// // 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; using IStation.Numerics.Threading; namespace IStation.Numerics.Distributions { /// /// Discrete Univariate Binomial distribution. /// For details about this distribution, see /// Wikipedia - Binomial distribution. /// /// /// The distribution is parameterized by a probability (between 0.0 and 1.0). /// public class Binomial : IDiscreteDistribution { System.Random _random; readonly double _p; readonly int _trials; /// /// Initializes a new instance of the Binomial class. /// /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// If is not in the interval [0.0,1.0]. /// If is negative. public Binomial(double p, int n) { if (!IsValidParameterSet(p, n)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = SystemRandomSource.Default; _p = p; _trials = n; } /// /// Initializes a new instance of the Binomial class. /// /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// The random number generator which is used to draw random samples. /// If is not in the interval [0.0,1.0]. /// If is negative. public Binomial(double p, int n, System.Random randomSource) { if (!IsValidParameterSet(p, n)) { throw new ArgumentException("Invalid parametrization for the distribution."); } _random = randomSource ?? SystemRandomSource.Default; _p = p; _trials = n; } /// /// A string representation of the distribution. /// /// a string representation of the distribution. public override string ToString() { return $"Binomial(p = {_p}, n = {_trials})"; } /// /// Tests whether the provided values are valid parameters for this distribution. /// /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. public static bool IsValidParameterSet(double p, int n) { return p >= 0.0 && p <= 1.0 && n >= 0; } /// /// Gets the success probability in each trial. Range: 0 ≤ p ≤ 1. /// public double P => _p; /// /// Gets the number of trials. Range: n ≥ 0. /// public int N => _trials; /// /// 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*_trials; /// /// Gets the standard deviation of the distribution. /// public double StdDev => Math.Sqrt(_p*(1.0 - _p)*_trials); /// /// Gets the variance of the distribution. /// public double Variance => _p*(1.0 - _p)*_trials; /// /// Gets the entropy of the distribution. /// public double Entropy { get { if (_p == 0.0 || _p == 1.0) { return 0.0; } var e = 0.0; for (var i = 0; i <= _trials; i++) { var p = Probability(i); e -= p*Math.Log(p); } return e; } } /// /// Gets the skewness of the distribution. /// public double Skewness => (1.0 - (2.0*_p))/Math.Sqrt(_trials*_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 => _trials; /// /// Gets the mode of the distribution. /// public int Mode { get { if (_p == 1.0) { return _trials; } if (_p == 0.0) { return 0; } return (int)Math.Floor((_trials + 1)*_p); } } /// /// Gets all modes of the distribution. /// public int[] Modes { get { if (_p == 1.0) { return new[] { _trials }; } if (_p == 0.0) { return new[] { 0 }; } double td = (_trials + 1)*_p; int t = (int)Math.Floor(td); return t != td ? new[] { t } : new[] { t, t - 1 }; } } /// /// Gets the median of the distribution. /// public double Median => Math.Floor(_p*_trials); /// /// 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(_p, _trials, 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(_p, _trials, 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(_p, _trials, 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 success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// the probability mass at location . public static double PMF(double p, int n, int k) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (k < 0 || k > n) { return 0.0; } if (p == 0.0) { return k == 0 ? 1.0 : 0.0; } if (p == 1.0) { return k == n ? 1.0 : 0.0; } return Math.Exp(SpecialFunctions.BinomialLn(n, k) + (k*Math.Log(p)) + ((n - k)*Math.Log(1.0 - p))); } /// /// 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 success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// the log probability mass at location . public static double PMFLn(double p, int n, int k) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (k < 0 || k > n) { return double.NegativeInfinity; } if (p == 0.0) { return k == 0 ? 0.0 : double.NegativeInfinity; } if (p == 1.0) { return k == n ? 0.0 : double.NegativeInfinity; } return SpecialFunctions.BinomialLn(n, k) + (k*Math.Log(p)) + ((n - 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 success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// the cumulative distribution at location . /// public static double CDF(double p, int n, double x) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } if (x < 0.0) { return 0.0; } if (x > n) { return 1.0; } double k = Math.Floor(x); return SpecialFunctions.BetaRegularized(n - k, k + 1, 1 - p); } /// /// Generates a sample from the Binomial distribution without doing parameter checking. /// /// The random number generator to use. /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// The number of successful trials. internal static int SampleUnchecked(System.Random rnd, double p, int n) { var k = 0; for (var i = 0; i < n; i++) { k += rnd.NextDouble() < p ? 1 : 0; } return k; } static void SamplesUnchecked(System.Random rnd, int[] values, double p, int n) { var uniform = rnd.NextDoubles(values.Length*n); CommonParallel.For(0, values.Length, 4096, (a, b) => { for (int i = a; i < b; i++) { int k = i*n; int sum = 0; for (int j = 0; j < n; j++) { sum += uniform[k + j] < p ? 1 : 0; } values[i] = sum; } }); } static IEnumerable SamplesUnchecked(System.Random rnd, double p, int n) { while (true) { yield return SampleUnchecked(rnd, p, n); } } /// /// Samples a Binomially distributed random variable. /// /// The number of successes in N trials. public int Sample() { return SampleUnchecked(_random, _p, _trials); } /// /// Fills an array with samples generated from the distribution. /// public void Samples(int[] values) { SamplesUnchecked(_random, values, _p, _trials); } /// /// Samples an array of Binomially distributed random variables. /// /// a sequence of successes in N trials. public IEnumerable Samples() { return SamplesUnchecked(_random, _p, _trials); } /// /// Samples a binomially distributed random variable. /// /// The random number generator to use. /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// The number of successes in trials. public static int Sample(System.Random rnd, double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(rnd, p, n); } /// /// Samples a sequence of binomially distributed random variable. /// /// The random number generator to use. /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// a sequence of successes in trials. public static IEnumerable Samples(System.Random rnd, double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(rnd, p, n); } /// /// Fills an array with samples generated from the distribution. /// /// The random number generator to use. /// The array to fill with the samples. /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// a sequence of successes in trials. public static void Samples(System.Random rnd, int[] values, double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(rnd, values, p, n); } /// /// Samples a binomially distributed random variable. /// /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// The number of successes in trials. public static int Sample(double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SampleUnchecked(SystemRandomSource.Default, p, n); } /// /// Samples a sequence of binomially distributed random variable. /// /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// a sequence of successes in trials. public static IEnumerable Samples(double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } return SamplesUnchecked(SystemRandomSource.Default, p, n); } /// /// Fills an array with samples generated from the distribution. /// /// The array to fill with the samples. /// The success probability (p) in each trial. Range: 0 ≤ p ≤ 1. /// The number of trials (n). Range: n ≥ 0. /// a sequence of successes in trials. public static void Samples(int[] values, double p, int n) { if (!(p >= 0.0 && p <= 1.0 && n >= 0)) { throw new ArgumentException("Invalid parametrization for the distribution."); } SamplesUnchecked(SystemRandomSource.Default, values, p, n); } } }