// Copyright 2017 The Abseil Authors. // // Licensed under the Apache License, Version 2.0 (the "License"); // you may not use this file except in compliance with the License. // You may obtain a copy of the License at // // https://www.apache.org/licenses/LICENSE-2.0 // // Unless required by applicable law or agreed to in writing, software // distributed under the License is distributed on an "AS IS" BASIS, // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. // See the License for the specific language governing permissions and // limitations under the License. #include "absl/random/beta_distribution.h" #include #include #include #include #include #include #include #include #include #include "gmock/gmock.h" #include "gtest/gtest.h" #include "absl/base/internal/raw_logging.h" #include "absl/random/internal/chi_square.h" #include "absl/random/internal/distribution_test_util.h" #include "absl/random/internal/sequence_urbg.h" #include "absl/random/random.h" #include "absl/strings/str_cat.h" #include "absl/strings/str_format.h" #include "absl/strings/str_replace.h" #include "absl/strings/strip.h" namespace { template class BetaDistributionInterfaceTest : public ::testing::Test {}; using RealTypes = ::testing::Types; TYPED_TEST_CASE(BetaDistributionInterfaceTest, RealTypes); TYPED_TEST(BetaDistributionInterfaceTest, SerializeTest) { // The threshold for whether std::exp(1/a) is finite. const TypeParam kSmallA = 1.0f / std::log((std::numeric_limits::max)()); // The threshold for whether a * std::log(a) is finite. const TypeParam kLargeA = std::exp(std::log((std::numeric_limits::max)()) - std::log(std::log((std::numeric_limits::max)()))); const TypeParam kLargeAPPC = std::exp( std::log((std::numeric_limits::max)()) - std::log(std::log((std::numeric_limits::max)())) - 10.0f); using param_type = typename absl::beta_distribution::param_type; constexpr int kCount = 1000; absl::InsecureBitGen gen; const TypeParam kValues[] = { TypeParam(1e-20), TypeParam(1e-12), TypeParam(1e-8), TypeParam(1e-4), TypeParam(1e-3), TypeParam(0.1), TypeParam(0.25), std::nextafter(TypeParam(0.5), TypeParam(0)), // 0.5 - epsilon std::nextafter(TypeParam(0.5), TypeParam(1)), // 0.5 + epsilon TypeParam(0.5), TypeParam(1.0), // std::nextafter(TypeParam(1), TypeParam(0)), // 1 - epsilon std::nextafter(TypeParam(1), TypeParam(2)), // 1 + epsilon TypeParam(12.5), TypeParam(1e2), TypeParam(1e8), TypeParam(1e12), TypeParam(1e20), // kSmallA, // std::nextafter(kSmallA, TypeParam(0)), // std::nextafter(kSmallA, TypeParam(1)), // kLargeA, // std::nextafter(kLargeA, TypeParam(0)), // std::nextafter(kLargeA, std::numeric_limits::max()), kLargeAPPC, // std::nextafter(kLargeAPPC, TypeParam(0)), std::nextafter(kLargeAPPC, std::numeric_limits::max()), // Boundary cases. std::numeric_limits::max(), std::numeric_limits::epsilon(), std::nextafter(std::numeric_limits::min(), TypeParam(1)), // min + epsilon std::numeric_limits::min(), // smallest normal std::numeric_limits::denorm_min(), // smallest denorm std::numeric_limits::min() / 2, // denorm std::nextafter(std::numeric_limits::min(), TypeParam(0)), // denorm_max }; for (TypeParam alpha : kValues) { for (TypeParam beta : kValues) { ABSL_INTERNAL_LOG( INFO, absl::StrFormat("Smoke test for Beta(%a, %a)", alpha, beta)); param_type param(alpha, beta); absl::beta_distribution before(alpha, beta); EXPECT_EQ(before.alpha(), param.alpha()); EXPECT_EQ(before.beta(), param.beta()); { absl::beta_distribution via_param(param); EXPECT_EQ(via_param, before); EXPECT_EQ(via_param.param(), before.param()); } // Smoke test. for (int i = 0; i < kCount; ++i) { auto sample = before(gen); EXPECT_TRUE(std::isfinite(sample)); EXPECT_GE(sample, before.min()); EXPECT_LE(sample, before.max()); } // Validate stream serialization. std::stringstream ss; ss << before; absl::beta_distribution after(3.8f, 1.43f); EXPECT_NE(before.alpha(), after.alpha()); EXPECT_NE(before.beta(), after.beta()); EXPECT_NE(before.param(), after.param()); EXPECT_NE(before, after); ss >> after; #if defined(__powerpc64__) || defined(__PPC64__) || defined(__powerpc__) || \ defined(__ppc__) || defined(__PPC__) if (std::is_same::value) { // Roundtripping floating point values requires sufficient precision // to reconstruct the exact value. It turns out that long double // has some errors doing this on ppc. if (alpha <= std::numeric_limits::max() && alpha >= std::numeric_limits::lowest()) { EXPECT_EQ(static_cast(before.alpha()), static_cast(after.alpha())) << ss.str(); } if (beta <= std::numeric_limits::max() && beta >= std::numeric_limits::lowest()) { EXPECT_EQ(static_cast(before.beta()), static_cast(after.beta())) << ss.str(); } continue; } #endif EXPECT_EQ(before.alpha(), after.alpha()); EXPECT_EQ(before.beta(), after.beta()); EXPECT_EQ(before, after) // << ss.str() << " " // << (ss.good() ? "good " : "") // << (ss.bad() ? "bad " : "") // << (ss.eof() ? "eof " : "") // << (ss.fail() ? "fail " : ""); } } } TYPED_TEST(BetaDistributionInterfaceTest, DegenerateCases) { // Extreme cases when the params are abnormal. absl::InsecureBitGen gen; constexpr int kCount = 1000; const TypeParam kSmallValues[] = { std::numeric_limits::min(), std::numeric_limits::denorm_min(), std::nextafter(std::numeric_limits::min(), TypeParam(0)), // denorm_max std::numeric_limits::epsilon(), }; const TypeParam kLargeValues[] = { std::numeric_limits::max() * static_cast(0.9999), std::numeric_limits::max() - 1, std::numeric_limits::max(), }; { // Small alpha and beta. // Useful WolframAlpha plots: // * plot InverseBetaRegularized[x, 0.0001, 0.0001] from 0.495 to 0.505 // * Beta[1.0, 0.0000001, 0.0000001] // * Beta[0.9999, 0.0000001, 0.0000001] for (TypeParam alpha : kSmallValues) { for (TypeParam beta : kSmallValues) { int zeros = 0; int ones = 0; absl::beta_distribution d(alpha, beta); for (int i = 0; i < kCount; ++i) { TypeParam x = d(gen); if (x == 0.0) { zeros++; } else if (x == 1.0) { ones++; } } EXPECT_EQ(ones + zeros, kCount); if (alpha == beta) { EXPECT_NE(ones, 0); EXPECT_NE(zeros, 0); } } } } { // Small alpha, large beta. // Useful WolframAlpha plots: // * plot InverseBetaRegularized[x, 0.0001, 10000] from 0.995 to 1 // * Beta[0, 0.0000001, 1000000] // * Beta[0.001, 0.0000001, 1000000] // * Beta[1, 0.0000001, 1000000] for (TypeParam alpha : kSmallValues) { for (TypeParam beta : kLargeValues) { absl::beta_distribution d(alpha, beta); for (int i = 0; i < kCount; ++i) { EXPECT_EQ(d(gen), 0.0); } } } } { // Large alpha, small beta. // Useful WolframAlpha plots: // * plot InverseBetaRegularized[x, 10000, 0.0001] from 0 to 0.001 // * Beta[0.99, 1000000, 0.0000001] // * Beta[1, 1000000, 0.0000001] for (TypeParam alpha : kLargeValues) { for (TypeParam beta : kSmallValues) { absl::beta_distribution d(alpha, beta); for (int i = 0; i < kCount; ++i) { EXPECT_EQ(d(gen), 1.0); } } } } { // Large alpha and beta. absl::beta_distribution d(std::numeric_limits::max(), std::numeric_limits::max()); for (int i = 0; i < kCount; ++i) { EXPECT_EQ(d(gen), 0.5); } } { // Large alpha and beta but unequal. absl::beta_distribution d( std::numeric_limits::max(), std::numeric_limits::max() * 0.9999); for (int i = 0; i < kCount; ++i) { TypeParam x = d(gen); EXPECT_NE(x, 0.5f); EXPECT_FLOAT_EQ(x, 0.500025f); } } } class BetaDistributionModel { public: explicit BetaDistributionModel(::testing::tuple p) : alpha_(::testing::get<0>(p)), beta_(::testing::get<1>(p)) {} double Mean() const { return alpha_ / (alpha_ + beta_); } double Variance() const { return alpha_ * beta_ / (alpha_ + beta_ + 1) / (alpha_ + beta_) / (alpha_ + beta_); } double Kurtosis() const { return 3 + 6 * ((alpha_ - beta_) * (alpha_ - beta_) * (alpha_ + beta_ + 1) - alpha_ * beta_ * (2 + alpha_ + beta_)) / alpha_ / beta_ / (alpha_ + beta_ + 2) / (alpha_ + beta_ + 3); } protected: const double alpha_; const double beta_; }; class BetaDistributionTest : public ::testing::TestWithParam<::testing::tuple>, public BetaDistributionModel { public: BetaDistributionTest() : BetaDistributionModel(GetParam()) {} protected: template bool SingleZTestOnMeanAndVariance(double p, size_t samples); template bool SingleChiSquaredTest(double p, size_t samples, size_t buckets); absl::InsecureBitGen rng_; }; template bool BetaDistributionTest::SingleZTestOnMeanAndVariance(double p, size_t samples) { D dis(alpha_, beta_); std::vector data; data.reserve(samples); for (size_t i = 0; i < samples; i++) { const double variate = dis(rng_); EXPECT_FALSE(std::isnan(variate)); // Note that equality is allowed on both sides. EXPECT_GE(variate, 0.0); EXPECT_LE(variate, 1.0); data.push_back(variate); } // We validate that the sample mean and sample variance are indeed from a // Beta distribution with the given shape parameters. const auto m = absl::random_internal::ComputeDistributionMoments(data); // The variance of the sample mean is variance / n. const double mean_stddev = std::sqrt(Variance() / static_cast(m.n)); // The variance of the sample variance is (approximately): // (kurtosis - 1) * variance^2 / n const double variance_stddev = std::sqrt( (Kurtosis() - 1) * Variance() * Variance() / static_cast(m.n)); // z score for the sample variance. const double z_variance = (m.variance - Variance()) / variance_stddev; const double max_err = absl::random_internal::MaxErrorTolerance(p); const double z_mean = absl::random_internal::ZScore(Mean(), m); const bool pass = absl::random_internal::Near("z", z_mean, 0.0, max_err) && absl::random_internal::Near("z_variance", z_variance, 0.0, max_err); if (!pass) { ABSL_INTERNAL_LOG( INFO, absl::StrFormat( "Beta(%f, %f), " "mean: sample %f, expect %f, which is %f stddevs away, " "variance: sample %f, expect %f, which is %f stddevs away.", alpha_, beta_, m.mean, Mean(), std::abs(m.mean - Mean()) / mean_stddev, m.variance, Variance(), std::abs(m.variance - Variance()) / variance_stddev)); } return pass; } template bool BetaDistributionTest::SingleChiSquaredTest(double p, size_t samples, size_t buckets) { constexpr double kErr = 1e-7; std::vector cutoffs, expected; const double bucket_width = 1.0 / static_cast(buckets); int i = 1; int unmerged_buckets = 0; for (; i < buckets; ++i) { const double p = bucket_width * static_cast(i); const double boundary = absl::random_internal::BetaIncompleteInv(alpha_, beta_, p); // The intention is to add `boundary` to the list of `cutoffs`. It becomes // problematic, however, when the boundary values are not monotone, due to // numerical issues when computing the inverse regularized incomplete // Beta function. In these cases, we merge that bucket with its previous // neighbor and merge their expected counts. if ((cutoffs.empty() && boundary < kErr) || (!cutoffs.empty() && boundary <= cutoffs.back())) { unmerged_buckets++; continue; } if (boundary >= 1.0 - 1e-10) { break; } cutoffs.push_back(boundary); expected.push_back(static_cast(1 + unmerged_buckets) * bucket_width * static_cast(samples)); unmerged_buckets = 0; } cutoffs.push_back(std::numeric_limits::infinity()); // Merge all remaining buckets. expected.push_back(static_cast(buckets - i + 1) * bucket_width * static_cast(samples)); // Make sure that we don't merge all the buckets, making this test // meaningless. EXPECT_GE(cutoffs.size(), 3) << alpha_ << ", " << beta_; D dis(alpha_, beta_); std::vector counts(cutoffs.size(), 0); for (int i = 0; i < samples; i++) { const double x = dis(rng_); auto it = std::upper_bound(cutoffs.begin(), cutoffs.end(), x); counts[std::distance(cutoffs.begin(), it)]++; } // Null-hypothesis is that the distribution is beta distributed with the // provided alpha, beta params (not estimated from the data). const int dof = cutoffs.size() - 1; const double chi_square = absl::random_internal::ChiSquare( counts.begin(), counts.end(), expected.begin(), expected.end()); const bool pass = (absl::random_internal::ChiSquarePValue(chi_square, dof) >= p); if (!pass) { for (int i = 0; i < cutoffs.size(); i++) { ABSL_INTERNAL_LOG( INFO, absl::StrFormat("cutoff[%d] = %f, actual count %d, expected %d", i, cutoffs[i], counts[i], static_cast(expected[i]))); } ABSL_INTERNAL_LOG( INFO, absl::StrFormat( "Beta(%f, %f) %s %f, p = %f", alpha_, beta_, absl::random_internal::kChiSquared, chi_square, absl::random_internal::ChiSquarePValue(chi_square, dof))); } return pass; } TEST_P(BetaDistributionTest, TestSampleStatistics) { static constexpr int kRuns = 20; static constexpr double kPFail = 0.02; const double p = absl::random_internal::RequiredSuccessProbability(kPFail, kRuns); static constexpr int kSampleCount = 10000; static constexpr int kBucketCount = 100; int failed = 0; for (int i = 0; i < kRuns; ++i) { if (!SingleZTestOnMeanAndVariance>( p, kSampleCount)) { failed++; } if (!SingleChiSquaredTest>( 0.005, kSampleCount, kBucketCount)) { failed++; } } // Set so that the test is not flaky at --runs_per_test=10000 EXPECT_LE(failed, 5); } std::string ParamName( const ::testing::TestParamInfo<::testing::tuple>& info) { std::string name = absl::StrCat("alpha_", ::testing::get<0>(info.param), "__beta_", ::testing::get<1>(info.param)); return absl::StrReplaceAll(name, {{"+", "_"}, {"-", "_"}, {".", "_"}}); } INSTANTIATE_TEST_CASE_P( TestSampleStatisticsCombinations, BetaDistributionTest, ::testing::Combine(::testing::Values(0.1, 0.2, 0.9, 1.1, 2.5, 10.0, 123.4), ::testing::Values(0.1, 0.2, 0.9, 1.1, 2.5, 10.0, 123.4)), ParamName); INSTANTIATE_TEST_CASE_P( TestSampleStatistics_SelectedPairs, BetaDistributionTest, ::testing::Values(std::make_pair(0.5, 1000), std::make_pair(1000, 0.5), std::make_pair(900, 1000), std::make_pair(10000, 20000), std::make_pair(4e5, 2e7), std::make_pair(1e7, 1e5)), ParamName); // NOTE: absl::beta_distribution is not guaranteed to be stable. TEST(BetaDistributionTest, StabilityTest) { // absl::beta_distribution stability relies on the stability of // absl::random_interna::RandU64ToDouble, std::exp, std::log, std::pow, // and std::sqrt. // // This test also depends on the stability of std::frexp. using testing::ElementsAre; absl::random_internal::sequence_urbg urbg({ 0xffff00000000e6c8ull, 0xffff0000000006c8ull, 0x800003766295CFA9ull, 0x11C819684E734A41ull, 0x832603766295CFA9ull, 0x7fbe76c8b4395800ull, 0xB3472DCA7B14A94Aull, 0x0003eb76f6f7f755ull, 0xFFCEA50FDB2F953Bull, 0x13CCA830EB61BD96ull, 0x0334FE1EAA0363CFull, 0x00035C904C70A239ull, 0x00009E0BCBAADE14ull, 0x0000000000622CA7ull, 0x4864f22c059bf29eull, 0x247856d8b862665cull, 0xe46e86e9a1337e10ull, 0xd8c8541f3519b133ull, 0xffe75b52c567b9e4ull, 0xfffff732e5709c5bull, 0xff1f7f0b983532acull, 0x1ec2e8986d2362caull, 0xC332DDEFBE6C5AA5ull, 0x6558218568AB9702ull, 0x2AEF7DAD5B6E2F84ull, 0x1521B62829076170ull, 0xECDD4775619F1510ull, 0x814c8e35fe9a961aull, 0x0c3cd59c9b638a02ull, 0xcb3bb6478a07715cull, 0x1224e62c978bbc7full, 0x671ef2cb04e81f6eull, 0x3c1cbd811eaf1808ull, 0x1bbc23cfa8fac721ull, 0xa4c2cda65e596a51ull, 0xb77216fad37adf91ull, 0x836d794457c08849ull, 0xe083df03475f49d7ull, 0xbc9feb512e6b0d6cull, 0xb12d74fdd718c8c5ull, 0x12ff09653bfbe4caull, 0x8dd03a105bc4ee7eull, 0x5738341045ba0d85ull, 0xf3fd722dc65ad09eull, 0xfa14fd21ea2a5705ull, 0xffe6ea4d6edb0c73ull, 0xD07E9EFE2BF11FB4ull, 0x95DBDA4DAE909198ull, 0xEAAD8E716B93D5A0ull, 0xD08ED1D0AFC725E0ull, 0x8E3C5B2F8E7594B7ull, 0x8FF6E2FBF2122B64ull, 0x8888B812900DF01Cull, 0x4FAD5EA0688FC31Cull, 0xD1CFF191B3A8C1ADull, 0x2F2F2218BE0E1777ull, 0xEA752DFE8B021FA1ull, }); // Convert the real-valued result into a unit64 where we compare // 5 (float) or 10 (double) decimal digits plus the base-2 exponent. auto float_to_u64 = [](float d) { int exp = 0; auto f = std::frexp(d, &exp); return (static_cast(1e5 * f) * 10000) + std::abs(exp); }; auto double_to_u64 = [](double d) { int exp = 0; auto f = std::frexp(d, &exp); return (static_cast(1e10 * f) * 10000) + std::abs(exp); }; std::vector output(20); { // Algorithm Joehnk (float) absl::beta_distribution dist(0.1f, 0.2f); std::generate(std::begin(output), std::end(output), [&] { return float_to_u64(dist(urbg)); }); EXPECT_EQ(44, urbg.invocations()); EXPECT_THAT(output, // testing::ElementsAre( 998340000, 619030004, 500000001, 999990000, 996280000, 500000001, 844740004, 847210001, 999970000, 872320000, 585480007, 933280000, 869080042, 647670031, 528240004, 969980004, 626050008, 915930002, 833440033, 878040015)); } urbg.reset(); { // Algorithm Joehnk (double) absl::beta_distribution dist(0.1, 0.2); std::generate(std::begin(output), std::end(output), [&] { return double_to_u64(dist(urbg)); }); EXPECT_EQ(44, urbg.invocations()); EXPECT_THAT( output, // testing::ElementsAre( 99834713000000, 61903356870004, 50000000000001, 99999721170000, 99628374770000, 99999999990000, 84474397860004, 84721276240001, 99997407490000, 87232528120000, 58548364780007, 93328932910000, 86908237770042, 64767917930031, 52824581970004, 96998544140004, 62605946270008, 91593604380002, 83345031740033, 87804397230015)); } urbg.reset(); { // Algorithm Cheng 1 absl::beta_distribution dist(0.9, 2.0); std::generate(std::begin(output), std::end(output), [&] { return double_to_u64(dist(urbg)); }); EXPECT_EQ(62, urbg.invocations()); EXPECT_THAT( output, // testing::ElementsAre( 62069004780001, 64433204450001, 53607416560000, 89644295430008, 61434586310019, 55172615890002, 62187161490000, 56433684810003, 80454622050005, 86418558710003, 92920514700001, 64645184680001, 58549183380000, 84881283650005, 71078728590002, 69949694970000, 73157461710001, 68592191300001, 70747623900000, 78584696930005)); } urbg.reset(); { // Algorithm Cheng 2 absl::beta_distribution dist(1.5, 2.5); std::generate(std::begin(output), std::end(output), [&] { return double_to_u64(dist(urbg)); }); EXPECT_EQ(54, urbg.invocations()); EXPECT_THAT( output, // testing::ElementsAre( 75000029250001, 76751482860001, 53264575220000, 69193133650005, 78028324470013, 91573587560002, 59167523770000, 60658618560002, 80075870540000, 94141320460004, 63196592770003, 78883906300002, 96797992590001, 76907587800001, 56645167560000, 65408302280003, 53401156320001, 64731238570000, 83065573750001, 79788333820001)); } } // This is an implementation-specific test. If any part of the implementation // changes, then it is likely that this test will change as well. Also, if // dependencies of the distribution change, such as RandU64ToDouble, then this // is also likely to change. TEST(BetaDistributionTest, AlgorithmBounds) { { absl::random_internal::sequence_urbg urbg( {0x7fbe76c8b4395800ull, 0x8000000000000000ull}); // u=0.499, v=0.5 absl::beta_distribution dist(1e-4, 1e-4); double a = dist(urbg); EXPECT_EQ(a, 2.0202860861567108529e-09); EXPECT_EQ(2, urbg.invocations()); } // Test that both the float & double algorithms appropriately reject the // initial draw. { // 1/alpha = 1/beta = 2. absl::beta_distribution dist(0.5, 0.5); // first two outputs are close to 1.0 - epsilon, // thus: (u ^ 2 + v ^ 2) > 1.0 absl::random_internal::sequence_urbg urbg( {0xffff00000006e6c8ull, 0xffff00000007c7c8ull, 0x800003766295CFA9ull, 0x11C819684E734A41ull}); { double y = absl::beta_distribution(0.5, 0.5)(urbg); EXPECT_EQ(4, urbg.invocations()); EXPECT_EQ(y, 0.9810668952633862) << y; } // ...and: log(u) * a ~= log(v) * b ~= -0.02 // thus z ~= -0.02 + log(1 + e(~0)) // ~= -0.02 + 0.69 // thus z > 0 urbg.reset(); { float x = absl::beta_distribution(0.5, 0.5)(urbg); EXPECT_EQ(4, urbg.invocations()); EXPECT_NEAR(0.98106688261032104, x, 0.0000005) << x << "f"; } } } } // namespace