webppl/src/inference/mh-diagnostics/diagnostics.js

Probabilistic programming for the web

'use strict';

var stats = require('../../math/statistics');
var fs = require('fs');
var os = require('os');

// Geweke convergence test
function geweke(traces, first, last, intervals) {
  var first = typeof first !== 'undefined' ? first : 0.1;
  var last = typeof last !== 'undefined' ? last : 0.5;
  var intervals = typeof intervals !== 'undefined' ? intervals : 20;
  if (first + last >= 1.0) {
    throw new Error('Error: Intervals should sum to less than 1.0.');
  }
  var zscores = [];
  var end = traces.length;
  for (var i = 0; i < traces.length / 2; i = i + Math.floor((traces.length / 2) / (intervals - 1))) {
    var firstSlice = traces.slice(i, i + Math.floor(first * (end - i)));
    var lastSlice = traces.slice(Math.floor(end - last * (end - i)), traces.length);
    var mu = (stats.mean(firstSlice) - stats.mean(lastSlice));
    var zscore = mu / Math.sqrt(stats.variance(firstSlice) + stats.variance(lastSlice));
    zscores.push([i, zscore]);
  }
  return zscores;
}

function run(traces) {
  //var scores = geweke(traces);
  //console.log('Geweke Zscores:');
  //for (var i = 0; i < scores.length; i++) {
  //  console.log(scores[i]);
  //}

  fs.writeFile(os.tmpdir() + 'trace.json', JSON.stringify(traces), function(err) {
    if (err) {
      return console.log(err);
    }
  });
}

module.exports = {
  run: run
};