Chad Scherrer cscherrer

Probabilistic programming in Rust and Julia

cscherrer / sobolrand.jl

Last active June 13, 2022 15:20

A Vector-of-vectors view of Sobol quasirandom Uniform and StdNormal draws


	using Sobol, ArraysOfArrays

	function sobolrand(n,k, extraskip::Int=0)
	ω = SobolSeq(k)
	Sobol.skip(ω, n) # recommended in the Sobol.jl README
	for _ in 1:extraskip
	Sobol.next!(ω)
	end
	x = Matrix{Float64}(undef, k, n)

cscherrer / modified-gramschmidt.jl

Created November 30, 2021 00:03

modified GramSchmidt

	using LinearAlgebra

	# Modify column jᵥ to be orthogonal to column jᵤ
	function ortho!(A::AbstractMatrix, jᵥ, jᵤ; startat=1)
	# v ← v - projᵤ(v)
	nrows = size(A,1)
	u_v = 0.0
	u_u = 0.0
	@inbounds for i in startat:nrows
	u_v += A[i,jᵤ] * A[i,jᵥ]

cscherrer / method-wrappers.jl

Created November 22, 2021 19:09

Method wrappers, by Mason Protter

	# Origin:
	# https://julialang.zulipchat.com/#narrow/stream/274208-helpdesk-.28published.29/topic/Constraining.20method.20signatures/near/262358928

	struct MethodWrapper{F, T <: Tuple, R}
	f::F
	end

	MethodWrapper(f::F, Ts) where {F} = MethodWrapper{F, toTuple(Ts), Any}(f)
	MethodWrapper(f::F, (Ts, R)::Pair) where {F} = MethodWrapper{F, toTuple(Ts), R}(f)
	toTuple(::Type{T}) where {T} = Tuple{T}

cscherrer / soss-zigzag.jl

Last active November 4, 2021 14:15

Summarizing ZigZag results

	using Soss
	using ZigZagBoomerang
	using MeasureTheory


	using Soss: logdensity, xform, ConditionalModel
	using ZigZagBoomerang
	using ForwardDiff
	using ForwardDiff: gradient!
	using LinearAlgebra

cscherrer / soss-abstractgps.jl

Created October 19, 2021 16:10

Modified Soss tests from AbstractGPs.jl

	using Soss, MeasureTheory, AbstractGPs, Test, SampleChainsDynamicHMC

	@testset "Soss" begin
	@testset "GP regression" begin
	k = SqExponentialKernel()
	y = randn(3)
	X = randn(3, 1)
	x = [rand(1) for _ in 1:3]

	gp_regression = Soss.@model X begin

cscherrer / mh.jl

Created October 6, 2021 20:15

Metropolis-Hastings as a Soss model

	using Soss, MeasureTheory, Plots

	# ℓ: log-posterior density we want to sample
	# propose: the Markov kernel for the proposal
	# x: current point
	mhstep = @model ℓ,propose,x begin
	y ~ propose(x)
	u ~ Uniform()
	accept = log(u) < ℓ(y) - ℓ(x)
	return accept ? y : x

cscherrer / online-gaussian.jl

Last active June 7, 2021 22:22

OnlineStat for log-weighetd Gaussian


	using PositiveFactorizations
	using LinearAlgebra
	using StatsFuns
	using Random
	using OnlineStatsBase
	using Statistics
	const OSB = OnlineStatsBase

	const bessel = OSB.bessel

cscherrer / zigzag-soss.jl

Last active April 22, 2022 19:50

ZigZag sampler with a Soss model

	using Soss
	using ZigZagBoomerang
	using Soss: logdensity, xform, ConditionalModel
	using ForwardDiff
	using ForwardDiff: gradient!
	using LinearAlgebra
	using SparseArrays
	using StructArrays
	using TransformVariables
	using MeasureTheory

cscherrer / tuplevectormaps.jl

Created April 20, 2021 22:18

A convenient way to create a new TupleVector from an existing one


	using MacroTools: @q
	using GeneralizedGenerated

	struct TypelevelExpr{T}
	expr::Expr
	TypelevelExpr(expr::Expr) = new{to_type(expr)}(expr)
	end

	@gg function with(nt::NamedTuple{N,T}, ::TypelevelExpr{E}) where {N,T,E}

cscherrer / hypercube.jl

Created April 20, 2021 21:33

`rand` method for "hypercubes", e.g. Sobol sequence

	using Sobol
	using MeasureTheory

	abstract type Hypercube{k} end

	struct SobolHypercube{k} <: Hypercube{k}
	seq :: SobolSeq{k}
	value :: Vector{Float64}
	index :: Ref{Int} # start at zero