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"""exp03 -- single-run confidence interval for the stopping time (Prop. 4.5).
Per specs/exp03_ci_coverage.md. Writes results/exp03.json.
python3 scripts/exp03_ci_coverage.py [--toy]
Reuses exp02's shared-stream path machinery (core.klinf / core.par): one
replicate = one path shared across every (alpha, beta_kind) pair, since the
crossing statistic n*KL_inf(q_hat_n, m_o) does not depend on alpha. At each
step the dual solve already yields ell(lam*_n, X_1..n); from that single array
we get, with no extra sampling cost, both the "direct centred" sigma_hat^2
(eq. 22's own definition) and an independently-summed mean(ell)/mean(ell^2)
form -- comparing the two is the C3a/C3b identity cross-check the spec asks
for, not two different estimators.
"""
import argparse
import functools
import json
import math
import os
import sys
import time
import numpy as np
from scipy.stats import norm
sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
from core import par
from core.klinf import klinf_emp, ell
from core.popquant import pop
RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(os.path.abspath(__file__))), "results")
OUT_PATH = os.path.join(RESULTS_DIR, "exp03.json")
SEED_BASE = 20260722 # independent of exp02's 20260721 stream
N_MAX = 200000
BETA_KINDS = ["theory", "practical"] # eq. 7 / eq. 8
GAMMAS = [0.10, 0.05, 0.01]
ALPHA_GRID_FULL = [1e-2, 1e-3, 1e-4, 1e-6, 1e-8, 1e-10, 1e-12]
ALPHA_GRID_TOY = [1e-2, 1e-4, 1e-6]
R_FULL = 5000
R_TOY = 200
CONFIGS_META = [
dict(id="bern0.6_mo0.2", dist="bernoulli(0.6)", dist_kind="bernoulli",
dist_params=(0.6,), popdist=("bernoulli", 0.6), m_o=0.2),
dict(id="beta3_2_mo0.7", dist="beta(3,2)", dist_kind="beta",
dist_params=(3, 2), popdist=("beta", 3, 2), m_o=0.7),
dict(id="bern0.6_mo0.7", dist="bernoulli(0.6)", dist_kind="bernoulli",
dist_params=(0.6,), popdist=("bernoulli", 0.6), m_o=0.7),
]
S4_CONFIG_ID = "bern0.6_mo0.2"
S4_BETA_KIND = "practical"
S4_GAMMA = 0.05
S4_ALPHAS = [1e-4, 1e-8]
Z95 = 1.959963984540054 # Wilson interval z for 95% CI on coverage
def log(msg):
print(f"[exp03] {msg}", file=sys.stderr, flush=True)
def n_cores():
return max(1, min(int(os.environ.get("JOB_CORES", "4")), os.cpu_count() or 1))
# --------------------------------------------------------------- sampling
def _make_sampler(dist_kind, dist_params):
if dist_kind == "bernoulli":
p, = dist_params
return lambda rng, k: (rng.uniform(size=k) < p).astype(float)
if dist_kind == "beta":
a, b = dist_params
return lambda rng, k: rng.beta(a, b, size=k)
raise ValueError(dist_kind)
# ------------------------------------------------------------- beta(n,alpha)
def beta_theory(n, alpha):
return 1.0 + math.log(2.0 * (1.0 + n) / alpha)
def beta_practical(n, alpha):
return math.log(1.0 / alpha)
_BETA_FNS = {"theory": beta_theory, "practical": beta_practical}
# ------------------------------------------------------ shared-stream sim
def _run_path_multi(rng, sampler, m_o, alphas, beta_kinds, n_max, n_chunk=256):
"""One path shared by every (alpha, beta_kind) pair. At each crossing,
records tau, klinf_tau (=mean(ell) by construction) and sigma2_tau (the
direct-centred eq. 22 variance). Also tracks, across all crossings on
this path, the worst-case |mean(ell) - klinf_hat| (C3a identity) and
|direct-form - eq22-form sigma_hat^2| (C3b form cross-check), plus the
path's min sigma_hat^2."""
x = np.empty(n_max, dtype=float)
n = 0
lam_prev = None
pending = set((a, bk) for a in alphas for bk in beta_kinds)
out = {}
max_id1 = 0.0
max_id2 = 0.0
min_sigma2 = math.inf
while n < n_max and pending:
take = min(n_chunk, n_max - n)
x[n:n + take] = sampler(rng, take)
for _ in range(take):
n += 1
xk = x[:n]
val, lam, case = klinf_emp(xk, m_o, lam_hint=lam_prev)
lam_prev = lam if case == "interior" else None
stat = n * val
crossed_now = [(a, bk) for (a, bk) in pending if stat >= _BETA_FNS[bk](n, a)]
if crossed_now:
ell_arr = ell(lam, xk, m_o)
mean_ell = float(np.mean(ell_arr))
mean_ell2 = float(np.mean(ell_arr * ell_arr))
sigma2_direct = float(np.mean((ell_arr - val) ** 2))
sigma2_eq22 = mean_ell2 - mean_ell * mean_ell
id1 = abs(mean_ell - val)
id2 = abs(sigma2_direct - sigma2_eq22)
if id1 > max_id1:
max_id1 = id1
if id2 > max_id2:
max_id2 = id2
if sigma2_direct < min_sigma2:
min_sigma2 = sigma2_direct
for (a, bk) in crossed_now:
out[(a, bk)] = dict(tau=n, censored=False,
klinf_tau=val, sigma2_tau=sigma2_direct)
pending.discard((a, bk))
if not pending:
break
for (a, bk) in pending:
out[(a, bk)] = dict(tau=n, censored=True, klinf_tau=None, sigma2_tau=None)
return dict(results=out, max_id1=max_id1, max_id2=max_id2, min_sigma2=min_sigma2)
def _replicate_task(rng, r, dist_kind, dist_params, m_o, alphas, beta_kinds, n_max):
sampler = _make_sampler(dist_kind, dist_params)
return _run_path_multi(rng, sampler, m_o, alphas, beta_kinds, n_max)
# ------------------------------------------------------------------ helpers
def wilson_ci(phat, n, z=Z95):
denom = 1.0 + z * z / n
center = (phat + z * z / (2.0 * n)) / denom
half = (z * math.sqrt(phat * (1.0 - phat) / n + z * z / (4.0 * n * n))) / denom
return max(0.0, center - half), min(1.0, center + half)
def loglog_fit(xs, ys):
"""Fit log(y) = a - rate*log(x) by OLS; return (rate, stderr(rate))."""
xs = np.asarray(xs, dtype=float)
ys = np.asarray(ys, dtype=float)
mask = (xs > 0) & (ys > 0)
x = np.log(xs[mask])
y = np.log(ys[mask])
n = len(x)
A = np.vstack([np.ones_like(x), x]).T
coef, _, _, _ = np.linalg.lstsq(A, y, rcond=None)
_, slope = coef
rate = -float(slope)
if n > 2:
yhat = A @ coef
resid = y - yhat
dof = n - 2
sigma2 = float(np.sum(resid ** 2) / dof) if dof > 0 else 0.0
xtx_inv = np.linalg.inv(A.T @ A)
se = float(np.sqrt(max(sigma2 * xtx_inv[1, 1], 0.0)))
else:
se = 0.0
return rate, se
def main():
ap = argparse.ArgumentParser()
ap.add_argument("--toy", action="store_true")
args = ap.parse_args()
toy = args.toy
n_jobs = n_cores()
R = R_TOY if toy else R_FULL
alpha_grid = ALPHA_GRID_TOY if toy else ALPHA_GRID_FULL
log(f"starting exp03 (toy={toy}) n_jobs={n_jobs} R={R} alpha_grid={alpha_grid} "
f"n_max={N_MAX} gammas={GAMMAS}")
t0 = time.time()
population = []
pop_by_id = {}
for cm in CONFIGS_META:
p = pop(cm["popdist"], cm["m_o"])
entry = dict(config=cm["id"], dist=cm["dist"], m_o=cm["m_o"],
klinf=p["klinf"], inv_klinf=1.0 / p["klinf"],
sigma2=p["sigma2"], sigma_bd2=p["sigma_bd2"],
lam_star=p["lam_star"], case=p["case"])
population.append(entry)
pop_by_id[cm["id"]] = entry
log(f" population[{cm['id']}]: case={p['case']} lam*={p['lam_star']:.6f} "
f"klinf={p['klinf']:.6f} inv_klinf={entry['inv_klinf']:.4f} "
f"sigma2={p['sigma2']:.6f} sigma_bd2={p['sigma_bd2']:.6f}")
s1_coverage, s2_vhat, s2_fit = [], [], []
s1_by_config = {cm["id"]: [] for cm in CONFIGS_META}
s2_by_config = {cm["id"]: [] for cm in CONFIGS_META}
width_slopes = []
global_max_id1 = 0.0
global_max_id2 = 0.0
global_min_sigma2 = math.inf
raw_by_config = {}
cfg_id = 0
for cm in CONFIGS_META:
cfg_id += 1
pe = pop_by_id[cm["id"]]
klinf_pop, inv_klinf_pop, sigma_bd2_pop = pe["klinf"], pe["inv_klinf"], pe["sigma_bd2"]
log(f"=== {cm['id']} (dist={cm['dist']}, m_o={cm['m_o']}) R={R} alphas={alpha_grid} ===")
t_cfg = time.time()
task = functools.partial(_replicate_task, dist_kind=cm["dist_kind"],
dist_params=cm["dist_params"], m_o=cm["m_o"],
alphas=alpha_grid, beta_kinds=BETA_KINDS, n_max=N_MAX)
raw = par.run_replicates(task, cfg_id, R, n_jobs=n_jobs, base_seed=SEED_BASE)
raw_by_config[cm["id"]] = raw
log(f" {cm['id']} done in {time.time() - t_cfg:.1f}s")
for rep in raw:
global_max_id1 = max(global_max_id1, rep["max_id1"])
global_max_id2 = max(global_max_id2, rep["max_id2"])
if rep["min_sigma2"] < global_min_sigma2:
global_min_sigma2 = rep["min_sigma2"]
for bk in BETA_KINDS:
width_by_gamma_alpha = {g: {} for g in GAMMAS}
for a in alpha_grid:
b_alpha = math.log(1.0 / a)
key = (a, bk)
taus, klinfs, sigma2s, n_cens = [], [], [], 0
for rep in raw:
r = rep["results"][key]
if r["censored"]:
n_cens += 1
continue
taus.append(r["tau"])
klinfs.append(r["klinf_tau"])
sigma2s.append(r["sigma2_tau"])
taus = np.array(taus, dtype=float)
klinfs = np.array(klinfs, dtype=float)
sigma2s = np.array(sigma2s, dtype=float)
vhat = sigma2s / klinfs ** 3
n_valid = len(taus)
vhat_mean = float(np.mean(vhat))
vhat_median = float(np.median(vhat))
vhat_sd = float(np.std(vhat, ddof=1))
row2 = dict(config=cm["id"], beta_kind=bk, alpha=a,
vhat_mean=vhat_mean, vhat_median=vhat_median, vhat_sd=vhat_sd,
sigma_bd2=sigma_bd2_pop,
vhat_mean_over_sigma_bd2=float(vhat_mean / sigma_bd2_pop),
sigmahat2_over_sigma2=float(np.mean(sigma2s) / pe["sigma2"]),
klinf_hat_over_klinf=float(np.mean(klinfs) / klinf_pop))
s2_vhat.append(row2)
s2_by_config[cm["id"]].append(row2)
for g in GAMMAS:
z = float(norm.ppf(1.0 - g / 2.0))
center = taus / b_alpha
half = z * np.sqrt(vhat / b_alpha)
lo, hi = center - half, center + half
widths = hi - lo
covered = (lo <= inv_klinf_pop) & (inv_klinf_pop <= hi)
miss_below = int(np.sum(inv_klinf_pop < lo))
miss_above = int(np.sum(inv_klinf_pop > hi))
n_covered = int(np.sum(covered)) if n_valid else 0
coverage = n_covered / R
wilson_lo, wilson_hi = wilson_ci(coverage, R)
nominal = 1.0 - g
row1 = dict(config=cm["id"], beta_kind=bk, alpha=a, b_alpha=b_alpha,
gamma=g, R=R, coverage=coverage,
wilson_lo=wilson_lo, wilson_hi=wilson_hi, nominal=nominal,
coverage_error=float(coverage - nominal),
miss_below=miss_below, miss_above=miss_above,
width_median=float(np.median(widths)) if n_valid else 0.0,
width_iqr=float(np.percentile(widths, 75) - np.percentile(widths, 25))
if n_valid else 0.0,
n_censored=n_cens)
s1_coverage.append(row1)
s1_by_config[cm["id"]].append(row1)
width_by_gamma_alpha[g][b_alpha] = row1["width_median"]
log(f" {cm['id']}/{bk} coverage sweep done")
b_vals = [math.log(1.0 / a) for a in alpha_grid]
vhat_sd_vals = [r["vhat_sd"] for r in s2_by_config[cm["id"]] if r["beta_kind"] == bk]
p_rate, p_se = loglog_fit(b_vals, vhat_sd_vals)
s2_fit.append(dict(config=cm["id"], beta_kind=bk,
p_vhat_sd=p_rate, p_vhat_sd_stderr=p_se, n_points=len(b_vals)))
log(f" {cm['id']}/{bk}: p_vhat_sd={p_rate:.3f}+/-{p_se:.3f}")
for g in GAMMAS:
bs = b_vals
ws = [width_by_gamma_alpha[g][b] for b in bs]
rate, se = loglog_fit(bs, ws)
width_slopes.append(dict(config=cm["id"], beta_kind=bk, gamma=g,
slope=-rate, slope_stderr=se))
# ------------------------------------------------------------------ S3
s3_identity = dict(
max_mean_ell_minus_klinf=global_max_id1,
max_sigmahat2_form_diff=global_max_id2,
min_sigmahat2=global_min_sigma2,
width_slopes=width_slopes,
)
log(f"S3 identity: max_id1={global_max_id1:.2e} max_id2={global_max_id2:.2e} "
f"min_sigma2={global_min_sigma2:.4f}")
# ------------------------------------------------------------------ S4
s4_illustration = []
raw0 = raw_by_config[S4_CONFIG_ID]
s4_alphas = S4_ALPHAS if not toy else alpha_grid[:2]
for a in s4_alphas:
b_alpha = math.log(1.0 / a)
key = (a, S4_BETA_KIND)
taus, klinfs, sigma2s = [], [], []
for rep in raw0:
r = rep["results"][key]
if r["censored"]:
continue
taus.append(r["tau"])
klinfs.append(r["klinf_tau"])
sigma2s.append(r["sigma2_tau"])
taus = np.array(taus, dtype=float)
klinfs = np.array(klinfs, dtype=float)
sigma2s = np.array(sigma2s, dtype=float)
vhat = sigma2s / klinfs ** 3
z = float(norm.ppf(1.0 - S4_GAMMA / 2.0))
center = taus / b_alpha
half = z * np.sqrt(vhat / b_alpha)
lo, hi = (center - half) * b_alpha, (center + half) * b_alpha
def qpair(lo_arr, hi_arr, q):
return [float(np.percentile(lo_arr, q)), float(np.percentile(hi_arr, q))]
s4_illustration.append(dict(
alpha=a, gamma=S4_GAMMA,
single_run_interval_median=qpair(lo, hi, 50),
single_run_interval_q25=qpair(lo, hi, 25),
single_run_interval_q75=qpair(lo, hi, 75),
empirical_tau_interval=[float(np.percentile(taus, 2.5)),
float(np.percentile(taus, 97.5))],
))
log(f" S4 alpha={a:g}: median_interval={s4_illustration[-1]['single_run_interval_median']} "
f"empirical_tau_interval={s4_illustration[-1]['empirical_tau_interval']}")
# ------------------------------------------------- gate-facing adapter
# gates.py's exp03 gate expects a flat per-config "configs" list (with a
# "pop"/"coverage"/"consistency" view of the same numbers) plus a
# top-level "self_consistency" scalar; this is a reshaped view of the
# canonical sections above, not a second computation.
configs_adapter = []
for cm in CONFIGS_META:
pe = pop_by_id[cm["id"]]
consistency = [dict(alpha=r["alpha"], beta_kind=r["beta_kind"],
mean_vhat_over_sigma_bd2=r["vhat_mean_over_sigma_bd2"],
sd_vhat=r["vhat_sd"])
for r in s2_by_config[cm["id"]]]
configs_adapter.append(dict(
dist=cm["dist"], m_o=cm["m_o"],
pop=dict(lam_star=pe["lam_star"], klinf=pe["klinf"], sigma2=pe["sigma2"],
sigma_bd2=pe["sigma_bd2"], case=pe["case"]),
coverage=s1_by_config[cm["id"]],
consistency=consistency,
))
self_consistency = dict(max_abs_err=max(global_max_id1, global_max_id2))
elapsed = time.time() - t0
out = dict(
meta=dict(spec="exp03", seed_base=SEED_BASE, n_paths=R, n_max=N_MAX,
gammas=GAMMAS, cores_used=n_jobs, wall_seconds=elapsed),
population=population,
s1_coverage=s1_coverage,
s2_vhat=s2_vhat,
s2_fit=s2_fit,
s3_identity=s3_identity,
s4_illustration=s4_illustration,
configs=configs_adapter,
self_consistency=self_consistency,
)
os.makedirs(RESULTS_DIR, exist_ok=True)
with open(OUT_PATH, "w") as f:
json.dump(out, f, indent=2)
print(f"exp03 complete in {elapsed:.1f}s -> {OUT_PATH}")
print(f" cores_used={n_jobs} R={R} n_configs={len(population)} alphas={alpha_grid}")
print(f" s1_coverage rows={len(s1_coverage)} s2_vhat rows={len(s2_vhat)} "
f"s2_fit rows={len(s2_fit)}")
print(f" s3_identity: max|mean_ell-klinf|={global_max_id1:.2e} "
f"max|sigma2_form_diff|={global_max_id2:.2e} min_sigma2={global_min_sigma2:.4f}")
for row in s4_illustration:
print(f" s4[alpha={row['alpha']:g}]: median_interval(tau-scale)="
f"{row['single_run_interval_median']} "
f"empirical_tau_interval={row['empirical_tau_interval']}")
if __name__ == "__main__":
main()
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