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Sort only upper tail weights #22

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merged 4 commits into from
Dec 30, 2021
Merged

Sort only upper tail weights #22

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1c78505
Deprecate sorted keyword
sethaxen Dec 30, 2021
865ab6b
Use partialsortperm
sethaxen Dec 30, 2021
b3e11ca
Increment version number
sethaxen Dec 30, 2021
ba6bf0e
Update src/core.jl
sethaxen Dec 30, 2021
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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "PSIS"
uuid = "ce719bf2-d5d0-4fb9-925d-10a81b42ad04"
authors = ["Seth Axen <[email protected]> and contributors"]
version = "0.2.5"
version = "0.2.6"

[deps]
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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14 changes: 6 additions & 8 deletions src/core.jl
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Expand Up @@ -170,8 +170,6 @@ While `psis` computes smoothed log weights out-of-place, `psis!` smooths them in

# Keywords

- `sorted=issorted(vec(log_ratios))`: whether `log_ratios` are already sorted. Only
accepted if `nparams==1`.
- `improved=false`: If `true`, use the adaptive empirical prior of [^Zhang2010].
If `false`, use the simpler prior of [^ZhangStephens2009], which is also used in
[^VehtariSimpson2021].
Expand Down Expand Up @@ -207,7 +205,7 @@ end
function psis!(
logw::AbstractVector,
reff=1;
sorted::Bool=issorted(logw),
sorted::Bool=false, # deprecated
improved::Bool=false,
warn::Bool=true,
)
Expand All @@ -219,11 +217,11 @@ function psis!(
@warn "$M tail draws is insufficient to fit the generalized Pareto distribution. $MISSING_SHAPE_SUMMARY"
return PSISResult(logw, LogExpFunctions.logsumexp(logw), reff_val, M, missing)
end
perm = sorted ? collect(eachindex(logw)) : sortperm(logw)
icut = S - M
tail_range = (icut + 1):S
@inbounds logw_tail = @views logw[perm[tail_range]]
@inbounds logu = logw[perm[icut]]
perm = partialsortperm(logw, (S - M):S)
cutoff_ind = perm[1]
tail_inds = @view perm[2:M + 1]
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logu = logw[cutoff_ind]
logw_tail = @views logw[tail_inds]
_, tail_dist = psis_tail!(logw_tail, logu, M, improved)
warn && check_pareto_shape(tail_dist)
return PSISResult(logw, LogExpFunctions.logsumexp(logw), reff_val, M, tail_dist)
Expand Down