Wiener process regression in LazyPPL

Extensions and imports for this Literate Haskell file

module WienerDemo where
import LazyPPL
import LazyPPL.Distributions
import LazyPPL.Distributions.GP (wiener)

import Data.List
import Data.Map (empty,lookup,insert,size,keys)
import Control.Monad
import Data.IORef
import System.IO.Unsafe

import Graphics.Matplotlib hiding (density)

We can define a random function wiener :: Prob(Double -> Double) which describes a Wiener process. This requires an infinite number of random choices, first because it is defined for arbitrarily large x, but also it needs an infinite number of random choices in each finite interval, because it is no-where differentiable. This is all dealt with using laziness. We can’t plot this unbounded, undifferentiable function precisely, but when we plot it with a fixed resolution and viewport, the necessary finite random choices are triggered.

(Plotting code)

plotWienerPrior =
  do
    fws <- mh 1 $ sample wiener
    let xys = map (\f -> map (\x -> (x,f x)) [0,0.1..6]) $ map fst $ take 100 $ fws
    plotCoords "images/wiener-prior.svg" [] xys (-7) 7 0.2

We will use this random function as a prior for Bayesian regression, as in the other regression examples. Here is our example data set:

dataset :: [(Double, Double)]
dataset = [(0,0.6), (1, 0.7), (2,1.2), (3,3.2), (4,6.8), (5, 8.2), (6,8.4)]

And here is our model where we combine a Wiener function g plus a random start point a. (Note that we are treating this g as a function like any other. And we could also have built this model with the second-order regress function from the other regression examples.)

example :: Meas (Double -> Double)
example = do g <- sample wiener
             a <- sample $ normal 0 3
             let f x = a + 2 * (g x)
             forM_ dataset (\(x,y) -> score $ normalPdf (f x) 0.3 y)
             return f

We can now sample from the unnormalized distribution, using Metropolis-Hastings. Because of laziness, the values of the functions will be sampled at different times, some only when we come to plot the functions.

plotWienerRegression =
  do
    fws <- mh 0.1 example
    let xys = map (\f -> map (\x -> (x,f x)) [0,0.1..6]) $ map fst $ take 100 $ every 1000 $ drop 10000 $ fws
    plotCoords "images/wiener-reg.svg" dataset xys (-2) 10 0.1

Jump diffusion compositionally

Recall the splice function splice :: Prob [Double] -> Prob (Double -> Double) -> Prob (Double -> Double) from the linear regression example, which pieces together draws from a random function using a point process. We can immediately apply this to the Wiener process, to get a jump diffusion process.

Recalling splice function and Poisson point process

splice :: Prob [Double] -> Prob (Double -> Double) -> Prob (Double -> Double)
splice pointProcess randomFun =
  do
    xs <- pointProcess
    fs <- mapM (const randomFun) xs
    default_f <- randomFun
    let h :: [(Double, Double -> Double)] -> Double -> Double
        h [] x = default_f x
        h ((a, f) : xfs) x | x <= a = f x
        h ((a, f) : xfs) x | x > a = h xfs x
    return (h (zip xs fs))

poissonPP :: Double -> Double -> Prob [Double]
poissonPP lower rate =
  do
    step <- exponential rate
    let x = lower + step
    xs <- poissonPP x rate
    return (x : xs)

regress :: Double -> Prob (a -> Double) -> [(a, Double)] -> Meas (a -> Double)
regress sigma prior dataset =
  do
    f <- sample prior
    forM_ dataset (\(x, y) -> score $ normalPdf (f x) sigma y)
    return f

jump :: Prob (Double -> Double)
jump = let p = do f <- wiener
                  a <- normal 0 3
                  return $ \x -> a + f x
       in splice (poissonPP 0 0.2) p

Here are six samples from this distribution.

(Plotting code)

plotJumpPrior =
  do
    fws <- mh 1 $ sample jump
    let xys = map (\f -> map (\x -> (x,f x)) [0,0.02..6]) $ map fst $ take 6 $ fws
    plotCoords "images/wiener-jump-prior.svg" [] xys (-7) 7 1

We use a slightly different dataset to illustrate regression with this.

datasetB :: [(Double, Double)]
datasetB = [(0,0.6), (1, 0.7), (2,8.2), (3,9.1), (4,3.2), (5,4.9), (6,2.9)]

plotJumpRegression =
  do
    fws <- mhirreducible 0.2 0.1 (regress 0.3 jump datasetB)
    let xys = map (\f -> map (\x -> (x,f x)) [0,0.02..6]) $ map fst $ take 100 $ every 1000 $ drop 300000 $ fws
    plotCoords "images/wiener-jump-reg.svg" datasetB xys (-2) 10 0.1

Graphing routines

plotCoords :: String -> [(Double,Double)] -> [[(Double,Double)]] -> Double -> Double -> Double -> IO ()
plotCoords filename dataset xyss ymin ymax alpha = 
    do  putStrLn $ "Plotting " ++ filename ++ "..."
        file filename $ foldl (\a xys -> a % plot (map fst xys) (map snd xys) @@ [o1 "go-", o2 "linewidth" (0.5 :: Double), o2 "alpha" alpha, o2 "ms" (0 :: Int)]) (scatter (map fst dataset) (map snd dataset) @@ [o2 "c" "black"] % xlim (0 :: Int) (6 :: Int) % ylim ymin ymax) xyss
        putStrLn "Done."
        return ()
    

main :: IO ()
main = do { plotWienerPrior ; plotWienerRegression ; plotJumpPrior ; plotJumpRegression }

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