// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics // // Copyright (c) 2009-2013 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 System.Linq; using IStation.Numerics.Random; using IStation.Numerics.Threading; namespace IStation.Numerics.Distributions { /// /// Triangular distribution. /// For details, see Wikipedia - Triangular distribution. /// /// The distribution will use the by default. /// Users can get/set the random number generator by using the property. /// The statistics classes will check whether all the incoming parameters are in the allowed range. This might involve heavy computation. Optionally, by setting Control.CheckDistributionParameters /// to false, all parameter checks can be turned off. public class Triangular : IContinuousDistribution { System.Random _random; readonly double _lower; readonly double _upper; readonly double _mode; /// /// Initializes a new instance of the Triangular class with the given lower bound, upper bound and mode. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// If the upper bound is smaller than the mode or if the mode is smaller than the lower bound. public Triangular(double lower, double upper, double mode) { if (!IsValidParameterSet(lower, upper, mode)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = SystemRandomSource.Default; _lower = lower; _upper = upper; _mode = mode; } /// /// Initializes a new instance of the Triangular class with the given lower bound, upper bound and mode. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// The random number generator which is used to draw random samples. /// If the upper bound is smaller than the mode or if the mode is smaller than the lower bound. public Triangular(double lower, double upper, double mode, System.Random randomSource) { if (!IsValidParameterSet(lower, upper, mode)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = randomSource ?? SystemRandomSource.Default; _lower = lower; _upper = upper; _mode = mode; } /// /// A string representation of the distribution. /// /// a string representation of the distribution. public override string ToString() { return $"Triangular(Lower = {_lower}, Upper = {_upper}, Mode = {_mode})"; } /// /// Tests whether the provided values are valid parameters for this distribution. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper public static bool IsValidParameterSet(double lower, double upper, double mode) { return upper >= mode && mode >= lower && !double.IsInfinity(upper) && !double.IsInfinity(lower) && !double.IsInfinity(mode); } /// /// Gets the lower bound of the distribution. /// public double LowerBound => _lower; /// /// Gets the upper bound of the distribution. /// public double UpperBound => _upper; /// /// 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 => (_lower + _upper + _mode)/3.0; /// /// Gets the variance of the distribution. /// public double Variance { get { var a = _lower; var b = _upper; var c = _mode; return (a*a + b*b + c*c - a*b - a*c - b*c)/18.0; } } /// /// Gets the standard deviation of the distribution. /// public double StdDev => Math.Sqrt(Variance); /// /// Gets the entropy of the distribution. /// /// public double Entropy => 0.5 + Math.Log((_upper - _lower)/2); /// /// Gets the skewness of the distribution. /// public double Skewness { get { var a = _lower; var b = _upper; var c = _mode; var q = Math.Sqrt(2)*(a + b - 2*c)*(2*a - b - c)*(a - 2*b + c); var d = 5*Math.Pow(a*a + b*b + c*c - a*b - a*c - b*c, 3.0/2); return q/d; } } /// /// Gets or sets the mode of the distribution. /// public double Mode => _mode; /// /// Gets the median of the distribution. /// /// public double Median { get { var a = _lower; var b = _upper; var c = _mode; return c >= (a + b)/2 ? a + Math.Sqrt((b - a)*(c - a)/2) : b - Math.Sqrt((b - a)*(b - c)/2); } } /// /// Gets the minimum of the distribution. /// public double Minimum => _lower; /// /// Gets the maximum of the distribution. /// public double Maximum => _upper; /// /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . /// public double Density(double x) { return PDF(_lower, _upper, _mode, x); } /// /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . /// public double DensityLn(double x) { return PDFLn(_lower, _upper, _mode, x); } /// /// 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(_lower, _upper, _mode, x); } /// /// Computes the inverse of the cumulative distribution function (InvCDF) for the distribution /// at the given probability. This is also known as the quantile or percent point function. /// /// The location at which to compute the inverse cumulative density. /// the inverse cumulative density at . /// public double InverseCumulativeDistribution(double p) { return InvCDF(_lower, _upper, _mode, p); } /// /// Generates a sample from the Triangular distribution. /// /// a sample from the distribution. public double Sample() { return SampleUnchecked(_random, _lower, _upper, _mode); } /// /// Fills an array with samples generated from the distribution. /// public void Samples(double[] values) { SamplesUnchecked(_random, values, _lower, _upper, _mode); } /// /// Generates a sequence of samples from the Triangular distribution. /// /// a sequence of samples from the distribution. public IEnumerable Samples() { return SamplesUnchecked(_random, _lower, _upper, _mode); } static double SampleUnchecked(System.Random rnd, double lower, double upper, double mode) { var u = rnd.NextDouble(); return u < (mode - lower)/(upper - lower) ? lower + Math.Sqrt(u*(upper - lower)*(mode - lower)) : upper - Math.Sqrt((1 - u)*(upper - lower)*(upper - mode)); } static IEnumerable SamplesUnchecked(System.Random rnd, double lower, double upper, double mode) { double ml = mode - lower, ul = upper - lower, um = upper - mode; double u = ml/ul, v = ul*ml, w = ul*um; return rnd.NextDoubleSequence().Select(x => x < u ? lower + Math.Sqrt(x*v) : upper - Math.Sqrt((1 - x)*w)); } static void SamplesUnchecked(System.Random rnd, double[] values, double lower, double upper, double mode) { double ml = mode - lower, ul = upper - lower, um = upper - mode; double u = ml/ul, v = ul*ml, w = ul*um; rnd.NextDoubles(values); CommonParallel.For(0, values.Length, 4096, (a, b) => { for (int i = a; i < b; i++) { values[i] = values[i] < u ? lower + Math.Sqrt(values[i]*v) : upper - Math.Sqrt((1 - values[i])*w); } }); } /// /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// The location at which to compute the density. /// the density at . /// public static double PDF(double lower, double upper, double mode, double x) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } var a = lower; var b = upper; var c = mode; if (a <= x && x <= c) { return 2*(x - a)/((b - a)*(c - a)); } if (c < x & x <= b) { return 2*(b - x)/((b - a)*(b - c)); } return 0; } /// /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// The location at which to compute the density. /// the log density at . /// public static double PDFLn(double lower, double upper, double mode, double x) { return Math.Log(PDF(lower, upper, mode, x)); } /// /// 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. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// the cumulative distribution at location . /// public static double CDF(double lower, double upper, double mode, double x) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } var a = lower; var b = upper; var c = mode; if (x < a) { return 0; } if (a <= x && x <= c) { return (x - a)*(x - a)/((b - a)*(c - a)); } if (c < x & x <= b) { return 1 - (b - x)*(b - x)/((b - a)*(b - c)); } return 1; } /// /// Computes the inverse of the cumulative distribution function (InvCDF) for the distribution /// at the given probability. This is also known as the quantile or percent point function. /// /// The location at which to compute the inverse cumulative density. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// the inverse cumulative density at . /// public static double InvCDF(double lower, double upper, double mode, double p) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } var a = lower; var b = upper; var c = mode; if (p <= 0) { return lower; } // Taken from http://www.ntrand.com/triangular-distribution/ if (p < (c - a)/(b - a)) { return a + Math.Sqrt(p*(c - a)*(b - a)); } if (p < 1) { return b - Math.Sqrt((1 - p)*(b - c)*(b - a)); } return upper; } /// /// Generates a sample from the Triangular distribution. /// /// The random number generator to use. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sample from the distribution. public static double Sample(System.Random rnd, double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(rnd, lower, upper, mode); } /// /// Generates a sequence of samples from the Triangular distribution. /// /// The random number generator to use. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(rnd, lower, upper, mode); } /// /// Fills an array with samples generated from the distribution. /// /// The random number generator to use. /// The array to fill with the samples. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sequence of samples from the distribution. public static void Samples(System.Random rnd, double[] values, double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(rnd, values, lower, upper, mode); } /// /// Generates a sample from the Triangular distribution. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sample from the distribution. public static double Sample(double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(SystemRandomSource.Default, lower, upper, mode); } /// /// Generates a sequence of samples from the Triangular distribution. /// /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sequence of samples from the distribution. public static IEnumerable Samples(double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(SystemRandomSource.Default, lower, upper, mode); } /// /// Fills an array with samples generated from the distribution. /// /// The array to fill with the samples. /// Lower bound. Range: lower ≤ mode ≤ upper /// Upper bound. Range: lower ≤ mode ≤ upper /// Mode (most frequent value). Range: lower ≤ mode ≤ upper /// a sequence of samples from the distribution. public static void Samples(double[] values, double lower, double upper, double mode) { if (!(upper >= mode && mode >= lower)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(SystemRandomSource.Default, values, lower, upper, mode); } } }