamma.FromShapeAndRate(1.4616957536444839, 6.2203585601953317E+36);
rate = Gamma.FromShapeAndRate(2.5, 0.99222007168007165);
sampleExpected = GammaFromShapeAndRateOp_Slow.SampleAverageConditional(sample, shape, rate);
q = Gamma.FromShapeAndRate(3.5, 0.99222007168007154);
sampleActual = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(sample, shape, rate, q);
Console.WriteLine("sample = {0} should be {1}", sampleActual, sampleExpected);
Assert.True(sampleExpected.MaxDiff(sampleActual) < 1e-4);
sample = Gamma.FromShapeAndRate(1.9692446124520258, 1.0717828357423075E+77);
rate = Gamma.FromShapeAndRate(101.0, 2.1709591889324445E-80);
sampleExpected = GammaFromShapeAndRateOp_Slow.SampleAverageConditional(sample, shape, rate);
q = GammaFromShapeAndRateOp_Laplace.Q(sample, shape, rate);
sampleActual = GammaFromShapeAndRateOp_Laplace.SampleAverageConditional(sample, shape, rate, q);
Console.WriteLine("sample = {0} should be {1}", sampleActual, sampleExpected);
Assert.True(sampleExpected.MaxDiff(sampleActual) < 1e-4);
Assert.Equal(0.0,
GammaFromShapeAndRateOp_Laplace.LogEvidenceRatio(Gamma.Uniform(), 4.0, Gamma.PointMass(0.01), Gamma.FromShapeAndRate(4, 0.01),
Gamma.PointMass(0.01)));
}
public static Gamma Q(GammaPower product, [Proper] GammaPower A, [Proper] GammaPower B)
{
// ensure B has the larger shape
if (B.Shape < A.Shape)
{
return(Q(product, B, A));
}
if (B.IsPointMass)
{
return(Gamma.PointMass(B.Point));
}
if (A.IsPointMass)
{
return(Gamma.FromShapeAndRate(B.Shape, B.Rate));
}
if (A.Power != product.Power)
{
throw new NotSupportedException($"A.Power ({A.Power}) != product.Power ({product.Power})");
}
if (B.Power != product.Power)
{
throw new NotSupportedException($"B.Power ({B.Power}) != product.Power ({product.Power})");
}
double x;
if (product.IsPointMass)
{
if (product.Point == 0)
{
return(Gamma.PointMass(0));
}
double productPointPower = Math.Pow(product.Point, 1 / A.Power);
// y = product^(1/power)
// logf = -a_s*log(b) - y*a_r/b
// logp = b_s*log(b) - b_r*b
// dlogfp = (b_s-a_s)/b - b_r + y*a_r/b^2 = 0
// -b_r b^2 + (b_s-a_s) b + y*a_r = 0
double shape = B.Shape - A.Shape;
x = (Math.Sqrt(shape * shape + 4 * B.Rate * A.Rate * productPointPower) + shape) / 2 / B.Rate;
}
else
{
double shape1 = GammaFromShapeAndRateOp_Slow.AddShapesMinus1(B.Shape, product.Shape) + (1 - product.Power);
if (product.Rate == 0)
{
x = GammaFromShapeAndRateOp_Slow.FindMaximum(shape1, 0, A.Rate, B.Rate);
}
else
{
double shape2 = GammaFromShapeAndRateOp_Slow.AddShapesMinus1(A.Shape, product.Shape) + (1 - A.Power);
// find the maximum of the factor marginalized over Product and A, times B
// From above:
// logf = (y_s/y_p-1)*pb*log(b) - (s+y_s-pa)*log(r + b^(pb/y_p)*y_r)
x = GammaFromShapeAndRateOp_Slow.FindMaximum(shape1, shape2, A.Rate / product.Rate, B.Rate);
}
if (x == 0)
{
x = 1e-100;
}
}
double[] dlogfss = dlogfs(x, product, A);
double dlogf = dlogfss[0];
double ddlogf = dlogfss[1];
return(GammaFromShapeAndRateOp_Laplace.GammaFromDerivatives(Gamma.FromShapeAndRate(B.Shape, B.Rate), x, dlogf, ddlogf));
}