Sampling bug in C++ Normal Inverse Wishart

[fritzo]

The new stronger statistical tests indicate a bug in the C++ version of Normal-Inverse-Wishart sampler. I assume the bug is in the sampling code in random.hpp (python sampler and scorer agree as per test_models.py:test_sample_value, and python and c++ scoring agree as per test_model_flavors.py:test_group, pointing to C++ sampling as the culprit.

This is now disabled in unit tests.

[fritzo]

The lp version is seen to clearly fail where the dbg version passes, using the script

$ python derivations/vector_gof.py plot-cdf
$ python derivations/vector_gof.py scatter

See plots below

[fritzo]

Disabling the SkipTest, we see

$ nosetests -v distributions/tests/test_models.py:test_sample_value
distributions.tests.test_models.test_sample_value('dbg.models.bb',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.dpd',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.bnb',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.dpd',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.bb',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.bnb',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.nich',) ... ok
distributions.tests.test_models.test_sample_value('hp.models.nich',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.dd',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.gp',) ... ok
distributions.tests.test_models.test_sample_value('hp.models.gp',) ... ok
distributions.tests.test_models.test_sample_value('hp.models.dd',) ... ok
distributions.tests.test_models.test_sample_value('dbg.models.niw',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.nich',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.gp',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.dd',) ... ok
distributions.tests.test_models.test_sample_value('lp.models.niw',) ... FAIL
======================================================================
FAIL: distributions.tests.test_models.test_sample_value('lp.models.niw',)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/home/fritz/.virtualenvs/posterior/local/lib/python2.7/site-packages/nose/case.py", line 197, in runTest
    self.test(*self.arg)
  File "/home/fritz/posterior/distributions/distributions/tests/test_models.py", line 104, in test_one_model
    test_fun(module, EXAMPLE)
  File "/home/fritz/posterior/distributions/distributions/tests/test_models.py", line 402, in test_sample_value
    assert_greater(gof, MIN_GOODNESS_OF_FIT)
AssertionError: 0.00018875054387771975 not greater than 0.001
--------------------  begin captured stdout  ---------------------
example 1/4
    Prob    Count
   0.048      543 ------------------------------------------------------------
   0.048      539 ------------------------------------------------------------
   0.048      527 ----------------------------------------------------------
   0.048      511 --------------------------------------------------------
   0.048      504 --------------------------------------------------------
   0.048      495 -------------------------------------------------------
   0.048      487 ------------------------------------------------------
   0.048      485 ------------------------------------------------------
   0.048      472 ----------------------------------------------------
   0.048      470 ----------------------------------------------------
   0.048      468 ----------------------------------------------------
   0.048      465 ---------------------------------------------------
   0.048      462 ---------------------------------------------------
   0.048      462 ---------------------------------------------------
   0.048      459 ---------------------------------------------------
   0.048      455 --------------------------------------------------
   0.048      454 --------------------------------------------------
   0.048      451 --------------------------------------------------
   0.048      449 --------------------------------------------------
   0.048      424 -----------------------------------------------
   0.048      418 ----------------------------------------------
distributions.lp.models.niw gof = 0.000189
---------------------  end captured stdout  ----------------------
----------------------------------------------------------------------
Ran 17 tests in 31.970s
FAILED (failures=1)

[fritzo]

@stephentu FYI

[fritzo]

$ python derivations/vector_gof.py plot-cdf

[fritzo]

$ python derivations/vector_gof.py scatter

(reds and blues should be uniformly distributed)