Add sum_to_zero constraint, free, and check based on ILR transform#3101
Add sum_to_zero constraint, free, and check based on ILR transform#3101
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the math and tests look good to me! @SteveBronder I'll let you comment on the cpp style |
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SteveBronder
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Few small things but overall good!
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| typename plain_type_t<Vec>::Scalar sum_w(0); | ||
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| typename plain_type_t<Vec>::Scalar sum_w(0); | |
| value_type_t<Vec> sum_w(0); |
| if (unlikely(y.size() == 0)) { | ||
| return arena_t<ret_type>(Eigen::VectorXd{{0}}); | ||
| } | ||
| auto arena_y = to_arena(y); |
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| auto arena_y = to_arena(y); | |
| auto arena_y = to_arena(std::forward<T>(y)); |
| * @return Zero-sum vector of dimensionality K. | ||
| */ | ||
| template <typename T, require_rev_col_vector_t<T>* = nullptr> | ||
| inline auto sum_to_zero_constrain(const T& y) { |
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| inline auto sum_to_zero_constrain(const T& y) { | |
| inline auto sum_to_zero_constrain(T&& y) { |
| inline auto sum_to_zero_constrain(const T& y, scalar_type_t<T>& lp) { | ||
| return sum_to_zero_constrain(y); |
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| inline auto sum_to_zero_constrain(const T& y, scalar_type_t<T>& lp) { | |
| return sum_to_zero_constrain(y); | |
| inline auto sum_to_zero_constrain(T&& y, scalar_type_t<T>& lp) { | |
| return sum_to_zero_constrain(std::forward<T>(y)); |
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Summary
This is an alternative to #3099 based on the discussion in the comments there. Rather than
x[1:N-1] = y; x[N] = -sum(y)this uses a modification of the isometric log ratio (ILR) transformation for simplexes. The implementation is based on a single for-loop, but was adapted from Sean's code that used several temporary vectors, which was adapted from a version which used a full matrixTests
Added tests in the err and constraint folders, based on the existing tests for
simplex.In addition, I iterated on the implementation of this algorithm in Python, so I have some out-of-tree tests here: https://gist.github.com/WardBrian/aae35c65fb841f923d89cc30a3d70808
Side Effects
Release notes
Added
sum_to_zero_constrain,sum_to_zero_free, andcheck_sum_to_zero.Checklist
Copyright holder: Simons Foundation
The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
- Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
- Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)
the basic tests are passing
./runTests.py test/unit)make test-headers)make test-math-dependencies)make doxygen)make cpplint)the code is written in idiomatic C++ and changes are documented in the doxygen
the new changes are tested