More progress.

src/fitter.rs

@@ -1,7 +1,11 @@
 mod batch;
+mod recursive;
 
 pub use batch::BatchFitter;
+pub use recursive::RecursiveFitter;
 
 pub trait Fitter {
     fn add_sample(&mut self, t: f64) -> usize;
+    fn allocate(&mut self);
+    fn fit(&mut self);
 }

src/fitter/batch.rs

@@ -37,4 +37,26 @@ impl Fitter for BatchFitter {
 
         idx
     }
+
+    fn allocate(&mut self) {
+        todo!();
+
+        let n_new = self.ts_new.len();
+        // let zeros =
+        /*
+        n_new = len(self.ts_new)
+        zeros = np.zeros(n_new)
+        self.ts = np.concatenate((self.ts, self.ts_new))
+        self.ms = np.concatenate((self.ms, zeros))
+        self.vs = np.concatenate((self.vs, self.kernel.k_diag(self.ts_new)))
+        self.ns = np.concatenate((self.ns, zeros))
+        self.xs = np.concatenate((self.xs, zeros))
+        # Clear the list of pending samples.
+        self.ts_new = list()
+        */
+    }
+
+    fn fit(&mut self) {
+        todo!();
+    }
 }

src/fitter/recursive.rs

@@ -0,0 +1,43 @@
+use crate::kernel::Kernel;
+
+use super::Fitter;
+
+pub struct RecursiveFitter {
+    ts_new: Vec<f64>,
+    kernel: Box<dyn Kernel>,
+    ts: Vec<usize>,
+    ms: Vec<usize>,
+    vs: Vec<usize>,
+    ns: Vec<usize>,
+    xs: Vec<usize>,
+    is_fitted: bool,
+}
+
+impl RecursiveFitter {
+    pub fn new(kernel: Box<dyn Kernel>) -> Self {
+        RecursiveFitter {
+            ts_new: Vec::new(),
+            kernel,
+            ts: Vec::new(),
+            ms: Vec::new(),
+            vs: Vec::new(),
+            ns: Vec::new(),
+            xs: Vec::new(),
+            is_fitted: true,
+        }
+    }
+}
+
+impl Fitter for RecursiveFitter {
+    fn add_sample(&mut self, t: f64) -> usize {
+        todo!();
+    }
+
+    fn allocate(&mut self) {
+        todo!();
+    }
+
+    fn fit(&mut self) {
+        todo!();
+    }
+}

src/model.rs

@@ -1,6 +1,6 @@
 use std::f64;
 
-use crate::fitter::BatchFitter;
+use crate::fitter::RecursiveFitter;
 use crate::item::Item;
 use crate::kernel::Kernel;
 use crate::observation::*;
@@ -11,11 +11,18 @@ pub enum BinaryModelObservation {
     Logit,
 }
 
+#[derive(Clone, Copy)]
+pub enum BinaryModelFitMethod {
+    Ep,
+    Kl,
+}
+
 pub struct BinaryModel {
     storage: Storage,
     last_t: f64,
     win_obs: BinaryModelObservation,
     observations: Vec<Box<dyn Observation>>,
+    last_method: Option<BinaryModelFitMethod>,
 }
 
 impl BinaryModel {
@@ -25,6 +32,7 @@ impl BinaryModel {
             last_t: f64::NEG_INFINITY,
             win_obs,
             observations: Vec::new(),
+            last_method: None,
         }
     }
 
@@ -35,7 +43,7 @@ impl BinaryModel {
 
         self.storage.insert(
             name.to_string(),
-            Item::new(Box::new(BatchFitter::new(kernel))),
+            Item::new(Box::new(RecursiveFitter::new(kernel))),
         );
     }
 
@@ -65,7 +73,76 @@ impl BinaryModel {
         self.last_t = t;
     }
 
-    pub fn fit(&mut self, verbose: bool) {
+    pub fn fit(&mut self) -> bool {
+        // method="ep", lr=1.0, tol=1e-3, max_iter=100, verbose=False):
+
+        let method = BinaryModelFitMethod::Ep;
+        let lr = 1.0;
+        let tol = 1e-3;
+        let max_iter = 100;
+        let verbose = true;
+
+        self.last_method = Some(method);
+
+        for item in self.storage.items_mut() {
+            item.fitter.allocate();
+        }
+
+        for i in 0..max_iter {
+            let mut max_diff = 0.0;
+
+            for obs in &mut self.observations {
+                let diff = match method {
+                    BinaryModelFitMethod::Ep => obs.ep_update(lr),
+                    BinaryModelFitMethod::Kl => obs.kl_update(lr),
+                };
+
+                if diff > max_diff {
+                    max_diff = diff;
+                }
+            }
+
+            for item in self.storage.items_mut() {
+                item.fitter.fit();
+            }
+
+            if verbose {
+                println!("iteration {}, max diff: {:.5}", i + 1, max_diff);
+            }
+
+            if max_diff < tol {
+                return true;
+            }
+        }
+
+        false
+
+        /*
+        if method == "ep":
+            update = lambda obs: obs.ep_update(lr=lr)
+        elif method == "kl":
+            update = lambda obs: obs.kl_update(lr=lr)
+        else:
+            raise ValueError("'method' should be one of: 'ep', 'kl'")
+        self._last_method = method
+        for item in self._item.values():
+            item.fitter.allocate()
+        for i in range(max_iter):
+            max_diff = 0.0
+            # Recompute the Gaussian pseudo-observations.
+            for obs in self.observations:
+                diff = update(obs)
+                max_diff = max(max_diff, diff)
+            # Recompute the posterior of the score processes.
+            for item in self.item.values():
+                item.fitter.fit()
+            if verbose:
+                print("iteration {}, max diff: {:.5f}".format(
+                        i+1, max_diff), flush=True)
+            if max_diff < tol:
+                return True
+        return False  # Did not converge after `max_iter`.
+        */
         //
     }
 

src/observation.rs

@@ -3,5 +3,6 @@ mod ordinal;
 pub use ordinal::*;
 
 pub trait Observation {
-    //
+    fn ep_update(&mut self, lr: f64) -> f64;
+    fn kl_update(&mut self, lr: f64) -> f64;
 }

src/observation/ordinal.rs

@@ -40,7 +40,13 @@ impl ProbitWinObservation {
 }
 
 impl Observation for ProbitWinObservation {
-    //
+    fn ep_update(&mut self, lr: f64) -> f64 {
+        todo!();
+    }
+
+    fn kl_update(&mut self, lr: f64) -> f64 {
+        todo!();
+    }
 }
 
 pub struct LogitWinObservation {
@@ -49,10 +55,16 @@ pub struct LogitWinObservation {
 
 impl LogitWinObservation {
     pub fn new(storage: &mut Storage, elems: &[(usize, f64)], t: f64, margin: f64) -> Self {
-        LogitWinObservation {}
+        todo!();
     }
 }
 
 impl Observation for LogitWinObservation {
-    //
+    fn ep_update(&mut self, lr: f64) -> f64 {
+        todo!();
+    }
+
+    fn kl_update(&mut self, lr: f64) -> f64 {
+        todo!();
+    }
 }

src/storage.rs

@@ -33,4 +33,8 @@ impl Storage {
     pub fn get_item(&mut self, id: usize) -> &mut Item {
         &mut self.items[id]
     }
+
+    pub fn items_mut(&mut self) -> impl Iterator<Item = &mut Item> {
+        self.items.iter_mut()
+    }
 }