// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2014 Math.NET // // Permission is hereby granted, free of charge, to any person // obtaining a copy of this software and associated documentation // files (the "Software"), to deal in the Software without // restriction, including without limitation the rights to use, // copy, modify, merge, publish, distribute, sublicense, and/or sell // copies of the Software, and to permit persons to whom the // Software is furnished to do so, subject to the following // conditions: // // The above copyright notice and this permission notice shall be // included in all copies or substantial portions of the Software. // // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, // EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES // OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND // NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT // HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, // WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR // OTHER DEALINGS IN THE SOFTWARE. // using System; using System.Collections.Generic; using IStation.Numerics.Random; namespace IStation.Numerics.Distributions { /// /// Discrete Univariate Negative Binomial distribution. /// The negative binomial is a distribution over the natural numbers with two parameters r, p. For the special /// case that r is an integer one can interpret the distribution as the number of failures before the r'th success /// when the probability of success is p. /// Wikipedia - NegativeBinomial distribution. /// public class NegativeBinomial : IDiscreteDistribution { System.Random _random; readonly double _r; readonly double _p; /// /// Initializes a new instance of the class. /// /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public NegativeBinomial(double r, double p) { if (!IsValidParameterSet(r, p)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = SystemRandomSource.Default; _p = p; _r = r; } /// /// Initializes a new instance of the class. /// /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. /// The random number generator which is used to draw random samples. public NegativeBinomial(double r, double p, System.Random randomSource) { if (!IsValidParameterSet(r, p)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = randomSource ?? SystemRandomSource.Default; _p = p; _r = r; } /// /// Returns a that represents this instance. /// /// /// A that represents this instance. /// public override string ToString() { return $"NegativeBinomial(R = {_r}, P = {_p})"; } /// /// Tests whether the provided values are valid parameters for this distribution. /// /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static bool IsValidParameterSet(double r, double p) { return r >= 0.0 && p >= 0.0 && p <= 1.0; } /// /// Gets the number of successes. Range: r ≥ 0. /// public double R => _r; /// /// Gets the probability of success. Range: 0 ≤ p ≤ 1. /// public double P => _p; /// /// Gets or sets the random number generator which is used to draw random samples. /// public System.Random RandomSource { get => _random; set => _random = value ?? SystemRandomSource.Default; } /// /// Gets the mean of the distribution. /// public double Mean => _r*(1.0 - _p)/_p; /// /// Gets the variance of the distribution. /// public double Variance => _r*(1.0 - _p)/(_p*_p); /// /// Gets the standard deviation of the distribution. /// public double StdDev => Math.Sqrt(_r*(1.0 - _p))/_p; /// /// Gets the entropy of the distribution. /// public double Entropy => throw new NotSupportedException(); /// /// Gets the skewness of the distribution. /// public double Skewness => (2.0 - _p)/Math.Sqrt(_r*(1.0 - _p)); /// /// Gets the mode of the distribution /// public int Mode => _r > 1.0 ? (int)Math.Floor((_r - 1.0)*(1.0 - _p)/_p) : 0; /// /// Gets the median of the distribution. /// public double Median => throw new NotSupportedException(); /// /// Gets the smallest element in the domain of the distributions which can be represented by an integer. /// public int Minimum => 0; /// /// Gets the largest element in the domain of the distributions which can be represented by an integer. /// public int Maximum => int.MaxValue; /// /// Computes the probability mass (PMF) at k, i.e. P(X = k). /// /// The location in the domain where we want to evaluate the probability mass function. /// the probability mass at location . public double Probability(int k) { return PMF(_r, _p, k); } /// /// Computes the log probability mass (lnPMF) at k, i.e. ln(P(X = k)). /// /// The location in the domain where we want to evaluate the log probability mass function. /// the log probability mass at location . public double ProbabilityLn(int k) { return PMFLn(_r, _p, k); } /// /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . public double CumulativeDistribution(double x) { return CDF(_r, _p, x); } /// /// Computes the probability mass (PMF) at k, i.e. P(X = k). /// /// The location in the domain where we want to evaluate the probability mass function. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. /// the probability mass at location . public static double PMF(double r, double p, int k) { return Math.Exp(PMFLn(r, p, k)); } /// /// Computes the log probability mass (lnPMF) at k, i.e. ln(P(X = k)). /// /// The location in the domain where we want to evaluate the log probability mass function. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. /// the log probability mass at location . public static double PMFLn(double r, double p, int k) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SpecialFunctions.GammaLn(r + k) - SpecialFunctions.GammaLn(r) - SpecialFunctions.GammaLn(k + 1.0) + (r*Math.Log(p)) + (k*Math.Log(1.0 - p)); } /// /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. /// the cumulative distribution at location . /// public static double CDF(double r, double p, double x) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return 1 - SpecialFunctions.BetaRegularized(x + 1, r, 1 - p); } /// /// Samples a negative binomial distributed random variable. /// /// The random number generator to use. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. /// a sample from the distribution. static int SampleUnchecked(System.Random rnd, double r, double p) { var lambda = Gamma.SampleUnchecked(rnd, r, p); var c = Math.Exp(-lambda); var p1 = 1.0; var k = 0; do { k = k + 1; p1 = p1*rnd.NextDouble(); } while (p1 >= c); return k - 1; } static void SamplesUnchecked(System.Random rnd, int[] values, double r, double p) { for (int i = 0; i < values.Length; i++) { values[i] = SampleUnchecked(rnd, r, p); } } static IEnumerable SamplesUnchecked(System.Random rnd, double r, double p) { while (true) { yield return SampleUnchecked(rnd, r, p); } } /// /// Samples a NegativeBinomial distributed random variable. /// /// a sample from the distribution. public int Sample() { return SampleUnchecked(_random, _r, _p); } /// /// Fills an array with samples generated from the distribution. /// public void Samples(int[] values) { SamplesUnchecked(_random, values, _r, _p); } /// /// Samples an array of NegativeBinomial distributed random variables. /// /// a sequence of samples from the distribution. public IEnumerable Samples() { return SamplesUnchecked(_random, _r, _p); } /// /// Samples a random variable. /// /// The random number generator to use. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static int Sample(System.Random rnd, double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(rnd, r, p); } /// /// Samples a sequence of this random variable. /// /// The random number generator to use. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static IEnumerable Samples(System.Random rnd, double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(rnd, r, p); } /// /// Fills an array with samples generated from the distribution. /// /// The random number generator to use. /// The array to fill with the samples. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static void Samples(System.Random rnd, int[] values, double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(rnd, values, r, p); } /// /// Samples a random variable. /// /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static int Sample(double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(SystemRandomSource.Default, r, p); } /// /// Samples a sequence of this random variable. /// /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static IEnumerable Samples(double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(SystemRandomSource.Default, r, p); } /// /// Fills an array with samples generated from the distribution. /// /// The array to fill with the samples. /// The number of successes (r) required to stop the experiment. Range: r ≥ 0. /// The probability (p) of a trial resulting in success. Range: 0 ≤ p ≤ 1. public static void Samples(int[] values, double r, double p) { if (!(r >= 0.0 && p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(SystemRandomSource.Default, values, r, p); } } }