// // 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 Poisson distribution. /// /// /// Distribution is described at Wikipedia - Poisson distribution. /// Knuth's method is used to generate Poisson distributed random variables. /// f(x) = exp(-λ)*λ^x/x!; /// public class Poisson : IDiscreteDistribution { System.Random _random; readonly double _lambda; /// /// Initializes a new instance of the class. /// /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// If is equal or less then 0.0. public Poisson(double lambda) { if (!IsValidParameterSet(lambda)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = SystemRandomSource.Default; _lambda = lambda; } /// /// Initializes a new instance of the class. /// /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// The random number generator which is used to draw random samples. /// If is equal or less then 0.0. public Poisson(double lambda, System.Random randomSource) { if (!IsValidParameterSet(lambda)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = randomSource ?? SystemRandomSource.Default; _lambda = lambda; } /// /// Returns a that represents this instance. /// /// /// A that represents this instance. /// public override string ToString() { return $"Poisson(λ = {_lambda})"; } /// /// Tests whether the provided values are valid parameters for this distribution. /// /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. public static bool IsValidParameterSet(double lambda) { return lambda > 0.0; } /// /// Gets the Poisson distribution parameter λ. Range: λ > 0. /// public double Lambda => _lambda; /// /// Gets 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 => _lambda; /// /// Gets the variance of the distribution. /// public double Variance => _lambda; /// /// Gets the standard deviation of the distribution. /// public double StdDev => Math.Sqrt(_lambda); /// /// Gets the entropy of the distribution. /// /// Approximation, see Wikipedia Poisson distribution public double Entropy => (0.5*Math.Log(2*Constants.Pi*Constants.E*_lambda)) - (1.0/(12.0*_lambda)) - (1.0/(24.0*_lambda*_lambda)) - (19.0/(360.0*_lambda*_lambda*_lambda)); /// /// Gets the skewness of the distribution. /// public double Skewness => 1.0/Math.Sqrt(_lambda); /// /// 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; /// /// Gets the mode of the distribution. /// public int Mode => (int)Math.Floor(_lambda); /// /// Gets the median of the distribution. /// /// Approximation, see Wikipedia Poisson distribution public double Median => Math.Floor(_lambda + (1.0/3.0) - (0.02/_lambda)); /// /// 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 Math.Exp(-_lambda + (k*Math.Log(_lambda)) - SpecialFunctions.FactorialLn(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 -_lambda + (k*Math.Log(_lambda)) - SpecialFunctions.FactorialLn(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 1.0 - SpecialFunctions.GammaLowerRegularized(x + 1, _lambda); } /// /// 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 lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// the probability mass at location . public static double PMF(double lambda, int k) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return Math.Exp(-lambda + (k*Math.Log(lambda)) - SpecialFunctions.FactorialLn(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 lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// the log probability mass at location . public static double PMFLn(double lambda, int k) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return -lambda + (k*Math.Log(lambda)) - SpecialFunctions.FactorialLn(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 lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// the cumulative distribution at location . /// public static double CDF(double lambda, double x) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return 1.0 - SpecialFunctions.GammaLowerRegularized(x + 1, lambda); } /// /// Generates one sample from the Poisson distribution. /// /// The random source to use. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// A random sample from the Poisson distribution. static int SampleUnchecked(System.Random rnd, double lambda) { return (lambda < 30.0) ? DoSampleShort(rnd, lambda) : DoSampleLarge(rnd, lambda); } static void SamplesUnchecked(System.Random rnd, int[] values, double lambda) { if (lambda < 30.0) { var limit = Math.Exp(-lambda); for (int i = 0; i < values.Length; i++) { var count = 0; for (var product = rnd.NextDouble(); product >= limit; product *= rnd.NextDouble()) { count++; } values[i] = count; } } else { var c = 0.767 - (3.36/lambda); var beta = Math.PI/Math.Sqrt(3.0*lambda); var alpha = beta*lambda; var k = Math.Log(c) - lambda - Math.Log(beta); for (int i = 0; i < values.Length; i++) { for (;;) { var u = rnd.NextDouble(); var x = (alpha - Math.Log((1.0 - u)/u))/beta; var n = (int)Math.Floor(x + 0.5); if (n < 0) { continue; } var v = rnd.NextDouble(); var y = alpha - (beta*x); var temp = 1.0 + Math.Exp(y); var lhs = y + Math.Log(v/(temp*temp)); var rhs = k + (n*Math.Log(lambda)) - SpecialFunctions.FactorialLn(n); if (lhs <= rhs) { values[i] = n; break; } } } } } static IEnumerable SamplesUnchecked(System.Random rnd, double lambda) { if (lambda < 30.0) { while (true) { yield return DoSampleShort(rnd, lambda); } } else { while (true) { yield return DoSampleLarge(rnd, lambda); } } } /// /// Generates one sample from the Poisson distribution by Knuth's method. /// /// The random source to use. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// A random sample from the Poisson distribution. static int DoSampleShort(System.Random rnd, double lambda) { var limit = Math.Exp(-lambda); var count = 0; for (var product = rnd.NextDouble(); product >= limit; product *= rnd.NextDouble()) { count++; } return count; } /// /// Generates one sample from the Poisson distribution by "Rejection method PA". /// /// The random source to use. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// A random sample from the Poisson distribution. /// "Rejection method PA" from "The Computer Generation of Poisson Random Variables" by A. C. Atkinson, /// Journal of the Royal Statistical Society Series C (Applied Statistics) Vol. 28, No. 1. (1979) /// The article is on pages 29-35. The algorithm given here is on page 32. static int DoSampleLarge(System.Random rnd, double lambda) { var c = 0.767 - (3.36/lambda); var beta = Math.PI/Math.Sqrt(3.0*lambda); var alpha = beta*lambda; var k = Math.Log(c) - lambda - Math.Log(beta); for (;;) { var u = rnd.NextDouble(); var x = (alpha - Math.Log((1.0 - u)/u))/beta; var n = (int)Math.Floor(x + 0.5); if (n < 0) { continue; } var v = rnd.NextDouble(); var y = alpha - (beta*x); var temp = 1.0 + Math.Exp(y); var lhs = y + Math.Log(v/(temp*temp)); var rhs = k + (n*Math.Log(lambda)) - SpecialFunctions.FactorialLn(n); if (lhs <= rhs) { return n; } } } /// /// Samples a Poisson distributed random variable. /// /// A sample from the Poisson distribution. public int Sample() { return SampleUnchecked(_random, _lambda); } /// /// Fills an array with samples generated from the distribution. /// public void Samples(int[] values) { SamplesUnchecked(_random, values, _lambda); } /// /// Samples an array of Poisson distributed random variables. /// /// a sequence of successes in N trials. public IEnumerable Samples() { return SamplesUnchecked(_random, _lambda); } /// /// Samples a Poisson distributed random variable. /// /// The random number generator to use. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// A sample from the Poisson distribution. public static int Sample(System.Random rnd, double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(rnd, lambda); } /// /// Samples a sequence of Poisson distributed random variables. /// /// The random number generator to use. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(rnd, lambda); } /// /// Fills an array with samples generated from the distribution. /// /// The random number generator to use. /// The array to fill with the samples. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// a sequence of samples from the distribution. public static void Samples(System.Random rnd, int[] values, double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(rnd, values, lambda); } /// /// Samples a Poisson distributed random variable. /// /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// A sample from the Poisson distribution. public static int Sample(double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(SystemRandomSource.Default, lambda); } /// /// Samples a sequence of Poisson distributed random variables. /// /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// a sequence of samples from the distribution. public static IEnumerable Samples(double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(SystemRandomSource.Default, lambda); } /// /// Fills an array with samples generated from the distribution. /// /// The array to fill with the samples. /// The lambda (λ) parameter of the Poisson distribution. Range: λ > 0. /// a sequence of samples from the distribution. public static void Samples(int[] values, double lambda) { if (!(lambda > 0.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(SystemRandomSource.Default, values, lambda); } } }