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Fix two big bugs in Normal #31

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merged 1 commit into from
May 30, 2024
Merged

Fix two big bugs in Normal #31

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9 changes: 7 additions & 2 deletions cxx/distributions/normal.hh
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Original file line number Diff line number Diff line change
Expand Up @@ -33,8 +33,8 @@ class Normal : public Distribution<double> {
// We use Welford's algorithm for computing the mean and variance
// of streaming data in a numerically stable way. See Knuth's
// Art of Computer Programming vol. 2, 3rd edition, page 232.
int mean = 0; // Mean of observed values
int var = 0; // Variance of observed values
double mean = 0.0; // Mean of observed values
double var = 0.0; // Variance of observed values

std::mt19937 *prng;

Expand All @@ -51,6 +51,11 @@ class Normal : public Distribution<double> {
void unincorporate(const double &x) {
int old_N = N;
--N;
if (N == 0) {
mean = 0.0;
var = 0.0;
return;
}
double old_mean = mean;
mean = (mean * old_N - x) / N;
var -= (x - mean) * (x - old_mean);
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15 changes: 13 additions & 2 deletions cxx/distributions/normal_test.cc
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Expand Up @@ -17,8 +17,19 @@ BOOST_AUTO_TEST_CASE(simple) {
nd.incorporate(7.0);
nd.unincorporate(-2.0);

BOOST_TEST(nd.logp(6.0) == -3.1331256657870137, tt::tolerance(1e-6));
BOOST_TEST(nd.logp_score() == -4.7494000141508543, tt::tolerance(1e-6));
BOOST_TEST(nd.logp(6.0) == -2.7673076255063034, tt::tolerance(1e-6));
BOOST_TEST(nd.logp_score() == -4.7299819282937534, tt::tolerance(1e-6));
}

BOOST_AUTO_TEST_CASE(no_nan_after_incorporate_unincorporate) {
std::mt19937 prng;
Normal nd(&prng);

nd.incorporate(10.0);
nd.unincorporate(10.0);

BOOST_TEST(!std::isnan(nd.mean));
BOOST_TEST(!std::isnan(nd.var));
}

BOOST_AUTO_TEST_CASE(logp_before_incorporate) {
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