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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);
}
}
}