12 static const double int_step_size = 75.0;
14 // rating constant (see below)
15 static const double rating_constant = 455.0;
19 static double prob_score(int k, int a, double rd);
20 static double prob_score_real(int k, int a, double binomial, double rd_norm);
21 static double prodai(int k, int a);
22 static double fac(int x);
25 // probability of match ending k-a (k>a) when winnerR - loserR = RD
30 // | Poisson[lambda1, t](a) * Erlang[lambda2, k](t) dt
35 // where lambda1 = 1.0, lambda2 = 2^(rd/455)
37 // The constant of 455 is chosen carefully so to match with the
38 // Glicko/Bradley-Terry assumption that a player rated 400 points over
39 // his/her opponent will win with a probability of 10/11 =~ 0.90909.
41 static double prob_score(int k, int a, double rd)
43 return prob_score_real(k, a, prodai(k, a) / fac(k-1), rd/rating_constant);
46 // computes x^a, probably more efficiently than pow(x, a) (but requires that a
47 // is n unsigned integer)
48 static double intpow(double x, unsigned a)
63 // Same, but takes in binomial(a+k-1, k-1) as an argument in
64 // addition to a. Faster if you already have that precomputed, and assumes rd
65 // is already divided by 455.
66 static double prob_score_real(int k, int a, double binomial, double rd_norm)
68 double nom = binomial * intpow(pow(2.0, rd_norm), a);
69 double denom = intpow(1.0 + pow(2.0, rd_norm), k+a);
73 // Calculates Product(a+i, i=1..k-1) (see above).
74 static double prodai(int k, int a)
77 for (int i = 1; i < k; ++i)
82 static double fac(int x)
85 for (int i = 2; i <= x; ++i)
90 static void compute_opponent_rating_pdf(int k, int a, double mu2, double sigma2, double winfac, vector<pair<double, double> > &result)
92 double binomial_precompute = prodai(k, a) / fac(k-1);
93 winfac /= rating_constant;
95 int sz = (6000.0 - 0.0) / int_step_size;
96 double h = (6000.0 - 0.0) / sz;
99 complex<double> *func1, *func2, *res;
101 func1 = reinterpret_cast<complex<double> *>(fftw_malloc(sz*2*sizeof(complex<double>)));
102 func2 = reinterpret_cast<complex<double> *>(fftw_malloc(sz*2*sizeof(complex<double>)));
103 res = reinterpret_cast<complex<double> *>(fftw_malloc(sz*2*sizeof(complex<double>)));
104 f1 = fftw_plan_dft_1d(sz*2,
105 reinterpret_cast<fftw_complex*>(func1),
106 reinterpret_cast<fftw_complex*>(func1),
109 f2 = fftw_plan_dft_1d(sz*2,
110 reinterpret_cast<fftw_complex*>(func2),
111 reinterpret_cast<fftw_complex*>(func2),
114 b = fftw_plan_dft_1d(sz*2,
115 reinterpret_cast<fftw_complex*>(res),
116 reinterpret_cast<fftw_complex*>(res),
121 for (int i = 0; i < sz*2; ++i) {
122 func1[i].real() = func1[i].imag() = func2[i].real() = func2[i].imag() = 0.0;
125 for (int i = 0; i < sz; ++i) {
126 double x1 = 0.0 + h*i;
127 double z = (x1 - mu2)/sigma2;
128 func1[i].real() = exp(-(z*z/2.0));
130 double x2 = -3000.0 + h*i;
131 func2[(i - sz/2 + sz*2)%(sz*2)].real() = prob_score_real(k, a, binomial_precompute, x2*winfac);
134 result.reserve(sz*2);
139 for (int i = 0; i < sz*2; ++i) {
140 res[i] = func1[i] * func2[i];
143 for (int i = 0; i < sz; ++i) {
145 result.push_back(make_pair(r1, abs(res[i])));
149 // normalize the curve so we know that A ~= 1
150 static void normalize(vector<pair<double, double> > &curve)
153 for (vector<pair<double, double> >::const_iterator i = curve.begin(); i != curve.end(); ++i) {
154 peak = max(peak, i->second);
157 double invpeak = 1.0 / peak;
158 for (vector<pair<double, double> >::iterator i = curve.begin(); i != curve.end(); ++i) {
159 i->second *= invpeak;
163 // computes matA^T * matB
164 static void mat_mul_trans(double *matA, unsigned ah, unsigned aw,
165 double *matB, unsigned bh, unsigned bw,
169 for (unsigned y = 0; y < bw; ++y) {
170 for (unsigned x = 0; x < aw; ++x) {
172 for (unsigned c = 0; c < ah; ++c) {
173 sum += matA[x*ah + c] * matB[y*bh + c];
175 result[y*bw + x] = sum;
180 // solves Ax = B by Gauss-Jordan elimination, where A is an NxN matrix,
181 // x is a column vector of length N and B is a row vector of length N.
182 // Destroys its input in the process.
184 static void solve_matrix(double *A, double *x, double *B)
186 for (int i = 0; i < N; ++i) {
187 for (int j = i+1; j < N; ++j) {
188 // row j -= row i * (a[i,j] / a[i,i])
189 double f = A[j+i*N] / A[i+i*N];
192 for (int k = i+1; k < N; ++k) {
193 A[j+k*N] -= A[i+k*N] * f;
201 for (int i = N; i --> 0; ) {
202 for (int j = i; j --> 0; ) {
203 // row j -= row i * (a[j,j] / a[j,i])
204 double f = A[i+j*N] / A[j+j*N];
212 for (int i = 0; i < N; ++i) {
213 x[i] = B[i] / A[i+i*N];
217 // Give an OK starting estimate for the least squares, by numerical integration
218 // of statistical moments.
219 static void estimate_musigma(vector<pair<double, double> > &curve, double &mu_result, double &sigma_result)
221 double h = (curve.back().first - curve.front().first) / (curve.size() - 1);
223 double area = curve.front().second;
224 double ex = curve.front().first * curve.front().second;
225 double ex2 = curve.front().first * curve.front().first * curve.front().second;
227 for (unsigned i = 1; i < curve.size() - 1; i += 2) {
228 double x = curve[i].first;
229 double y = curve[i].second;
232 ex2 += 4.0 * x * x * y;
234 for (unsigned i = 2; i < curve.size() - 1; i += 2) {
235 double x = curve[i].first;
236 double y = curve[i].second;
239 ex2 += 2.0 * x * x * y;
242 area += curve.back().second;
243 ex += curve.back().first * curve.back().second;
244 ex2 += curve.back().first * curve.back().first * curve.back().second;
246 area = (h/3.0) * area;
247 ex = (h/3.0) * ex / area;
248 ex2 = (h/3.0) * ex2 / area;
251 sigma_result = sqrt(ex2 - ex * ex);
254 // Find best fit of the data in curves to a Gaussian pdf, based on the
255 // given initial estimates. Works by nonlinear least squares, iterating
256 // until we're below a certain threshold.
258 // Note that the algorithm blows up quite hard if the initial estimate is
259 // not good enough. Use estimate_musigma to get a reasonable starting
261 static void least_squares(vector<pair<double, double> > &curve, double mu1, double sigma1, double &mu_result, double &sigma_result)
265 double sigma = sigma1;
268 double matA[curve.size() * 3]; // N x 3
269 double dbeta[curve.size()]; // N x 1
271 // A^T * A: 3xN * Nx3 = 3x3
274 // A^T * dβ: 3xN * Nx1 = 3x1
280 //printf("A=%f mu=%f sigma=%f\n", A, mu, sigma);
282 // fill in A (depends only on x_i, A, mu, sigma -- not y_i)
283 for (unsigned i = 0; i < curve.size(); ++i) {
284 double x = curve[i].first;
287 matA[i + 0 * curve.size()] =
288 exp(-(x-mu)*(x-mu)/(2.0*sigma*sigma));
291 matA[i + 1 * curve.size()] =
292 A * (x-mu)/(sigma*sigma) * matA[i + 0 * curve.size()];
295 matA[i + 2 * curve.size()] =
296 matA[i + 1 * curve.size()] * (x-mu)/sigma;
300 for (unsigned i = 0; i < curve.size(); ++i) {
301 double x = curve[i].first;
302 double y = curve[i].second;
304 dbeta[i] = y - A * exp(- (x-mu)*(x-mu)/(2.0*sigma*sigma));
308 mat_mul_trans(matA, curve.size(), 3, matA, curve.size(), 3, matATA);
309 mat_mul_trans(matA, curve.size(), 3, dbeta, curve.size(), 1, matATdb);
312 solve_matrix<3>(matATA, dlambda, matATdb);
318 // terminate when we're down to three digits
319 if (fabs(dlambda[0]) <= 1e-3 && fabs(dlambda[1]) <= 1e-3 && fabs(dlambda[2]) <= 1e-3)
324 sigma_result = sigma;
327 static void compute_new_rating(double mu1, double sigma1, double mu2, double sigma2, int score1, int score2, double &mu, double &sigma)
329 vector<pair<double, double> > curve;
331 if (score1 > score2) {
332 compute_opponent_rating_pdf(score1, score2, mu2, sigma2, -1.0, curve);
334 compute_opponent_rating_pdf(score2, score1, mu2, sigma2, 1.0, curve);
337 // multiply in the gaussian
338 for (unsigned i = 0; i < curve.size(); ++i) {
339 double r1 = curve[i].first;
340 double z = (r1 - mu1) / sigma1;
341 double gaussian = exp(-(z*z/2.0));
342 curve[i].second *= gaussian;
345 double mu_est, sigma_est;
347 estimate_musigma(curve, mu_est, sigma_est);
348 least_squares(curve, mu_est, sigma_est, mu, sigma);
351 static void compute_new_double_rating(double mu1, double sigma1, double mu2, double sigma2, double mu3, double sigma3, double mu4, double sigma4, int score1, int score2, double &mu, double &sigma)
353 vector<pair<double, double> > curve, newcurve;
354 double mu_t = mu3 + mu4;
355 double sigma_t = sqrt(sigma3*sigma3 + sigma4*sigma4);
357 if (score1 > score2) {
358 compute_opponent_rating_pdf(score1, score2, mu_t, sigma_t, -1.0, curve);
360 compute_opponent_rating_pdf(score2, score1, mu_t, sigma_t, 1.0, curve);
364 double h = 3000.0 / curve.size();
365 for (unsigned i = 0; i < curve.size(); ++i) {
368 // could be anything, but this is a nice start
369 //double r1 = curve[i].first;
373 for (unsigned j = 0; j < curve.size(); ++j) {
374 double r1plusr2 = curve[j].first;
375 double r2 = r1plusr2 - r1;
377 double z = (r2 - mu2) / sigma2;
378 double gaussian = exp(-(z*z/2.0));
379 sum += curve[j].second * gaussian;
382 double z = (r1 - mu1) / sigma1;
383 double gaussian = exp(-(z*z/2.0));
384 newcurve.push_back(make_pair(r1, gaussian * sum));
388 double mu_est, sigma_est;
390 estimate_musigma(newcurve, mu_est, sigma_est);
391 least_squares(newcurve, mu_est, sigma_est, mu, sigma);
394 int main(int argc, char **argv)
396 FILE *fp = fopen("fftw-wisdom", "rb");
398 fftw_import_wisdom_from_file(fp);
402 double mu1 = atof(argv[1]);
403 double sigma1 = atof(argv[2]);
404 double mu2 = atof(argv[3]);
405 double sigma2 = atof(argv[4]);
408 double mu3 = atof(argv[5]);
409 double sigma3 = atof(argv[6]);
410 double mu4 = atof(argv[7]);
411 double sigma4 = atof(argv[8]);
412 int score1 = atoi(argv[9]);
413 int score2 = atoi(argv[10]);
415 compute_new_double_rating(mu1, sigma1, mu2, sigma2, mu3, sigma3, mu4, sigma4, score1, score2, mu, sigma);
416 printf("%f %f\n", mu, sigma);
417 } else if (argc > 8) {
418 double mu3 = atof(argv[5]);
419 double sigma3 = atof(argv[6]);
420 double mu4 = atof(argv[7]);
421 double sigma4 = atof(argv[8]);
422 int k = atoi(argv[9]);
424 // assess all possible scores
425 for (int i = 0; i < k; ++i) {
426 double newmu1_1, newmu1_2, newmu2_1, newmu2_2;
427 double newsigma1_1, newsigma1_2, newsigma2_1, newsigma2_2;
428 compute_new_double_rating(mu1, sigma1, mu2, sigma2, mu3, sigma3, mu4, sigma4, k, i, newmu1_1, newsigma1_1);
429 compute_new_double_rating(mu2, sigma2, mu1, sigma1, mu3, sigma3, mu4, sigma4, k, i, newmu1_2, newsigma1_2);
430 compute_new_double_rating(mu3, sigma3, mu4, sigma4, mu1, sigma1, mu2, sigma2, i, k, newmu2_1, newsigma2_1);
431 compute_new_double_rating(mu4, sigma4, mu3, sigma3, mu1, sigma1, mu2, sigma2, i, k, newmu2_2, newsigma2_2);
432 printf("%u-%u,%f,%+f,%+f,%+f,%+f\n",
433 k, i, prob_score(k, i, mu3+mu4-(mu1+mu2)), newmu1_1-mu1, newmu1_2-mu2,
434 newmu2_1-mu3, newmu2_2-mu4);
436 for (int i = k; i --> 0; ) {
437 double newmu1_1, newmu1_2, newmu2_1, newmu2_2;
438 double newsigma1_1, newsigma1_2, newsigma2_1, newsigma2_2;
439 compute_new_double_rating(mu1, sigma1, mu2, sigma2, mu3, sigma3, mu4, sigma4, i, k, newmu1_1, newsigma1_1);
440 compute_new_double_rating(mu2, sigma2, mu1, sigma1, mu3, sigma3, mu4, sigma4, i, k, newmu1_2, newsigma1_2);
441 compute_new_double_rating(mu3, sigma3, mu4, sigma4, mu1, sigma1, mu2, sigma2, k, i, newmu2_1, newsigma2_1);
442 compute_new_double_rating(mu4, sigma4, mu3, sigma3, mu1, sigma1, mu2, sigma2, k, i, newmu2_2, newsigma2_2);
443 printf("%u-%u,%f,%+f,%+f,%+f,%+f\n",
444 i, k, prob_score(k, i, mu1+mu2-(mu3+mu4)), newmu1_1-mu1, newmu1_2-mu2,
445 newmu2_1-mu3, newmu2_2-mu4);
447 } else if (argc > 6) {
448 int score1 = atoi(argv[5]);
449 int score2 = atoi(argv[6]);
451 compute_new_rating(mu1, sigma1, mu2, sigma2, score1, score2, mu, sigma);
452 printf("%f %f\n", mu, sigma);
454 int k = atoi(argv[5]);
456 // assess all possible scores
457 for (int i = 0; i < k; ++i) {
458 double newmu1, newmu2, newsigma1, newsigma2;
459 compute_new_rating(mu1, sigma1, mu2, sigma2, k, i, newmu1, newsigma1);
460 compute_new_rating(mu2, sigma2, mu1, sigma1, i, k, newmu2, newsigma2);
461 printf("%u-%u,%f,%+f,%+f\n",
462 k, i, prob_score(k, i, mu2-mu1), newmu1-mu1, newmu2-mu2);
464 for (int i = k; i --> 0; ) {
465 double newmu1, newmu2, newsigma1, newsigma2;
466 compute_new_rating(mu1, sigma1, mu2, sigma2, i, k, newmu1, newsigma1);
467 compute_new_rating(mu2, sigma2, mu1, sigma1, k, i, newmu2, newsigma2);
468 printf("%u-%u,%f,%+f,%+f\n",
469 i, k, prob_score(k, i, mu1-mu2), newmu1-mu1, newmu2-mu2);
473 fp = fopen("fftw-wisdom", "wb");
475 fftw_export_wisdom_to_file(fp);