simulations/avg_run_len.R

In raphael-fua/Dlm: What the Package Does in One 'Title Case' Line

source('helper_functions.r')

N <- 2e6 # hopefully only thing that needs to be touched

SEED <- 45
RNGkind("L'Ecuyer-CMRG")
set.seed(SEED)
CORES_1 <- 4
CORES_2 <- sqrt(CORES_1)

if(! isWhole(CORES_2)) {
	stop('sqrt(CORES_1) must be an integer')
}

REP <- 25*CORES_1
targ_runLen <- N/2

#### functions ####
run_len_calculator <- function (score, thres) {
    cp <- which(score >= thres)[1]
    ifelse(is.na(cp), length(score), cp)
}

fn_thre_cand <- function(avg_run_len, thre_seq, target) {
    thre_seq[which(avg_run_len > target)[1]]
}

#### simulation ####

t0 <- Sys.time()
l_noise <- mclapply(1:REP, function (i) rnorm(N), mc.cores = CORES_1)
cat('l_noise done. '); print(Sys.time() - t0); 

t0 <- Sys.time()
dlm_run <- mclapply(X = l_noise, 
                    FUN = scores, stat_name = "cusum", thresh = Inf, # cpp fun
                    mc.cores = CORES_1
)
cat('dlm_run done. '); print(Sys.time() - t0)

thre_seq <- seq(4.8, 6, by = .01)
avg_run_len <- rep(NA, length(thre_seq))

t0 <- Sys.time()
avg_run_len <-
    mclapply(seq_along(thre_seq),
        function(i) {
            mclapply(dlm_run, run_len_calculator,
                     thres = thre_seq[i],
                     mc.cores = CORES_2) %>%
                                unlist %>%
                                mean
        },
        mc.cores = CORES_2
    ) %>% unlist


cat('avg_run_len done. '); print(Sys.time() - t0); cat('\n')



thre <- fn_thre_cand(avg_run_len, thre_seq, targ_runLen)
cat('threshold candidate:', thre, '\n')
cat('CORES_1:', CORES_1, '\n')

save(list = c('N','targ_runLen', 'avg_run_len', 'thre'),
     file = "results/avg_run_len.RData"
)

# plotting ####
mat <- cbind(thre_seq, avg_run_len)
colnames(mat) <- c('threshold', 'avg_run_len')

plot(
    x = mat,
    type = 'l',
    main = paste('N:', N, '| Target run length:', targ_runLen, '| REP:', REP)
)
abline(v = thre)
text(thre, 1, paste0('DLM threshold: ', thre))

png('results/threshold.png')
plot(
    x = mat,
    type = 'l',
    main = paste('N:', N, '| Target run length:', targ_runLen, '| REP:', REP)
)
abline(v = thre)
text(thre, 1, paste0('DLM threshold: ', thre))
invisible(dev.off())