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| 1 | +//! Does depth-inf self-kernel concentration shrink like 1/sqrt(N) (a sample- |
| 2 | +//! size effect) or plateau (a genuine heavy tail)? Measure, do not assume. |
| 3 | +use ndarray::hpc::pillar::signature::brownian_path_d2; |
| 4 | +use ndarray::hpc::pillar::SplitMix64; |
| 5 | +use sigker::{signature_kernel_pde, signature_truncated}; |
| 6 | + |
| 7 | +const SEED: u64 = 0x5EED_1111_5164_A7AB; |
| 8 | +const N_STEPS: usize = 50; |
| 9 | + |
| 10 | +fn pool(n: usize) -> Vec<Vec<Vec<f64>>> { |
| 11 | + let mut rng = SplitMix64::new(SEED); |
| 12 | + (0..n) |
| 13 | + .map(|_| { |
| 14 | + let p = brownian_path_d2(&mut rng, N_STEPS); |
| 15 | + (0..=N_STEPS) |
| 16 | + .map(|k| vec![p[2 * k] as f64, p[2 * k + 1] as f64]) |
| 17 | + .collect() |
| 18 | + }) |
| 19 | + .collect() |
| 20 | +} |
| 21 | + |
| 22 | +fn stats(v: &[f64]) -> (f64, f64, f64) { |
| 23 | + let n = v.len(); |
| 24 | + let h = n / 2; |
| 25 | + let m1 = v[..h].iter().sum::<f64>() / h as f64; |
| 26 | + let m2 = v[h..].iter().sum::<f64>() / (n - h) as f64; |
| 27 | + let mean = v.iter().sum::<f64>() / n as f64; |
| 28 | + let var = v.iter().map(|x| (x - mean).powi(2)).sum::<f64>() / n as f64; |
| 29 | + // half-mean gap, and the coefficient of variation that predicts it |
| 30 | + ((m1 - m2).abs() / mean, var.sqrt() / mean, mean) |
| 31 | +} |
| 32 | + |
| 33 | +fn main() { |
| 34 | + println!("depth-INFINITY (Goursat PDE)"); |
| 35 | + println!("{:>6} {:>12} {:>10} {:>14} {:>12}", "N", "concentr", "CV", "predicted", "mean K"); |
| 36 | + for &n in &[64usize, 128, 256, 512, 1000] { |
| 37 | + let p = pool(n); |
| 38 | + let k: Vec<f64> = p.iter().map(|x| signature_kernel_pde(x, x)).collect(); |
| 39 | + let (c, cv, mean) = stats(&k); |
| 40 | + // For independent samples the expected half-mean gap ~ CV * sqrt(8/(pi*N)) |
| 41 | + let pred = cv * (8.0 / (core::f64::consts::PI * n as f64)).sqrt(); |
| 42 | + println!("{n:>6} {c:>12.4} {cv:>10.3} {pred:>14.4} {mean:>12.4e}"); |
| 43 | + } |
| 44 | + println!("\ndepth-3 TRUNCATED (the existing battery's kernel, f64 reference)"); |
| 45 | + println!("{:>6} {:>12} {:>10} {:>14} {:>12}", "N", "concentr", "CV", "predicted", "mean K"); |
| 46 | + for &n in &[64usize, 1000] { |
| 47 | + let p = pool(n); |
| 48 | + let k: Vec<f64> = p |
| 49 | + .iter() |
| 50 | + .map(|x| { |
| 51 | + let s = signature_truncated(x, 3); |
| 52 | + s.levels |
| 53 | + .iter() |
| 54 | + .flat_map(|l| l.iter()) |
| 55 | + .map(|v| v * v) |
| 56 | + .sum::<f64>() |
| 57 | + }) |
| 58 | + .collect(); |
| 59 | + let (c, cv, mean) = stats(&k); |
| 60 | + let pred = cv * (8.0 / (core::f64::consts::PI * n as f64)).sqrt(); |
| 61 | + println!("{n:>6} {c:>12.4} {cv:>10.3} {pred:>14.4} {mean:>12.4e}"); |
| 62 | + } |
| 63 | +} |
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