import os, sys

# Windows DLL fix for conda environments
conda_lib = os.path.join(os.environ.get('CONDA_PREFIX', ''), 'Library', 'bin')
if os.path.isdir(conda_lib) and conda_lib not in os.environ.get('PATH', ''):
    os.environ['PATH'] = conda_lib + ';' + os.environ.get('PATH', '')

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from scipy.stats import multivariate_normal as mvn_dist

sys.path.insert(0, r'c:\Users\user\project')
from constrained_lm_gibbs import (
    compute_posterior, ghk_prob, constrained_gibbs, posterior_summary
)
print('Import OK')

Import OK

rng1 = np.random.default_rng(0)
n      = 25
k1     = 2
beta_t = np.array([0.5, 0.4])
sigma2 = 1.0
X1 = np.column_stack([np.ones(n), rng1.standard_normal(n)])
y1 = X1 @ beta_t + rng1.standard_normal(n)

bbar1, Bbar1 = compute_posterior(y1, X1, sigma2)
print(f'Unconstrained posterior mean: {bbar1.round(4)}')
print(f'Posterior covariance:\n{Bbar1.round(4)}')

# Analytical p_{2|1} = P(β > 0) where β ~ N(bbar, Bbar)
# P(β > 0) = P(-β ≤ 0) with -β ~ N(-bbar, Bbar)
p_analytical = float(mvn_dist(mean=-bbar1, cov=Bbar1).cdf(np.zeros(k1)))
print(f'\nAnalytical p_{{2|1}} = {p_analytical:.6f}')

# GHK estimate (q=2: both β_j > 0)
D1 = np.eye(k1)
a1 = np.zeros(k1)
w1 = np.full(k1, np.inf)
est, se = ghk_prob(a1, w1, D1, bbar1, Bbar1, M=30000, seed=1)
diff = abs(est - p_analytical)
print(f'GHK estimate:         {est:.6f}  (se = {se:.6f})')
print(f'Difference from analytical: {diff:.2e}  ({diff/se:.1f} SE)')

Unconstrained posterior mean: [0.8289 0.3651]
Posterior covariance:
[[0.0403 0.004 ]
 [0.004  0.0547]]

Analytical p_{2|1} = 0.940726
GHK estimate:         0.940705  (se = 0.000058)
Difference from analytical: 2.18e-05  (0.4 SE)

out1 = constrained_gibbs(
    y1, X1, D1, a1, w1,
    sigma2=sigma2, R=12000, burn=2000, seed=2, nprint=0
)

beta_c1 = out1['beta']
print(f'Constrained posterior means: {beta_c1.mean(0).round(4)}')
print(f'Constrained posterior SDs:   {beta_c1.std(0).round(4)}')
print(f'All draws satisfy beta>0: {(beta_c1 > 0).all()}')
print(f'True beta: {beta_t}')

out1u = constrained_gibbs(
    y1, X1, np.zeros((0, k1)), np.array([]), np.array([]),
    sigma2=sigma2, R=12000, burn=2000, seed=2, nprint=0
)
print(f'\nUnconstrained posterior means: {out1u["beta"].mean(0).round(4)}')
print(f'Unconstrained posterior SDs:   {out1u["beta"].std(0).round(4)}')

Done in 0.0 min  |  kept draws: 10000
Constrained posterior means: [0.8313 0.3942]
Constrained posterior SDs:   [0.2007 0.2087]
All draws satisfy beta>0: True
True beta: [0.5 0.4]
Done in 0.0 min  |  kept draws: 10000

Unconstrained posterior means: [0.8291 0.3647]
Unconstrained posterior SDs:   [0.2009 0.2352]

fig, axes = plt.subplots(1, k1, figsize=(10, 3.5))
for j, ax in enumerate(axes):
    all_vals = np.concatenate([beta_c1[:, j], out1u['beta'][:, j]])
    bins = np.linspace(all_vals.min(), all_vals.max(), 60)
    ax.hist(out1u['beta'][:, j], bins=bins, density=True, alpha=0.4,
            label='Unconstrained', color='steelblue')
    ax.hist(beta_c1[:, j], bins=bins, density=True, alpha=0.6,
            label='Constrained (β>0)', color='orange')
    ax.axvline(beta_t[j], color='k', ls='--', label=f'True β = {beta_t[j]}')
    ax.axvline(0, color='red', ls=':', lw=1.5, label='Constraint boundary')
    ax.set_xlabel(f'β[{j}]'); ax.set_ylabel('Density')
    ax.legend(fontsize=8)
fig.suptitle('§1 — Constrained vs unconstrained posterior (both β_j > 0)')
plt.tight_layout(); plt.show()

# GHK Monte-Carlo convergence: estimate +/- 2*SE vs number of draws M -> analytic p_{2|1}
Ms = np.unique(np.logspace(2, 4.7, 24).astype(int))
ev, sv = [], []
for M in Ms:
    e_, s_ = ghk_prob(a1, w1, D1, bbar1, Bbar1, M=int(M), seed=7)
    ev.append(e_); sv.append(s_)
ev, sv = np.array(ev), np.array(sv)
fig, ax = plt.subplots(figsize=(8, 4))
ax.fill_between(Ms, ev-2*sv, ev+2*sv, color='steelblue', alpha=.25, label='+/- 2 SE')
ax.plot(Ms, ev, color='steelblue', lw=1.3, marker='o', ms=3, label='GHK estimate')
ax.axhline(p_analytical, color='firebrick', ls='--', lw=1.5, label=f'analytic p = {p_analytical:.4f}')
ax.set_xscale('log'); ax.set_xlabel('GHK draws M'); ax.set_ylabel(r'$p_{2|1}$ estimate')
ax.set_title('GHK converges to the analytic probability (SE shrinks like 1/sqrt(M))'); ax.legend(fontsize=8)
plt.tight_layout(); plt.savefig('constrained_ghk_conv.png', dpi=120, bbox_inches='tight'); plt.show()

import time

# ── Generate data ─────────────────────────────────────────────────────────────
rng2 = np.random.default_rng(100)
n_e, k_e  = 50, 4
beta_t_e  = np.array([1.5,  0.28, -0.18,  0.80])  # β[1] modest, β[2] slightly negative
sigma2_e  = 2.0
X_e = np.column_stack([np.ones(n_e), rng2.standard_normal((n_e, k_e - 1))])
y_e = X_e @ beta_t_e + np.sqrt(sigma2_e) * rng2.standard_normal(n_e)

bbar_e, Bbar_e = compute_posterior(y_e, X_e, sigma2_e)
se_e   = np.sqrt(np.diag(Bbar_e))
names_e = [f'β[{j}]' for j in range(k_e)]

print('Unconstrained posterior:')
for nm, b, s in zip(names_e, bbar_e, se_e):
    print(f'  {nm}: mean={b:6.3f}  sd={s:.3f}')

# Constraints: β[1] > 0 and β[2] > 0
D_e = np.eye(k_e)[1:3]    # rows 1 and 2 of identity matrix
a_e = np.zeros(2)
w_e = np.full(2, np.inf)

est_e, se_e_ghk = ghk_prob(a_e, w_e, D_e, bbar_e, Bbar_e, M=50000, seed=101)
print(f'\nGHK p_{{2|1}} = {est_e:.4f}  (se={se_e_ghk:.4f})')
print(f'Expected draws needed per accepted sample: ~{1/est_e:.1f}')

Unconstrained posterior:
  β[0]: mean= 1.644  sd=0.206
  β[1]: mean= 0.208  sd=0.245
  β[2]: mean= 0.064  sd=0.195
  β[3]: mean= 0.815  sd=0.219

GHK p_{2|1} = 0.5236  (se=0.0002)
Expected draws needed per accepted sample: ~1.9

# ── Gibbs ─────────────────────────────────────────────────────────────────────
t0 = time.time()
out_e_gibbs = constrained_gibbs(y_e, X_e, D_e, a_e, w_e,
                                 sigma2=sigma2_e, R=15000, burn=3000,
                                 seed=102, nprint=0)
t_gibbs = time.time() - t0
n_gibbs = out_e_gibbs['beta'].shape[0]

# ── Rejection sampling from unconstrained posterior ───────────────────────────
rng_rs = np.random.default_rng(103)
M_rs   = 300_000
t0 = time.time()
draws_rs = rng_rs.multivariate_normal(bbar_e, Bbar_e, M_rs)
Db_rs    = draws_rs @ D_e.T        # D_e selects β[1] and β[2]
mask_rs  = ((Db_rs >= a_e) & (Db_rs <= w_e)).all(axis=1)
t_rs     = time.time() - t0
accepted_rs = draws_rs[mask_rs]
n_rs = len(accepted_rs)

print(f'Gibbs:              {n_gibbs:6,} draws   in {t_gibbs:.2f}s')
print(f'Rejection sampling: {n_rs:6,} accepted / {M_rs:,} drawn  in {t_rs:.2f}s')
print(f'  acceptance rate = {mask_rs.mean():.4f}  (GHK: {est_e:.4f})')

# ── Compare posterior summaries ────────────────────────────────────────────────
summ_g = posterior_summary(out_e_gibbs['beta'], names_e)
summ_r = posterior_summary(accepted_rs, names_e)
comp   = summ_g[['mean', 'sd']].copy()
comp.columns = ['Gibbs_mean', 'Gibbs_sd']
comp['RS_mean'] = summ_r['mean']
comp['RS_sd']   = summ_r['sd']
comp['|diff|']  = (comp['Gibbs_mean'] - comp['RS_mean']).abs()
print('\nPosterior comparison — both methods should agree:')
print(comp.round(4))
print(f'\nMax |mean difference|: {comp["|diff|"].max():.4f}  '
      f'(≈ {comp["|diff|"].max()/summ_g["sd"].mean():.2f} posterior SDs)')

Done in 0.0 min  |  kept draws: 12000
Gibbs:              12,000 draws   in 0.70s
Rejection sampling: 157,199 accepted / 300,000 drawn  in 0.02s
  acceptance rate = 0.5240  (GHK: 0.5236)

Posterior comparison — both methods should agree:
      Gibbs_mean  Gibbs_sd  RS_mean   RS_sd  |diff|
β[0]      1.6322    0.2053   1.6317  0.2051  0.0005
β[1]      0.3060    0.1902   0.3073  0.1913  0.0013
β[2]      0.1843    0.1309   0.1866  0.1318  0.0023
β[3]      0.8071    0.2183   0.8034  0.2176  0.0037

Max |mean difference|: 0.0037  (≈ 0.02 posterior SDs)

fig, axes = plt.subplots(2, k_e, figsize=(14, 6))
for j in range(k_e):
    # Row 0: both methods overlaid
    ax = axes[0, j]
    vals = np.concatenate([out_e_gibbs['beta'][:, j], accepted_rs[:, j]])
    bins = np.linspace(np.percentile(vals, 0.5), np.percentile(vals, 99.5), 50)
    ax.hist(accepted_rs[:, j], bins=bins, density=True, alpha=0.5,
            color='steelblue', label=f'Rejection (n={n_rs:,})')
    ax.hist(out_e_gibbs['beta'][:, j], bins=bins, density=True, alpha=0.5,
            color='orange', label=f'Gibbs (n={n_gibbs:,})')
    ax.axvline(beta_t_e[j], color='k', ls='--', lw=1.5)
    if j in (1, 2):
        ax.axvline(0, color='red', ls=':', lw=1.5)
    ax.set_title(names_e[j], fontsize=9)
    ax.legend(fontsize=7)
    # Row 1: difference in densities (Gibbs − rejection) via KDE bins
    ax2 = axes[1, j]
    ax2.bar(bins[:-1], np.histogram(out_e_gibbs['beta'][:, j], bins=bins, density=True)[0]
                      - np.histogram(accepted_rs[:, j], bins=bins, density=True)[0],
            width=np.diff(bins), align='edge', color='gray', alpha=0.7)
    ax2.axhline(0, color='k', lw=0.8)
    ax2.set_title(f'Gibbs − Rejection  [{names_e[j]}]', fontsize=8)

axes[0, 0].set_ylabel('Density')
axes[1, 0].set_ylabel('Density diff')
fig.suptitle(
    f'§2 Easy (p_{{2|1}} = {est_e:.3f}): Gibbs and rejection sampling agree\n'
    f'Both constraints: β[1]>0 and β[2]>0',
    fontsize=10
)
plt.tight_layout(); plt.show()

# Geometry of truncation: feasible region + a truncated marginal  (section-2 design, coefs b1,b2)
from scipy.stats import norm
from matplotlib.patches import Rectangle
unc = draws_rs[:, 1:3]                       # unconstrained posterior draws (b1, b2)
con = out_e_gibbs['beta'][:, 1:3]            # constrained Gibbs draws
ru = np.random.default_rng(0)
iu = ru.choice(len(unc), 4000, replace=False); ic = ru.choice(len(con), 4000, replace=False)
fig, ax = plt.subplots(1, 2, figsize=(13, 5))
xl = (np.percentile(unc[:,0],0.5), np.percentile(unc[:,0],99.5))
yl = (np.percentile(unc[:,1],0.5), np.percentile(unc[:,1],99.5))
ax[0].add_patch(Rectangle((0,0), xl[1], yl[1], color='green', alpha=.08, zorder=0, label='feasible region (b1>0, b2>0)'))
ax[0].scatter(unc[iu,0], unc[iu,1], s=5, alpha=.12, color='steelblue', label='unconstrained')
ax[0].scatter(con[ic,0], con[ic,1], s=5, alpha=.22, color='orange', label='constrained')
ax[0].axhline(0, color='red', ls=':'); ax[0].axvline(0, color='red', ls=':')
ax[0].scatter(beta_t_e[1], beta_t_e[2], color='black', marker='*', s=160, zorder=6, label='true beta (b2<0, infeasible)')
ax[0].set_xlim(xl); ax[0].set_ylim(yl); ax[0].set_xlabel('b[1]'); ax[0].set_ylabel('b[2]')
ax[0].set_title('Posterior clipped to the feasible region'); ax[0].legend(fontsize=8, loc='upper left')
m2, s2 = bbar_e[2], np.sqrt(Bbar_e[2,2]); g = np.linspace(m2-4*s2, m2+4*s2, 400)
ax[1].plot(g, norm.pdf(g, m2, s2), color='steelblue', lw=2, label='unconstrained N')
ax[1].fill_between(g[g<0], norm.pdf(g[g<0], m2, s2), color='red', alpha=.22, label='removed mass (b2<0)')
ax[1].hist(con[:,1], bins=60, density=True, alpha=.5, color='orange', label='constrained (truncated)')
ax[1].axvline(0, color='red', ls=':'); ax[1].axvline(beta_t_e[2], color='k', ls='--', label=f'true b2={beta_t_e[2]}')
ax[1].set_xlabel('b[2]'); ax[1].set_ylabel('density'); ax[1].set_title('Truncation of b[2]: mass below 0 removed, mean pushed up'); ax[1].legend(fontsize=8)
plt.tight_layout(); plt.savefig('constrained_geom.png', dpi=120, bbox_inches='tight'); plt.show()

# ── Generate data ─────────────────────────────────────────────────────────────
rng_h = np.random.default_rng(200)
n_h, k_h = 100, 5
beta_t_h  = np.array([2.0, 1.0, 0.5, 0.3, 1.5])
sigma2_h  = 1.0
X_h = np.column_stack([np.ones(n_h), rng_h.standard_normal((n_h, k_h - 1))])
y_h = X_h @ beta_t_h + rng_h.standard_normal(n_h)

bbar_h, Bbar_h = compute_posterior(y_h, X_h, sigma2_h)
sd_h   = np.sqrt(np.diag(Bbar_h))
names_h = [f'β[{j}]' for j in range(k_h)]

# ── Tight constraints: lower bound = posterior mean + 1.2 SD for β[1..4] ─────
# Each marginal P(β[j] > bound) ≈ Φ(-1.2) ≈ 0.115; joint ≈ 0.115^4 ≈ 1.75e-4
D_h = np.eye(k_h)[1:]              # constrain β[1], β[2], β[3], β[4]
a_h = bbar_h[1:] + 1.2 * sd_h[1:] # tight lower bounds
w_h = np.full(k_h - 1, np.inf)

print('Unconstrained posterior:')
for nm, b, s in zip(names_h, bbar_h, sd_h):
    print(f'  {nm}: mean={b:.3f}  sd={s:.3f}')

print('\nIndividual constraint probabilities:')
for i in range(k_h - 1):
    Di = D_h[i:i+1]; ai = a_h[i:i+1]; wi = w_h[i:i+1]
    ei, _ = ghk_prob(ai, wi, Di, bbar_h, Bbar_h, M=50000, seed=210 + i)
    print(f'  P(β[{i+1}] > {a_h[i]:.3f}) = {ei:.4f}  (≈ Φ(-1.2) = 0.115)')

est_h, se_h = ghk_prob(a_h, w_h, D_h, bbar_h, Bbar_h, M=200000, seed=219)
print(f'\nGHK joint p_{{2|1}} = {est_h:.2e}  (se={se_h:.2e})')
print(f'Expected draws per accepted sample: ~{1/est_h:,.0f}')

Unconstrained posterior:
  β[0]: mean=2.051  sd=0.103
  β[1]: mean=1.076  sd=0.106
  β[2]: mean=0.733  sd=0.109
  β[3]: mean=0.348  sd=0.096
  β[4]: mean=1.544  sd=0.093

Individual constraint probabilities:
  P(β[1] > 1.203) = 0.1151  (≈ Φ(-1.2) = 0.115)
  P(β[2] > 0.863) = 0.1151  (≈ Φ(-1.2) = 0.115)
  P(β[3] > 0.463) = 0.1151  (≈ Φ(-1.2) = 0.115)
  P(β[4] > 1.655) = 0.1151  (≈ Φ(-1.2) = 0.115)

GHK joint p_{2|1} = 3.88e-04  (se=1.12e-07)
Expected draws per accepted sample: ~2,576

# ── Gibbs sampler ─────────────────────────────────────────────────────────────
t0 = time.time()
out_h_gibbs = constrained_gibbs(y_h, X_h, D_h, a_h, w_h,
                                 sigma2=sigma2_h, R=18000, burn=3000,
                                 seed=220, nprint=0)
t_gibbs_h = time.time() - t0
n_gibbs_h = out_h_gibbs['beta'].shape[0]

# ── Rejection sampling with fixed budget ──────────────────────────────────────
rng_rs_h = np.random.default_rng(221)
M_rs_h   = 1_000_000
t0 = time.time()
draws_rs_h = rng_rs_h.multivariate_normal(bbar_h, Bbar_h, M_rs_h)
# D_h = I[1:], so D_h @ beta = beta[:,1:]; check >= a_h
mask_rs_h  = (draws_rs_h[:, 1:] >= a_h).all(axis=1)
t_rs_h     = time.time() - t0
accepted_rs_h = draws_rs_h[mask_rs_h]
n_rs_h = len(accepted_rs_h)

print(f'Gibbs:             {n_gibbs_h:6,} draws   in {t_gibbs_h:.2f}s')
print(f'Rejection sampling:{n_rs_h:6,} accepted / {M_rs_h:,} drawn  in {t_rs_h:.2f}s')
print(f'  acceptance rate = {mask_rs_h.mean():.2e}  (GHK estimate: {est_h:.2e})')
print(f'\nTo match Gibbs ({n_gibbs_h:,} draws), rejection sampling would need')
print(f'  ≈ {int(n_gibbs_h / est_h):,} total draws  '
      f'({int(n_gibbs_h / est_h / M_rs_h)}× our budget of {M_rs_h:,})')

print('\nConstrained posterior (Gibbs, §3 hard):')
print(posterior_summary(out_h_gibbs['beta'], names_h))

Done in 0.0 min  |  kept draws: 15000
Gibbs:             15,000 draws   in 1.30s
Rejection sampling:   369 accepted / 1,000,000 drawn  in 0.07s
  acceptance rate = 3.69e-04  (GHK estimate: 3.88e-04)

To match Gibbs (15,000 draws), rejection sampling would need
  ≈ 38,639,035 total draws  (38× our budget of 1,000,000)

Constrained posterior (Gibbs, §3 hard):
        mean      sd    q025    q975
β[0]  2.1052  0.1014  1.9060  2.3051
β[1]  1.2595  0.0478  1.2044  1.3781
β[2]  0.9215  0.0496  0.8651  1.0471
β[3]  0.5124  0.0415  0.4647  0.6167
β[4]  1.7042  0.0415  1.6566  1.8083

fig, axes = plt.subplots(1, k_h, figsize=(15, 3.5))
for j, ax in enumerate(axes):
    bg = out_h_gibbs['beta'][:, j]
    ax.hist(bg, bins=50, density=True, color='orange', alpha=0.7,
            label=f'Gibbs (n={n_gibbs_h:,})')
    if n_rs_h > 50:
        ax.hist(accepted_rs_h[:, j], bins=25, density=True,
                color='steelblue', alpha=0.5, label=f'Rejection (n={n_rs_h})')
    ax.axvline(beta_t_h[j], color='k', ls='--', lw=1.5, label=f'True={beta_t_h[j]}')
    if j > 0:
        ax.axvline(a_h[j - 1], color='red', ls=':', lw=1.5,
                   label=f'Bound={a_h[j-1]:.2f}')
    ax.set_title(names_h[j]); ax.legend(fontsize=6)

fig.suptitle(
    f'§3 Hard (p_{{2|1}} = {est_h:.1e}) — '
    f'Gibbs: {n_gibbs_h:,} draws   Rejection: {n_rs_h} accepted from {M_rs_h:,}',
    fontsize=10
)
plt.tight_layout(); plt.show()

# Why Gibbs is essential: rejection cost explodes as the feasible region shrinks (reuse section-3 design)
cs = np.linspace(0.0, 3.0, 16); pc = []
for c in cs:
    a_c = bbar_h[1:] + c*sd_h[1:]
    e_, _ = ghk_prob(a_c, w_h, D_h, bbar_h, Bbar_h, M=60000, seed=300)
    pc.append(max(e_, 1e-12))
pc = np.array(pc)
fig, ax = plt.subplots(1, 2, figsize=(13, 4.3))
ax[0].plot(cs, pc, 'o-', color='steelblue'); ax[0].set_yscale('log')
ax[0].set_xlabel('constraint tightness c  (lower bound = mean + c*SD on all 4 coefs)'); ax[0].set_ylabel(r'$p_{2|1}$  (accept prob)')
ax[0].set_title('Feasible-region probability shrinks geometrically')
ax[1].plot(cs, 1/pc, 'o-', color='firebrick', label='rejection: draws per usable sample (1/p)')
ax[1].axhline(1, color='black', ls='--', label='Gibbs: 1 (always accepts)')
ax[1].set_yscale('log'); ax[1].set_xlabel('constraint tightness c'); ax[1].set_ylabel('draws needed per usable sample')
ax[1].set_title('Rejection cost explodes; Gibbs stays flat'); ax[1].legend(fontsize=8)
plt.tight_layout(); plt.savefig('constrained_efficiency.png', dpi=120, bbox_inches='tight'); plt.show()

import time, pandas as pd

# ── Load and clean ────────────────────────────────────────────────────────────
col_names = [
    'symboling','norm_losses','make','fuel_type','aspiration','num_doors',
    'body_style','drive_wheels','engine_location','wheel_base','length',
    'width','height','curb_weight','engine_type','num_cylinders',
    'engine_size','fuel_system','bore','stroke','compression_ratio',
    'horsepower','peak_rpm','city_mpg','highway_mpg','price'
]
data_path = r'c:\Users\user\project\auto_imports85.csv'
df = pd.read_csv(data_path, header=None, names=col_names, na_values='?')

numeric = ['price','engine_size','horsepower','curb_weight','city_mpg',
           'wheel_base','length','width','bore','stroke','compression_ratio']
df2 = df[numeric].dropna().copy()
print(f'Rows after dropping missing: {len(df2)} / {len(df)}')

# Log-transform price and size-related regressors
for c in ['price','engine_size','horsepower','curb_weight','city_mpg',
          'wheel_base','length','width']:
    df2[f'log_{c}'] = np.log(df2[c])

# Design matrix: k=11 (intercept + 10 regressors, matching Geweke's automobile example)
xcols = ['log_engine_size','log_horsepower','log_curb_weight','log_city_mpg',
         'log_wheel_base','log_length','log_width','bore','stroke','compression_ratio']
param_names = ['intercept'] + xcols

y_auto = df2['log_price'].values
X_auto = np.column_stack([np.ones(len(df2))] + [df2[c].values for c in xcols])
n_auto, k_auto = X_auto.shape
print(f'Design matrix: n={n_auto}, k={k_auto}')
print(f'log-price range: [{y_auto.min():.3f}, {y_auto.max():.3f}]  (price ${np.exp(y_auto.min()):.0f}–${np.exp(y_auto.max()):.0f})')

Rows after dropping missing: 195 / 205
Design matrix: n=195, k=11
log-price range: [8.541, 10.723]  (price $5118–$45400)

# ── OLS and unconstrained posterior ──────────────────────────────────────────
beta_ols = np.linalg.lstsq(X_auto, y_auto, rcond=None)[0]
resid_ols = y_auto - X_auto @ beta_ols
sigma2_ols = float(resid_ols @ resid_ols) / (n_auto - k_auto)

bbar_auto, Bbar_auto = compute_posterior(y_auto, X_auto, sigma2_ols)
se_auto = np.sqrt(np.diag(Bbar_auto))

print('OLS estimates (= unconstrained posterior mean at sigma2_ols):')
print(f'{"Parameter":28s} {"Estimate":>9s}  {"SE":>7s}  {"t-stat":>7s}')
print('-' * 58)
for nm, b, s in zip(param_names, beta_ols, se_auto):
    print(f'{nm:28s} {b:9.4f}  {s:7.4f}  {b/s:7.2f}')
print(f'\nsigma (RMSE) = {np.sqrt(sigma2_ols):.4f}  '
      f'(R² = {1 - sigma2_ols*(n_auto-k_auto)/np.var(y_auto, ddof=1)/n_auto:.4f})')

# ── Constraint matrix: 7 economic sign restrictions ───────────────────────────
# Rows: engine_size>0, horsepower>0, curb_weight>0, city_mpg<0,
#       bore>0, stroke>0, compression_ratio>0
D_auto  = np.zeros((7, k_auto))
D_auto[0, 1] = 1;  D_auto[1, 2] = 1;  D_auto[2, 3] = 1
D_auto[3, 4] = 1   # city_mpg constraint: Dβ < 0  → upper bound = 0
D_auto[4, 8] = 1;  D_auto[5, 9] = 1;  D_auto[6, 10] = 1

a_auto = np.array([0,  0,  0, -np.inf, 0,  0,  0])
w_auto = np.array([np.inf, np.inf, np.inf, 0, np.inf, np.inf, np.inf])

print('\nConstraint satisfaction at OLS:')
clabels = ['engine_size>0','horsepower>0','curb_weight>0',
           'city_mpg<0','bore>0','stroke>0','compression>0']
Db = D_auto @ beta_ols
ok = (Db >= a_auto) & (Db <= w_auto)
for lbl, d, satisfied in zip(clabels, Db, ok):
    print(f'  {lbl:20s}: Dβ = {d:7.4f}   {"OK" if satisfied else "VIOLATED ✗"}')

OLS estimates (= unconstrained posterior mean at sigma2_ols):
Parameter                     Estimate       SE   t-stat
----------------------------------------------------------
intercept                      -3.9373   3.3295    -1.18
log_engine_size                 0.4780   0.1295     3.69
log_horsepower                  0.4470   0.1167     3.83
log_curb_weight                 0.2777   0.2655     1.05
log_city_mpg                   -0.5156   0.1859    -2.77
log_wheel_base                  0.2830   0.5203     0.54
log_length                      0.0651   0.5245     0.12
log_width                       1.7402   0.9435     1.84
bore                           -0.0956   0.0689    -1.39
stroke                         -0.1369   0.0466    -2.94
compression_ratio               0.0255   0.0053     4.82

sigma (RMSE) = 0.1789  (R² = 0.8834)

Constraint satisfaction at OLS:
  engine_size>0       : Dβ =  0.4780   OK
  horsepower>0        : Dβ =  0.4470   OK
  curb_weight>0       : Dβ =  0.2777   OK
  city_mpg<0          : Dβ = -0.5156   OK
  bore>0              : Dβ = -0.0956   VIOLATED ✗
  stroke>0            : Dβ = -0.1369   VIOLATED ✗
  compression>0       : Dβ =  0.0255   OK

# ── GHK: p_{2|1} and comparison to accept-reject ─────────────────────────────
print('Individual constraint probabilities (marginal, at sigma2_ols):')
clabels = ['engine_size>0','horsepower>0','curb_weight>0',
           'city_mpg<0','bore>0','stroke>0','compression>0']
for i, lbl in enumerate(clabels):
    e, _ = ghk_prob(a_auto[i:i+1], w_auto[i:i+1],
                    D_auto[i:i+1], bbar_auto, Bbar_auto, M=50000, seed=70+i)
    print(f'  P({lbl:20s}) = {e:.4f}')

t0 = time.time()
est_auto, se_auto_ghk = ghk_prob(a_auto, w_auto, D_auto,
                                  bbar_auto, Bbar_auto, M=100000, seed=77)
t_ghk = time.time() - t0
print(f'\nGHK joint p_{{2|1}} = {est_auto:.2e}  (se = {se_auto_ghk:.2e},  time = {t_ghk:.2f}s)')

# Crude accept-reject for comparison
rng_ar = np.random.default_rng(78)
t0 = time.time()
M_ar = 500_000
draws_ar = rng_ar.multivariate_normal(bbar_auto, Bbar_auto, M_ar)
Db_ar = draws_ar @ D_auto.T
acc = ((Db_ar >= a_auto) & (Db_ar <= w_auto)).all(axis=1)
p_ar = acc.mean()
se_ar = np.sqrt(p_ar*(1-p_ar)/M_ar)
t_ar = time.time() - t0
print(f'Accept-reject    p_{{2|1}} = {p_ar:.2e}  (se = {se_ar:.2e},  time = {t_ar:.2f}s,  M={M_ar:,})')
print(f'\nExpected draws needed per constrained sample: ~{1/est_auto:,.0f}')

Individual constraint probabilities (marginal, at sigma2_ols):
  P(engine_size>0       ) = 0.9999
  P(horsepower>0        ) = 0.9999
  P(curb_weight>0       ) = 0.8522
  P(city_mpg<0          ) = 0.9972
  P(bore>0              ) = 0.0825
  P(stroke>0            ) = 0.0016
  P(compression>0       ) = 1.0000

GHK joint p_{2|1} = 4.17e-04  (se = 3.83e-06,  time = 0.03s)
Accept-reject    p_{2|1} = 3.80e-04  (se = 2.76e-05,  time = 0.07s,  M=500,000)

Expected draws needed per constrained sample: ~2,400

# ── Constrained Gibbs sampler (sigma2 estimated jointly) ─────────────────────
t0 = time.time()
out_auto_c = constrained_gibbs(
    y_auto, X_auto, D_auto, a_auto, w_auto,
    sigma2=None, a0=3.0, s0=3.0 * sigma2_ols,
    R=20000, burn=5000, seed=80, nprint=5000
)
t_gibbs = time.time() - t0

# Unconstrained Gibbs for comparison
out_auto_u = constrained_gibbs(
    y_auto, X_auto, np.zeros((0, k_auto)), np.array([]), np.array([]),
    sigma2=None, a0=3.0, s0=3.0 * sigma2_ols,
    R=20000, burn=5000, seed=80, nprint=0
)

print(f'\nGibbs time: {t_gibbs:.1f}s  |  kept draws: {out_auto_c["beta"].shape[0]}')

# Verify constraints satisfied in all draws
Db_draws = out_auto_c['beta'] @ D_auto.T
n_viol = (~((Db_draws >= a_auto) & (Db_draws <= w_auto))).any(axis=1).sum()
print(f'Constraint violations: {n_viol} / {out_auto_c["beta"].shape[0]}')

print('\nPosterior summary — constrained:')
summ_c = posterior_summary(out_auto_c['beta'], param_names)
summ_u = posterior_summary(out_auto_u['beta'], param_names)
summ_c['mean_unconstrained'] = summ_u['mean']
print(summ_c[['mean','mean_unconstrained','sd','q025','q975']])

  Iter  5000/20000  (0.8s elapsed)

  Iter 10000/20000  (1.5s elapsed)

  Iter 15000/20000  (2.3s elapsed)

  Iter 20000/20000  (3.0s elapsed)
Done in 0.1 min  |  kept draws: 15000

Done in 0.0 min  |  kept draws: 15000

Gibbs time: 3.0s  |  kept draws: 15000
Constraint violations: 0 / 15000

Posterior summary — constrained:
                     mean  mean_unconstrained      sd    q025    q975
intercept         -3.3908             -2.8729  0.4998 -4.2485 -2.4830
log_engine_size    0.3435              0.4767  0.1303  0.1222  0.6458
log_horsepower     0.3518              0.3787  0.1137  0.1373  0.5732
log_curb_weight    0.3186              0.3168  0.0914  0.1193  0.4640
log_city_mpg      -0.6328             -0.5939  0.0757 -0.7657 -0.4886
log_wheel_base     0.1232              0.1633  0.1494 -0.1004  0.3834
log_length         0.1240              0.0486  0.2215 -0.2941  0.4774
log_width          1.7618              1.6793  0.2699  1.2973  2.3095
bore               0.0388             -0.0838  0.0329  0.0016  0.1176
stroke             0.0164             -0.1226  0.0152  0.0004  0.0570
compression_ratio  0.0241              0.0258  0.0040  0.0164  0.0319

# ── Compare constrained vs unconstrained posteriors ───────────────────────────
highlight = ['log_engine_size','log_horsepower','log_curb_weight',
             'log_city_mpg','bore','stroke','compression_ratio']
hi_idx    = [xcols.index(c) + 1 for c in highlight]   # +1 for intercept offset
hi_labels = ['log(engine-size)','log(horsepower)','log(curb-weight)',
             'log(city-mpg)','bore','stroke','compression-ratio']

fig, axes = plt.subplots(2, 4, figsize=(16, 7))
for ax, j, lbl in zip(axes.flat, hi_idx, hi_labels):
    bc = out_auto_c['beta'][:, j]
    bu = out_auto_u['beta'][:, j]
    all_v = np.concatenate([bc, bu])
    bins  = np.linspace(np.percentile(all_v, 0.5), np.percentile(all_v, 99.5), 60)
    ax.hist(bu, bins=bins, density=True, alpha=0.4, color='steelblue', label='Unconstrained')
    ax.hist(bc, bins=bins, density=True, alpha=0.6, color='orange',    label='Constrained')
    ax.axvline(0, color='red', ls=':', lw=1.2)
    ax.set_title(lbl, fontsize=9)
    ax.legend(fontsize=7)
axes.flat[-1].set_visible(False)   # hide unused 8th panel
fig.suptitle(
    f'§4 — UCI Autos: constrained vs unconstrained posterior\n'
    f'$p_{{2|1}}$ = {est_auto:.1e}  (bore and stroke constraints drive the gap)',
    fontsize=11
)
plt.tight_layout(); plt.show()

# ── Simulation study: 95% CrI coverage over 30 replications ──────────────────
# True β must lie INSIDE the constraint region (β[1]>0, β[2]>0) for coverage
# to be well-defined. We use a separate β_cov that satisfies all constraints.
# The §2 β_true was chosen to create a binding constraint for the comparison
# demo; it is not suitable here because β_true[2] = -0.18 < 0.

beta_cov_true = np.array([1.5, 0.30, 0.20, 0.80])   # both β[1],β[2] > 0

N_SIM = 30
R_sim, burn_sim = 8000, 2000
covered = np.zeros((N_SIM, k_e), dtype=bool)
lo_all = np.zeros((N_SIM, k_e)); hi_all = np.zeros((N_SIM, k_e))

print(f'Running {N_SIM} coverage replications (k={k_e}, n={n_e}, sigma2={sigma2_e})')
print(f'True β: {beta_cov_true}  (all constraints satisfied)')
t0 = time.time()
for s in range(N_SIM):
    rng_s = np.random.default_rng(1000 + s)
    X_s   = np.column_stack([np.ones(n_e), rng_s.standard_normal((n_e, k_e - 1))])
    y_s   = X_s @ beta_cov_true + np.sqrt(sigma2_e) * rng_s.standard_normal(n_e)

    out_s = constrained_gibbs(y_s, X_s, D_e, a_e, w_e,
                               sigma2=sigma2_e, R=R_sim, burn=burn_sim,
                               seed=2000 + s, nprint=0)
    lo_s = np.quantile(out_s['beta'], 0.025, axis=0)
    hi_s = np.quantile(out_s['beta'], 0.975, axis=0)
    covered[s] = (beta_cov_true >= lo_s) & (beta_cov_true <= hi_s)
    lo_all[s] = lo_s; hi_all[s] = hi_s
    if (s + 1) % 10 == 0:
        print(f'  {s+1}/{N_SIM}  ({time.time()-t0:.1f}s)')

cov_rate = covered.mean(axis=0)
se_cov   = np.sqrt(cov_rate * (1 - cov_rate) / N_SIM)
print('\n95% CrI coverage rates (target: 0.95):')
for nm, cr, se in zip(names_e, cov_rate, se_cov):
    bar = '█' * int(round(cr * 20))
    print(f'  {nm}:  {cr:.2f}  ±{2*se:.2f}  {bar}')
print(f'\nOverall: {covered.mean():.3f}  (expected 0.95)')

Running 30 coverage replications (k=4, n=50, sigma2=2.0)
True β: [1.5 0.3 0.2 0.8]  (all constraints satisfied)

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

Done in 0.0 min  |  kept draws: 6000

# Coverage caterpillar: each replication's 95% CrI for b[1] vs the true value
j = 1; truej = beta_cov_true[j]; order = np.argsort(lo_all[:, j])
fig, ax = plt.subplots(figsize=(8, 6))
for rank, s in enumerate(order):
    c = 'seagreen' if covered[s, j] else 'firebrick'
    ax.plot([lo_all[s, j], hi_all[s, j]], [rank, rank], color=c, lw=1.6)
ax.axvline(truej, color='black', ls='--', lw=1.5, label=f'true b[1] = {truej}')
ax.axvline(0, color='red', ls=':', lw=1.2, label='constraint b[1] > 0')
ax.set_xlabel('b[1]  95% credible interval'); ax.set_ylabel('replication (sorted by lower bound)')
ax.set_title(f'{covered[:,j].sum()}/{N_SIM} intervals cover the truth ({100*covered[:,j].mean():.0f}%); green=cover, red=miss')
ax.legend(fontsize=8, loc='lower right')
plt.tight_layout(); plt.savefig('constrained_coverage.png', dpi=120, bbox_inches='tight'); plt.show()

Section	Topic
Section 1	GHK probability simulator validated against analytical bivariate Normal CDF
Section 2	Easy constraints ($p_{2\\|1} \approx 0.2$–$0.4$): Gibbs vs rejection sampling — both agree
Section 3	Hard constraints ($p_{2\\|1} \approx 10^{-4}$): rejection sampling breaks down, Gibbs unaffected
Section 4	UCI Automobile data ($p_{2\\|1} \approx 4\times 10^{-4}$): Gibbs only, economic sign constraints
Section 5	Coverage validation: 95% CrI achieves correct frequentist coverage

Constraint	Rationale	OLS estimate
$\beta_{\log\,\text{engine-size}} > 0$	larger engine → pricier	+0.478 ✓
$\beta_{\log\,\text{horsepower}} > 0$	more power → pricier	+0.447 ✓
$\beta_{\log\,\text{curb-weight}} > 0$	heavier → pricier (luxury proxy)	+0.278 ✓
$\beta_{\log\,\text{city-mpg}} < 0$	economy cars are cheaper	−0.516 ✓
$\beta_{\text{bore}} > 0$	larger bore → higher displacement	−0.096 ✗
$\beta_{\text{stroke}} > 0$	longer stroke → higher displacement	−0.137 ✗
$\beta_{\text{compression-ratio}} > 0$	higher compression → performance	+0.026 ✓

Method	What it computes	When to use
GHK simulator	$p_{2\\|1} = P(a \le D\beta \le w \mid \text{data})$	Model selection, Bayes factors, posterior constraint probability
Rejection sampling	Constrained posterior draws	Only when $p_{2\\|1} \gtrsim 0.05$; cheap and exact
Constrained Gibbs	Constrained posterior draws	Always; works even when $p_{2\\|1} \approx 0$

Bayesian Linear Regression with Inequality Constraints¶

Geweke (1995) — Python implementation¶

1. GHK vs analytical bivariate Normal CDF¶

2. Easy constraints: Gibbs vs rejection sampling¶

3. Hard constraints: when rejection sampling breaks down¶

4. UCI Automobile Imports (1985): log-price with economic sign constraints¶

5. Coverage validation¶

Summary¶