logaritmiskandClaude Opus 5
e4d6dc4028
`h.event(1).team(["x"]).team(["y"]).ranking([0, 1]);` without the terminal `.commit()` was a silent no-op: no warning, no error, and the next thing the caller does is converge an empty history and read `None` skills. `EventBuilder` already carried a `#[must_use]`; the value types around it did not, so the same silence covered `Team::with_members`, `Member::new`, `Outcome::*`, `Joint` and `Prediction::outcomes`. `#[must_use]` now goes on the *types* rather than being sprinkled over methods, which covers every constructor and builder setter at once and gives the crate a rule where it previously had a list. Verified by compiling a program that drops each one and reading the warnings back, rather than by assuming the attribute took. Visibility, from #73: `Gaussian::damp_natural` was reachable from outside the crate despite being an EP damping internal called only from `src/factor/`. The stray `pub fn`s inside the private `time_slice`, `key_table` and `matrix` modules are now `pub(crate)`, so their visibility states what it means instead of relying on the module being private. `storage/mod.rs` and `factor/mod.rs` become `storage.rs` and `factor.rs`. Closes #67. Refs #73. Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_011hcFjNDmHXZF8URGLku5zZ
536 lines
20 KiB
Rust
536 lines
20 KiB
Rust
use std::ops;
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use crate::{MU, N_INF, SIGMA};
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/// A Gaussian distribution stored in natural parameters.
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///
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/// `pi = 1 / sigma^2` (precision)
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/// `tau = mu * pi` (precision-adjusted mean)
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///
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/// Multiplication and division in message passing become pure adds/subs of
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/// the stored fields with no `sqrt` or reciprocal in the hot path. `mu()` and
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/// `sigma()` are accessors computed on demand.
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#[derive(Clone, Copy, PartialEq, Debug)]
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#[must_use]
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pub struct Gaussian {
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pi: f64,
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tau: f64,
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}
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impl Gaussian {
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/// Construct from mean and standard deviation.
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///
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/// # Panics
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///
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/// Panics if `sigma` is negative. NaN is deliberately allowed through: a
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/// broken fit produces one, and `converge` reports that as
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/// `NonFiniteResult` rather than panicking mid-inference.
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///
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/// A negative sigma used to be accepted and returned results **bit
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/// identical** to its absolute value, because sigma only ever enters as
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/// `sigma * sigma`. The sign was not rejected and not honoured; it simply
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/// vanished. That is the same defect `HistoryBuilder::sigma`,
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/// `HistoryBuilder::beta` and `Member::with_drift_scale` already reject.
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///
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/// # Very small sigma
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///
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/// `pi = 1 / sigma^2` leaves `f64`'s range below about `1.5e-154`, and
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/// `tau = mu * pi` overflows sooner still — at a threshold that depends on
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/// `mu`, so there is a band where `pi` is finite and only `tau` is not.
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/// Both land on the same point-mass representation the `sigma == 0.0`
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/// branch produces, and a point mass with a non-zero mean has `mu() = NaN`,
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/// because `tau / pi` is `inf / inf`.
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///
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/// This is not rejected, because `approx` legitimately produces a very
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/// small truncated sigma and inference must not panic. It is worth knowing
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/// that such a `Gaussian` is not equal to itself, so two identical
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/// declarations of one can be reported as conflicting.
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pub const fn from_ms(mu: f64, sigma: f64) -> Self {
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// NaN is admitted on purpose. A broken fit legitimately produces a NaN
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// sigma — `sqrt` of a negative truncated variance — and the design is
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// to propagate that to `converge`'s `NonFiniteResult` guard, not to
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// panic inside inference. Rejecting it here turned that reporting path
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// into a crash, which two tests caught immediately.
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assert!(
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sigma >= 0.0 || sigma.is_nan(),
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"sigma must not be negative; it is only ever squared, so a negative \
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value would silently behave as its absolute value"
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);
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if sigma == f64::INFINITY {
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Self { pi: 0.0, tau: 0.0 }
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} else if sigma == 0.0 {
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// Point mass at mu. tau = mu * pi = mu * inf.
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// For mu == 0 this is 0; for mu != 0 it is inf * mu = inf (IEEE).
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// Only N00 (mu=0, sigma=0) is used in practice.
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Self {
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pi: f64::INFINITY,
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tau: if mu == 0.0 { 0.0 } else { f64::INFINITY },
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}
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} else {
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let pi = 1.0 / (sigma * sigma);
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Self { pi, tau: mu * pi }
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}
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}
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/// Construct from mean and *variance*, skipping the square-root round trip.
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///
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/// `from_ms(mu, var.sqrt())` immediately squares the root away again to
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/// recover `pi = 1/var`. Variance-combining operations (`Add`, `Sub`,
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/// `exclude`, `forget`) work in variance space throughout, so they go
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/// through here instead and never take a root.
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#[inline]
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pub(crate) fn from_mv(mu: f64, var: f64) -> Self {
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if var == f64::INFINITY {
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Self { pi: 0.0, tau: 0.0 }
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} else if var == 0.0 {
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// Point mass at mu; see `from_ms` for the tau convention.
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Self {
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pi: f64::INFINITY,
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tau: if mu == 0.0 { 0.0 } else { f64::INFINITY },
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}
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} else {
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let pi = 1.0 / var;
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Self { pi, tau: mu * pi }
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}
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}
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/// Construct directly from natural parameters.
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#[inline]
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pub(crate) const fn from_natural(pi: f64, tau: f64) -> Self {
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Self { pi, tau }
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}
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#[inline]
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#[must_use]
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pub fn pi(&self) -> f64 {
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self.pi
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}
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#[inline]
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#[must_use]
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pub fn tau(&self) -> f64 {
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self.tau
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}
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#[inline]
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#[must_use]
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pub fn mu(&self) -> f64 {
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// A non-positive precision is an improper (uninformative) Gaussian — its mean is
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// undefined. Treat it like `pi == 0` and return 0. EP message cancellation can land
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// `pi` on a tiny negative value (round-off of exactly zero); without this guard
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// `tau / pi` would yield a spurious finite mean.
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if self.pi <= 0.0 {
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0.0
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} else {
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self.tau / self.pi
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}
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}
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/// Variance, `1 / pi`, without the root-and-square of `sigma().powi(2)`.
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///
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/// Mirrors `sigma()`'s treatment of the improper (`pi <= 0`) and point-mass
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/// (`pi == inf`) cases.
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#[inline]
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pub(crate) fn variance(&self) -> f64 {
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if self.pi <= 0.0 {
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f64::INFINITY
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} else if self.pi.is_infinite() {
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0.0
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} else {
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1.0 / self.pi
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}
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}
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#[inline]
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#[must_use]
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pub fn sigma(&self) -> f64 {
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// A non-positive precision is improper → infinite standard deviation. Guarding
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// `pi <= 0.0` (not just `== 0.0`) keeps `1.0 / pi.sqrt()` from returning NaN when EP
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// cancellation produces a tiny negative precision (round-off of exactly zero).
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if self.pi <= 0.0 {
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f64::INFINITY
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} else if self.pi.is_infinite() {
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0.0
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} else {
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1.0 / self.pi.sqrt()
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}
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}
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/// How far this Gaussian moved from `other`, as `(|d mu|, |d sigma|)`.
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///
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/// Identical messages have not moved, whatever their parameters, and that
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/// case is answered in natural space before touching `mu()`/`sigma()`. An
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/// improper message has `pi == 0`, so `sigma()` is infinite — and
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/// `inf - inf` is NaN, a NaN *change* for a message that did not change at
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/// all. (`mu()` is guarded and returns 0.0 here, so the mean component was
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/// never the problem; the sigma component alone produced `(0.0, NaN)`.)
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///
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/// That is reachable in ordinary inference: once a pairing is more than
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/// about nine cavity-sigma apart the truncation is a no-op, `trunc / cavity`
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/// is exactly the identity message, and the chain compares one identity
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/// against another. Before this guard that produced `(0.0, NaN)`, which
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/// silently disabled the sigma half of the convergence test.
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pub(crate) fn delta(&self, other: Gaussian) -> (f64, f64) {
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if self.pi == other.pi && self.tau == other.tau {
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return (0.0, 0.0);
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}
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(
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(self.mu() - other.mu()).abs(),
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(self.sigma() - other.sigma()).abs(),
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)
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}
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pub(crate) fn exclude(&self, other: Gaussian) -> Self {
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let var = self.variance() - other.variance();
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if var <= 0.0 {
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// When sigma_self ≈ sigma_other (including ULP-level rounding differences
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// from the pi→sigma accessor round-trip), the excluded contribution is N00.
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// Computing from_ms(tiny_mu, 0.0) would give {pi:inf, tau:inf}, whose
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// mu() = inf/inf = NaN. Returning N00 is correct: when both Gaussians
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// carry the same variance, the residual is a point mass at 0.
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return Gaussian::from_mv(0.0, 0.0);
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}
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Self::from_mv(self.mu() - other.mu(), var)
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}
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pub(crate) fn forget(&self, variance_delta: f64) -> Self {
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Self::from_mv(self.mu(), self.variance() + variance_delta)
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}
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/// `P(X < x)` under this Gaussian.
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///
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/// The question a stopping rule asks: *how sure am I that this competitor's
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/// true skill is below the cutoff?* Expressing that as a probability keeps
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/// its meaning as sigma changes, where a `mu + z * sigma` band silently
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/// means different confidence at different uncertainties — which is exactly
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/// the regime a stopping rule operates in.
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///
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/// Accurate in the *lower* tail. For the upper tail use
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/// [`Gaussian::probability_above`] rather than `1.0 - probability_below(x)`,
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/// which cancels away every significant digit once the result is small.
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///
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/// An improper Gaussian (non-positive precision) has no defined mean, so
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/// this returns `0.5` — the same convention `mu()` and `sigma()` follow.
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#[must_use]
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pub fn probability_below(&self, x: f64) -> f64 {
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if self.pi <= 0.0 {
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return 0.5;
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}
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crate::cdf(x, self.mu(), self.sigma())
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}
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/// `P(X > x)` under this Gaussian.
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///
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/// Computed as a survival function rather than `1 - cdf`, so it keeps full
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/// relative precision in the upper tail: `1 - cdf` returns exactly zero
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/// past about 8.3 sigma, where the true value is still 1e-19 and perfectly
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/// representable. A stopping rule is evaluated precisely there — the
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/// interesting cases are the ones near certainty.
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///
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/// An improper Gaussian returns `0.5`, as [`Gaussian::probability_below`].
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#[must_use]
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pub fn probability_above(&self, x: f64) -> f64 {
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if self.pi <= 0.0 {
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return 0.5;
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}
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crate::sf(x, self.mu(), self.sigma())
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}
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/// EP damping in natural-parameter space: `α·new + (1−α)·self`.
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///
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/// Used by within-game inference to stabilise oscillating fixed-point
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/// loops on hard graphs. `alpha = 1.0` returns `new` exactly;
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/// `alpha < 1.0` shrinks each per-step update.
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pub(crate) fn damp_natural(self, new: Gaussian, alpha: f64) -> Gaussian {
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Gaussian::from_natural(
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alpha * new.pi() + (1.0 - alpha) * self.pi(),
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alpha * new.tau() + (1.0 - alpha) * self.tau(),
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)
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}
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}
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impl Default for Gaussian {
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fn default() -> Self {
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Self::from_ms(MU, SIGMA)
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}
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}
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impl ops::Add<Gaussian> for Gaussian {
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type Output = Gaussian;
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/// Variance addition: (mu1 + mu2, sqrt(σ1² + σ2²)).
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/// Used for combining performance and noise; rare relative to mul/div.
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fn add(self, rhs: Gaussian) -> Self::Output {
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Self::from_mv(self.mu() + rhs.mu(), self.variance() + rhs.variance())
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}
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}
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impl ops::Sub<Gaussian> for Gaussian {
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type Output = Gaussian;
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/// (mu1 - mu2, sqrt(σ1² + σ2²)). Same sigma combination as Add.
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fn sub(self, rhs: Gaussian) -> Self::Output {
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Self::from_mv(self.mu() - rhs.mu(), self.variance() + rhs.variance())
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}
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}
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impl ops::Mul<Gaussian> for Gaussian {
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type Output = Gaussian;
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/// Factor product: nat-param add. Hot path — two f64 additions, no sqrt.
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fn mul(self, rhs: Gaussian) -> Self::Output {
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Self::from_natural(self.pi + rhs.pi, self.tau + rhs.tau)
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}
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}
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impl ops::Mul<f64> for Gaussian {
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type Output = Gaussian;
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fn mul(self, scalar: f64) -> Self::Output {
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if !scalar.is_finite() {
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return N_INF;
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}
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if scalar == 0.0 {
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// Scaling by 0 collapses to a point mass at 0 (sigma' = 0, mu' = 0).
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// This is N00, the additive identity, NOT N_INF.
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return Gaussian::from_mv(0.0, 0.0);
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}
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// sigma' = sigma * |scalar| => pi' = pi / scalar²
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// mu' = mu * scalar => tau' = tau / scalar
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Self::from_natural(self.pi / (scalar * scalar), self.tau / scalar)
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}
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}
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impl ops::Div<Gaussian> for Gaussian {
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type Output = Gaussian;
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/// Cavity: nat-param sub. Hot path — two f64 subtractions, no sqrt.
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fn div(self, rhs: Gaussian) -> Self::Output {
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Self::from_natural(self.pi - rhs.pi, self.tau - rhs.tau)
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}
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}
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#[cfg(test)]
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mod tests {
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/// A message that did not change must report no change, even when it is
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/// improper. `mu()` of an improper Gaussian is `0/0 = NaN` and `sigma()` is
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/// infinite, so the mean/sigma form reported `(NaN, NaN)` for two identical
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/// identity messages — which silently disabled the sigma half of the
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/// convergence test in `run_chain`.
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#[test]
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fn delta_of_two_identical_improper_messages_is_zero() {
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let improper = crate::N_INF;
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// `mu()` is guarded and returns 0.0 for an improper Gaussian, so the
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// mean component was always fine. The NaN came from the sigma
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// component alone: `inf - inf`. The pre-fix value was `(0.0, NaN)`.
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assert!(improper.sigma().is_infinite(), "premise: sigma is infinite");
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assert_eq!(improper.mu(), 0.0, "premise: mu is guarded, not NaN");
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assert!(
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(improper.sigma() - improper.sigma()).is_nan(),
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"premise: the unguarded sigma difference is NaN"
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);
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assert_eq!(improper.delta(improper), (0.0, 0.0));
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}
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#[test]
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fn delta_of_identical_proper_messages_is_zero() {
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let g = Gaussian::from_ms(25.0, 8.0);
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assert_eq!(g.delta(g), (0.0, 0.0));
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}
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/// The shortcut must not swallow a real difference.
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#[test]
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fn delta_still_measures_a_real_move() {
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let a = Gaussian::from_ms(25.0, 8.0);
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let b = Gaussian::from_ms(26.0, 9.0);
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let (dmu, dsigma) = a.delta(b);
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assert!((dmu - 1.0).abs() < 1e-12, "{dmu}");
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assert!((dsigma - 1.0).abs() < 1e-12, "{dsigma}");
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}
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use super::*;
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#[test]
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fn non_positive_precision_is_improper_not_nan() {
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// EP message cancellation can leave `pi` a tiny negative (round-off of exactly zero).
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// Such a Gaussian is improper/uninformative: mu() must be 0 and sigma() infinite, not
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// NaN. A NaN here propagates through the moment-space `Sub` in the game chain and
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// poisons every skill in the slice.
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let tiny_neg = Gaussian::from_natural(-5.55e-17, -8.88e-16);
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assert_eq!(tiny_neg.mu(), 0.0);
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assert!(tiny_neg.sigma().is_infinite());
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// A frankly-negative precision is treated the same way.
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let neg = Gaussian::from_natural(-1.0, 2.0);
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assert_eq!(neg.mu(), 0.0);
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assert!(neg.sigma().is_infinite());
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// Subtracting such a message must not produce NaN (the original failure path).
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let proper = Gaussian::from_ms(9.75, 1.256);
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let diff = proper - tiny_neg;
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assert!(diff.pi().is_finite() && !diff.pi().is_nan());
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assert!(diff.tau().is_finite() && !diff.tau().is_nan());
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}
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#[test]
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fn test_add() {
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let n = Gaussian::from_ms(25.0, 25.0 / 3.0);
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let m = Gaussian::from_ms(0.0, 1.0);
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let r = n + m;
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assert!((r.mu() - 25.0).abs() < 1e-12);
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assert!((r.sigma() - 8.393118874676116).abs() < 1e-10);
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}
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#[test]
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fn test_sub() {
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let n = Gaussian::from_ms(25.0, 25.0 / 3.0);
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let m = Gaussian::from_ms(1.0, 1.0);
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let r = n - m;
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assert!((r.mu() - 24.0).abs() < 1e-12);
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assert!((r.sigma() - 8.393118874676116).abs() < 1e-10);
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}
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#[test]
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fn test_mul() {
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let n = Gaussian::from_ms(25.0, 25.0 / 3.0);
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let m = Gaussian::from_ms(0.0, 1.0);
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let r = n * m;
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assert!((r.mu() - 0.35488958990536273).abs() < 1e-10);
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assert!((r.sigma() - 0.992876838486922).abs() < 1e-10);
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}
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#[test]
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fn test_div() {
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let n = Gaussian::from_ms(25.0, 25.0 / 3.0);
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let m = Gaussian::from_ms(0.0, 1.0);
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let r = m / n;
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assert!((r.mu() - (-0.3652597402597402)).abs() < 1e-10);
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assert!((r.sigma() - 1.0072787050317253).abs() < 1e-10);
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}
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#[test]
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fn test_n00_is_add_identity() {
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// N00 (sigma=0) is the additive identity for the variance-convolution Add op.
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// N_INF (sigma=inf) is the identity for the EP-product Mul op.
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let g = Gaussian::from_ms(3.0, 2.0);
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let n00 = Gaussian::from_ms(0.0, 0.0);
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let r = n00 + g;
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assert!((r.mu() - g.mu()).abs() < 1e-12);
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assert!((r.sigma() - g.sigma()).abs() < 1e-12);
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}
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#[test]
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fn test_mul_is_factor_product() {
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// n * m in nat-params should be pi_n + pi_m, tau_n + tau_m
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let n = Gaussian::from_ms(2.0, 3.0);
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let m = Gaussian::from_ms(1.0, 2.0);
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let r = n * m;
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let expected_pi = n.pi() + m.pi();
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let expected_tau = n.tau() + m.tau();
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assert!((r.pi() - expected_pi).abs() < 1e-15);
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assert!((r.tau() - expected_tau).abs() < 1e-15);
|
||
}
|
||
|
||
#[test]
|
||
fn test_div_is_cavity() {
|
||
let n = Gaussian::from_ms(2.0, 1.0);
|
||
let m = Gaussian::from_ms(1.0, 2.0);
|
||
let r = n / m;
|
||
let expected_pi = n.pi() - m.pi();
|
||
let expected_tau = n.tau() - m.tau();
|
||
assert!((r.pi() - expected_pi).abs() < 1e-15);
|
||
assert!((r.tau() - expected_tau).abs() < 1e-15);
|
||
}
|
||
|
||
#[test]
|
||
fn damp_natural_alpha_one_returns_new() {
|
||
let old = Gaussian::from_ms(1.0, 2.0);
|
||
let new = Gaussian::from_ms(5.0, 0.5);
|
||
let damped = old.damp_natural(new, 1.0);
|
||
assert_eq!(damped.pi(), new.pi());
|
||
assert_eq!(damped.tau(), new.tau());
|
||
}
|
||
|
||
#[test]
|
||
fn damp_natural_alpha_zero_returns_self() {
|
||
let old = Gaussian::from_ms(1.0, 2.0);
|
||
let new = Gaussian::from_ms(5.0, 0.5);
|
||
let damped = old.damp_natural(new, 0.0);
|
||
assert_eq!(damped.pi(), old.pi());
|
||
assert_eq!(damped.tau(), old.tau());
|
||
}
|
||
|
||
#[test]
|
||
fn damp_natural_alpha_half_is_midpoint_in_natural_params() {
|
||
let old = Gaussian::from_ms(1.0, 2.0);
|
||
let new = Gaussian::from_ms(5.0, 0.5);
|
||
let damped = old.damp_natural(new, 0.5);
|
||
let expected_pi = 0.5 * new.pi() + 0.5 * old.pi();
|
||
let expected_tau = 0.5 * new.tau() + 0.5 * old.tau();
|
||
assert!((damped.pi() - expected_pi).abs() < 1e-12);
|
||
assert!((damped.tau() - expected_tau).abs() < 1e-12);
|
||
}
|
||
}
|
||
|
||
#[cfg(test)]
|
||
mod tail_probability_tests {
|
||
use super::*;
|
||
|
||
#[test]
|
||
fn probability_below_matches_published_quantiles() {
|
||
let g = Gaussian::from_ms(0.0, 1.0);
|
||
for (x, expected) in [
|
||
(-1.959_963_984_540_054, 0.025),
|
||
(0.0, 0.5),
|
||
(1.281_551_565_544_6, 0.9),
|
||
(1.959_963_984_540_054, 0.975),
|
||
] {
|
||
let got = g.probability_below(x);
|
||
assert!(
|
||
(got - expected).abs() < 1e-12,
|
||
"P(X < {x}) = {got}, expected {expected}"
|
||
);
|
||
}
|
||
}
|
||
|
||
#[test]
|
||
fn the_two_tails_partition_the_mass() {
|
||
let g = Gaussian::from_ms(3.0, 2.0);
|
||
for x in [-4.0f64, 0.0, 3.0, 7.5] {
|
||
let total = g.probability_below(x) + g.probability_above(x);
|
||
assert!((total - 1.0).abs() < 1e-15, "at {x}: {total}");
|
||
}
|
||
}
|
||
|
||
/// The reason `probability_above` exists rather than `1 - probability_below`.
|
||
#[test]
|
||
fn probability_above_keeps_precision_where_the_complement_collapses() {
|
||
let g = Gaussian::from_ms(0.0, 1.0);
|
||
for (x, expected) in [(9.0f64, 1.128_588e-19), (20.0, 2.753_624e-89)] {
|
||
let got = g.probability_above(x);
|
||
assert!(
|
||
(got - expected).abs() / expected < 1e-6,
|
||
"P(X > {x}) = {got}, expected ~{expected}"
|
||
);
|
||
assert_eq!(
|
||
1.0 - g.probability_below(x),
|
||
0.0,
|
||
"the complement should still collapse at {x}"
|
||
);
|
||
}
|
||
}
|
||
|
||
#[test]
|
||
fn a_scaled_gaussian_shifts_and_stretches() {
|
||
let g = Gaussian::from_ms(25.0, 6.0);
|
||
assert!((g.probability_below(25.0) - 0.5).abs() < 1e-15);
|
||
// One sigma either side of the mean.
|
||
assert!((g.probability_below(31.0) - 0.841_344_746_068_543).abs() < 1e-12);
|
||
assert!((g.probability_above(19.0) - 0.841_344_746_068_543).abs() < 1e-12);
|
||
}
|
||
|
||
#[test]
|
||
fn an_improper_gaussian_is_uninformative_rather_than_nan() {
|
||
let improper = Gaussian::from_ms(0.0, f64::INFINITY);
|
||
assert_eq!(improper.probability_below(5.0), 0.5);
|
||
assert_eq!(improper.probability_above(5.0), 0.5);
|
||
}
|
||
}
|