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//! Probabilistic distributions
//!
//! ## Probability Distribution
//!
//! * There are some famous pdf in Peroxide (not checked pdfs will be implemented soon)
//! * Bernoulli
//! * Binomial
//! * Beta
//! * Dirichlet
//! * Gamma
//! * Normal
//! * Student's t
//! * Uniform
//! * Weighted Uniform
//! * There are two enums to represent probability distribution
//! * `OPDist<T>` : One parameter distribution (Bernoulli)
//! * `TPDist<T>` : Two parameter distribution (Uniform, Normal, Beta, Gamma)
//! * `T: PartialOrd + SampleUniform + Copy + Into<f64>`
//! * There are some traits for pdf
//! * `RNG` trait - extract sample & calculate pdf
//! * `Statistics` trait - already shown above
//!
//! ### `RNG` trait
//!
//! * `RNG` trait is composed of two fields
//! * `sample`: Extract samples
//! * `sample_with_rng`: Extract samples with specific rng
//! * `pdf` : Calculate pdf value at specific point
//! ```no_run
//! use rand::{Rng, distributions::uniform::SampleUniform};
//! pub trait RNG {
//! /// Extract samples of distributions
//! fn sample(&self, n: usize) -> Vec<f64>;
//!
//! /// Extract samples of distributions with rng
//! fn sample_with_rng<R: Rng>(&self, rng: &mut R, n: usize) -> Vec<f64>;
//!
//! /// Probability Distribution Function
//! ///
//! /// # Type
//! /// `f64 -> f64`
//! fn pdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64;
//! }
//! ```
//!
//! ### Bernoulli Distribution
//!
//! * Definition
//! $$ \text{Bern}(x | \mu) = \mu^x (1-\mu)^{1-x} $$
//! * Representative value
//! * Mean: $\mu$
//! * Var : $\mu(1 - \mu)$
//! * In peroxide, to generate $\text{Bern}(x | \mu)$, use simple traits
//! 1. Generate $U \sim \text{Unif}(0, 1)$
//! 2. If $U \leq \mu$, then $X = 1$ else $X = 0$
//! * Usage is very simple
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! let mut rng = smallrng_from_seed(42);
//! let b = Bernoulli(0.1); // Bern(x | 0.1)
//! b.sample(100).print(); // Generate 100 samples
//! b.sample_with_rng(&mut rng, 100).print(); // Generate 100 samples with specific rng
//! b.pdf(0).print(); // 0.9
//! b.mean().print(); // 0.1
//! b.var().print(); // 0.09 (approximately)
//! b.sd().print(); // 0.3 (approximately)
//! }
//! ```
//!
//! ### Uniform Distribution
//!
//! * Definition
//! $$\text{Unif}(x | a, b) = \begin{cases} \frac{1}{b - a} & x \in \[a,b\]\\\ 0 & \text{otherwise} \end{cases}$$
//! * Representative value
//! * Mean: $\frac{a + b}{2}$
//! * Var : $\frac{1}{12}(b-a)^2$
//! * To generate uniform random number, Peroxide uses `rand` crate
//! * **Caution**: `Uniform(T, T)` generates `T` type samples (only for `Uniform`)
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // Uniform(start, end)
//! let a = Uniform(0f64, 1f64); // It will generate `f64` samples.
//! a.sample(100).print();
//! a.pdf(0.2).print();
//! a.mean().print();
//! a.var().print();
//! a.sd().print();
//! }
//! ```
//!
//! ### Normal Distribution
//!
//! * Definition
//! $$\mathcal{N}(x | \mu, \sigma^2) = \frac{1}{\sqrt{2\pi \sigma^2}} \exp{\left( - \frac{(x - \mu)^2}{2\sigma^2}\right)}$$
//! * Representative value
//! * Mean: $\mu$
//! * Var: $\sigma^2$
//! * To generate normal random number, there are two famous algorithms
//! * Marsaglia-Polar method
//! * Ziggurat traits
//! * In peroxide (after ver 0.19.1), use `rand_distr` to generate random normal samples.
//! * <del>In peroxide, main traits is Ziggurat - most efficient traits to generate random normal samples.</del>
//! * <del>Code is based on a [C implementation](https://www.seehuhn.de/pages/ziggurat.html) by Jochen Voss.</del>
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // Normal(mean, std)
//! let a = Normal(0, 1); // Standard normal
//! a.sample(100).print();
//! a.pdf(0).print(); // Maximum probability
//! a.mean().print();
//! a.var().print();
//! a.sd().print();
//! }
//! ```
//! ### Beta Distribution
//!
//! * Definition
//! $$\text{Beta}(x | \alpha, \beta) = \frac{1}{\text{B}(\alpha, \beta)} x^{\alpha-1} (1-x)^{\beta-1}$$
//! where $\text{B}(\alpha, \beta) = \frac{\Gamma(\alpha)\Gamma(\beta)}{\Gamma(\alpha+\beta)}$ is the Beta function.
//! * Representative value
//! * Mean: $\frac{\alpha}{\alpha+\beta}$
//! * Var: $\frac{\alpha\beta}{(\alpha+\beta)^2(\alpha+\beta+1)}$
//! * To generate beta random samples, Peroxide uses the `rand_distr::Beta` distribution from the `rand_distr` crate.
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // Beta(alpha, beta)
//! let a = Beta(2.0, 5.0);
//! a.sample(100).print();
//! a.pdf(0.3).print();
//! a.mean().print();
//! a.var().print();
//! }
//! ```
//!
//! ### Gamma Distribution
//!
//! * Definition
//! $$\text{Gamma}(x | \alpha, \beta) = \frac{\beta^\alpha}{\Gamma(\alpha)} x^{\alpha-1} e^{-\beta x}$$
//! where $\Gamma(\alpha) = \int_0^\infty x^{\alpha-1} e^{-x} dx$ is the Gamma function.
//! * Representative value
//! * Mean: $\frac{\alpha}{\beta}$
//! * Var: $\frac{\alpha}{\beta^2}$
//! * To generate gamma random samples, Peroxide uses the `rand_distr::Gamma` distribution from the `rand_distr` crate.
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // Gamma(shape, scale)
//! let a = Gamma(2.0, 1.0);
//! a.sample(100).print();
//! a.pdf(1.5).print();
//! a.mean().print();
//! a.var().print();
//! }
//! ```
//!
//! ### Binomial Distribution
//!
//! * Definition
//! $$\text{Binom}(k | n, p) = \binom{n}{k} p^k (1-p)^{n-k}$$
//! where $\binom{n}{k} = \frac{n!}{k!(n-k)!}$ is the binomial coefficient.
//! * Representative value
//! * Mean: $np$
//! * Var: $np(1-p)$
//! * To generate binomial random samples, Peroxide uses the `rand_distr::Binomial` distribution from the `rand_distr` crate.
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // Binomial(n, p)
//! let a = Binomial(10, 0.3);
//! a.sample(100).print();
//! a.pdf(3).print();
//! a.mean().print();
//! a.var().print();
//! }
//! ```
//!
//! ### Student's t Distribution
//!
//! * Definition
//! $$\text{StudentT}(x | \nu) = \frac{\Gamma(\frac{\nu+1}{2})}{\sqrt{\nu\pi}\,\Gamma(\frac{\nu}{2})} \left(1+\frac{x^2}{\nu} \right)^{-\frac{\nu+1}{2}}$$
//! where $\nu$ is the degrees of freedom and $\Gamma$ is the Gamma function.
//! * Representative value
//! * Mean: 0 (for $\nu > 1$)
//! * Var: $\frac{\nu}{\nu-2}$ (for $\nu > 2$)
//! * To generate Student's t random samples, Peroxide uses the `rand_distr::StudentT` distribution from the `rand_distr` crate.
//!
//! ```rust
//! use peroxide::fuga::*;
//!
//! fn main() {
//! // StudentT(nu)
//! let a = StudentT(5.0);
//! a.sample(100).print();
//! a.pdf(1.0).print();
//! a.mean().print(); // Undefined for nu <= 1
//! a.var().print(); // Undefined for nu <= 2
//! }
//! ```
//!
//! ### Weighted Uniform Distribution
//!
//! * Definition
//! $$\text{WUnif}(x | \mathbf{W}, \mathcal{I}) = \frac{1}{\sum_{j=1}^n w_j \mu(I_j)} \sum_{i=1}^n w_i
//! \mathbb{1}_{I_i}(x)$$
//! * $\mathbf{W} = (w_i)$: Weights
//! * $\mathcal{I} = \\{I_i\\}$: Intervals
//! * $\mu(I_i)$: Measure of $I_i$
//! * $\mathbb{1}_{I_i}(x)$: Indicator function
//!
//! * Reference
//! * [Piecewise Rejection Sampling](https://axect.github.io/posts/006_prs/#22-weighted-uniform-distribution)
extern crate rand;
extern crate rand_distr;
use rand_distr::WeightedAliasIndex;
use self::rand::distributions::uniform::SampleUniform;
use self::rand::prelude::*;
pub use self::OPDist::*;
pub use self::TPDist::*;
use crate::special::function::*;
use crate::traits::fp::FPVector;
//use statistics::rand::ziggurat;
use self::WeightedUniformError::*;
use crate::statistics::{ops::C, stat::Statistics};
use crate::util::non_macro::{linspace, seq};
use crate::util::useful::{auto_zip, find_interval};
use anyhow::{bail, Result};
use std::f64::consts::E;
/// One parameter distribution
///
/// # Distributions
/// * `Bernoulli(prob)`: Bernoulli distribution
#[derive(Debug, Clone)]
pub enum OPDist<T: PartialOrd + SampleUniform + Copy + Into<f64>> {
Bernoulli(T),
StudentT(T),
}
/// Two parameter distribution
///
/// # Distributions
/// * `Uniform(start, end)`: Uniform distribution
/// * `Normal(mean, std)`: Normal distribution
#[derive(Debug, Clone)]
pub enum TPDist<T: PartialOrd + SampleUniform + Copy + Into<f64>> {
Uniform(T, T),
Binomial(usize, T),
Normal(T, T),
Beta(T, T),
Gamma(T, T),
}
pub struct WeightedUniform<T: PartialOrd + SampleUniform + Copy + Into<f64>> {
weights: Vec<T>,
sum: T,
intervals: Vec<(T, T)>,
}
#[derive(Debug, Clone, Copy)]
pub enum WeightedUniformError {
AllZeroWeightError,
LengthMismatchError,
NoNonZeroIntervalError,
EmptyWeightError,
}
impl std::fmt::Display for WeightedUniformError {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
match self {
WeightedUniformError::AllZeroWeightError => write!(f, "all weights are zero"),
WeightedUniformError::LengthMismatchError => {
write!(f, "weights and intervals have different length")
}
WeightedUniformError::NoNonZeroIntervalError => write!(f, "no non-zero interval found"),
WeightedUniformError::EmptyWeightError => write!(f, "weights are empty"),
}
}
}
impl WeightedUniform<f64> {
/// Create a new weighted uniform distribution
///
/// # Examples
/// ```
/// use peroxide::fuga::*;
///
/// fn main() -> Result<(), Box<dyn Error>> {
/// let weights = vec![1f64, 3f64, 0f64, 2f64];
/// let intervals = vec![0f64, 1f64, 2f64, 4f64, 5f64];
/// let w = WeightedUniform::new(weights, intervals)?;
/// assert_eq!(w.weights(), &vec![1f64, 3f64, 2f64]);
/// assert_eq!(w.intervals(), &vec![(0f64, 1f64), (1f64, 2f64), (4f64, 5f64)]);
///
/// Ok(())
/// }
/// ```
pub fn new(weights: Vec<f64>, intervals: Vec<f64>) -> Result<Self> {
let mut weights = weights;
if weights.len() == 0 {
bail!(EmptyWeightError);
}
if weights.iter().all(|&x| x == 0f64) {
bail!(AllZeroWeightError);
}
let mut intervals = auto_zip(&intervals);
if weights.len() != intervals.len() {
bail!(LengthMismatchError);
}
// Remove zero weights & corresponding intervals
let mut i = 0;
let mut j = weights.len();
while i < j {
if weights[i] == 0f64 {
weights.remove(i);
intervals.remove(i);
j -= 1;
} else {
i += 1;
}
}
let sum = weights
.iter()
.zip(intervals.iter())
.fold(0f64, |acc, (w, (a, b))| acc + w * (b - a));
Ok(WeightedUniform {
weights,
sum,
intervals,
})
}
/// Create WeightedUniform from max pooling
///
/// # Examples
/// ```
/// use peroxide::fuga::*;
///
/// fn main() -> Result<(), Box<dyn Error>> {
/// let w = WeightedUniform::from_max_pool_1d(f, (-2f64, 3f64), 10, 1e-3)?;
/// w.weights().print();
///
/// Ok(())
/// }
///
/// fn f(x: f64) -> f64 {
/// if x.abs() < 1f64 {
/// 1f64 - x.abs()
/// } else {
/// 0f64
/// }
/// }
/// ```
pub fn from_max_pool_1d<F>(f: F, (a, b): (f64, f64), n: usize, eps: f64) -> Result<Self>
where
F: Fn(f64) -> f64 + Copy,
{
// Find non-zero intervals
let mut a = a;
let mut b = b;
let trial = seq(a, b, eps);
for i in 0..trial.len() {
let x = trial[i];
if f(x) > 0f64 {
a = if i > 0 { trial[i - 1] } else { x };
break;
}
}
for i in (0..trial.len()).rev() {
let x = trial[i];
if f(x) > 0f64 {
b = if i < trial.len() - 1 { trial[i + 1] } else { x };
break;
}
}
if a >= b {
bail!(NoNonZeroIntervalError);
}
let domain = linspace(a, b, n + 1);
// Find intervals
let intervals = auto_zip(&domain);
// Find weights
let weights: Vec<f64> = intervals
.iter()
.map(|(a, b)| seq(*a, *b + eps, eps).reduce(0f64, |acc, x| acc.max(f(x))))
.collect();
Self::new(weights, domain)
}
pub fn weights(&self) -> &Vec<f64> {
&self.weights
}
pub fn intervals(&self) -> &Vec<(f64, f64)> {
&self.intervals
}
pub fn domain_linspace(&self, n: usize) -> Vec<f64> {
linspace(
self.intervals[0].0,
self.intervals[self.intervals.len() - 1].1,
n,
)
}
pub fn domain_seq(&self, step: f64) -> Vec<f64> {
seq(
self.intervals[0].0,
self.intervals[self.intervals.len() - 1].1,
step,
)
}
pub fn sum(&self) -> f64 {
self.sum
}
pub fn update_weights(&mut self, weights: Vec<f64>) {
assert_eq!(self.intervals.len(), weights.len());
self.weights = weights;
self.sum = self
.weights
.iter()
.zip(self.intervals.iter())
.fold(0f64, |acc, (w, (a, b))| acc + w * (b - a));
}
pub fn update_intervals(&mut self, intervals: Vec<f64>) {
assert_eq!(self.weights.len() + 1, intervals.len());
self.intervals = auto_zip(&intervals);
self.sum = self
.weights
.iter()
.zip(self.intervals.iter())
.fold(0f64, |acc, (w, (a, b))| acc + w * (b - a));
}
pub fn weight_at(&self, x: f64) -> f64 {
let i = find_interval(self.intervals(), x);
self.weights[i]
}
pub fn interval_at(&self, x: f64) -> (f64, f64) {
let i = find_interval(self.intervals(), x);
self.intervals[i]
}
}
/// Extract parameter
pub trait ParametricDist {
type Parameter;
fn params(&self) -> Self::Parameter;
}
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> ParametricDist for OPDist<T> {
type Parameter = f64;
fn params(&self) -> Self::Parameter {
match self {
Bernoulli(mu) => (*mu).into(),
StudentT(nu) => (*nu).into(),
}
}
}
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> ParametricDist for TPDist<T> {
type Parameter = (f64, f64);
fn params(&self) -> Self::Parameter {
match self {
Uniform(a, b) => ((*a).into(), (*b).into()),
Binomial(a, b) => (*a as f64, (*b).into()),
Normal(mu, sigma) => ((*mu).into(), (*sigma).into()),
Beta(a, b) => ((*a).into(), (*b).into()),
Gamma(a, b) => ((*a).into(), (*b).into()),
}
}
}
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> ParametricDist for WeightedUniform<T> {
type Parameter = (Vec<f64>, Vec<(f64, f64)>);
fn params(&self) -> Self::Parameter {
let weights = self.weights.iter().map(|x| (*x).into()).collect();
let intervals = self
.intervals
.iter()
.map(|(x, y)| ((*x).into(), (*y).into()))
.collect();
(weights, intervals)
}
}
/// Random Number Generator trait
///
/// # Methods
/// * `sample`: extract samples
pub trait RNG {
/// Extract samples of distributions
fn sample(&self, n: usize) -> Vec<f64> {
let mut rng = thread_rng();
self.sample_with_rng(&mut rng, n)
}
/// Extract samples of distributions with rng
fn sample_with_rng<R: Rng + Clone>(&self, rng: &mut R, n: usize) -> Vec<f64>;
/// Probability Distribution Function
///
/// # Type
/// `f64 -> f64`
fn pdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64;
/// Cumulative Distribution Function
///
/// # Type
/// `f64` -> `f64`
fn cdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64;
}
/// RNG for OPDist
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> RNG for OPDist<T> {
fn sample_with_rng<R: Rng + Clone>(&self, rng: &mut R, n: usize) -> Vec<f64> {
match self {
Bernoulli(prob) => {
assert!(
(*prob).into() <= 1f64,
"Probability should be smaller than 1"
);
let mut v = vec![0f64; n];
for i in 0..n {
let uniform = rng.gen_range(0f64..=1f64);
if uniform <= (*prob).into() {
v[i] = 1f64;
} else {
v[i] = 0f64;
}
}
v
}
StudentT(nu) => {
let stud = rand_distr::StudentT::<f64>::new((*nu).into()).unwrap();
stud.sample_iter(rng).take(n).collect()
}
}
}
fn pdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
match self {
Bernoulli(prob) => {
if x.into() == 1f64 {
(*prob).into()
} else {
1f64 - (*prob).into()
}
}
StudentT(nu) => {
let dof = (*nu).into();
let t = x.into();
1f64 / (dof.sqrt() * beta(0.5f64, dof / 2f64))
* (1f64 + t.powi(2) / dof).powf(-(dof + 1f64) / 2f64)
}
}
}
fn cdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
match self {
Bernoulli(prob) => {
let k: f64 = x.into();
if k < 0f64 {
0f64
} else if k < 1f64 {
1f64 - (*prob).into()
} else {
1f64
}
}
StudentT(nu) => {
let x: f64 = x.into();
let nu: f64 = (*nu).into();
let _odd_nu = (nu + 1f64) / 2f64;
let even_nu = nu / 2f64;
if x > 0f64 {
let x_t = nu / (x.powi(2) + nu);
1f64 - 0.5 * inc_beta(even_nu, 0.5, x_t)
} else if x < 0f64 {
self.cdf(-x) - 0.5
} else {
0.5
}
// 0.5f64 + x * gamma(odd_nu) * hyp2f1(0.5, odd_nu, 1.5, -x.powi(2) / (*nu).into()) / (PI * (*nu).into()).sqrt() * gamma(even_nu)
}
}
}
}
/// RNG for TPDist
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> RNG for TPDist<T> {
fn sample_with_rng<R: Rng + Clone>(&self, rng: &mut R, n: usize) -> Vec<f64> {
match self {
Uniform(start, end) => {
let mut v = vec![0f64; n];
for i in 0..n {
v[i] = rng.gen_range(*start..=*end).into();
}
v
}
Binomial(num, mu) => {
let binom = rand_distr::Binomial::new(*num as u64, (*mu).into()).unwrap();
binom.sample_iter(rng).take(n).map(|t| t as f64).collect()
}
Normal(m, s) => {
let normal = rand_distr::Normal::<f64>::new((*m).into(), (*s).into()).unwrap();
normal.sample_iter(rng).take(n).collect()
}
// Normal(m, s) => {
// let mut rng = thread_rng();
// let mut v = vec![0f64; n];
//
// for i in 0..n {
// v[i] = ziggurat(&mut rng, (*s).into()) + (*m).into();
// }
// v
// }
Beta(a, b) => {
let beta = rand_distr::Beta::<f64>::new((*a).into(), (*b).into()).unwrap();
beta.sample_iter(rng).take(n).collect()
}
// Beta(a, b) => {
// let mut rng1 = thread_rng();
// let mut rng2 = thread_rng();
// let mut v = vec![0f64; n];
//
// let a_f64 = (*a).into();
// let b_f64 = (*b).into();
//
// // For acceptance-rejection method
// let c_x = (a_f64 - 1f64) / (a_f64 + b_f64 - 2f64);
// let c = self.pdf(c_x); // Beta(mode(x) | a, b)
//
// let mut iter_num = 0usize;
//
// while iter_num < n {
// let u1 = rng1.gen_range(0f64, 1f64);
// let u2 = rng2.gen_range(0f64, 1f64);
//
// if u2 <= 1f64 / c * self.pdf(u1) {
// v[iter_num] = u1;
// iter_num += 1;
// }
// }
// v
// }
Gamma(shape, scale) => {
let gamma =
rand_distr::Gamma::<f64>::new((*shape).into(), (*scale).into()).unwrap();
gamma.sample_iter(rng).take(n).collect()
} // Gamma(a, b) => {
// let a_f64 = (*a).into();
// let b_f64 = (*b).into();
//
// // for Marsaglia & Tsang's Method
// let d = a_f64 - 1f64 / 3f64;
// let c = 1f64 / (9f64 * d).sqrt();
//
// let mut rng1 = thread_rng();
// let mut rng2 = thread_rng();
//
// let mut v = vec![0f64; n];
// let mut iter_num = 0usize;
//
// while iter_num < n {
// let u = rng1.gen_range(0f64, 1f64);
// let z = ziggurat(&mut rng2, 1f64);
// let w = (1f64 + c * z).powi(3);
//
// if z >= -1f64 / c && u.ln() < 0.5 * z.powi(2) + d - d * w + d * w.ln() {
// v[iter_num] = d * w / b_f64;
// iter_num += 1;
// }
// }
// v
// }
}
}
fn pdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
match self {
Uniform(a, b) => {
let val = x.into();
let a_f64 = (*a).into();
let b_f64 = (*b).into();
if val >= a_f64 && val <= b_f64 {
let length = b_f64 - a_f64;
1f64 / length
} else {
0f64
}
}
Binomial(n, mu) => {
let n = *n;
let mu = (*mu).into();
let m = x.into() as usize;
(C(n, m) as f64) * mu.powi(m as i32) * (1f64 - mu).powi((n - m) as i32)
}
Normal(m, s) => {
let mean = (*m).into();
let std = (*s).into();
gaussian(x.into(), mean, std)
}
Beta(a, b) => {
let a_f64 = (*a).into();
let b_f64 = (*b).into();
1f64 / beta(a_f64, b_f64)
* x.into().powf(a_f64 - 1f64)
* (1f64 - x.into()).powf(b_f64 - 1f64)
}
Gamma(a, b) => {
let a_f64 = (*a).into();
let b_f64 = (*b).into();
1f64 / gamma(a_f64)
* b_f64.powf(a_f64)
* x.into().powf(a_f64 - 1f64)
* E.powf(-b_f64 * x.into())
}
}
}
fn cdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
let x: f64 = x.into();
match self {
Uniform(a, b) => {
let a: f64 = (*a).into();
let b: f64 = (*b).into();
if x < a {
0f64
} else if x <= b {
(x - a) / (b - a)
} else {
1f64
}
}
Binomial(n, mu) => {
let n = *n;
let p = (*mu).into();
let q = 1f64 - p;
let k: f64 = x.into();
inc_beta(n as f64 - k, k + 1f64, q)
}
Normal(m, s) => phi((x - (*m).into()) / (*s).into()),
Beta(a, b) => {
let a: f64 = (*a).into();
let b: f64 = (*b).into();
inc_beta(a, b, x)
}
Gamma(a, b) => {
let a: f64 = (*a).into();
let b: f64 = (*b).into();
inc_gamma(a, b * x)
}
}
}
}
impl RNG for WeightedUniform<f64> {
fn sample_with_rng<R: Rng + Clone>(&self, rng: &mut R, n: usize) -> Vec<f64> {
let w = WeightedAliasIndex::new(self.weights.clone()).unwrap();
let mut rng_clip = rng.clone();
let ics: Vec<usize> = w.sample_iter(&mut rng_clip).take(n).collect();
*rng = rng_clip;
ics.into_iter()
.map(|idx| {
let (l, r) = self.intervals[idx];
rng.gen_range(l..=r)
})
.collect::<Vec<f64>>()
}
fn pdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
let x: f64 = x.into();
if x < self.intervals[0].0 || x > self.intervals[self.intervals.len() - 1].1 {
return 0f64;
}
let idx = find_interval(self.intervals(), x);
self.weights[idx] / self.sum
}
fn cdf<S: PartialOrd + SampleUniform + Copy + Into<f64>>(&self, x: S) -> f64 {
let x: f64 = x.into();
if x < self.intervals[0].0 {
return 0f64;
} else if x > self.intervals[self.intervals.len() - 1].1 {
return 1f64;
}
let idx = find_interval(self.intervals(), x);
self.weights[0..=idx]
.iter()
.zip(self.intervals[0..=idx].iter())
.fold(0f64, |acc, (w, (a, b))| acc + w * (b - a))
/ self.sum
}
}
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> Statistics for OPDist<T> {
type Array = Vec<f64>;
type Value = f64;
fn mean(&self) -> Self::Value {
match self {
Bernoulli(mu) => (*mu).into(),
StudentT(_) => 0f64,
}
}
fn var(&self) -> Self::Value {
match self {
Bernoulli(mu) => {
let mu_f64 = (*mu).into();
mu_f64 * (1f64 - mu_f64)
}
StudentT(nu) => {
let nu_f64 = (*nu).into();
nu_f64 / (nu_f64 - 2f64)
}
}
}
fn sd(&self) -> Self::Value {
match self {
Bernoulli(_mu) => self.var().sqrt(),
StudentT(_nu) => self.var().sqrt(),
}
}
fn cov(&self) -> Self::Array {
unimplemented!()
}
fn cor(&self) -> Self::Array {
unimplemented!()
}
}
impl<T: PartialOrd + SampleUniform + Copy + Into<f64>> Statistics for TPDist<T> {
type Array = Vec<f64>;
type Value = f64;
fn mean(&self) -> Self::Value {
match self {
Uniform(a, b) => ((*a).into() + (*b).into()) / 2f64,
Binomial(n, mu) => (*n as f64) * (*mu).into(),
Normal(m, _s) => (*m).into(),
Beta(a, b) => (*a).into() / ((*a).into() + (*b).into()),
Gamma(a, b) => (*a).into() / (*b).into(),
}
}
fn var(&self) -> Self::Value {
match self {
Uniform(a, b) => ((*b).into() - (*a).into()).powi(2) / 12f64,
Binomial(n, mu) => (*n as f64) * (*mu).into() * (1f64 - (*mu).into()),
Normal(_m, s) => (*s).into().powi(2),
Beta(a, b) => {
let a_f64 = (*a).into();
let b_f64 = (*b).into();
a_f64 * b_f64 / ((a_f64 + b_f64).powi(2) * (a_f64 + b_f64 + 1f64))
}
Gamma(a, b) => (*a).into() / (*b).into().powi(2),
}
}
fn sd(&self) -> Self::Value {
match self {
Uniform(_a, _b) => self.var().sqrt(),
Binomial(_n, _mu) => self.var().sqrt(),
Normal(_m, s) => (*s).into(),
Beta(_a, _b) => self.var().sqrt(),
Gamma(_a, _b) => self.var().sqrt(),
}
}
fn cov(&self) -> Self::Array {
unimplemented!()
}
fn cor(&self) -> Self::Array {
unimplemented!()
}
}
impl Statistics for WeightedUniform<f64> {
type Array = Vec<f64>;
type Value = f64;
fn mean(&self) -> Self::Value {
self.intervals()
.iter()
.zip(self.weights().iter())
.map(|((l, r), w)| (r.powi(2) - l.powi(2)) / 2f64 * w)
.sum::<f64>()
/ self.sum
}
fn var(&self) -> Self::Value {
let mean = self.mean();
self.intervals()
.iter()
.zip(self.weights().iter())
.map(|((l, r), w)| w * (r.powi(3) - l.powi(3)) / 3f64)
.sum::<f64>()
/ self.sum
- mean * mean
}
fn sd(&self) -> Self::Value {
self.var().sqrt()
}
fn cov(&self) -> Self::Array {
vec![self.var()]
}
fn cor(&self) -> Self::Array {
vec![1f64]
}
}