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authorJustin Bedo <cu@cua0.org>2022-12-16 10:57:55 +1100
committerJustin Bedo <cu@cua0.org>2022-12-31 17:28:29 +1100
commite318b40cfc1a3079375a015a651b1b44f6279ad0 (patch)
tree40a72f1b807fd77a1dd53ebf3f0cc284e65f30ad /src/PPL/Sampling.hs
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+{-# LANGUAGE ViewPatterns #-}
+
+module PPL.Sampling where
+
+import Control.Monad.IO.Class
+import Control.Monad.Trans.State
+import Data.Bifunctor
+import Data.Monoid
+import Numeric.Log
+import PPL.Distr
+import PPL.Internal hiding (split)
+import System.Random (getStdGen, newStdGen, random, randoms, split)
+
+importance :: MonadIO m => Int -> Meas a -> m [a]
+importance n m = do
+ newStdGen
+ g <- getStdGen
+ let ys = take n $ accumulate xs
+ max = snd $ last ys
+ xs = samples m $ randomTree g1
+ (g1, g2) = split g
+ let rs = randoms g2
+ pure $ flip map rs $ \r -> fst . head $ flip filter ys $ \(x, w) -> w >= Exp (log r) * max
+ where
+ cumsum = tail . scanl (+) 0
+ accumulate = uncurry zip . second cumsum . unzip
+
+mh :: MonadIO m => Double -> Meas a -> m [(a, Log Double)]
+mh p m = do
+ newStdGen
+ g <- getStdGen
+ let (g1, g2) = split g
+ (x, w) = head $ samples m t
+ t = randomTree g1
+ pure $ map (\(_, x, w) -> (x, w)) $ evalState (iterateM step (t, x, w)) g2
+ where
+ step (t, x, w) = do
+ g <- get
+ let (g1, g2) = split g
+ t' = mutateTree p g1 t
+ (x', w') = head $ samples m t'
+ ratio = w' / w
+ (Exp . log -> r, g3) = random g2
+ put g3
+ pure $
+ if r < ratio
+ then (t', x', w')
+ else (t, x, w)
+
+ iterateM f x = do
+ y <- f x
+ (y :) <$> iterateM f y