// // 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 System.Linq; using IStation.Numerics.Random; using IStation.Numerics.Threading; namespace IStation.Numerics.Distributions { /// /// Discrete Univariate Bernoulli distribution. /// The Bernoulli distribution is a distribution over bits. The parameter /// p specifies the probability that a 1 is generated. /// Wikipedia - Bernoulli distribution. /// public class Bernoulli : IDiscreteDistribution { System.Random _random; readonly double _p; /// /// Initializes a new instance of the Bernoulli class. /// /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// If the Bernoulli parameter is not in the range [0,1]. public Bernoulli(double p) { if (!IsValidParameterSet(p)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = SystemRandomSource.Default; _p = p; } /// /// Initializes a new instance of the Bernoulli class. /// /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// The random number generator which is used to draw random samples. /// If the Bernoulli parameter is not in the range [0,1]. public Bernoulli(double p, System.Random randomSource) { if (!IsValidParameterSet(p)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = randomSource ?? SystemRandomSource.Default; _p = p; } /// /// A string representation of the distribution. /// /// a string representation of the distribution. public override string ToString() { return $"Bernoulli(p = {_p})"; } /// /// Tests whether the provided values are valid parameters for this distribution. /// /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. public static bool IsValidParameterSet(double p) { return p >= 0.0 && p <= 1.0; } /// /// Gets the probability of generating a one. 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 => _p; /// /// Gets the standard deviation of the distribution. /// public double StdDev => Math.Sqrt(_p*(1.0 - _p)); /// /// Gets the variance of the distribution. /// public double Variance => _p*(1.0 - _p); /// /// Gets the entropy of the distribution. /// public double Entropy => -(_p*Math.Log(_p)) - ((1.0 - _p)*Math.Log(1.0 - _p)); /// /// Gets the skewness of the distribution. /// public double Skewness => (1.0 - (2.0*_p))/Math.Sqrt(_p*(1.0 - _p)); /// /// 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 => 1; /// /// Gets the mode of the distribution. /// public int Mode => _p > 0.5 ? 1 : 0; /// /// Gets all modes of the distribution. /// public int[] Modes { get { return _p < 0.5 ? new[] { 0 } : P > 0.5 ? new[] { 1 } : new[] { 0, 1 }; } } /// /// Gets the median of the distribution. /// public double Median => _p < 0.5 ? 0.0 : _p > 0.5 ? 1.0 : 0.5; /// /// 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) { if (k == 0) { return 1.0 - _p; } if (k == 1) { return _p; } return 0.0; } /// /// 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) { if (k == 0) { return Math.Log(1.0 - _p); } return k == 1 ? Math.Log(_p) : double.NegativeInfinity; } /// /// 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) { if (x < 0.0) { return 0.0; } if (x >= 1.0) { return 1.0; } return 1.0 - _p; } /// /// 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 (p) of generating one. Range: 0 ≤ p ≤ 1. /// the probability mass at location . public static double PMF(double p, int k) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (k == 0) { return 1.0 - p; } if (k == 1) { return p; } return 0.0; } /// /// 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 probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// the log probability mass at location . public static double PMFLn(double p, int k) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (k == 0) { return Math.Log(1.0 - p); } return k == 1 ? Math.Log(p) : double.NegativeInfinity; } /// /// 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 probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// the cumulative distribution at location . /// public static double CDF(double p, double x) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (x < 0.0) { return 0.0; } if (x >= 1.0) { return 1.0; } return 1.0 - p; } /// /// Generates one sample from the Bernoulli distribution. /// /// The random source to use. /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// A random sample from the Bernoulli distribution. static int SampleUnchecked(System.Random rnd, double p) { if (rnd.NextDouble() < p) { return 1; } return 0; } static void SamplesUnchecked(System.Random rnd, int[] values, double p) { var uniform = rnd.NextDoubles(values.Length); CommonParallel.For(0, values.Length, 4096, (a, b) => { for (int i = a; i < b; i++) { values[i] = uniform[i] < p ? 1 : 0; } }); } static IEnumerable SamplesUnchecked(System.Random rnd, double p) { return rnd.NextDoubleSequence().Select(r => r < p ? 1 : 0); } /// /// Samples a Bernoulli distributed random variable. /// /// A sample from the Bernoulli distribution. public int Sample() { return SampleUnchecked(_random, _p); } /// /// Fills an array with samples generated from the distribution. /// public void Samples(int[] values) { SamplesUnchecked(_random, values, _p); } /// /// Samples an array of Bernoulli distributed random variables. /// /// a sequence of samples from the distribution. public IEnumerable Samples() { while (true) { yield return SampleUnchecked(_random, _p); } } /// /// Samples a Bernoulli distributed random variable. /// /// The random number generator to use. /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// A sample from the Bernoulli distribution. public static int Sample(System.Random rnd, double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(rnd, p); } /// /// Samples a sequence of Bernoulli distributed random variables. /// /// The random number generator to use. /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(rnd, p); } /// /// Fills an array with samples generated from the distribution. /// /// The random number generator to use. /// The array to fill with the samples. /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// a sequence of samples from the distribution. public static void Samples(System.Random rnd, int[] values, double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(rnd, values, p); } /// /// Samples a Bernoulli distributed random variable. /// /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// A sample from the Bernoulli distribution. public static int Sample(double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(SystemRandomSource.Default, p); } /// /// Samples a sequence of Bernoulli distributed random variables. /// /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// a sequence of samples from the distribution. public static IEnumerable Samples(double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(SystemRandomSource.Default, p); } /// /// Fills an array with samples generated from the distribution. /// /// The array to fill with the samples. /// The probability (p) of generating one. Range: 0 ≤ p ≤ 1. /// a sequence of samples from the distribution. public static void Samples(int[] values, double p) { if (!(p >= 0.0 && p <= 1.0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(SystemRandomSource.Default, values, p); } } }