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[tmatrix-sampling] follow up fix for PR #33. #37

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Merged
franknoe merged 1 commit into from
Jul 23, 2015
Merged

[tmatrix-sampling] follow up fix for PR #33. #37

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44 changes: 11 additions & 33 deletions msmtools/estimation/dense/sample_rev.c
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Original file line number Diff line number Diff line change
Expand Up @@ -32,38 +32,16 @@

#include "_ranlib.h"
#include "sample_rev.h"
#include "util.h"

#define _square(x) x*x


/**
Helper function, tests if x is numerically positive

:param x:
:return:
*/
int _is_positive(double x)
{
double eps = 1e-8;
#if _MSC_VER && !__INTEL_COMPILER
if(x >=eps && ! (!_finite(x) && !_isnan(x)))
#else
if (x >= eps && !isinf(x) && !isnan(x))
#endif
return 1;
else
return 0;
}

int _accept_step(double log_prob_old, double log_prob_new)
{
if (log_prob_new > log_prob_old) // this is faster
return 1;
#ifdef _MSC_VER && !__INTEL_COMPILER
if (genunf(0,1) < exp( __min( log_prob_new-log_prob_old, 0 ) ))
#else
if (genunf(0,1) < exp( fmin( log_prob_new-log_prob_old, 0 ) ))
#endif
if (genunf(0,1) < exp( my_fmin( log_prob_new-log_prob_old, 0 ) ))
return 1;
return 0;
}
Expand Down Expand Up @@ -103,11 +81,11 @@ double _update_step(double v0, double v1, double v2, double c0, double c1, doubl
// about 1.5 sec: gamma and normf generation
// about 1 sec: logs+exps in else blocks

if (_is_positive(k) && _is_positive(theta))
if (is_positive(k) && is_positive(theta))
{
v0_new = gengam(1.0/theta,k);
log_v0_new = log(v0_new);
if (_is_positive(v0_new))
if (is_positive(v0_new))
{
if (v0 == 0)
{
Expand All @@ -121,7 +99,7 @@ double _update_step(double v0, double v1, double v2, double c0, double c1, doubl
log_prob_old = (c0-1) * log_v0 - c1 * log(v0+v1) - c2 * log(v0+v2);
log_prob_old -= (k-1) * log_v0 - v0/theta;
if (_accept_step(log_prob_old, log_prob_new))
//if (genunf(0,1) < exp( fmin( log_prob_new-log_prob_old, 0 ) ))
//if (genunf(0,1) < exp( my_fmin( log_prob_new-log_prob_old, 0 ) ))
{
v0 = v0_new;
log_v0 = log_v0_new;
Expand All @@ -132,7 +110,7 @@ double _update_step(double v0, double v1, double v2, double c0, double c1, doubl

v0_new = v0 * exp( random_walk_stepsize * snorm() );
log_v0_new = log(v0_new);
if (_is_positive(v0_new))
if (is_positive(v0_new))
{
if (v0 == 0)
{
Expand All @@ -144,7 +122,7 @@ double _update_step(double v0, double v1, double v2, double c0, double c1, doubl
log_prob_new = c0 * log_v0_new - c1 * log(v0_new + v1) - c2 * log(v0_new + v2);
log_prob_old = c0 * log_v0 - c1 * log(v0 + v1) - c2 * log(v0 + v2);
if (_accept_step(log_prob_old, log_prob_new))
//if (genunf(0,1) < exp( fmin( log_prob_new-log_prob_old, 0 ) ))
//if (genunf(0,1) < exp( my_fmin( log_prob_new-log_prob_old, 0 ) ))
{
v0 = v0_new;
log_v0 = log_v0_new;
Expand Down Expand Up @@ -262,11 +240,11 @@ void _update(double* C, double* sumC, double* X, int n, int n_step)
{
if (i == j)
{
if (_is_positive(C[i*n+i]) && _is_positive(sumC[i] - C[i*n+i]))
if (is_positive(C[i*n+i]) && is_positive(sumC[i] - C[i*n+i]))
{
tmp1 = genbet(C[i*n+i], sumC[i] - C[i*n+i]);
tmp2 = tmp1 / (1-tmp1) * (_sum_row(X, n, i) - X[i*n+i]);
if (_is_positive(tmp2))
if (is_positive(tmp2))
{
X[i*n+i] = tmp2;
}
Expand Down Expand Up @@ -363,11 +341,11 @@ void _update_sparse(double* C, double* sumC, double* X, double* sumX, int* I, in
j = J[k];
if (i == j)
{
if (_is_positive(C[i*n+i]) && _is_positive(sumC[i] - C[i*n+i]))
if (is_positive(C[i*n+i]) && is_positive(sumC[i] - C[i*n+i]))
{
tmp1 = genbet(C[i*n+i], sumC[i] - C[i*n+i]);
tmp2 = tmp1 / (1-tmp1) * (sumX[i] - X[i*n+i]);
if (_is_positive(tmp2))
if (is_positive(tmp2))
{
sumX[i] += tmp2 - X[i*n+i]; // update sumX
X[i*n+i] = tmp2;
Expand Down
7 changes: 6 additions & 1 deletion msmtools/estimation/dense/sample_rev.h
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Original file line number Diff line number Diff line change
Expand Up @@ -26,7 +26,9 @@
/* * moduleauthor:: F. Noe <frank DOT noe AT fu-berlin DOT de>
*/

int _is_positive(double x);
#ifndef _sample_rev_h_
#define _sample_rev_h_

double _update_step(double v0, double v1, double v2, double c0, double c1, double c2, int random_walk_stepsize);
double _sum_all(double* X, int n);
void _normalize_all(double* X, int n);
Expand All @@ -43,3 +45,6 @@ void _update_sparse_speedtest(double* C, double* sumC, double* X, double* sumX,
void _update_sparse(double* C, double* sumC, double* X, double* sumX, int* I, int* J, int n, int n_idx, int n_step);
void _generate_row_indexes(int* I, int n, int n_idx, int* row_indexes);
void _normalize_all(double* X, int n);


#endif
25 changes: 3 additions & 22 deletions msmtools/estimation/dense/sample_revpi.c
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Original file line number Diff line number Diff line change
Expand Up @@ -33,19 +33,8 @@

#include "_ranlib.h"
#include "sample_revpi.h"
#include "util.h"

int is_positive(double x)
{
double eps = 1e-15;
#if _MSC_VER && !__INTEL_COMPILER
if(x >=eps && ! (!_finite(x) && !_isnan(x)))
#else
if (x >= eps && !isinf(x) && !isnan(x))
#endif
return 1;
else
return 0;
}

double
f(double v, double s, double a1, double a2, double a3)
Expand Down Expand Up @@ -170,11 +159,7 @@ sample_quad(double xkl, double xkk, double xll,

// Metropolis step
U = genunf(0.0, 1.0);
#if _MSC_VER && !__INTEL_COMPILER
if(log(U) < __min(0.0, q))
#else
if(log(U) < fmin(0.0, q))
#endif
if(log(U) < my_fmin(0.0, q))
{
return s2*w/(1.0+w);
}
Expand Down Expand Up @@ -238,11 +223,7 @@ sample_quad_rw(double xkl, double xkk, double xll,
q = qacc_rw(w, v, s, a1, a2, a3);
//Metropolis step
U = genunf(0.0, 1.0);
#if _MSC_VER && !__INTEL_COMPILER
if (log(U) < __min(0.0, q))
#else
if(log(U) < fmin(0.0, q))
#endif
if(log(U) < my_fmin(0.0, q))
{
return s2*w/(1.0+w);
}
Expand Down
50 changes: 50 additions & 0 deletions msmtools/estimation/dense/util.h
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Original file line number Diff line number Diff line change
@@ -0,0 +1,50 @@
#ifndef __util_h_
#define __util_h_

#include <stdlib.h>
#include <stdio.h>
#include <math.h>
#include <float.h>


int my_isinf(double x) {
#if _MSC_VER && !__INTEL_COMPILER
return ! _finite(x);
#else
return isinf(x);
#endif
}

int my_isnan(double x) {
#if _MSC_VER && !__INTEL_COMPILER
return _isnan(x);
#else
return isnan(x);
#endif
}

/**
Helper function, tests if x is numerically positive

:param x:
:return:
*/
int is_positive(double x)
{
double eps = 1e-8;
if (x >= eps && !my_isinf(x) && !my_isnan(x))
return 1;
else
return 0;
}

double my_fmin(double a, double b) {
#if _MSC_VER && !__INTEL_COMPILER
return __min(a,b);
#else
return fmin(a,b);
#endif
}


#endif