{-# LANGUAGE RankNTypes, NoMonomorphismRestriction, BangPatterns, DeriveDataTypeable, GADTs, ScopedTypeVariables, ExistentialQuantification, StandaloneDeriving #-} {-# OPTIONS -Wall #-} module Language.Hakaru.Metropolis where import System.Random (RandomGen, StdGen, randomR, getStdGen) import Data.Dynamic import Data.Maybe import qualified Data.Map.Strict as M import Language.Hakaru.Types {- Shortcomings of this implementation * uses parent-conditional sampling for proposal distribution * re-evaluates entire program at every sample * lacks way to block sample groups of variables -} type DistVal = Dynamic -- and what does XRP stand for? data XRP where XRP :: Typeable e => (Density e, Dist e) -> XRP unXRP :: Typeable a => XRP -> Maybe (Density a, Dist a) unXRP (XRP (e,f)) = cast (e,f) type Visited = Bool type Observed = Bool type LL = LogLikelihood type Subloc = Int type Name = [Subloc] data DBEntry = DBEntry { xrp :: XRP, llhd :: LL, vis :: Visited, observed :: Observed } type Database = M.Map Name DBEntry data SamplerState g where S :: { ldb :: Database, -- ldb = local database -- (total likelihood, total likelihood of XRPs newly introduced) llh2 :: {-# UNPACK #-} !(LL, LL), cnds :: [Cond], -- conditions left to process seed :: g } -> SamplerState g type Sampler a = forall g. (RandomGen g) => SamplerState g -> (a, SamplerState g) sreturn :: a -> Sampler a sreturn x s = (x, s) sbind :: Sampler a -> (a -> Sampler b) -> Sampler b sbind s k = \ st -> let (v, s') = s st in k v s' smap :: (a -> b) -> Sampler a -> Sampler b smap f s = sbind s (\a -> sreturn (f a)) newtype Measure a = Measure {unMeasure :: Name -> Sampler a } deriving (Typeable) return_ :: a -> Measure a return_ x = Measure $ \ _ -> sreturn x updateXRP :: Typeable a => Name -> Cond -> Dist a -> Sampler a updateXRP n obs dist' s@(S {ldb = db, seed = g}) = case M.lookup n db of Just (DBEntry xd lb _ ob) -> let Just (xb, dist) = unXRP xd (x,_) = case obs of Just yd -> let Just y = fromDynamic yd in (y, logDensity dist y) Nothing -> (xb, lb) l' = logDensity dist' x d1 = M.insert n (DBEntry (XRP (x,dist)) l' True ob) db in (fromDensity x, s {ldb = d1, llh2 = updateLogLikelihood l' 0 s, seed = g}) Nothing -> let (xnew2, l, g2) = case obs of Just xdnew -> let Just xnew = fromDynamic xdnew in (xnew, logDensity dist' xnew, g) Nothing -> let (xnew, g1) = distSample dist' g in (xnew, logDensity dist' xnew, g1) d1 = M.insert n (DBEntry (XRP (xnew2, dist')) l True (isJust obs)) db in (fromDensity xnew2, s {ldb = d1, llh2 = updateLogLikelihood l l s, seed = g2}) updateLogLikelihood :: RandomGen g => LL -> LL -> SamplerState g -> (LL, LL) updateLogLikelihood llTotal llFresh s = let (l,lf) = llh2 s in (llTotal+l, llFresh+lf) factor :: LL -> Measure () factor l = Measure $ \ _ -> \ s -> let (llTotal, llFresh) = llh2 s in ((), s {llh2 = (llTotal + l, llFresh)}) condition :: Eq b => Measure (a, b) -> b -> Measure a condition (Measure m) b' = Measure $ \ n -> let comp a b s | a /= b = s {llh2 = (log 0, 0)} comp _ _ s = s in sbind (m n) (\ (a, b) s -> (a, comp b b' s)) bind :: Measure a -> (a -> Measure b) -> Measure b bind (Measure m) cont = Measure $ \ n -> sbind (m (0:n)) (\ a -> unMeasure (cont a) (1:n)) conditioned :: Typeable a => Dist a -> Measure a conditioned dist = Measure $ \ n -> \s@(S {cnds = cond:conds }) -> updateXRP n cond dist s{cnds = conds} unconditioned :: Typeable a => Dist a -> Measure a unconditioned dist = Measure $ \ n -> updateXRP n Nothing dist instance Monad Measure where return = return_ (>>=) = bind run :: Measure a -> [Cond] -> IO (a, Database, LL) run (Measure prog) cds = do g <- getStdGen let (v, S d ll [] _) = (prog [0]) (S M.empty (0,0) cds g) return (v, d, fst ll) traceUpdate :: RandomGen g => Measure a -> Database -> [Cond] -> g -> (a, Database, LL, LL, LL, g) traceUpdate (Measure prog) d cds g = do -- let d1 = M.map (\ (x, l, _, ob) -> (x, l, False, ob)) d let d1 = M.map (\ s -> s { vis = False }) d let (v, S d2 (llTotal, llFresh) [] g1) = (prog [0]) (S d1 (0,0) cds g) let (d3, stale_d) = M.partition vis d2 let llStale = M.foldl' (\ llStale' s -> llStale' + llhd s) 0 stale_d (v, d3, llTotal, llFresh, llStale, g1) initialStep :: Measure a -> [Cond] -> IO (a, Database, LL, LL, LL, StdGen) initialStep prog cds = do g <- getStdGen return $ traceUpdate prog M.empty cds g -- TODO: Make a way of passing user-provided proposal distributions resample :: RandomGen g => Name -> Database -> Observed -> XRP -> g -> (Database, LL, LL, LL, g) resample name db ob (XRP (x, dist)) g = let (x', g1) = distSample dist g fwd = logDensity dist x' rvs = logDensity dist x l' = fwd newEntry = DBEntry (XRP (x', dist)) l' True ob db' = M.insert name newEntry db in (db', l', fwd, rvs, g1) transition :: (Typeable a, RandomGen g) => Measure a -> [Cond] -> a -> Database -> LL -> g -> [a] transition prog cds v db ll g = let dbSize = M.size db -- choose an unconditioned choice (_, uncondDb) = M.partition observed db (choice, g1) = randomR (0, (M.size uncondDb) -1) g (name, (DBEntry xd _ _ ob)) = M.elemAt choice uncondDb (db', _, fwd, rvs, g2) = resample name db ob xd g1 (v', db2, llTotal, llFresh, llStale, g3) = traceUpdate prog db' cds g2 a = llTotal - ll + rvs - fwd + log (fromIntegral dbSize) - log (fromIntegral $ M.size db2) + llStale - llFresh (u, g4) = randomR (0 :: Double, 1) g3 in if (log u < a) then v' : (transition prog cds v' db2 llTotal g4) else v : (transition prog cds v db ll g4) mcmc :: Typeable a => Measure a -> [Cond] -> IO [a] mcmc prog cds = do (v, d, llTotal, _, _, g) <- initialStep prog cds return $ transition prog cds v d llTotal g sample :: Typeable a => Measure a -> [Cond] -> IO [(a, Double)] sample prog cds = do (v, d, llTotal, _, _, g) <- initialStep prog cds return $ map (\ x -> (x,1)) (transition prog cds v d llTotal g)