webppl/src/dists/laplace.js

Probabilistic programming for the web

'use strict';
var ad = require('../ad');
var base = require('./base');
var types = require('../types');
var util = require('../util');
function sample(location, scale) {
    var z = util.random();
    var u = z - 0.5;
    return location - scale * Math.sign(u) * Math.log(1 - 2 * Math.abs(u));
}
function score(location, scale, x) {
    return ad.scalar.mul(ad.scalar.neg(1), ad.scalar.add(ad.scalar.log(ad.scalar.mul(2, scale)), ad.scalar.div(ad.scalar.abs(ad.scalar.sub(x, location)), scale)));
}
var Laplace = base.makeDistributionType({
    name: 'Laplace',
    desc: 'Distribution over ``[-Infinity, Infinity]``',
    params: [
        {
            name: 'location',
            desc: '',
            type: types.unboundedReal
        },
        {
            name: 'scale',
            desc: '',
            type: types.positiveReal
        }
    ],
    wikipedia: true,
    mixins: [base.continuousSupport],
    sample: function () {
        return sample(ad.value(this.params.location), ad.value(this.params.scale));
    },
    score: function (val) {
        return score(this.params.location, this.params.scale, val);
    },
    base: function () {
        return new Laplace({
            location: 0,
            scale: 1
        });
    },
    transform: function (x) {
        var location = this.params.location;
        var scale = this.params.scale;
        return ad.scalar.add(ad.scalar.mul(scale, x), location);
    },
    support: function () {
        return {
            lower: -Infinity,
            upper: Infinity
        };
    }
});
module.exports = {
    Laplace: Laplace,
    sample: sample
};