File: C:/Users/fred/anaconda3/Lib/site-packages/mkl_random/mklrand.pyx
#!/usr/bin/env python
# Copyright (c) 2017-2024, Intel Corporation
#
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# modification, are permitted provided that the following conditions are met:
#
# * Redistributions of source code must retain the above copyright notice,
# this list of conditions and the following disclaimer.
# * Redistributions in binary form must reproduce the above copyright
# notice, this list of conditions and the following disclaimer in the
# documentation and/or other materials provided with the distribution.
# * Neither the name of Intel Corporation nor the names of its contributors
# may be used to endorse or promote products derived from this software
# without specific prior written permission.
#
# THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
# AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
# IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
# DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE
# FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
# DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
# SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
# CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
# OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
# OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
# cython: language_level=3
cdef extern from "Python.h":
void* PyMem_Malloc(size_t n)
void PyMem_Free(void* buf)
double PyFloat_AsDouble(object ob)
long PyInt_AsLong(object ob)
int PyErr_Occurred()
void PyErr_Clear()
cdef extern from "numpy/npy_no_deprecated_api.h":
pass
cimport numpy as cnp
from libc.string cimport memset, memcpy
cimport cpython.tuple
cimport cython
cdef extern from "math.h":
double floor(double x)
cdef extern from "numpy/npy_math.h":
int npy_isfinite(double x)
cdef extern from "mklrand_py_helper.h":
object empty_py_bytes(cnp.npy_intp length, void **bytesVec)
char* py_bytes_DataPtr(object b)
int is_bytes_object(object b)
cdef extern from "numpy_multiiter_workaround.h":
cnp.npy_intp cnp_PyArray_MultiIter_SIZE "workaround_PyArray_MultiIter_SIZE"(cnp.broadcast multi) nogil
int cnp_PyArray_MultiIter_NDIM "workaround_PyArray_MultiIter_NDIM"(cnp.broadcast multi) nogil
cnp.npy_intp* cnp_PyArray_MultiIter_DIMS "workaround_PyArray_MultiIter_DIMS"(cnp.broadcast multi) nogil
cdef extern from "randomkit.h":
ctypedef struct irk_state:
pass
ctypedef enum irk_error:
RK_NOERR = 0
RK_ENODEV = 1
RK_ERR_MAX = 2
ctypedef enum irk_brng_t:
MT19937 = 0
SFMT19937 = 1
WH = 2
MT2203 = 3
MCG31 = 4
R250 = 5
MRG32K3A = 6
MCG59 = 7
PHILOX4X32X10 = 8
NONDETERM = 9
ARS5 = 10
void irk_fill(void *buffer, size_t size, irk_state *state) noexcept nogil
void irk_dealloc_stream(irk_state *state)
void irk_seed_mkl(irk_state * state, unsigned int seed, irk_brng_t brng, unsigned int stream_id)
void irk_seed_mkl_array(irk_state * state, unsigned int * seed_vec, int seed_len, irk_brng_t brng, unsigned int stream_id)
irk_error irk_randomseed_mkl(irk_state * state, irk_brng_t brng, unsigned int stream_id)
int irk_get_stream_size(irk_state * state) noexcept nogil
void irk_get_state_mkl(irk_state * state, char * buf)
int irk_set_state_mkl(irk_state * state, char * buf)
int irk_get_brng_mkl(irk_state *state) noexcept nogil
int irk_get_brng_and_stream_mkl(irk_state *state, unsigned int * stream_id) noexcept nogil
int irk_leapfrog_stream_mkl(irk_state *state, int k, int nstreams) noexcept nogil
int irk_skipahead_stream_mkl(irk_state *state, long long int nskips) noexcept nogil
cdef extern from "mkl_distributions.h":
void irk_double_vec(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_uniform_vec(irk_state *state, cnp.npy_intp len, double *res, double dlow, double dhigh) noexcept nogil
void irk_normal_vec_BM1(irk_state *state, cnp.npy_intp len, double *res, double mean, double sigma) noexcept nogil
void irk_normal_vec_BM2(irk_state *state, cnp.npy_intp len, double *res, double mean, double sigma) noexcept nogil
void irk_normal_vec_ICDF(irk_state *state, cnp.npy_intp len, double *res, double mean, double sigma) noexcept nogil
void irk_standard_normal_vec_BM1(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_standard_normal_vec_BM2(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_standard_normal_vec_ICDF(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_standard_exponential_vec(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_exponential_vec(irk_state *state, cnp.npy_intp len, double *res, double scale) noexcept nogil
void irk_standard_cauchy_vec(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
void irk_standard_gamma_vec(irk_state *state, cnp.npy_intp len, double *res, double shape) noexcept nogil
void irk_gamma_vec(irk_state *state, cnp.npy_intp len, double *res, double shape, double scale) noexcept nogil
void irk_beta_vec(irk_state *state, cnp.npy_intp len, double *res, double p, double q) noexcept nogil
void irk_chisquare_vec(irk_state *state, cnp.npy_intp len, double *res, double df) noexcept nogil
void irk_standard_t_vec(irk_state *state, cnp.npy_intp len, double *res, double df) noexcept nogil
void irk_rayleigh_vec(irk_state *state, cnp.npy_intp len, double *res, double sigma) noexcept nogil
void irk_pareto_vec(irk_state *state, cnp.npy_intp len, double *res, double alp) noexcept nogil
void irk_power_vec(irk_state *state, cnp.npy_intp len, double *res, double alp) noexcept nogil
void irk_weibull_vec(irk_state *state, cnp.npy_intp len, double *res, double alp) noexcept nogil
void irk_f_vec(irk_state *state, cnp.npy_intp len, double *res, double df_num, double df_den) noexcept nogil
void irk_noncentral_chisquare_vec(irk_state *state, cnp.npy_intp len, double *res, double df, double nonc) noexcept nogil
void irk_laplace_vec(irk_state *state, cnp.npy_intp len, double *res, double loc, double scale) noexcept nogil
void irk_gumbel_vec(irk_state *state, cnp.npy_intp len, double *res, double loc, double scale) noexcept nogil
void irk_logistic_vec(irk_state *state, cnp.npy_intp len, double *res, double loc, double scale) noexcept nogil
void irk_wald_vec(irk_state *state, cnp.npy_intp len, double *res, double mean, double scale) noexcept nogil
void irk_lognormal_vec_ICDF(irk_state *state, cnp.npy_intp len, double *res, double mean, double scale) noexcept nogil
void irk_lognormal_vec_BM(irk_state *state, cnp.npy_intp len, double *res, double mean, double scale) noexcept nogil
void irk_vonmises_vec(irk_state *state, cnp.npy_intp len, double *res, double mu, double kappa) noexcept nogil
void irk_noncentral_f_vec(irk_state *state, cnp.npy_intp len, double *res, double df_num, double df_den, double nonc) noexcept nogil
void irk_triangular_vec(irk_state *state, cnp.npy_intp len, double *res, double left, double mode, double right) noexcept nogil
void irk_geometric_vec(irk_state *state, cnp.npy_intp len, int *res, double p) noexcept nogil
void irk_negbinomial_vec(irk_state *state, cnp.npy_intp len, int *res, double a, double p) noexcept nogil
void irk_binomial_vec(irk_state *state, cnp.npy_intp len, int *res, int n, double p) noexcept nogil
void irk_multinomial_vec(irk_state *state, cnp.npy_intp len, int *res, int n, int d, double *pvec) noexcept nogil
void irk_hypergeometric_vec(irk_state *state, cnp.npy_intp len, int *res, int ls, int ss, int ms) noexcept nogil
void irk_poisson_vec_PTPE(irk_state *state, cnp.npy_intp len, int *res, double lam) noexcept nogil
void irk_poisson_vec_POISNORM(irk_state *state, cnp.npy_intp len, int *res, double lam) noexcept nogil
void irk_poisson_vec_V(irk_state *state, cnp.npy_intp len, int *res, double *lam_vec) noexcept nogil
void irk_zipf_long_vec(irk_state *state, cnp.npy_intp len, long *res, double alpha) noexcept nogil
void irk_logseries_vec(irk_state *state, cnp.npy_intp len, int *res, double theta) noexcept nogil
# random integers madness
void irk_discrete_uniform_vec(irk_state *state, cnp.npy_intp len, int *res, int low, int high) noexcept nogil
void irk_discrete_uniform_long_vec(irk_state *state, cnp.npy_intp len, long *res, long low, long high) noexcept nogil
void irk_rand_bool_vec(irk_state *state, cnp.npy_intp len, cnp.npy_bool *res, cnp.npy_bool low, cnp.npy_bool high) noexcept nogil
void irk_rand_uint8_vec(irk_state *state, cnp.npy_intp len, cnp.npy_uint8 *res, cnp.npy_uint8 low, cnp.npy_uint8 high) noexcept nogil
void irk_rand_int8_vec(irk_state *state, cnp.npy_intp len, cnp.npy_int8 *res, cnp.npy_int8 low, cnp.npy_int8 high) noexcept nogil
void irk_rand_uint16_vec(irk_state *state, cnp.npy_intp len, cnp.npy_uint16 *res, cnp.npy_uint16 low, cnp.npy_uint16 high) noexcept nogil
void irk_rand_int16_vec(irk_state *state, cnp.npy_intp len, cnp.npy_int16 *res, cnp.npy_int16 low, cnp.npy_int16 high) noexcept nogil
void irk_rand_uint32_vec(irk_state *state, cnp.npy_intp len, cnp.npy_uint32 *res, cnp.npy_uint32 low, cnp.npy_uint32 high) noexcept nogil
void irk_rand_int32_vec(irk_state *state, cnp.npy_intp len, cnp.npy_int32 *res, cnp.npy_int32 low, cnp.npy_int32 high) noexcept nogil
void irk_rand_uint64_vec(irk_state *state, cnp.npy_intp len, cnp.npy_uint64 *res, cnp.npy_uint64 low, cnp.npy_uint64 high) noexcept nogil
void irk_rand_int64_vec(irk_state *state, cnp.npy_intp len, cnp.npy_int64 *res, cnp.npy_int64 low, cnp.npy_int64 high) noexcept nogil
void irk_long_vec(irk_state *state, cnp.npy_intp len, long *res) noexcept nogil
ctypedef enum ch_st_enum:
MATRIX = 0
PACKED = 1
DIAGONAL = 2
void irk_multinormal_vec_ICDF(irk_state *state, cnp.npy_intp len, double *res, int dim, double *mean_vec, double *ch, ch_st_enum storage_mode) noexcept nogil
void irk_multinormal_vec_BM1(irk_state *state, cnp.npy_intp len, double *res, int dim, double *mean_vec, double *ch, ch_st_enum storage_mode) noexcept nogil
void irk_multinormal_vec_BM2(irk_state *state, cnp.npy_intp len, double *res, int dim, double *mean_vec, double *ch, ch_st_enum storage_mode) noexcept nogil
ctypedef void (* irk_cont0_vec)(irk_state *state, cnp.npy_intp len, double *res) noexcept nogil
ctypedef void (* irk_cont1_vec)(irk_state *state, cnp.npy_intp len, double *res, double a) noexcept nogil
ctypedef void (* irk_cont2_vec)(irk_state *state, cnp.npy_intp len, double *res, double a, double b) noexcept nogil
ctypedef void (* irk_cont3_vec)(irk_state *state, cnp.npy_intp len, double *res, double a, double b, double c) noexcept nogil
ctypedef void (* irk_disc0_vec)(irk_state *state, cnp.npy_intp len, int *res) noexcept nogil
ctypedef void (* irk_disc0_vec_long)(irk_state *state, cnp.npy_intp len, long *res) noexcept nogil
ctypedef void (* irk_discnp_vec)(irk_state *state, cnp.npy_intp len, int *res, int n, double a) noexcept nogil
ctypedef void (* irk_discdd_vec)(irk_state *state, cnp.npy_intp len, int *res, double n, double p) noexcept nogil
ctypedef void (* irk_discnmN_vec)(irk_state *state, cnp.npy_intp len, int *res, int n, int m, int N) noexcept nogil
ctypedef void (* irk_discd_vec)(irk_state *state, cnp.npy_intp len, int *res, double a) noexcept nogil
ctypedef void (* irk_discd_long_vec)(irk_state *state, cnp.npy_intp len, long *res, double a) noexcept nogil
ctypedef void (* irk_discdptr_vec)(irk_state *state, cnp.npy_intp len, int *res, double *a) noexcept nogil
cdef int r = cnp._import_array()
if (r<0):
raise ImportError("Failed to import NumPy")
import numpy as np
import operator
import warnings
try:
from threading import Lock
except ImportError:
from dummy_threading import Lock
cdef object vec_cont0_array(irk_state *state, irk_cont0_vec func, object size,
object lock):
cdef double *array_data
cdef double res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
if size is None:
func(state, 1, &res)
return res
else:
array = <cnp.ndarray>np.empty(size, np.float64)
length = cnp.PyArray_SIZE(array)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data)
return array
cdef object vec_cont1_array_sc(irk_state *state, irk_cont1_vec func, object size, double a,
object lock):
cdef double *array_data
cdef double res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
if size is None:
func(state, 1, &res, a)
return res
else:
array = <cnp.ndarray>np.empty(size, np.float64)
length = cnp.PyArray_SIZE(array)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, a)
return array
cdef object vec_cont1_array(irk_state *state, irk_cont1_vec func, object size,
cnp.ndarray oa, object lock):
cdef double *array_data
cdef double *oa_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp i, n, imax, res_size
cdef cnp.flatiter itera
cdef cnp.broadcast multi
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
if size is None:
array = <cnp.ndarray>cnp.PyArray_SimpleNew(cnp.PyArray_NDIM(oa),
cnp.PyArray_DIMS(oa) , cnp.NPY_DOUBLE)
imax = cnp.PyArray_SIZE(array)
array_data = <double *>cnp.PyArray_DATA(array)
itera = <cnp.flatiter>cnp.PyArray_IterNew(<object>oa)
with lock, nogil:
for i from 0 <= i < imax:
func(state, 1, array_data + i, (<double *>(cnp.PyArray_ITER_DATA(itera)))[0])
cnp.PyArray_ITER_NEXT(itera)
arr_obj = <object> array
else:
array = <cnp.ndarray>np.empty(size, np.float64)
array_data = <double *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(2, <void *>array, <void *>oa)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(1, <void *>oa)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
func(state, n, array_data + n*i, oa_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_cont2_array_sc(irk_state *state, irk_cont2_vec func, object size, double a,
double b, object lock):
cdef double *array_data
cdef double res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, a, b)
return res
else:
array = <cnp.ndarray>np.empty(size, np.float64)
length = cnp.PyArray_SIZE(array)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, a, b)
return array
cdef object vec_cont2_array(irk_state *state, irk_cont2_vec func, object size,
cnp.ndarray oa, cnp.ndarray ob, object lock):
cdef double *array_data
cdef double *oa_data
cdef double *ob_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp i, n, imax, res_size
cdef cnp.broadcast multi
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
if size is None:
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>oa, <void *>ob)
array = <cnp.ndarray> cnp.PyArray_SimpleNew(
cnp_PyArray_MultiIter_NDIM(multi),
cnp_PyArray_MultiIter_DIMS(multi),
cnp.NPY_DOUBLE
)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
for i from 0 <= i < cnp_PyArray_MultiIter_SIZE(multi):
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
ob_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, 1, &array_data[i], oa_data[0], ob_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object> array
else:
array = <cnp.ndarray>np.empty(size, np.float64)
array_data = <double *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast >cnp.PyArray_MultiIterNew(3, <void*>array, <void *>oa, <void *>ob)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>oa, <void *>ob)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
ob_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, n, array_data + n*i, oa_data[0], ob_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object> array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_cont3_array_sc(irk_state *state, irk_cont3_vec func, object size, double a,
double b, double c, object lock):
cdef double *array_data
cdef double res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, a, b, c)
return res
else:
array = <cnp.ndarray>np.empty(size, np.float64)
length = cnp.PyArray_SIZE(array)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, a, b, c)
return array
cdef object vec_cont3_array(irk_state *state, irk_cont3_vec func, object size,
cnp.ndarray oa, cnp.ndarray ob, cnp.ndarray oc, object lock):
cdef double *array_data
cdef double *oa_data
cdef double *ob_data
cdef double *oc_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp i, res_size, n, imax
cdef cnp.broadcast multi
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
if size is None:
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(3, <void *>oa, <void *>ob, <void *>oc)
array = <cnp.ndarray> cnp.PyArray_SimpleNew(cnp_PyArray_MultiIter_NDIM(multi), cnp_PyArray_MultiIter_DIMS(multi), cnp.NPY_DOUBLE)
array_data = <double *>cnp.PyArray_DATA(array)
with lock, nogil:
for i from 0 <= i < cnp_PyArray_MultiIter_SIZE(multi):
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
ob_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
oc_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 2)
func(state, 1, &array_data[i], oa_data[0], ob_data[0], oc_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.float64)
array_data = <double *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(4, <void*>array, <void *>oa,
<void *>ob, <void *>oc)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(3, <void *>oa, <void *>ob, <void *>oc)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
ob_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
oc_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 2)
func(state, n, array_data + n*i, oa_data[0], ob_data[0], oc_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_long_disc0_array(
irk_state *state, irk_disc0_vec_long func,
object size, object lock
):
cdef long *array_data
cdef long res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res)
return res
array = <cnp.ndarray>np.empty(size, np.dtype("long"))
length = cnp.PyArray_SIZE(array)
array_data = <long *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data)
return array
cdef object vec_discnp_array_sc(
irk_state *state, irk_discnp_vec func, object size,
int n, double p, object lock
):
cdef int *array_data
cdef int res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, n, p)
return res
else:
array = <cnp.ndarray>np.empty(size, np.intc)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, n, p)
return array
cdef object vec_discnp_array(irk_state *state, irk_discnp_vec func, object size,
cnp.ndarray on, cnp.ndarray op, object lock):
cdef int *array_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i, n, imax, res_size
cdef double *op_data
cdef int *on_data
cdef cnp.broadcast multi
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
cdef int multi_nd_i
if size is None:
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>on, <void *>op)
multi_nd_i = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
array = <cnp.ndarray> cnp.PyArray_SimpleNew(multi_nd_i, multi_dims, cnp.NPY_INT)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
for i from 0 <= i < cnp_PyArray_MultiIter_SIZE(multi):
on_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 0)
op_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, 1, &array_data[i], on_data[0], op_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.intc)
array_data = <int *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(3, <void*>array, <void *>on, <void *>op)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>on, <void *>op)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
on_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 0)
op_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, n, array_data + n * i, on_data[0], op_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_discdd_array_sc(irk_state *state, irk_discdd_vec func, object size,
double n, double p, object lock):
cdef int *array_data
cdef int res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, n, p)
return res
else:
array = <cnp.ndarray>np.empty(size, np.intc)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, n, p)
return array
cdef object vec_discdd_array(irk_state *state, irk_discdd_vec func, object size,
cnp.ndarray on, cnp.ndarray op, object lock):
cdef int *array_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp i, imax, n, res_size
cdef double *op_data
cdef double *on_data
cdef cnp.broadcast multi
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
if size is None:
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>on, <void *>op)
array = <cnp.ndarray> cnp.PyArray_SimpleNew(cnp_PyArray_MultiIter_NDIM(multi), cnp_PyArray_MultiIter_DIMS(multi), cnp.NPY_INT)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
for i from 0 <= i < cnp_PyArray_MultiIter_SIZE(multi):
on_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
op_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, 1, &array_data[i], on_data[0], op_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.intc)
array_data = <int *>cnp.PyArray_DATA(array)
res_size = cnp.PyArray_SIZE(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(3, <void*>array, <void *>on, <void *>op)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(2, <void *>on, <void *>op)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
on_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 0)
op_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, n, array_data + n * i, on_data[0], op_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_discnmN_array_sc(irk_state *state, irk_discnmN_vec func, object size,
int n, int m, int N, object lock):
cdef int *array_data
cdef int res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, n, m, N)
return res
else:
array = <cnp.ndarray>np.empty(size, np.intc)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, n, m, N)
return array
cdef object vec_discnmN_array(irk_state *state, irk_discnmN_vec func, object size,
cnp.ndarray on, cnp.ndarray om, cnp.ndarray oN, object lock):
cdef int *array_data
cdef int *on_data
cdef int *om_data
cdef int *oN_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp i
cdef cnp.broadcast multi, multi2
cdef cnp.npy_intp imax, n, res_size
cdef object arr_obj
cdef Py_ssize_t multi_nd
cdef tuple multi_shape
cdef cnp.npy_intp *multi_dims
if size is None:
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(3, <void *>on, <void *>om, <void *>oN)
array = <cnp.ndarray> cnp.PyArray_SimpleNew(cnp_PyArray_MultiIter_NDIM(multi), cnp_PyArray_MultiIter_DIMS(multi), cnp.NPY_INT)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
for i from 0 <= i < cnp_PyArray_MultiIter_SIZE(multi):
on_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 0)
om_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 1)
oN_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 2)
func(state, 1, array_data + i, on_data[0], om_data[0], oN_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.intc)
array_data = <int *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(4, <void*>array, <void *>on, <void *>om,
<void *>oN)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
multi = <cnp.broadcast> cnp.PyArray_MultiIterNew(3, <void *>on, <void *>om, <void *>oN)
imax = cnp_PyArray_MultiIter_SIZE(multi)
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
on_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 0)
om_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 1)
oN_data = <int *>cnp.PyArray_MultiIter_DATA(multi, 2)
func(state, n, array_data + n*i, on_data[0], om_data[0], oN_data[0])
cnp.PyArray_MultiIter_NEXT(multi)
arr_obj = <object>array
multi_nd = cnp_PyArray_MultiIter_NDIM(multi)
multi_dims = cnp_PyArray_MultiIter_DIMS(multi)
multi_shape = cpython.tuple.PyTuple_New(multi_nd)
for i from 0 <= i < multi_nd:
cpython.tuple.PyTuple_SetItem(multi_shape, i, multi_dims[i])
arr_obj.shape = (multi_shape + arr_obj.shape)[:arr_obj.ndim]
multi_ndim = len(multi_shape)
arr_obj = arr_obj.transpose(tuple(range(multi_ndim, arr_obj.ndim)) + tuple(range(0, multi_ndim)))
return arr_obj
cdef object vec_discd_array_sc(irk_state *state, irk_discd_vec func, object size,
double a, object lock):
cdef int *array_data
cdef int res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, a)
return res
else:
array = <cnp.ndarray>np.empty(size, np.intc)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, a)
return array
cdef object vec_long_discd_array_sc(irk_state *state, irk_discd_long_vec func, object size,
double a, object lock):
cdef long *array_data
cdef long res
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef cnp.npy_intp i
if size is None:
func(state, 1, &res, a)
return res
else:
array = <cnp.ndarray>np.empty(size, np.dtype("long"))
length = cnp.PyArray_SIZE(array)
array_data = <long *>cnp.PyArray_DATA(array)
with lock, nogil:
func(state, length, array_data, a)
return array
cdef object vec_discd_array(irk_state *state, irk_discd_vec func, object size, cnp.ndarray oa,
object lock):
cdef int *array_data
cdef double *oa_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length, res_size
cdef cnp.npy_intp i, imax, n
cdef cnp.broadcast multi
cdef cnp.flatiter itera
cdef object arr_obj
if size is None:
array = <cnp.ndarray>cnp.PyArray_SimpleNew(cnp.PyArray_NDIM(oa),
cnp.PyArray_DIMS(oa), cnp.NPY_INT32)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
itera = <cnp.flatiter>cnp.PyArray_IterNew(<object>oa)
with lock, nogil:
for i from 0 <= i < length:
func(state, 1, &array_data[i], (<double *>(cnp.PyArray_ITER_DATA(itera)))[0])
cnp.PyArray_ITER_NEXT(itera)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.intc)
array_data = <int *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(2, <void *>array, <void *>oa)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
imax = oa.size
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, n, array_data + n*i, oa_data[0])
cnp.PyArray_MultiIter_NEXTi(multi, 1)
arr_obj = <object>array
arr_obj.shape = ((<object >oa).shape + arr_obj.shape)[:arr_obj.ndim]
arr_obj = arr_obj.transpose(tuple(range(oa.ndim, arr_obj.ndim)) + tuple(range(0, oa.ndim)))
return arr_obj
cdef object vec_long_discd_array(irk_state *state, irk_discd_long_vec func, object size, cnp.ndarray oa,
object lock):
cdef long *array_data
cdef double *oa_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length, res_size
cdef cnp.npy_intp i, imax, n
cdef cnp.broadcast multi
cdef cnp.flatiter itera
cdef object arr_obj
if size is None:
array = <cnp.ndarray>cnp.PyArray_SimpleNew(cnp.PyArray_NDIM(oa),
cnp.PyArray_DIMS(oa), cnp.NPY_LONG)
length = cnp.PyArray_SIZE(array)
array_data = <long *>cnp.PyArray_DATA(array)
itera = <cnp.flatiter>cnp.PyArray_IterNew(<object>oa)
with lock, nogil:
for i from 0 <= i < length:
func(state, 1, array_data + i, (<double *>(cnp.PyArray_ITER_DATA(itera)))[0])
cnp.PyArray_ITER_NEXT(itera)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.dtype("long"))
array_data = <long *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(2, <void *>array, <void *>oa)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
imax = oa.size
n = res_size // imax
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func(state, n, array_data + n*i, oa_data[0])
cnp.PyArray_MultiIter_NEXTi(multi, 1)
arr_obj = <object>array
arr_obj.shape = ((<object> oa).shape + arr_obj.shape)[:arr_obj.ndim]
arr_obj = arr_obj.transpose(tuple(range(oa.ndim, arr_obj.ndim)) + tuple(range(0, oa.ndim)))
return arr_obj
cdef object vec_Poisson_array(irk_state *state, irk_discdptr_vec func1, irk_discd_vec func2, object size, cnp.ndarray olambda,
object lock):
cdef int *array_data
cdef double *oa_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length, res_size
cdef cnp.npy_intp i, imax, n
cdef cnp.broadcast multi
cdef cnp.flatiter itera
cdef object arr_obj
if size is None:
array = <cnp.ndarray>cnp.PyArray_SimpleNew(cnp.PyArray_NDIM(olambda),
cnp.PyArray_DIMS(olambda), cnp.NPY_INT)
length = cnp.PyArray_SIZE(array)
array_data = <int *>cnp.PyArray_DATA(array)
oa_data = <double *>cnp.PyArray_DATA(olambda)
with lock, nogil:
func1(state, length, array_data, oa_data)
arr_obj = <object>array
else:
array = <cnp.ndarray>np.empty(size, np.intc)
array_data = <int *>cnp.PyArray_DATA(array)
multi = <cnp.broadcast>cnp.PyArray_MultiIterNew(2, <void *>array, <void *>olambda)
res_size = cnp.PyArray_SIZE(array)
if (cnp_PyArray_MultiIter_SIZE(multi) != res_size):
raise ValueError("size is not compatible with inputs")
imax = olambda.size
n = res_size // imax
if imax < n:
with lock, nogil:
for i from 0 <= i < imax:
oa_data = <double *>cnp.PyArray_MultiIter_DATA(multi, 1)
func2(state, n, array_data + n*i, oa_data[0])
cnp.PyArray_MultiIter_NEXTi(multi, 1)
arr_obj = <object>array
arr_obj.shape = ((<object>olambda).shape + arr_obj.shape)[:arr_obj.ndim]
arr_obj = arr_obj.transpose(tuple(range(olambda.ndim, arr_obj.ndim)) + tuple(range(0, olambda.ndim)))
else:
oa_data = <double *>cnp.PyArray_DATA(olambda)
with lock, nogil:
for i from 0 <= i < n:
func1(state, imax, array_data + imax*i, oa_data)
arr_obj = <object>array
return arr_obj
cdef double kahan_sum(double *darr, cnp.npy_intp n) nogil:
cdef double c, y, t, sum
cdef cnp.npy_intp i
sum = darr[0]
c = 0.0
for i from 1 <= i < n:
y = darr[i] - c
t = sum + y
c = (t-sum) - y
sum = t
return sum
# computes dim*(dim + 1)/2 -- number of elements in lower-triangular part of a square matrix of shape (dim, dim)
cdef inline int packed_cholesky_size(int dim):
cdef int dh, lsb
dh = (dim >> 1)
lsb = (dim & 1)
return (lsb + dh) * (dim + (1 - lsb))
def _shape_from_size(size, d):
if size is None:
shape = (d,)
else:
try:
shape = (operator.index(size), d)
except TypeError:
shape = tuple(size) + (d,)
return shape
# sampling methods enum
ICDF = 0
BOXMULLER = 1
BOXMULLER2 = 2
POISNORM = 3
PTPE = 4
_method_alias_dict_gaussian = {'ICDF': ICDF, 'Inversion': ICDF,
'BoxMuller': BOXMULLER, 'Box-Muller': BOXMULLER,
'BoxMuller2': BOXMULLER2, 'Box-Muller2': BOXMULLER2}
_method_alias_dict_gaussian_short = {'ICDF': ICDF, 'Inversion': ICDF,
'BoxMuller': BOXMULLER, 'Box-Muller': BOXMULLER}
_method_alias_dict_poisson = {'PTPE' : PTPE, 'Poisson-Normal': POISNORM, 'POISNORM' : POISNORM}
def choose_method(method, mlist, alias_dict = None):
if (method not in mlist):
if (alias_dict is None) or (not isinstance(alias_dict, dict)):
# issue warning
return mlist[0]
else:
if method not in alias_dict.keys():
return mlist[0]
else:
return alias_dict[method]
else:
return method
_brng_dict = {
'MT19937' : MT19937,
'SFMT19937' : SFMT19937,
'WH' : WH,
'MT2203': MT2203,
'MCG31' : MCG31,
'R250' : R250,
'MRG32K3A' : MRG32K3A,
'MCG59' : MCG59,
'PHILOX4X32X10' : PHILOX4X32X10,
'NONDETERM' : NONDETERM,
'NONDETERMINISTIC' : NONDETERM,
'NON_DETERMINISTIC' : NONDETERM,
'ARS5' : ARS5
}
_brng_dict_stream_max = {
MT19937: 1,
SFMT19937: 1,
WH: 273,
MT2203: 6024,
MCG31: 1,
R250: 1,
MRG32K3A: 1,
MCG59: 1,
PHILOX4X32X10: 1,
NONDETERM: 1,
ARS5: 1,
}
cdef irk_brng_t _default_fallback_brng_token_(brng):
cdef irk_brng_t brng_token
warnings.warn(("The basic random generator specification {given} is not recognized. "
"\"MT19937\" will be used instead").format(given=brng),
UserWarning)
brng_token = MT19937
return brng_token
cdef irk_brng_t _parse_brng_token_(brng):
cdef irk_brng_t brng_token
if isinstance(brng, str):
tmp = _brng_dict.get(brng.upper(), None)
if tmp is None:
brng_token = _default_fallback_brng_token_(brng)
else:
brng_token = tmp
elif isinstance(brng, int):
brng_token = operator.index(brng)
else:
brng_token = _default_fallback_brng_token_(brng)
return brng_token
def _parse_brng_argument(brng):
cdef irk_brng_t brng_token
cdef unsigned int stream_id = 0
if isinstance(brng, (list, tuple)) and len(brng) == 2:
bt, s = brng;
brng_token = _parse_brng_token_(bt)
smax = _brng_dict_stream_max[brng_token]
if isinstance(s, int):
s = s % smax
if (s != brng[1]):
warnings.warn(("The generator index {actual} is not between 0 and {max}, "
"index {choice} will be used.").format(actual=brng[-1], max=smax-1, choice=s),
UserWarning)
stream_id = s
else:
brng_token = _parse_brng_token_(brng)
return (brng_token, stream_id)
def _brng_id_to_name(int brng_id):
cdef object nm
cdef object brng_name = None
for nm in _brng_dict:
if _brng_dict[nm] == brng_id:
brng_name = nm
return brng_name
cdef class RandomState:
"""
RandomState(seed=None, brng='MT19937')
Container for the Intel(R) MKL-powered (pseudo-)random number generators.
`RandomState` exposes a number of methods for generating random numbers
drawn from a variety of probability distributions. In addition to the
distribution-specific arguments, each method takes a keyword argument
`size` that defaults to ``None``. If `size` is ``None``, then a single
value is generated and returned. If `size` is an integer, then a 1-D
array filled with generated values is returned. If `size` is a tuple,
then an array with that shape is filled and returned.
*Compatibility Notice*
This version of numpy.random has been rewritten to use MKL's vector
statistics functionality, that provides efficient implementation of
the MT19937 and many other basic psuedo-random number generation
algorithms as well as efficient sampling from other common statistical
distributions. As a consequence this version is NOT seed-compatible with
the original numpy.random.
Parameters
----------
seed : {None, int, array_like}, optional
Random seed initializing the pseudo-random number generator.
Can be an integer, an array (or other sequence) of integers of
any length, or ``None`` (the default).
If `seed` is ``None``, then `RandomState` will try to read data from
``/dev/urandom`` (or the Windows analogue) if available or seed from
the clock otherwise.
brng : {'MT19937', 'SFMT19937', 'MT2203', 'R250', 'WH', 'MCG31', 'MCG59',
'MRG32K3A', 'PHILOX4X32X10', 'NONDETERM', 'ARS5'}, optional
basic pseudo-random number generation algorithms, or non-deterministic
hardware-based generator, provided by Intel MKL. The default choice is
'MT19937' - the Mersenne Twister generator.
Notes
-----
The Python stdlib module "random" also contains a Mersenne Twister
pseudo-random number generator with a number of methods that are similar
to the ones available in `RandomState`. `RandomState`, besides being
NumPy-aware, has the advantage that it provides a much larger number
of probability distributions to choose from.
References
-----
MKL Documentation: https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl.html
"""
cdef irk_state *internal_state
cdef object lock
poisson_lam_max = np.iinfo('l').max - np.sqrt(np.iinfo('l').max)*10
def __init__(self, seed=None, brng='MT19937'):
self.internal_state = <irk_state*>PyMem_Malloc(sizeof(irk_state))
memset(self.internal_state, 0, sizeof(irk_state))
self.lock = Lock()
self.seed(seed, brng)
def __dealloc__(self):
if self.internal_state != NULL:
irk_dealloc_stream(self.internal_state)
PyMem_Free(self.internal_state)
self.internal_state = NULL
def seed(self, seed=None, brng=None):
"""
seed(seed=None, brng=None)
Seed the generator.
This method is called when `RandomState` is initialized. It can be
called again to re-seed the generator. For details, see `RandomState`.
Parameters
----------
seed : int or array_like, optional
Seed for `RandomState`.
Must be convertible to 32 bit unsigned integers.
brng : {'MT19937', 'SFMT19937', 'MT2203', 'R250', 'WH', 'MCG31',
'MCG59', 'MRG32K3A', 'PHILOX4X32X10', 'NONDETERM',
'ARS5', None}, optional
basic pseudo-random number generation algorithms, or non-deterministic
hardware-based generator, provided by Intel MKL. Use `brng==None` to keep
the `brng` specified during construction of this class instance.
See Also
--------
RandomState
References
--------
MKL Documentation: https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl.html
"""
cdef irk_error errcode
cdef irk_brng_t brng_token = MT19937
cdef unsigned int stream_id
cdef cnp.ndarray obj "arrayObject_obj"
if (brng):
brng_token, stream_id = _parse_brng_argument(brng);
else:
brng_token = <irk_brng_t> irk_get_brng_and_stream_mkl(self.internal_state, &stream_id)
try:
if seed is None:
with self.lock:
errcode = irk_randomseed_mkl(self.internal_state, brng_token, stream_id)
else:
idx = operator.index(seed)
if idx > int(2**32 - 1) or idx < 0:
raise ValueError("Seed must be between 0 and 4294967295")
with self.lock:
irk_seed_mkl(self.internal_state, idx, brng_token, stream_id)
except TypeError:
obj = np.asarray(seed)
if not obj.dtype is np.dtype('uint64'):
obj = obj.astype(np.int64, casting='safe')
if ((obj > int(2**32 - 1)) | (obj < 0)).any():
raise ValueError("Seed must be between 0 and 4294967295")
obj = obj.astype('uint32', casting='unsafe')
with self.lock:
irk_seed_mkl_array(self.internal_state, <unsigned int *>cnp.PyArray_DATA(obj),
cnp.PyArray_DIM(obj, 0), brng_token, stream_id)
def get_state(self):
"""
get_state()
Return a tuple representing the internal state of the generator.
For more details, see `set_state`.
Returns
-------
out : tuple(str, bytes)
The returned tuple has the following items:
1. the string, defaulting to 'MT19937', specifying the
basic psedo-random number generation algorithm.
2. a bytes object holding content of Intel MKL's stream for the
given BRNG.
See Also
--------
set_state
Notes
-----
`set_state` and `get_state` are not needed to work with any of the
random distributions in NumPy. If the internal state is manually altered,
the user should know exactly what he/she is doing.
References
-----
MKL Documentation: https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl.html
"""
cdef int state_buffer_size
cdef int brng_id
cdef void *bytesPtr
with self.lock:
state_buffer_size = irk_get_stream_size(self.internal_state)
bytestring = empty_py_bytes(state_buffer_size, &bytesPtr)
with self.lock:
brng_id = irk_get_brng_mkl(self.internal_state)
irk_get_state_mkl(self.internal_state, <char *>bytesPtr)
brng_name = _brng_id_to_name(brng_id)
return (brng_name, bytestring)
def set_state(self, state):
"""
set_state(state)
Set the internal state of the generator from a tuple.
For use if one has reason to manually (re-)set the internal state of the
chosen pseudo-random number generating algorithm.
Parameters
----------
state : tuple(str, bytes)
The `state` tuple has the following items:
1. the string, defaulting to 'MT19937', specifying the
basic psedo-random number generation algorithm.
2. a bytes object holding content of Intel MKL's stream for the
given BRNG.
Returns
-------
out : None
Returns 'None' on success.
See Also
--------
get_state
Notes
-----
`set_state` and `get_state` are not needed to work with any of the
random distributions in NumPy. If the internal state is manually altered,
the user should know exactly what he/she is doing.
For backwards compatibility, the form (str, array of 624 uints, int) is
also accepted although in such a case keys are used to seed the generator,
and position index pos is ignored: ``state = ('MT19937', keys, pos)``.
References
----------
MKL Documentation: https://www.intel.com/content/www/us/en/developer/tools/oneapi/onemkl.html
"""
cdef char *bytes_ptr
cdef int brng_id
cdef cnp.ndarray obj "arrayObject_obj"
state_len = len(state)
if(state_len != 2):
if (state_len == 3 or state_len == 5):
algo_name, key, pos = state[:3]
if algo_name != 'MT19937':
raise ValueError("The legacy state input algorithm must be 'MT19937'")
try:
obj = <cnp.ndarray> cnp.PyArray_ContiguousFromObject(key, cnp.NPY_ULONG, 1, 1)
except TypeError:
# compatibility -- could be an older pickle
obj = <cnp.ndarray> cnp.PyArray_ContiguousFromObject(key, cnp.NPY_LONG, 1, 1)
self.seed(obj, brng = algo_name)
return
raise ValueError("The argument to set_state must be a list of 2 elements")
algorithm_name = state[0]
if algorithm_name not in _brng_dict.keys():
raise ValueError("basic number generator algorithm must be one of ['" + "',".join(_brng_dict.keys()) + "']")
stream_buf = state[1]
if not is_bytes_object(stream_buf):
raise ValueError('state is expected to be bytes')
bytes_ptr = py_bytes_DataPtr(stream_buf)
with self.lock:
err = irk_set_state_mkl(self.internal_state, bytes_ptr)
if(err):
raise ValueError('The stream state buffer is corrupted')
brng_id = irk_get_brng_mkl(self.internal_state)
if (_brng_dict[algorithm_name] != brng_id):
raise ValueError('The algorithm name does not match content of the buffer')
# Pickling support:
def __getstate__(self):
return self.get_state()
def __setstate__(self, state):
self.set_state(state)
def __reduce__(self):
global __RandomState_ctor
return (__RandomState_ctor, (), self.get_state())
def leapfrog(self, int k, int nstreams):
"""
leapfrog(k, nstreams)
Initializes the current state generator using leap-frog method,
if supported for the basic random pseudo-random number generation
algorithm.
"""
cdef int err, brng_id
err = irk_leapfrog_stream_mkl(self.internal_state, k, nstreams);
if err == -1:
raise ValueError('The stream state buffer is corrupted')
elif err == 1:
with self.lock:
brng_id = irk_get_brng_mkl(self.internal_state)
raise ValueError("Leap-frog method of stream initialization is not supported for " + str(_brng_id_to_name(brng_id)))
def skipahead(self, long long int nskips):
"""
skipahead(nskips)
Initializes the current state generator using skip-ahead method,
if supported for the basic random pseudo-random number generation
algorithm.
"""
cdef int err, brng_id
err = irk_skipahead_stream_mkl(self.internal_state, nskips);
if err == -1:
raise ValueError('The stream state buffer is corrupted')
elif err == 1:
with self.lock:
brng_id = irk_get_brng_mkl(self.internal_state)
raise ValueError("Skip-ahead method of stream initialization is not supported for " + str(_brng_id_to_name(brng_id)))
# Basic distributions:
def random_sample(self, size=None):
"""
random_sample(size=None)
Return random floats in the half-open interval [0.0, 1.0).
Results are from the "continuous uniform" distribution over the
stated interval. To sample :math:`Unif[a, b), b > a` multiply
the output of `random_sample` by `(b-a)` and add `a`::
(b - a) * random_sample() + a
Parameters
----------
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : float or ndarray of floats
Array of random floats of shape `size` (unless ``size=None``, in which
case a single float is returned).
Examples
--------
>>> mkl_random.random_sample()
0.47108547995356098
>>> type(mkl_random.random_sample())
<type 'float'>
>>> mkl_random.random_sample((5,))
array([ 0.30220482, 0.86820401, 0.1654503 , 0.11659149, 0.54323428])
Three-by-two array of random numbers from [-5, 0):
>>> 5 * mkl_random.random_sample((3, 2)) - 5
array([[-3.99149989, -0.52338984],
[-2.99091858, -0.79479508],
[-1.23204345, -1.75224494]])
"""
return vec_cont0_array(self.internal_state, irk_double_vec, size, self.lock)
def tomaxint(self, size=None):
"""
tomaxint(size=None)
Return a sample of uniformly distributed random integers in the interval
[0, ``np.iinfo("long").max``].
Parameters
----------
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : ndarray
Drawn samples, with shape `size`.
See Also
--------
randint : Uniform sampling over a given half-open interval of integers.
random_integers : Uniform sampling over a given closed interval of
integers.
Examples
--------
>>> RS = np.random_random_intel.RandomState() # need a RandomState object
>>> RS.tomaxint((2,2,2))
array([[[1170048599, 1600360186],
[ 739731006, 1947757578]],
[[1871712945, 752307660],
[1601631370, 1479324245]]])
>>> import sys
>>> sys.maxint
2147483647
>>> RS.tomaxint((2,2,2)) < sys.maxint
array([[[ True, True],
[ True, True]],
[[ True, True],
[ True, True]]], dtype=bool)
"""
return vec_long_disc0_array(self.internal_state, irk_long_vec, size, self.lock)
# Set up dictionary of integer types and relevant functions.
#
# The dictionary is keyed by dtype(...).name and the values
# are a tuple (low, high, function), where low and high are
# the bounds of the largest half open interval `[low, high)`
# and the function is the relevant function to call for
# that precision.
#
# The functions are all the same except for changed types in
# a few places. It would be easy to template them.
def _choose_randint_type(self, dtype):
_randint_type = {
'bool': (0, 2, self._rand_bool),
'int8': (-2**7, 2**7, self._rand_int8),
'int16': (-2**15, 2**15, self._rand_int16),
'int32': (-2**31, 2**31, self._rand_int32),
'int64': (-2**63, 2**63, self._rand_int64),
'uint8': (0, 2**8, self._rand_uint8),
'uint16': (0, 2**16, self._rand_uint16),
'uint32': (0, 2**32, self._rand_uint32),
'uint64': (0, 2**64, self._rand_uint64)
}
key = np.dtype(dtype).name
if not key in _randint_type:
raise TypeError('Unsupported dtype "%s" for randint' % key)
return _randint_type[key]
# generates typed random integer in [low, high]
def _rand_bool(self, cnp.npy_bool low, cnp.npy_bool high, size):
"""
_rand_bool(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_bool buf
cdef cnp.npy_bool *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_bool_vec(self.internal_state, 1, &buf, low, high)
return np.bool_(buf)
else:
array = <cnp.ndarray>np.empty(size, np.bool_)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_bool *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_bool_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_int8(self, cnp.npy_int8 low, cnp.npy_int8 high, size):
"""
_rand_int8(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_int8 buf
cdef cnp.npy_int8 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_int8_vec(self.internal_state, 1, &buf, low, high)
return np.int8(<cnp.npy_int8>buf)
else:
array = <cnp.ndarray>np.empty(size, np.int8)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_int8 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_int8_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_int16(self, cnp.npy_int16 low, cnp.npy_int16 high, size):
"""
_rand_int16(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_int16 buf
cdef cnp.npy_int16 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_int16_vec(self.internal_state, 1, &buf, low, high)
return np.int16(<cnp.npy_int16>buf)
else:
array = <cnp.ndarray>np.empty(size, np.int16)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_int16 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_int16_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_int32(self, cnp.npy_int32 low, cnp.npy_int32 high, size):
"""
_rand_int32(self, low, high, size)
Return random np.int32 integers between `low` and `high`, inclusive.
Return random integers from the "discrete uniform" distribution in the
closed interval [`low`, `high`]. On entry the arguments are presumed
to have been validated for size and order for the np.int32 type.
Parameters
----------
low : int
Lowest (signed) integer to be drawn from the distribution.
high : int
Highest (signed) integer to be drawn from the distribution.
size : int or tuple of ints
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : python scalar or ndarray of np.int32
`size`-shaped array of random integers from the appropriate
distribution, or a single such random int if `size` not provided.
"""
cdef cnp.npy_int32 buf
cdef cnp.npy_int32 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_int32_vec(self.internal_state, 1, &buf, low, high)
return np.int32(buf)
else:
array = <cnp.ndarray>np.empty(size, np.int32)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_int32 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_int32_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_int64(self, cnp.npy_int64 low, cnp.npy_int64 high, size):
"""
_rand_int64(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_int64 buf
cdef cnp.npy_int64 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_int64_vec(self.internal_state, 1, &buf, low, high)
return np.int64(buf)
else:
array = <cnp.ndarray>np.empty(size, np.int64)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_int64 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_int64_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_uint8(self, cnp.npy_uint8 low, cnp.npy_uint8 high, size):
"""
_rand_uint8(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_uint8 buf
cdef cnp.npy_uint8 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_uint8_vec(self.internal_state, 1, &buf, low, high)
return np.uint8(buf)
else:
array = <cnp.ndarray>np.empty(size, np.uint8)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_uint8 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_uint8_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_uint16(self, cnp.npy_uint16 low, cnp.npy_uint16 high, size):
"""
_rand_uint16(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_uint16 off, rng, buf
cdef cnp.npy_uint16 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_uint16_vec(self.internal_state, 1, &buf, low, high)
return np.uint16(buf)
else:
array = <cnp.ndarray>np.empty(size, np.uint16)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_uint16 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_uint16_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_uint32(self, cnp.npy_uint32 low, cnp.npy_uint32 high, size):
"""
_rand_uint32(self, low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_uint32 buf
cdef cnp.npy_uint32 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_uint32_vec(self.internal_state, 1, &buf, low, high)
return np.uint32(buf)
else:
array = <cnp.ndarray>np.empty(size, np.uint32)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_uint32 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_uint32_vec(self.internal_state, cnt, out, low, high)
return array
def _rand_uint64(self, cnp.npy_uint64 low, cnp.npy_uint64 high, size):
"""
_rand_uint64(low, high, size)
See `_rand_int32` for documentation, only the return type changes.
"""
cdef cnp.npy_uint64 buf
cdef cnp.npy_uint64 *out
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp cnt
if size is None:
irk_rand_uint64_vec(self.internal_state, 1, &buf, low, high)
return np.uint64(buf)
else:
array = <cnp.ndarray>np.empty(size, np.uint64)
cnt = cnp.PyArray_SIZE(array)
out = <cnp.npy_uint64 *>cnp.PyArray_DATA(array)
with nogil:
irk_rand_uint64_vec(self.internal_state, cnt, out, low, high)
return array
def randint(self, low, high=None, size=None, dtype=int):
"""
randint(low, high=None, size=None, dtype=int)
Return random integers from `low` (inclusive) to `high` (exclusive).
Return random integers from the "discrete uniform" distribution of
the specified dtype in the "half-open" interval [`low`, `high`). If
`high` is None (the default), then results are from [0, `low`).
Parameters
----------
low : int
Lowest (signed) integer to be drawn from the distribution (unless
``high=None``, in which case this parameter is the *highest* such
integer).
high : int, optional
If provided, one above the largest (signed) integer to be drawn
from the distribution (see above for behavior if ``high=None``).
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
dtype : dtype, optional
Desired dtype of the result. All dtypes are determined by their
name, i.e., 'int64', 'int', etc, so byteorder is not available
and a specific precision may have different C types depending
on the platform. The default value is 'np.int'.
.. versionadded:: 1.11.0
Returns
-------
out : int or ndarray of ints
`size`-shaped array of random integers from the appropriate
distribution, or a single such random int if `size` not provided.
See Also
--------
random.random_integers : similar to `randint`, only for the closed
interval [`low`, `high`], and 1 is the lowest value if `high` is
omitted. In particular, this other one is the one to use to generate
uniformly distributed discrete non-integers.
Examples
--------
>>> mkl_random.randint(2, size=10)
array([1, 0, 0, 0, 1, 1, 0, 0, 1, 0])
>>> mkl_random.randint(1, size=10)
array([0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
Generate a 2 x 4 array of ints between 0 and 4, inclusive:
>>> mkl_random.randint(5, size=(2, 4))
array([[4, 0, 2, 1],
[3, 2, 2, 0]])
"""
if high is None:
high = low
low = 0
lowbnd, highbnd, randfunc = self._choose_randint_type(dtype)
if low < lowbnd:
raise ValueError("low is out of bounds for %s" % (np.dtype(dtype).name,))
if high > highbnd:
raise ValueError("high is out of bounds for %s" % (np.dtype(dtype).name,))
if low >= high:
raise ValueError("low >= high")
with self.lock:
ret = randfunc(low, high - 1, size)
if size is None:
if dtype in (bool, int):
return dtype(ret)
return ret
def randint_untyped(self, low, high=None, size=None):
"""
randint_untyped(low, high=None, size=None, dtype=int)
Return random integers from `low` (inclusive) to `high` (exclusive).
Return random integers from the "discrete uniform" distribution of
the specified dtype in the "half-open" interval [`low`, `high`). If
`high` is None (the default), then results are from [0, `low`).
Parameters
----------
low : int
Lowest (signed) integer to be drawn from the distribution (unless
``high=None``, in which case this parameter is the *highest* such
integer).
high : int, optional
If provided, one above the largest (signed) integer to be drawn
from the distribution (see above for behavior if ``high=None``).
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : int or ndarray of ints
`size`-shaped array of random integers from the appropriate
distribution, or a single such random int if `size` not provided.
See Also
--------
random.random_integers : similar to `randint`, only for the closed
interval [`low`, `high`], and 1 is the lowest value if `high` is
omitted. In particular, this other one is the one to use to generate
uniformly distributed discrete non-integers.
Examples
--------
>>> mkl_random.randint(2, size=10)
array([1, 0, 0, 0, 1, 1, 0, 0, 1, 0])
>>> mkl_random.randint(1, size=10)
array([0, 0, 0, 0, 0, 0, 0, 0, 0, 0])
Generate a 2 x 4 array of ints between 0 and 4, inclusive:
>>> mkl_random.randint(5, size=(2, 4))
array([[4, 0, 2, 1],
[3, 2, 2, 0]])
"""
cdef long lo, hi
cdef long *array_long_data
cdef int * array_int_data
cdef cnp.ndarray array "arrayObject"
cdef cnp.npy_intp length
cdef int rv_int
cdef long rv_long
if high is None:
lo = 0
hi = low
else:
lo = low
hi = high
if lo >= hi :
raise ValueError("low >= high")
if ((<int> lo) == lo) and ((<int>hi) == hi):
if size is None:
irk_discrete_uniform_vec(self.internal_state, 1, &rv_int, <int>lo, <int>hi)
return rv_int
else:
array = <cnp.ndarray>np.empty(size, np.int32)
length = cnp.PyArray_SIZE(array)
array_int_data = <int*>cnp.PyArray_DATA(array)
with self.lock, nogil:
irk_discrete_uniform_vec(self.internal_state, length, array_int_data, <int>lo, <int>hi)
return array
else:
if size is None:
irk_discrete_uniform_long_vec(self.internal_state, 1, &rv_long, lo, hi)
return rv_long
else:
array = <cnp.ndarray>np.empty(size, int)
length = cnp.PyArray_SIZE(array)
array_long_data = <long*>cnp.PyArray_DATA(array)
with self.lock, nogil:
irk_discrete_uniform_long_vec(self.internal_state, length, array_long_data, lo, hi)
return array
def bytes(self, cnp.npy_intp length):
"""
bytes(length)
Return random bytes.
Parameters
----------
length : int
Number of random bytes.
Returns
-------
out : str
String of length `length`.
Examples
--------
>>> mkl_random.bytes(10)
' eh\\x85\\x022SZ\\xbf\\xa4' #random
"""
cdef void *bytes
bytestring = empty_py_bytes(length, &bytes)
with self.lock, nogil:
irk_fill(bytes, length, self.internal_state)
return bytestring
def choice(self, a, size=None, replace=True, p=None):
"""
choice(a, size=None, replace=True, p=None)
Generates a random sample from a given 1-D array
.. versionadded:: 1.7.0
Parameters
-----------
a : 1-D array-like or int
If an ndarray, a random sample is generated from its elements.
If an int, the random sample is generated as if a was np.arange(n)
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
replace : boolean, optional
Whether the sample is with or without replacement
p : 1-D array-like, optional
The probabilities associated with each entry in a.
If not given the sample assumes a uniform distribution over all
entries in a.
Returns
--------
samples : 1-D ndarray, shape (size,)
The generated random samples
Raises
-------
ValueError
If a is an int and less than zero, if a or p are not 1-dimensional,
if a is an array-like of size 0, if p is not a vector of
probabilities, if a and p have different lengths, or if
replace=False and the sample size is greater than the population
size
See Also
---------
randint, shuffle, permutation
Examples
---------
Generate a uniform random sample from np.arange(5) of size 3:
>>> mkl_random.choice(5, 3)
array([0, 3, 4])
>>> #This is equivalent to mkl_random.randint(0,5,3)
Generate a non-uniform random sample from np.arange(5) of size 3:
>>> mkl_random.choice(5, 3, p=[0.1, 0, 0.3, 0.6, 0])
array([3, 3, 0])
Generate a uniform random sample from np.arange(5) of size 3 without
replacement:
>>> mkl_random.choice(5, 3, replace=False)
array([3,1,0])
>>> #This is equivalent to mkl_random.permutation(np.arange(5))[:3]
Generate a non-uniform random sample from np.arange(5) of size
3 without replacement:
>>> mkl_random.choice(5, 3, replace=False, p=[0.1, 0, 0.3, 0.6, 0])
array([2, 3, 0])
Any of the above can be repeated with an arbitrary array-like
instead of just integers. For instance:
>>> aa_milne_arr = ['pooh', 'rabbit', 'piglet', 'Christopher']
>>> mkl_random.choice(aa_milne_arr, 5, p=[0.5, 0.1, 0.1, 0.3])
array(['pooh', 'pooh', 'pooh', 'Christopher', 'piglet'],
dtype='|S11')
"""
cdef double *pix
# Format and Verify input
a = np.asarray(a)
if a.ndim == 0:
try:
# __index__ must return an integer by python rules.
pop_size = operator.index(a.item())
except TypeError:
raise ValueError("a must be 1-dimensional or an integer")
if pop_size <= 0:
raise ValueError("a must be greater than 0")
elif a.ndim != 1:
raise ValueError("a must be 1-dimensional")
else:
pop_size = a.shape[0]
if pop_size is 0:
raise ValueError("a must be non-empty")
if p is not None:
d = len(p)
atol = np.sqrt(np.finfo(np.float64).eps)
if isinstance(p, np.ndarray):
if np.issubdtype(p.dtype, np.floating):
atol = max(atol, np.sqrt(np.finfo(p.dtype).eps))
p = <cnp.ndarray>cnp.PyArray_ContiguousFromObject(p, cnp.NPY_DOUBLE, 1, 1)
pix = <double*>cnp.PyArray_DATA(p)
if p.ndim != 1:
raise ValueError("p must be 1-dimensional")
if p.size != pop_size:
raise ValueError("a and p must have same size")
if np.logical_or.reduce(p < 0):
raise ValueError("probabilities are not non-negative")
if abs(kahan_sum(pix, d) - 1.) > atol:
raise ValueError("probabilities do not sum to 1")
shape = size
if shape is not None:
size = np.prod(shape, dtype=np.intp)
else:
size = 1
# Actual sampling
if replace:
if p is not None:
cdf = p.cumsum()
cdf /= cdf[-1]
uniform_samples = self.random_sample(shape)
idx = cdf.searchsorted(uniform_samples, side='right')
idx = np.asarray(idx) # searchsorted returns a scalar
else:
idx = self.randint(0, pop_size, size=shape)
else:
if size > pop_size:
raise ValueError("Cannot take a larger sample than "
"population when 'replace=False'")
if p is not None:
if np.count_nonzero(p > 0) < size:
raise ValueError("Fewer non-zero entries in p than size")
n_uniq = 0
p = p.copy()
found = np.zeros(tuple() if shape is None else shape, dtype=np.int64)
flat_found = found.ravel()
while n_uniq < size:
x = self.rand(size - n_uniq)
if n_uniq > 0:
p[flat_found[0:n_uniq]] = 0
cdf = np.cumsum(p)
cdf /= cdf[-1]
new = cdf.searchsorted(x, side='right')
_, unique_indices = np.unique(new, return_index=True)
unique_indices.sort()
new = new.take(unique_indices)
flat_found[n_uniq:n_uniq + new.size] = new
n_uniq += new.size
idx = found
else:
idx = self.permutation(pop_size)[:size]
if shape is not None:
idx.shape = shape
if shape is None and isinstance(idx, np.ndarray):
# In most cases a scalar will have been made an array
idx = idx.item(0)
#Use samples as indices for a if a is array-like
if a.ndim == 0:
return idx
if shape is not None and idx.ndim == 0:
# If size == () then the user requested a 0-d array as opposed to
# a scalar object when size is None. However a[idx] is always a
# scalar and not an array. So this makes sure the result is an
# array, taking into account that np.array(item) may not work
# for object arrays.
res = np.empty((), dtype=a.dtype)
res[()] = a[idx]
return res
return a[idx]
def uniform(self, low=0.0, high=1.0, size=None):
"""
uniform(low=0.0, high=1.0, size=None)
Draw samples from a uniform distribution.
Samples are uniformly distributed over the half-open interval
``[low, high)`` (includes low, but excludes high). In other words,
any value within the given interval is equally likely to be drawn
by `uniform`.
Parameters
----------
low : float, optional
Lower boundary of the output interval. All values generated will be
greater than or equal to low. The default value is 0.
high : float
Upper boundary of the output interval. All values generated will be
less than high. The default value is 1.0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : ndarray
Drawn samples, with shape `size`.
See Also
--------
randint : Discrete uniform distribution, yielding integers.
random_integers : Discrete uniform distribution over the closed
interval ``[low, high]``.
random_sample : Floats uniformly distributed over ``[0, 1)``.
random : Alias for `random_sample`.
rand : Convenience function that accepts dimensions as input, e.g.,
``rand(2,2)`` would generate a 2-by-2 array of floats,
uniformly distributed over ``[0, 1)``.
Notes
-----
The probability density function of the uniform distribution is
.. math:: p(x) = \\frac{1}{b - a}
anywhere within the interval ``[a, b)``, and zero elsewhere.
Examples
--------
Draw samples from the distribution:
>>> s = mkl_random.uniform(-1,0,1000)
All values are within the given interval:
>>> np.all(s >= -1)
True
>>> np.all(s < 0)
True
Display the histogram of the samples, along with the
probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 15, normed=True)
>>> plt.plot(bins, np.ones_like(bins), linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray olow, ohigh
cdef double flow, fhigh
cdef object temp
flow = PyFloat_AsDouble(low)
fhigh = PyFloat_AsDouble(high)
if not npy_isfinite(flow) or not npy_isfinite(fhigh):
raise OverflowError('Range exceeds valid bounds')
if flow >= fhigh:
raise ValueError("low >= high")
if not PyErr_Occurred():
return vec_cont2_array_sc(self.internal_state, irk_uniform_vec, size, flow,
fhigh, self.lock)
PyErr_Clear()
olow = <cnp.ndarray>cnp.PyArray_FROM_OTF(low, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
ohigh = <cnp.ndarray>cnp.PyArray_FROM_OTF(high, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if not np.all(np.isfinite(olow)) or not np.all(np.isfinite(ohigh)):
raise OverflowError('Range exceeds valid bounds')
if np.any(olow >= ohigh):
raise ValueError("low >= high")
return vec_cont2_array(self.internal_state, irk_uniform_vec, size, olow, ohigh,
self.lock)
def rand(self, *args):
"""
rand(d0, d1, ..., dn)
Random values in a given shape.
Create an array of the given shape and propagate it with
random samples from a uniform distribution
over ``[0, 1)``.
Parameters
----------
d0, d1, ..., dn : int, optional
The dimensions of the returned array, should all be positive.
If no argument is given a single Python float is returned.
Returns
-------
out : ndarray, shape ``(d0, d1, ..., dn)``
Random values.
See Also
--------
random
Notes
-----
This is a convenience function. If you want an interface that
takes a shape-tuple as the first argument, refer to
mkl_random.random_sample .
Examples
--------
>>> mkl_random.rand(3,2)
array([[ 0.14022471, 0.96360618], #random
[ 0.37601032, 0.25528411], #random
[ 0.49313049, 0.94909878]]) #random
"""
if len(args) == 0:
return self.random_sample()
else:
return self.random_sample(size=args)
def randn(self, *args):
"""
randn(d0, d1, ..., dn)
Return a sample (or samples) from the "standard normal" distribution.
If positive, int_like or int-convertible arguments are provided,
`randn` generates an array of shape ``(d0, d1, ..., dn)``, filled
with random floats sampled from a univariate "normal" (Gaussian)
distribution of mean 0 and variance 1 (if any of the :math:`d_i` are
floats, they are first converted to integers by truncation). A single
float randomly sampled from the distribution is returned if no
argument is provided.
This is a convenience function. If you want an interface that takes a
tuple as the first argument, use `numpy.random.standard_normal` instead.
Parameters
----------
d0, d1, ..., dn : int, optional
The dimensions of the returned array, should be all positive.
If no argument is given a single Python float is returned.
Returns
-------
Z : ndarray or float
A ``(d0, d1, ..., dn)``-shaped array of floating-point samples from
the standard normal distribution, or a single such float if
no parameters were supplied.
See Also
--------
random.standard_normal : Similar, but takes a tuple as its argument.
Notes
-----
For random samples from :math:`N(\\mu, \\sigma^2)`, use:
``sigma * mkl_random.randn(...) + mu``
Examples
--------
>>> mkl_random.randn()
2.1923875335537315 #random
Two-by-four array of samples from N(3, 6.25):
>>> 2.5 * mkl_random.randn(2, 4) + 3
array([[-4.49401501, 4.00950034, -1.81814867, 7.29718677], #random
[ 0.39924804, 4.68456316, 4.99394529, 4.84057254]]) #random
"""
if len(args) == 0:
return self.standard_normal()
else:
return self.standard_normal(args)
def random_integers(self, low, high=None, size=None):
"""
random_integers(low, high=None, size=None)
Random integers of type np.int between `low` and `high`, inclusive.
Return random integers of type np.int from the "discrete uniform"
distribution in the closed interval [`low`, `high`]. If `high` is
None (the default), then results are from [1, `low`]. The np.int
type translates to the C long type used by Python 2 for "short"
integers and its precision is platform dependent.
This function has been deprecated. Use randint instead.
.. deprecated:: 1.11.0
Parameters
----------
low : int
Lowest (signed) integer to be drawn from the distribution (unless
``high=None``, in which case this parameter is the *highest* such
integer).
high : int, optional
If provided, the largest (signed) integer to be drawn from the
distribution (see above for behavior if ``high=None``).
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : int or ndarray of ints
`size`-shaped array of random integers from the appropriate
distribution, or a single such random int if `size` not provided.
See Also
--------
random.randint : Similar to `random_integers`, only for the half-open
interval [`low`, `high`), and 0 is the lowest value if `high` is
omitted.
Notes
-----
To sample from N evenly spaced floating-point numbers between a and b,
use::
a + (b - a) * (mkl_random.random_integers(N) - 1) / (N - 1.)
Examples
--------
>>> mkl_random.random_integers(5)
4
>>> type(mkl_random.random_integers(5))
<type 'int'>
>>> mkl_random.random_integers(5, size=(3.,2.))
array([[5, 4],
[3, 3],
[4, 5]])
Choose five random numbers from the set of five evenly-spaced
numbers between 0 and 2.5, inclusive (*i.e.*, from the set
:math:`{0, 5/8, 10/8, 15/8, 20/8}`):
>>> 2.5 * (mkl_random.random_integers(5, size=(5,)) - 1) / 4.
array([ 0.625, 1.25 , 0.625, 0.625, 2.5 ])
Roll two six sided dice 1000 times and sum the results:
>>> d1 = mkl_random.random_integers(1, 6, 1000)
>>> d2 = mkl_random.random_integers(1, 6, 1000)
>>> dsums = d1 + d2
Display results as a histogram:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(dsums, 11, normed=True)
>>> plt.show()
"""
if high is None:
warnings.warn(("This function is deprecated. Please call "
"randint(1, {low} + 1) instead".format(low=low)),
DeprecationWarning)
high = low
low = 1
else:
warnings.warn(("This function is deprecated. Please call "
"randint({low}, {high} + 1) instead".format(
low=low, high=high)), DeprecationWarning)
return self.randint(low, high + 1, size=size, dtype='l')
# Complicated, continuous distributions:
def standard_normal(self, size=None, method=ICDF):
"""
standard_normal(size=None, method='ICDF')
Draw samples from a standard Normal distribution (mean=0, stdev=1).
Parameters
----------
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
method : 'ICDF, 'BoxMuller', 'BoxMuller2', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.ICDF, mkl_random.BOXMULLER, mkl_random.BOXMULLER2
Returns
-------
out : float or ndarray
Drawn samples.
Examples
--------
>>> s = mkl_random.standard_normal(8000)
>>> s
array([ 0.6888893 , 0.78096262, -0.89086505, ..., 0.49876311, #random
-0.38672696, -0.4685006 ]) #random
>>> s.shape
(8000,)
>>> s = mkl_random.standard_normal(size=(3, 4, 2))
>>> s.shape
(3, 4, 2)
"""
method = choose_method(method, [ICDF, BOXMULLER, BOXMULLER2], _method_alias_dict_gaussian)
if method is ICDF:
return vec_cont0_array(self.internal_state, irk_standard_normal_vec_ICDF, size, self.lock)
elif method is BOXMULLER2:
return vec_cont0_array(self.internal_state, irk_standard_normal_vec_BM2, size, self.lock)
else:
return vec_cont0_array(self.internal_state, irk_standard_normal_vec_BM1, size, self.lock);
def normal(self, loc=0.0, scale=1.0, size=None, method=ICDF):
"""
normal(loc=0.0, scale=1.0, size=None, method='ICDF')
Draw random samples from a normal (Gaussian) distribution.
The probability density function of the normal distribution, first
derived by De Moivre and 200 years later by both Gauss and Laplace
independently [2]_, is often called the bell curve because of
its characteristic shape (see the example below).
The normal distributions occurs often in nature. For example, it
describes the commonly occurring distribution of samples influenced
by a large number of tiny, random disturbances, each with its own
unique distribution [2]_.
Parameters
----------
loc : float
Mean ("centre") of the distribution.
scale : float
Standard deviation (spread or "width") of the distribution.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
method : 'ICDF, 'BoxMuller', 'BoxMuller2', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.ICDF, mkl_random.BOXMULLER, mkl_random.BOXMULLER2
See Also
--------
scipy.stats.distributions.norm : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Gaussian distribution is
.. math:: p(x) = \\frac{1}{\\sqrt{ 2 \\pi \\sigma^2 }}
e^{ - \\frac{ (x - \\mu)^2 } {2 \\sigma^2} },
where :math:`\\mu` is the mean and :math:`\\sigma` the standard
deviation. The square of the standard deviation, :math:`\\sigma^2`,
is called the variance.
The function has its peak at the mean, and its "spread" increases with
the standard deviation (the function reaches 0.607 times its maximum at
:math:`x + \\sigma` and :math:`x - \\sigma` [2]_). This implies that
`numpy.random.normal` is more likely to return samples lying close to
the mean, rather than those far away.
References
----------
.. [1] Wikipedia, "Normal distribution",
http://en.wikipedia.org/wiki/Normal_distribution
.. [2] P. R. Peebles Jr., "Central Limit Theorem" in "Probability,
Random Variables and Random Signal Principles", 4th ed., 2001,
pp. 51, 51, 125.
Examples
--------
Draw samples from the distribution:
>>> mu, sigma = 0, 0.1 # mean and standard deviation
>>> s = mkl_random.normal(mu, sigma, 1000)
Verify the mean and the variance:
>>> abs(mu - np.mean(s)) < 0.01
True
>>> abs(sigma - np.std(s, ddof=1)) < 0.01
True
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 30, normed=True)
>>> plt.plot(bins, 1/(sigma * np.sqrt(2 * np.pi)) *
... np.exp( - (bins - mu)**2 / (2 * sigma**2) ),
... linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray oloc, oscale
cdef double floc, fscale
floc = PyFloat_AsDouble(loc)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
method = choose_method(method, [ICDF, BOXMULLER, BOXMULLER2], _method_alias_dict_gaussian)
if method is ICDF:
return vec_cont2_array_sc(self.internal_state, irk_normal_vec_ICDF, size, floc, fscale, self.lock)
elif method is BOXMULLER2:
return vec_cont2_array_sc(self.internal_state, irk_normal_vec_BM2, size, floc, fscale, self.lock)
else:
return vec_cont2_array_sc(self.internal_state, irk_normal_vec_BM1, size, floc, fscale, self.lock)
PyErr_Clear()
oloc = <cnp.ndarray>cnp.PyArray_FROM_OTF(loc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = <cnp.ndarray>cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0)):
raise ValueError("scale <= 0")
method = choose_method(method, [ICDF, BOXMULLER, BOXMULLER2], _method_alias_dict_gaussian)
if method is ICDF:
return vec_cont2_array(self.internal_state, irk_normal_vec_ICDF, size, oloc, oscale, self.lock)
elif method is BOXMULLER2:
return vec_cont2_array(self.internal_state, irk_normal_vec_BM2, size, oloc, oscale, self.lock)
else:
return vec_cont2_array(self.internal_state, irk_normal_vec_BM1, size, oloc, oscale, self.lock)
def beta(self, a, b, size=None):
"""
beta(a, b, size=None)
Draw samples from a Beta distribution.
The Beta distribution is a special case of the Dirichlet distribution
and is related to the Gamma distribution. It has the probability
distribution function
.. math:: f(x; a,b) = \\frac{1}{B(\\alpha, \\beta)} x^{\\alpha - 1}
(1 - x)^{\\beta - 1},
where the normalisation, B, is the beta function,
.. math:: B(\\alpha, \\beta) = \\int_0^1 t^{\\alpha - 1}
(1 - t)^{\\beta - 1} dt.
It is often seen in Bayesian inference and order statistics.
Parameters
----------
a : float
Alpha, non-negative.
b : float
Beta, non-negative.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : ndarray
Array of the given shape, containing values drawn from a
Beta distribution.
"""
cdef cnp.ndarray oa, ob
cdef double fa, fb
fa = PyFloat_AsDouble(a)
fb = PyFloat_AsDouble(b)
if not PyErr_Occurred():
if fa <= 0:
raise ValueError("a <= 0")
if fb <= 0:
raise ValueError("b <= 0")
return vec_cont2_array_sc(self.internal_state, irk_beta_vec, size, fa, fb,
self.lock)
PyErr_Clear()
oa = <cnp.ndarray>cnp.PyArray_FROM_OTF(a, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
ob = <cnp.ndarray>cnp.PyArray_FROM_OTF(b, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oa, 0)):
raise ValueError("a <= 0")
if np.any(np.less_equal(ob, 0)):
raise ValueError("b <= 0")
return vec_cont2_array(self.internal_state, irk_beta_vec, size, oa, ob,
self.lock)
def exponential(self, scale=1.0, size=None):
"""
exponential(scale=1.0, size=None)
Draw samples from an exponential distribution.
Its probability density function is
.. math:: f(x; \\frac{1}{\\beta}) = \\frac{1}{\\beta} \\exp(-\\frac{x}{\\beta}),
for ``x > 0`` and 0 elsewhere. :math:`\\beta` is the scale parameter,
which is the inverse of the rate parameter :math:`\\lambda = 1/\\beta`.
The rate parameter is an alternative, widely used parameterization
of the exponential distribution [3]_.
The exponential distribution is a continuous analogue of the
geometric distribution. It describes many common situations, such as
the size of raindrops measured over many rainstorms [1]_, or the time
between page requests to Wikipedia [2]_.
Parameters
----------
scale : float
The scale parameter, :math:`\\beta = 1/\\lambda`.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
References
----------
.. [1] Peyton Z. Peebles Jr., "Probability, Random Variables and
Random Signal Principles", 4th ed, 2001, p. 57.
.. [2] "Poisson Process", Wikipedia,
http://en.wikipedia.org/wiki/Poisson_process
.. [3] "Exponential Distribution, Wikipedia,
http://en.wikipedia.org/wiki/Exponential_distribution
"""
cdef cnp.ndarray oscale
cdef double fscale
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont1_array_sc(self.internal_state, irk_exponential_vec, size,
fscale, self.lock)
PyErr_Clear()
oscale = <cnp.ndarray> cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE,
cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0")
return vec_cont1_array(self.internal_state, irk_exponential_vec, size, oscale,
self.lock)
def standard_exponential(self, size=None):
"""
standard_exponential(size=None)
Draw samples from the standard exponential distribution.
`standard_exponential` is identical to the exponential distribution
with a scale parameter of 1.
Parameters
----------
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : float or ndarray
Drawn samples.
Examples
--------
Output a 3x8000 array:
>>> n = mkl_random.standard_exponential((3, 8000))
"""
return vec_cont0_array(self.internal_state, irk_standard_exponential_vec, size,
self.lock)
def standard_gamma(self, shape, size=None):
"""
standard_gamma(shape, size=None)
Draw samples from a standard Gamma distribution.
Samples are drawn from a Gamma distribution with specified parameters,
shape (sometimes designated "k") and scale=1.
Parameters
----------
shape : float
Parameter, should be > 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
The drawn samples.
See Also
--------
scipy.stats.distributions.gamma : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Gamma distribution is
.. math:: p(x) = x^{k-1}\\frac{e^{-x/\\theta}}{\\theta^k\\Gamma(k)},
where :math:`k` is the shape and :math:`\\theta` the scale,
and :math:`\\Gamma` is the Gamma function.
The Gamma distribution is often used to model the times to failure of
electronic components, and arises naturally in processes for which the
waiting times between Poisson distributed events are relevant.
References
----------
.. [1] Weisstein, Eric W. "Gamma Distribution." From MathWorld--A
Wolfram Web Resource.
http://mathworld.wolfram.com/GammaDistribution.html
.. [2] Wikipedia, "Gamma-distribution",
http://en.wikipedia.org/wiki/Gamma-distribution
Examples
--------
Draw samples from the distribution:
>>> shape, scale = 2., 1. # mean and width
>>> s = mkl_random.standard_gamma(shape, 1000000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> import scipy.special as sps
>>> count, bins, ignored = plt.hist(s, 50, normed=True)
>>> y = bins**(shape-1) * ((np.exp(-bins/scale))/ \\
... (sps.gamma(shape) * scale**shape))
>>> plt.plot(bins, y, linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray oshape
cdef double fshape
fshape = PyFloat_AsDouble(shape)
if not PyErr_Occurred():
if fshape <= 0:
raise ValueError("shape <= 0")
return vec_cont1_array_sc(self.internal_state, irk_standard_gamma_vec,
size, fshape, self.lock)
PyErr_Clear()
oshape = <cnp.ndarray> cnp.PyArray_FROM_OTF(shape, cnp.NPY_DOUBLE,
cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oshape, 0.0)):
raise ValueError("shape <= 0")
return vec_cont1_array(self.internal_state, irk_standard_gamma_vec, size,
oshape, self.lock)
def gamma(self, shape, scale=1.0, size=None):
"""
gamma(shape, scale=1.0, size=None)
Draw samples from a Gamma distribution.
Samples are drawn from a Gamma distribution with specified parameters,
`shape` (sometimes designated "k") and `scale` (sometimes designated
"theta"), where both parameters are > 0.
Parameters
----------
shape : scalar > 0
The shape of the gamma distribution.
scale : scalar > 0, optional
The scale of the gamma distribution. Default is equal to 1.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : ndarray, float
Returns one sample unless `size` parameter is specified.
See Also
--------
scipy.stats.distributions.gamma : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Gamma distribution is
.. math:: p(x) = x^{k-1}\\frac{e^{-x/\\theta}}{\\theta^k\\Gamma(k)},
where :math:`k` is the shape and :math:`\\theta` the scale,
and :math:`\\Gamma` is the Gamma function.
The Gamma distribution is often used to model the times to failure of
electronic components, and arises naturally in processes for which the
waiting times between Poisson distributed events are relevant.
References
----------
.. [1] Weisstein, Eric W. "Gamma Distribution." From MathWorld--A
Wolfram Web Resource.
http://mathworld.wolfram.com/GammaDistribution.html
.. [2] Wikipedia, "Gamma-distribution",
http://en.wikipedia.org/wiki/Gamma-distribution
Examples
--------
Draw samples from the distribution:
>>> shape, scale = 2., 2. # mean and dispersion
>>> s = mkl_random.gamma(shape, scale, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> import scipy.special as sps
>>> count, bins, ignored = plt.hist(s, 50, normed=True)
>>> y = bins**(shape-1)*(np.exp(-bins/scale) /
... (sps.gamma(shape)*scale**shape))
>>> plt.plot(bins, y, linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray oshape, oscale
cdef double fshape, fscale
fshape = PyFloat_AsDouble(shape)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fshape <= 0:
raise ValueError("shape <= 0")
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_gamma_vec, size, fshape,
fscale, self.lock)
PyErr_Clear()
oshape = <cnp.ndarray>cnp.PyArray_FROM_OTF(shape, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = <cnp.ndarray>cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oshape, 0.0)):
raise ValueError("shape <= 0")
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0")
return vec_cont2_array(self.internal_state, irk_gamma_vec, size, oshape, oscale,
self.lock)
def f(self, dfnum, dfden, size=None):
"""
f(dfnum, dfden, size=None)
Draw samples from an F distribution.
Samples are drawn from an F distribution with specified parameters,
`dfnum` (degrees of freedom in numerator) and `dfden` (degrees of
freedom in denominator), where both parameters should be greater than
zero.
The random variate of the F distribution (also known as the
Fisher distribution) is a continuous probability distribution
that arises in ANOVA tests, and is the ratio of two chi-square
variates.
Parameters
----------
dfnum : float
Degrees of freedom in numerator. Should be greater than zero.
dfden : float
Degrees of freedom in denominator. Should be greater than zero.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
Samples from the Fisher distribution.
See Also
--------
scipy.stats.distributions.f : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The F statistic is used to compare in-group variances to between-group
variances. Calculating the distribution depends on the sampling, and
so it is a function of the respective degrees of freedom in the
problem. The variable `dfnum` is the number of samples minus one, the
between-groups degrees of freedom, while `dfden` is the within-groups
degrees of freedom, the sum of the number of samples in each group
minus the number of groups.
References
----------
.. [1] Glantz, Stanton A. "Primer of Biostatistics.", McGraw-Hill,
Fifth Edition, 2002.
.. [2] Wikipedia, "F-distribution",
http://en.wikipedia.org/wiki/F-distribution
Examples
--------
An example from Glantz[1], pp 47-40:
Two groups, children of diabetics (25 people) and children from people
without diabetes (25 controls). Fasting blood glucose was measured,
case group had a mean value of 86.1, controls had a mean value of
82.2. Standard deviations were 2.09 and 2.49 respectively. Are these
data consistent with the null hypothesis that the parents diabetic
status does not affect their children's blood glucose levels?
Calculating the F statistic from the data gives a value of 36.01.
Draw samples from the distribution:
>>> dfnum = 1. # between group degrees of freedom
>>> dfden = 48. # within groups degrees of freedom
>>> s = mkl_random.f(dfnum, dfden, 1000)
The lower bound for the top 1% of the samples is :
>>> sort(s)[-10]
7.61988120985
So there is about a 1% chance that the F statistic will exceed 7.62,
the measured value is 36, so the null hypothesis is rejected at the 1%
level.
"""
cdef cnp.ndarray odfnum, odfden
cdef double fdfnum, fdfden
fdfnum = PyFloat_AsDouble(dfnum)
fdfden = PyFloat_AsDouble(dfden)
if not PyErr_Occurred():
if fdfnum <= 0:
raise ValueError("shape <= 0")
if fdfden <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_f_vec, size, fdfnum,
fdfden, self.lock)
PyErr_Clear()
odfnum = <cnp.ndarray>cnp.PyArray_FROM_OTF(dfnum, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
odfden = <cnp.ndarray>cnp.PyArray_FROM_OTF(dfden, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(odfnum, 0.0)):
raise ValueError("dfnum <= 0")
if np.any(np.less_equal(odfden, 0.0)):
raise ValueError("dfden <= 0")
return vec_cont2_array(self.internal_state, irk_f_vec, size, odfnum, odfden,
self.lock)
def noncentral_f(self, dfnum, dfden, nonc, size=None):
"""
noncentral_f(dfnum, dfden, nonc, size=None)
Draw samples from the noncentral F distribution.
Samples are drawn from an F distribution with specified parameters,
`dfnum` (degrees of freedom in numerator) and `dfden` (degrees of
freedom in denominator), where both parameters > 1.
`nonc` is the non-centrality parameter.
Parameters
----------
dfnum : int
Parameter, should be > 1.
dfden : int
Parameter, should be > 1.
nonc : float
Parameter, should be >= 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : scalar or ndarray
Drawn samples.
Notes
-----
When calculating the power of an experiment (power = probability of
rejecting the null hypothesis when a specific alternative is true) the
non-central F statistic becomes important. When the null hypothesis is
true, the F statistic follows a central F distribution. When the null
hypothesis is not true, then it follows a non-central F statistic.
References
----------
.. [1] Weisstein, Eric W. "Noncentral F-Distribution."
From MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/NoncentralF-Distribution.html
.. [2] Wikipedia, "Noncentral F distribution",
http://en.wikipedia.org/wiki/Noncentral_F-distribution
Examples
--------
In a study, testing for a specific alternative to the null hypothesis
requires use of the Noncentral F distribution. We need to calculate the
area in the tail of the distribution that exceeds the value of the F
distribution for the null hypothesis. We'll plot the two probability
distributions for comparison.
>>> dfnum = 3 # between group deg of freedom
>>> dfden = 20 # within groups degrees of freedom
>>> nonc = 3.0
>>> nc_vals = mkl_random.noncentral_f(dfnum, dfden, nonc, 1000000)
>>> NF = np.histogram(nc_vals, bins=50, normed=True)
>>> c_vals = mkl_random.f(dfnum, dfden, 1000000)
>>> F = np.histogram(c_vals, bins=50, normed=True)
>>> plt.plot(F[1][1:], F[0])
>>> plt.plot(NF[1][1:], NF[0])
>>> plt.show()
"""
cdef cnp.ndarray odfnum, odfden, ononc
cdef double fdfnum, fdfden, fnonc
fdfnum = PyFloat_AsDouble(dfnum)
fdfden = PyFloat_AsDouble(dfden)
fnonc = PyFloat_AsDouble(nonc)
if not PyErr_Occurred():
if fdfnum <= 1:
raise ValueError("dfnum <= 1")
if fdfden <= 0:
raise ValueError("dfden <= 0")
if fnonc < 0:
raise ValueError("nonc < 0")
return vec_cont3_array_sc(self.internal_state, irk_noncentral_f_vec, size,
fdfnum, fdfden, fnonc, self.lock)
PyErr_Clear()
odfnum = <cnp.ndarray>cnp.PyArray_FROM_OTF(dfnum, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
odfden = <cnp.ndarray>cnp.PyArray_FROM_OTF(dfden, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
ononc = <cnp.ndarray>cnp.PyArray_FROM_OTF(nonc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(odfnum, 1.0)):
raise ValueError("dfnum <= 1")
if np.any(np.less_equal(odfden, 0.0)):
raise ValueError("dfden <= 0")
if np.any(np.less(ononc, 0.0)):
raise ValueError("nonc < 0")
return vec_cont3_array(self.internal_state, irk_noncentral_f_vec, size, odfnum,
odfden, ononc, self.lock)
def chisquare(self, df, size=None):
"""
chisquare(df, size=None)
Draw samples from a chi-square distribution.
When `df` independent random variables, each with standard normal
distributions (mean 0, variance 1), are squared and summed, the
resulting distribution is chi-square (see Notes). This distribution
is often used in hypothesis testing.
Parameters
----------
df : int
Number of degrees of freedom.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
output : ndarray
Samples drawn from the distribution, packed in a `size`-shaped
array.
Raises
------
ValueError
When `df` <= 0 or when an inappropriate `size` (e.g. ``size=-1``)
is given.
Notes
-----
The variable obtained by summing the squares of `df` independent,
standard normally distributed random variables:
.. math:: Q = \\sum_{i=0}^{\\mathtt{df}} X^2_i
is chi-square distributed, denoted
.. math:: Q \\sim \\chi^2_k.
The probability density function of the chi-squared distribution is
.. math:: p(x) = \\frac{(1/2)^{k/2}}{\\Gamma(k/2)}
x^{k/2 - 1} e^{-x/2},
where :math:`\\Gamma` is the gamma function,
.. math:: \\Gamma(x) = \\int_0^{-\\infty} t^{x - 1} e^{-t} dt.
References
----------
.. [1] NIST "Engineering Statistics Handbook"
http://www.itl.nist.gov/div898/handbook/eda/section3/eda3666.htm
Examples
--------
>>> mkl_random.chisquare(2,4)
array([ 1.89920014, 9.00867716, 3.13710533, 5.62318272])
"""
cdef cnp.ndarray odf
cdef double fdf
fdf = PyFloat_AsDouble(df)
if not PyErr_Occurred():
if fdf <= 0:
raise ValueError("df <= 0")
return vec_cont1_array_sc(self.internal_state, irk_chisquare_vec, size, fdf,
self.lock)
PyErr_Clear()
odf = <cnp.ndarray>cnp.PyArray_FROM_OTF(df, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(odf, 0.0)):
raise ValueError("df <= 0")
return vec_cont1_array(self.internal_state, irk_chisquare_vec, size, odf,
self.lock)
def noncentral_chisquare(self, df, nonc, size=None):
"""
noncentral_chisquare(df, nonc, size=None)
Draw samples from a noncentral chi-square distribution.
The noncentral :math:`\\chi^2` distribution is a generalisation of
the :math:`\\chi^2` distribution.
Parameters
----------
df : int
Degrees of freedom, should be > 0 as of Numpy 1.10,
should be > 1 for earlier versions.
nonc : float
Non-centrality, should be non-negative.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Notes
-----
The probability density function for the noncentral Chi-square
distribution is
.. math:: P(x;df,nonc) = \\sum^{\\infty}_{i=0}
\\frac{e^{-nonc/2}(nonc/2)^{i}}{i!}
\\P_{Y_{df+2i}}(x),
where :math:`Y_{q}` is the Chi-square with q degrees of freedom.
In Delhi (2007), it is noted that the noncentral chi-square is
useful in bombing and coverage problems, the probability of
killing the point target given by the noncentral chi-squared
distribution.
References
----------
.. [1] Delhi, M.S. Holla, "On a noncentral chi-square distribution in
the analysis of weapon systems effectiveness", Metrika,
Volume 15, Number 1 / December, 1970.
.. [2] Wikipedia, "Noncentral chi-square distribution"
http://en.wikipedia.org/wiki/Noncentral_chi-square_distribution
Examples
--------
Draw values from the distribution and plot the histogram
>>> import matplotlib.pyplot as plt
>>> values = plt.hist(mkl_random.noncentral_chisquare(3, 20, 100000),
... bins=200, normed=True)
>>> plt.show()
Draw values from a noncentral chisquare with very small noncentrality,
and compare to a chisquare.
>>> plt.figure()
>>> values = plt.hist(mkl_random.noncentral_chisquare(3, .0000001, 100000),
... bins=np.arange(0., 25, .1), normed=True)
>>> values2 = plt.hist(mkl_random.chisquare(3, 100000),
... bins=np.arange(0., 25, .1), normed=True)
>>> plt.plot(values[1][0:-1], values[0]-values2[0], 'ob')
>>> plt.show()
Demonstrate how large values of non-centrality lead to a more symmetric
distribution.
>>> plt.figure()
>>> values = plt.hist(mkl_random.noncentral_chisquare(3, 20, 100000),
... bins=200, normed=True)
>>> plt.show()
"""
cdef cnp.ndarray odf, ononc
cdef double fdf, fnonc
fdf = PyFloat_AsDouble(df)
fnonc = PyFloat_AsDouble(nonc)
if not PyErr_Occurred():
if fdf <= 0:
raise ValueError("df <= 0")
if fnonc < 0:
raise ValueError("nonc < 0")
return vec_cont2_array_sc(self.internal_state, irk_noncentral_chisquare_vec,
size, fdf, fnonc, self.lock)
PyErr_Clear()
odf = <cnp.ndarray>cnp.PyArray_FROM_OTF(df, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
ononc = <cnp.ndarray>cnp.PyArray_FROM_OTF(nonc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(odf, 0.0)):
raise ValueError("df <= 0")
if np.any(np.less(ononc, 0.0)):
raise ValueError("nonc < 0")
return vec_cont2_array(self.internal_state, irk_noncentral_chisquare_vec, size,
odf, ononc, self.lock)
def standard_cauchy(self, size=None):
"""
standard_cauchy(size=None)
Draw samples from a standard Cauchy distribution with mode = 0.
Also known as the Lorentz distribution.
Parameters
----------
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
The drawn samples.
Notes
-----
The probability density function for the full Cauchy distribution is
.. math:: P(x; x_0, \\gamma) = \\frac{1}{\\pi \\gamma \\bigl[ 1+
(\\frac{x-x_0}{\\gamma})^2 \\bigr] }
and the Standard Cauchy distribution just sets :math:`x_0=0` and
:math:`\\gamma=1`
The Cauchy distribution arises in the solution to the driven harmonic
oscillator problem, and also describes spectral line broadening. It
also describes the distribution of values at which a line tilted at
a random angle will cut the x axis.
When studying hypothesis tests that assume normality, seeing how the
tests perform on data from a Cauchy distribution is a good indicator of
their sensitivity to a heavy-tailed distribution, since the Cauchy looks
very much like a Gaussian distribution, but with heavier tails.
References
----------
.. [1] NIST/SEMATECH e-Handbook of Statistical Methods, "Cauchy
Distribution",
http://www.itl.nist.gov/div898/handbook/eda/section3/eda3663.htm
.. [2] Weisstein, Eric W. "Cauchy Distribution." From MathWorld--A
Wolfram Web Resource.
http://mathworld.wolfram.com/CauchyDistribution.html
.. [3] Wikipedia, "Cauchy distribution"
http://en.wikipedia.org/wiki/Cauchy_distribution
Examples
--------
Draw samples and plot the distribution:
>>> s = mkl_random.standard_cauchy(1000000)
>>> s = s[(s>-25) & (s<25)] # truncate distribution so it plots well
>>> plt.hist(s, bins=100)
>>> plt.show()
"""
return vec_cont0_array(self.internal_state, irk_standard_cauchy_vec, size,
self.lock)
def standard_t(self, df, size=None):
"""
standard_t(df, size=None)
Draw samples from a standard Student's t distribution with `df` degrees
of freedom.
A special case of the hyperbolic distribution. As `df` gets
large, the result resembles that of the standard normal
distribution (`standard_normal`).
Parameters
----------
df : int
Degrees of freedom, should be > 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
Drawn samples.
Notes
-----
The probability density function for the t distribution is
.. math:: P(x, df) = \\frac{\\Gamma(\\frac{df+1}{2})}{\\sqrt{\\pi df}
\\Gamma(\\frac{df}{2})}\\Bigl( 1+\\frac{x^2}{df} \\Bigr)^{-(df+1)/2}
The t test is based on an assumption that the data come from a
Normal distribution. The t test provides a way to test whether
the sample mean (that is the mean calculated from the data) is
a good estimate of the true mean.
The derivation of the t-distribution was first published in
1908 by William Gisset while working for the Guinness Brewery
in Dublin. Due to proprietary issues, he had to publish under
a pseudonym, and so he used the name Student.
References
----------
.. [1] Dalgaard, Peter, "Introductory Statistics With R",
Springer, 2002.
.. [2] Wikipedia, "Student's t-distribution"
http://en.wikipedia.org/wiki/Student's_t-distribution
Examples
--------
From Dalgaard page 83 [1]_, suppose the daily energy intake for 11
women in Kj is:
>>> intake = np.array([5260., 5470, 5640, 6180, 6390, 6515, 6805, 7515, \\
... 7515, 8230, 8770])
Does their energy intake deviate systematically from the recommended
value of 7725 kJ?
We have 10 degrees of freedom, so is the sample mean within 95% of the
recommended value?
>>> s = mkl_random.standard_t(10, size=100000)
>>> np.mean(intake)
6753.636363636364
>>> intake.std(ddof=1)
1142.1232221373727
Calculate the t statistic, setting the ddof parameter to the unbiased
value so the divisor in the standard deviation will be degrees of
freedom, N-1.
>>> t = (np.mean(intake)-7725)/(intake.std(ddof=1)/np.sqrt(len(intake)))
>>> import matplotlib.pyplot as plt
>>> h = plt.hist(s, bins=100, normed=True)
For a one-sided t-test, how far out in the distribution does the t
statistic appear?
>>> np.sum(s<t) / float(len(s))
0.0090699999999999999 #random
So the p-value is about 0.009, which says the null hypothesis has a
probability of about 99% of being true.
"""
cdef cnp.ndarray odf
cdef double fdf
fdf = PyFloat_AsDouble(df)
if not PyErr_Occurred():
if fdf <= 0:
raise ValueError("df <= 0")
return vec_cont1_array_sc(self.internal_state, irk_standard_t_vec, size,
fdf, self.lock)
PyErr_Clear()
odf = <cnp.ndarray> cnp.PyArray_FROM_OTF(df, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(odf, 0.0)):
raise ValueError("df <= 0")
return vec_cont1_array(self.internal_state, irk_standard_t_vec, size, odf,
self.lock)
def vonmises(self, mu, kappa, size=None):
"""
vonmises(mu, kappa, size=None)
Draw samples from a von Mises distribution.
Samples are drawn from a von Mises distribution with specified mode
(mu) and dispersion (kappa), on the interval [-pi, pi].
The von Mises distribution (also known as the circular normal
distribution) is a continuous probability distribution on the unit
circle. It may be thought of as the circular analogue of the normal
distribution.
Parameters
----------
mu : float
Mode ("center") of the distribution.
kappa : float
Dispersion of the distribution, has to be >=0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : scalar or ndarray
The returned samples, which are in the interval [-pi, pi].
See Also
--------
scipy.stats.distributions.vonmises : probability density function,
distribution, or cumulative density function, etc.
Notes
-----
The probability density for the von Mises distribution is
.. math:: p(x) = \\frac{e^{\\kappa cos(x-\\mu)}}{2\\pi I_0(\\kappa)},
where :math:`\\mu` is the mode and :math:`\\kappa` the dispersion,
and :math:`I_0(\\kappa)` is the modified Bessel function of order 0.
The von Mises is named for Richard Edler von Mises, who was born in
Austria-Hungary, in what is now the Ukraine. He fled to the United
States in 1939 and became a professor at Harvard. He worked in
probability theory, aerodynamics, fluid mechanics, and philosophy of
science.
References
----------
.. [1] Abramowitz, M. and Stegun, I. A. (Eds.). "Handbook of
Mathematical Functions with Formulas, Graphs, and Mathematical
Tables, 9th printing," New York: Dover, 1972.
.. [2] von Mises, R., "Mathematical Theory of Probability
and Statistics", New York: Academic Press, 1964.
Examples
--------
Draw samples from the distribution:
>>> mu, kappa = 0.0, 4.0 # mean and dispersion
>>> s = mkl_random.vonmises(mu, kappa, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> from scipy.special import i0
>>> plt.hist(s, 50, normed=True)
>>> x = np.linspace(-np.pi, np.pi, num=51)
>>> y = np.exp(kappa*np.cos(x-mu))/(2*np.pi*i0(kappa))
>>> plt.plot(x, y, linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray omu, okappa
cdef double fmu, fkappa
fmu = PyFloat_AsDouble(mu)
fkappa = PyFloat_AsDouble(kappa)
if not PyErr_Occurred():
if fkappa < 0:
raise ValueError("kappa < 0")
return vec_cont2_array_sc(self.internal_state, irk_vonmises_vec, size, fmu,
fkappa, self.lock)
PyErr_Clear()
omu = <cnp.ndarray> cnp.PyArray_FROM_OTF(mu, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
okappa = <cnp.ndarray> cnp.PyArray_FROM_OTF(kappa, cnp.NPY_DOUBLE,
cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less(okappa, 0.0)):
raise ValueError("kappa < 0")
return vec_cont2_array(self.internal_state, irk_vonmises_vec, size, omu, okappa,
self.lock)
def pareto(self, a, size=None):
"""
pareto(a, size=None)
Draw samples from a Pareto II or Lomax distribution with
specified shape.
The Lomax or Pareto II distribution is a shifted Pareto
distribution. The classical Pareto distribution can be
obtained from the Lomax distribution by adding 1 and
multiplying by the scale parameter ``m`` (see Notes). The
smallest value of the Lomax distribution is zero while for the
classical Pareto distribution it is ``mu``, where the standard
Pareto distribution has location ``mu = 1``. Lomax can also
be considered as a simplified version of the Generalized
Pareto distribution (available in SciPy), with the scale set
to one and the location set to zero.
The Pareto distribution must be greater than zero, and is
unbounded above. It is also known as the "80-20 rule". In
this distribution, 80 percent of the weights are in the lowest
20 percent of the range, while the other 20 percent fill the
remaining 80 percent of the range.
Parameters
----------
shape : float, > 0.
Shape of the distribution.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
See Also
--------
scipy.stats.distributions.lomax.pdf : probability density function,
distribution or cumulative density function, etc.
scipy.stats.distributions.genpareto.pdf : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Pareto distribution is
.. math:: p(x) = \\frac{a m^a}{(1+x)^{a+1}}
where :math:`a` is the shape and :math:`m` the scale.
The Pareto distribution, named after the Italian economist
Vilfredo Pareto, is a power law probability distribution
useful in many real world problems. Outside the field of
economics it is generally referred to as the Bradford
distribution. Pareto developed the distribution to describe
the distribution of wealth in an economy. It has also found
use in insurance, web page access statistics, oil field sizes,
and many other problems, including the download frequency for
projects in Sourceforge [1]_. It is one of the so-called
"fat-tailed" distributions.
References
----------
.. [1] Francis Hunt and Paul Johnson, On the Pareto Distribution of
Sourceforge projects.
.. [2] Pareto, V. (1896). Course of Political Economy. Lausanne.
.. [3] Reiss, R.D., Thomas, M.(2001), Statistical Analysis of Extreme
Values, Birkhauser Verlag, Basel, pp 23-30.
.. [4] Wikipedia, "Pareto distribution",
http://en.wikipedia.org/wiki/Pareto_distribution
Examples
--------
Draw samples from the distribution:
>>> a, m = 3., 2. # shape and mode
>>> s = (mkl_random.pareto(a, 1000) + 1) * m
Display the histogram of the samples, along with the probability
density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, _ = plt.hist(s, 100, normed=True)
>>> fit = a*m**a / bins**(a+1)
>>> plt.plot(bins, max(count)*fit/max(fit), linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray oa
cdef double fa
fa = PyFloat_AsDouble(a)
if not PyErr_Occurred():
if fa <= 0:
raise ValueError("a <= 0")
return vec_cont1_array_sc(self.internal_state, irk_pareto_vec, size, fa,
self.lock)
PyErr_Clear()
oa = <cnp.ndarray>cnp.PyArray_FROM_OTF(a, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oa, 0.0)):
raise ValueError("a <= 0")
return vec_cont1_array(self.internal_state, irk_pareto_vec, size, oa, self.lock)
def weibull(self, a, size=None):
"""
weibull(a, size=None)
Draw samples from a Weibull distribution.
Draw samples from a 1-parameter Weibull distribution with the given
shape parameter `a`.
.. math:: X = (-ln(U))^{1/a}
Here, U is drawn from the uniform distribution over (0,1].
The more common 2-parameter Weibull, including a scale parameter
:math:`\\lambda` is just :math:`X = \\lambda(-ln(U))^{1/a}`.
Parameters
----------
a : float
Shape of the distribution.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray
See Also
--------
scipy.stats.distributions.weibull_max
scipy.stats.distributions.weibull_min
scipy.stats.distributions.genextreme
gumbel
Notes
-----
The Weibull (or Type III asymptotic extreme value distribution
for smallest values, SEV Type III, or Rosin-Rammler
distribution) is one of a class of Generalized Extreme Value
(GEV) distributions used in modeling extreme value problems.
This class includes the Gumbel and Frechet distributions.
The probability density for the Weibull distribution is
.. math:: p(x) = \\frac{a}
{\\lambda}(\\frac{x}{\\lambda})^{a-1}e^{-(x/\\lambda)^a},
where :math:`a` is the shape and :math:`\\lambda` the scale.
The function has its peak (the mode) at
:math:`\\lambda(\\frac{a-1}{a})^{1/a}`.
When ``a = 1``, the Weibull distribution reduces to the exponential
distribution.
References
----------
.. [1] Waloddi Weibull, Royal Technical University, Stockholm,
1939 "A Statistical Theory Of The Strength Of Materials",
Ingeniorsvetenskapsakademiens Handlingar Nr 151, 1939,
Generalstabens Litografiska Anstalts Forlag, Stockholm.
.. [2] Waloddi Weibull, "A Statistical Distribution Function of
Wide Applicability", Journal Of Applied Mechanics ASME Paper
1951.
.. [3] Wikipedia, "Weibull distribution",
http://en.wikipedia.org/wiki/Weibull_distribution
Examples
--------
Draw samples from the distribution:
>>> a = 5. # shape
>>> s = mkl_random.weibull(a, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> x = np.arange(1,100.)/50.
>>> def weib(x,n,a):
... return (a / n) * (x / n)**(a - 1) * np.exp(-(x / n)**a)
>>> count, bins, ignored = plt.hist(mkl_random.weibull(5.,1000))
>>> x = np.arange(1,100.)/50.
>>> scale = count.max()/weib(x, 1., 5.).max()
>>> plt.plot(x, weib(x, 1., 5.)*scale)
>>> plt.show()
"""
cdef cnp.ndarray oa
cdef double fa
fa = PyFloat_AsDouble(a)
if not PyErr_Occurred():
if fa <= 0:
raise ValueError("a <= 0")
return vec_cont1_array_sc(self.internal_state, irk_weibull_vec, size, fa,
self.lock)
PyErr_Clear()
oa = <cnp.ndarray>cnp.PyArray_FROM_OTF(a, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oa, 0.0)):
raise ValueError("a <= 0")
return vec_cont1_array(self.internal_state, irk_weibull_vec, size, oa,
self.lock)
def power(self, a, size=None):
"""
power(a, size=None)
Draws samples in [0, 1] from a power distribution with positive
exponent a - 1.
Also known as the power function distribution.
Parameters
----------
a : float
parameter, > 0
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
The returned samples lie in [0, 1].
Raises
------
ValueError
If a < 1.
Notes
-----
The probability density function is
.. math:: P(x; a) = ax^{a-1}, 0 \\le x \\le 1, a>0.
The power function distribution is just the inverse of the Pareto
distribution. It may also be seen as a special case of the Beta
distribution.
It is used, for example, in modeling the over-reporting of insurance
claims.
References
----------
.. [1] Christian Kleiber, Samuel Kotz, "Statistical size distributions
in economics and actuarial sciences", Wiley, 2003.
.. [2] Heckert, N. A. and Filliben, James J. "NIST Handbook 148:
Dataplot Reference Manual, Volume 2: Let Subcommands and Library
Functions", National Institute of Standards and Technology
Handbook Series, June 2003.
http://www.itl.nist.gov/div898/software/dataplot/refman2/auxillar/powpdf.pdf
Examples
--------
Draw samples from the distribution:
>>> a = 5. # shape
>>> samples = 1000
>>> s = mkl_random.power(a, samples)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, bins=30)
>>> x = np.linspace(0, 1, 100)
>>> y = a*x**(a-1.)
>>> normed_y = samples*np.diff(bins)[0]*y
>>> plt.plot(x, normed_y)
>>> plt.show()
Compare the power function distribution to the inverse of the Pareto.
>>> from scipy import stats
>>> rvs = mkl_random.power(5, 1000000)
>>> rvsp = mkl_random.pareto(5, 1000000)
>>> xx = np.linspace(0,1,100)
>>> powpdf = stats.powerlaw.pdf(xx,5)
>>> plt.figure()
>>> plt.hist(rvs, bins=50, normed=True)
>>> plt.plot(xx,powpdf,'r-')
>>> plt.title('mkl_random.power(5)')
>>> plt.figure()
>>> plt.hist(1./(1.+rvsp), bins=50, normed=True)
>>> plt.plot(xx,powpdf,'r-')
>>> plt.title('inverse of 1 + mkl_random.pareto(5)')
>>> plt.figure()
>>> plt.hist(1./(1.+rvsp), bins=50, normed=True)
>>> plt.plot(xx,powpdf,'r-')
>>> plt.title('inverse of stats.pareto(5)')
"""
cdef cnp.ndarray oa
cdef double fa
fa = PyFloat_AsDouble(a)
if not PyErr_Occurred():
if fa <= 0:
raise ValueError("a <= 0")
return vec_cont1_array_sc(self.internal_state, irk_power_vec, size, fa,
self.lock)
PyErr_Clear()
oa = <cnp.ndarray>cnp.PyArray_FROM_OTF(a, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oa, 0.0)):
raise ValueError("a <= 0")
return vec_cont1_array(self.internal_state, irk_power_vec, size, oa, self.lock)
def laplace(self, loc=0.0, scale=1.0, size=None):
"""
laplace(loc=0.0, scale=1.0, size=None)
Draw samples from the Laplace or double exponential distribution with
specified location (or mean) and scale (decay).
The Laplace distribution is similar to the Gaussian/normal distribution,
but is sharper at the peak and has fatter tails. It represents the
difference between two independent, identically distributed exponential
random variables.
Parameters
----------
loc : float, optional
The position, :math:`\\mu`, of the distribution peak.
scale : float, optional
:math:`\\lambda`, the exponential decay.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or float
Notes
-----
It has the probability density function
.. math:: f(x; \\mu, \\lambda) = \\frac{1}{2\\lambda}
\\exp\\left(-\\frac{|x - \\mu|}{\\lambda}\\right).
The first law of Laplace, from 1774, states that the frequency
of an error can be expressed as an exponential function of the
absolute magnitude of the error, which leads to the Laplace
distribution. For many problems in economics and health
sciences, this distribution seems to model the data better
than the standard Gaussian distribution.
References
----------
.. [1] Abramowitz, M. and Stegun, I. A. (Eds.). "Handbook of
Mathematical Functions with Formulas, Graphs, and Mathematical
Tables, 9th printing," New York: Dover, 1972.
.. [2] Kotz, Samuel, et. al. "The Laplace Distribution and
Generalizations, " Birkhauser, 2001.
.. [3] Weisstein, Eric W. "Laplace Distribution."
From MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/LaplaceDistribution.html
.. [4] Wikipedia, "Laplace Distribution",
http://en.wikipedia.org/wiki/Laplace_distribution
Examples
--------
Draw samples from the distribution
>>> loc, scale = 0., 1.
>>> s = mkl_random.laplace(loc, scale, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 30, normed=True)
>>> x = np.arange(-8., 8., .01)
>>> pdf = np.exp(-abs(x-loc)/scale)/(2.*scale)
>>> plt.plot(x, pdf)
Plot Gaussian for comparison:
>>> g = (1/(scale * np.sqrt(2 * np.pi)) *
... np.exp(-(x - loc)**2 / (2 * scale**2)))
>>> plt.plot(x,g)
"""
cdef cnp.ndarray oloc, oscale
cdef double floc, fscale
floc = PyFloat_AsDouble(loc)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_laplace_vec, size, floc,
fscale, self.lock)
PyErr_Clear()
oloc = cnp.PyArray_FROM_OTF(loc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0")
return vec_cont2_array(self.internal_state, irk_laplace_vec, size, oloc, oscale,
self.lock)
def gumbel(self, loc=0.0, scale=1.0, size=None):
"""
gumbel(loc=0.0, scale=1.0, size=None)
Draw samples from a Gumbel distribution.
Draw samples from a Gumbel distribution with specified location and
scale. For more information on the Gumbel distribution, see
Notes and References below.
Parameters
----------
loc : float
The location of the mode of the distribution.
scale : float
The scale parameter of the distribution.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
See Also
--------
scipy.stats.gumbel_l
scipy.stats.gumbel_r
scipy.stats.genextreme
weibull
Notes
-----
The Gumbel (or Smallest Extreme Value (SEV) or the Smallest Extreme
Value Type I) distribution is one of a class of Generalized Extreme
Value (GEV) distributions used in modeling extreme value problems.
The Gumbel is a special case of the Extreme Value Type I distribution
for maximums from distributions with "exponential-like" tails.
The probability density for the Gumbel distribution is
.. math:: p(x) = \\frac{e^{-(x - \\mu)/ \\beta}}{\\beta} e^{ -e^{-(x - \\mu)/
\\beta}},
where :math:`\\mu` is the mode, a location parameter, and
:math:`\\beta` is the scale parameter.
The Gumbel (named for German mathematician Emil Julius Gumbel) was used
very early in the hydrology literature, for modeling the occurrence of
flood events. It is also used for modeling maximum wind speed and
rainfall rates. It is a "fat-tailed" distribution - the probability of
an event in the tail of the distribution is larger than if one used a
Gaussian, hence the surprisingly frequent occurrence of 100-year
floods. Floods were initially modeled as a Gaussian process, which
underestimated the frequency of extreme events.
It is one of a class of extreme value distributions, the Generalized
Extreme Value (GEV) distributions, which also includes the Weibull and
Frechet.
The function has a mean of :math:`\\mu + 0.57721\\beta` and a variance
of :math:`\\frac{\\pi^2}{6}\\beta^2`.
References
----------
.. [1] Gumbel, E. J., "Statistics of Extremes,"
New York: Columbia University Press, 1958.
.. [2] Reiss, R.-D. and Thomas, M., "Statistical Analysis of Extreme
Values from Insurance, Finance, Hydrology and Other Fields,"
Basel: Birkhauser Verlag, 2001.
Examples
--------
Draw samples from the distribution:
>>> mu, beta = 0, 0.1 # location and scale
>>> s = mkl_random.gumbel(mu, beta, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 30, normed=True)
>>> plt.plot(bins, (1/beta)*np.exp(-(bins - mu)/beta)
... * np.exp( -np.exp( -(bins - mu) /beta) ),
... linewidth=2, color='r')
>>> plt.show()
Show how an extreme value distribution can arise from a Gaussian process
and compare to a Gaussian:
>>> means = []
>>> maxima = []
>>> for i in range(0,1000) :
... a = mkl_random.normal(mu, beta, 1000)
... means.append(a.mean())
... maxima.append(a.max())
>>> count, bins, ignored = plt.hist(maxima, 30, normed=True)
>>> beta = np.std(maxima) * np.sqrt(6) / np.pi
>>> mu = np.mean(maxima) - 0.57721*beta
>>> plt.plot(bins, (1/beta)*np.exp(-(bins - mu)/beta)
... * np.exp(-np.exp(-(bins - mu)/beta)),
... linewidth=2, color='r')
>>> plt.plot(bins, 1/(beta * np.sqrt(2 * np.pi))
... * np.exp(-(bins - mu)**2 / (2 * beta**2)),
... linewidth=2, color='g')
>>> plt.show()
"""
cdef cnp.ndarray oloc, oscale
cdef double floc, fscale
floc = PyFloat_AsDouble(loc)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_gumbel_vec, size, floc,
fscale, self.lock)
PyErr_Clear()
oloc = cnp.PyArray_FROM_OTF(loc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0")
return vec_cont2_array(self.internal_state, irk_gumbel_vec, size, oloc, oscale,
self.lock)
def logistic(self, loc=0.0, scale=1.0, size=None):
"""
logistic(loc=0.0, scale=1.0, size=None)
Draw samples from a logistic distribution.
Samples are drawn from a logistic distribution with specified
parameters, loc (location or mean, also median), and scale (>0).
Parameters
----------
loc : float
scale : float > 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
where the values are all integers in [0, n].
See Also
--------
scipy.stats.distributions.logistic : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Logistic distribution is
.. math:: P(x) = P(x) = \\frac{e^{-(x-\\mu)/s}}{s(1+e^{-(x-\\mu)/s})^2},
where :math:`\\mu` = location and :math:`s` = scale.
The Logistic distribution is used in Extreme Value problems where it
can act as a mixture of Gumbel distributions, in Epidemiology, and by
the World Chess Federation (FIDE) where it is used in the Elo ranking
system, assuming the performance of each player is a logistically
distributed random variable.
References
----------
.. [1] Reiss, R.-D. and Thomas M. (2001), "Statistical Analysis of
Extreme Values, from Insurance, Finance, Hydrology and Other
Fields," Birkhauser Verlag, Basel, pp 132-133.
.. [2] Weisstein, Eric W. "Logistic Distribution." From
MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/LogisticDistribution.html
.. [3] Wikipedia, "Logistic-distribution",
http://en.wikipedia.org/wiki/Logistic_distribution
Examples
--------
Draw samples from the distribution:
>>> loc, scale = 10, 1
>>> s = mkl_random.logistic(loc, scale, 10000)
>>> count, bins, ignored = plt.hist(s, bins=50)
# plot against distribution
>>> def logist(x, loc, scale):
... return exp((loc-x)/scale)/(scale*(1+exp((loc-x)/scale))**2)
>>> plt.plot(bins, logist(bins, loc, scale)*count.max()/\\
... logist(bins, loc, scale).max())
>>> plt.show()
"""
cdef cnp.ndarray oloc, oscale
cdef double floc, fscale
floc = PyFloat_AsDouble(loc)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_logistic_vec, size, floc,
fscale, self.lock)
PyErr_Clear()
oloc = cnp.PyArray_FROM_OTF(loc, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0")
return vec_cont2_array(self.internal_state, irk_logistic_vec, size, oloc,
oscale, self.lock)
def lognormal(self, mean=0.0, sigma=1.0, size=None, method=ICDF):
"""
lognormal(mean=0.0, sigma=1.0, size=None, method='ICDF')
Draw samples from a log-normal distribution.
Draw samples from a log-normal distribution with specified mean,
standard deviation, and array shape. Note that the mean and standard
deviation are not the values for the distribution itself, but of the
underlying normal distribution it is derived from.
Parameters
----------
mean : float
Mean value of the underlying normal distribution
sigma : float, > 0.
Standard deviation of the underlying normal distribution
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
method : 'ICDF, 'BoxMuller', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.ICDF, mkl_random.BOXMULLER
Returns
-------
samples : ndarray or float
The desired samples. An array of the same shape as `size` if given,
if `size` is None a float is returned.
See Also
--------
scipy.stats.lognorm : probability density function, distribution,
cumulative density function, etc.
Notes
-----
A variable `x` has a log-normal distribution if `log(x)` is normally
distributed. The probability density function for the log-normal
distribution is:
.. math:: p(x) = \\frac{1}{\\sigma x \\sqrt{2\\pi}}
e^{(-\\frac{(ln(x)-\\mu)^2}{2\\sigma^2})}
where :math:`\\mu` is the mean and :math:`\\sigma` is the standard
deviation of the normally distributed logarithm of the variable.
A log-normal distribution results if a random variable is the *product*
of a large number of independent, identically-distributed variables in
the same way that a normal distribution results if the variable is the
*sum* of a large number of independent, identically-distributed
variables.
References
----------
.. [1] Limpert, E., Stahel, W. A., and Abbt, M., "Log-normal
Distributions across the Sciences: Keys and Clues,"
BioScience, Vol. 51, No. 5, May, 2001.
http://stat.ethz.ch/~stahel/lognormal/bioscience.pdf
.. [2] Reiss, R.D. and Thomas, M., "Statistical Analysis of Extreme
Values," Basel: Birkhauser Verlag, 2001, pp. 31-32.
Examples
--------
Draw samples from the distribution:
>>> mu, sigma = 3., 1. # mean and standard deviation
>>> s = mkl_random.lognormal(mu, sigma, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 100, normed=True, align='mid')
>>> x = np.linspace(min(bins), max(bins), 10000)
>>> pdf = (np.exp(-(np.log(x) - mu)**2 / (2 * sigma**2))
... / (x * sigma * np.sqrt(2 * np.pi)))
>>> plt.plot(x, pdf, linewidth=2, color='r')
>>> plt.axis('tight')
>>> plt.show()
Demonstrate that taking the products of random samples from a uniform
distribution can be fit well by a log-normal probability density
function.
>>> # Generate a thousand samples: each is the product of 100 random
>>> # values, drawn from a normal distribution.
>>> b = []
>>> for i in range(1000):
... a = 10. + mkl_random.random(100)
... b.append(np.product(a))
>>> b = np.array(b) / np.min(b) # scale values to be positive
>>> count, bins, ignored = plt.hist(b, 100, normed=True, align='mid')
>>> sigma = np.std(np.log(b))
>>> mu = np.mean(np.log(b))
>>> x = np.linspace(min(bins), max(bins), 10000)
>>> pdf = (np.exp(-(np.log(x) - mu)**2 / (2 * sigma**2))
... / (x * sigma * np.sqrt(2 * np.pi)))
>>> plt.plot(x, pdf, color='r', linewidth=2)
>>> plt.show()
"""
cdef cnp.ndarray omean, osigma
cdef double fmean, fsigma
fmean = PyFloat_AsDouble(mean)
fsigma = PyFloat_AsDouble(sigma)
if not PyErr_Occurred():
if fsigma <= 0:
raise ValueError("sigma <= 0")
method = choose_method(method, [ICDF, BOXMULLER], _method_alias_dict_gaussian_short)
if method is ICDF:
return vec_cont2_array_sc(self.internal_state, irk_lognormal_vec_ICDF, size,
fmean, fsigma, self.lock)
else:
return vec_cont2_array_sc(self.internal_state, irk_lognormal_vec_BM, size,
fmean, fsigma, self.lock)
PyErr_Clear()
omean = cnp.PyArray_FROM_OTF(mean, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
osigma = cnp.PyArray_FROM_OTF(sigma, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(osigma, 0.0)):
raise ValueError("sigma <= 0.0")
method = choose_method(method, [ICDF, BOXMULLER], _method_alias_dict_gaussian_short)
if method is ICDF:
return vec_cont2_array(self.internal_state, irk_lognormal_vec_ICDF, size,
omean, osigma, self.lock)
else:
return vec_cont2_array(self.internal_state, irk_lognormal_vec_BM, size,
omean, osigma, self.lock)
def rayleigh(self, scale=1.0, size=None):
"""
rayleigh(scale=1.0, size=None)
Draw samples from a Rayleigh distribution.
The :math:`\\chi` and Weibull distributions are generalizations of the
Rayleigh.
Parameters
----------
scale : scalar
Scale, also equals the mode. Should be >= 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Notes
-----
The probability density function for the Rayleigh distribution is
.. math:: P(x;scale) = \\frac{x}{scale^2}e^{\\frac{-x^2}{2 \\cdotp scale^2}}
The Rayleigh distribution would arise, for example, if the East
and North components of the wind velocity had identical zero-mean
Gaussian distributions. Then the wind speed would have a Rayleigh
distribution.
References
----------
.. [1] Brighton Webs Ltd., "Rayleigh Distribution,"
http://www.brighton-webs.co.uk/distributions/rayleigh.asp
.. [2] Wikipedia, "Rayleigh distribution"
http://en.wikipedia.org/wiki/Rayleigh_distribution
Examples
--------
Draw values from the distribution and plot the histogram
>>> values = hist(mkl_random.rayleigh(3, 100000), bins=200, normed=True)
Wave heights tend to follow a Rayleigh distribution. If the mean wave
height is 1 meter, what fraction of waves are likely to be larger than 3
meters?
>>> meanvalue = 1
>>> modevalue = np.sqrt(2 / np.pi) * meanvalue
>>> s = mkl_random.rayleigh(modevalue, 1000000)
The percentage of waves larger than 3 meters is:
>>> 100.*sum(s>3)/1000000.
0.087300000000000003
"""
cdef cnp.ndarray oscale
cdef double fscale
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont1_array_sc(self.internal_state, irk_rayleigh_vec, size,
fscale, self.lock)
PyErr_Clear()
oscale = <cnp.ndarray>cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(oscale, 0.0)):
raise ValueError("scale <= 0.0")
return vec_cont1_array(self.internal_state, irk_rayleigh_vec, size, oscale,
self.lock)
def wald(self, mean, scale, size=None):
"""
wald(mean, scale, size=None)
Draw samples from a Wald, or inverse Gaussian, distribution.
As the scale approaches infinity, the distribution becomes more like a
Gaussian. Some references claim that the Wald is an inverse Gaussian
with mean equal to 1, but this is by no means universal.
The inverse Gaussian distribution was first studied in relationship to
Brownian motion. In 1956 M.C.K. Tweedie used the name inverse Gaussian
because there is an inverse relationship between the time to cover a
unit distance and distance covered in unit time.
Parameters
----------
mean : scalar
Distribution mean, should be > 0.
scale : scalar
Scale parameter, should be >= 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
Drawn sample, all greater than zero.
Notes
-----
The probability density function for the Wald distribution is
.. math:: P(x;mean,scale) = \\sqrt{\\frac{scale}{2\\pi x^3}}e^
\\frac{-scale(x-mean)^2}{2\\cdotp mean^2x}
As noted above the inverse Gaussian distribution first arise
from attempts to model Brownian motion. It is also a
competitor to the Weibull for use in reliability modeling and
modeling stock returns and interest rate processes.
References
----------
.. [1] Brighton Webs Ltd., Wald Distribution,
http://www.brighton-webs.co.uk/distributions/wald.asp
.. [2] Chhikara, Raj S., and Folks, J. Leroy, "The Inverse Gaussian
Distribution: Theory : Methodology, and Applications", CRC Press,
1988.
.. [3] Wikipedia, "Wald distribution"
http://en.wikipedia.org/wiki/Wald_distribution
Examples
--------
Draw values from the distribution and plot the histogram:
>>> import matplotlib.pyplot as plt
>>> h = plt.hist(mkl_random.wald(3, 2, 100000), bins=200, normed=True)
>>> plt.show()
"""
cdef cnp.ndarray omean, oscale
cdef double fmean, fscale
fmean = PyFloat_AsDouble(mean)
fscale = PyFloat_AsDouble(scale)
if not PyErr_Occurred():
if fmean <= 0:
raise ValueError("mean <= 0")
if fscale <= 0:
raise ValueError("scale <= 0")
return vec_cont2_array_sc(self.internal_state, irk_wald_vec, size, fmean,
fscale, self.lock)
PyErr_Clear()
omean = cnp.PyArray_FROM_OTF(mean, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oscale = cnp.PyArray_FROM_OTF(scale, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(omean,0.0)):
raise ValueError("mean <= 0.0")
elif np.any(np.less_equal(oscale,0.0)):
raise ValueError("scale <= 0.0")
return vec_cont2_array(self.internal_state, irk_wald_vec, size, omean, oscale,
self.lock)
def triangular(self, left, mode, right, size=None):
"""
triangular(left, mode, right, size=None)
Draw samples from the triangular distribution.
The triangular distribution is a continuous probability
distribution with lower limit left, peak at mode, and upper
limit right. Unlike the other distributions, these parameters
directly define the shape of the pdf.
Parameters
----------
left : scalar
Lower limit.
mode : scalar
The value where the peak of the distribution occurs.
The value should fulfill the condition ``left <= mode <= right``.
right : scalar
Upper limit, should be larger than `left`.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
The returned samples all lie in the interval [left, right].
Notes
-----
The probability density function for the triangular distribution is
.. math:: P(x;l, m, r) = \\begin{cases}
\\frac{2(x-l)}{(r-l)(m-l)}& \\text{for $l \\leq x \\leq m$},\\\\
\\frac{2(r-x)}{(r-l)(r-m)}& \\text{for $m \\leq x \\leq r$},\\\\
0& \\text{otherwise}.
\\end{cases}
The triangular distribution is often used in ill-defined
problems where the underlying distribution is not known, but
some knowledge of the limits and mode exists. Often it is used
in simulations.
References
----------
.. [1] Wikipedia, "Triangular distribution"
http://en.wikipedia.org/wiki/Triangular_distribution
Examples
--------
Draw values from the distribution and plot the histogram:
>>> import matplotlib.pyplot as plt
>>> h = plt.hist(mkl_random.triangular(-3, 0, 8, 100000), bins=200,
... normed=True)
>>> plt.show()
"""
cdef cnp.ndarray oleft, omode, oright
cdef double fleft, fmode, fright
fleft = PyFloat_AsDouble(left)
fright = PyFloat_AsDouble(right)
fmode = PyFloat_AsDouble(mode)
if not PyErr_Occurred():
if fleft > fmode:
raise ValueError("left > mode")
if fmode > fright:
raise ValueError("mode > right")
if fleft == fright:
raise ValueError("left == right")
return vec_cont3_array_sc(self.internal_state, irk_triangular_vec, size,
fleft, fmode, fright, self.lock)
PyErr_Clear()
oleft = <cnp.ndarray>cnp.PyArray_FROM_OTF(left, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
omode = <cnp.ndarray>cnp.PyArray_FROM_OTF(mode, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
oright = <cnp.ndarray>cnp.PyArray_FROM_OTF(right, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.greater(oleft, omode)):
raise ValueError("left > mode")
if np.any(np.greater(omode, oright)):
raise ValueError("mode > right")
if np.any(np.equal(oleft, oright)):
raise ValueError("left == right")
return vec_cont3_array(self.internal_state, irk_triangular_vec, size, oleft,
omode, oright, self.lock)
# Complicated, discrete distributions:
def binomial(self, n, p, size=None):
"""
binomial(n, p, size=None)
Draw samples from a binomial distribution.
Samples are drawn from a binomial distribution with specified
parameters, n trials and p probability of success where
n an integer >= 0 and p is in the interval [0,1]. (n may be
input as a float, but it is truncated to an integer in use)
Parameters
----------
n : float (but truncated to an integer)
parameter, >= 0.
p : float
parameter, >= 0 and <=1.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
where the values are all integers in [0, n].
See Also
--------
scipy.stats.distributions.binom : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the binomial distribution is
.. math:: P(N) = \\binom{n}{N}p^N(1-p)^{n-N},
where :math:`n` is the number of trials, :math:`p` is the probability
of success, and :math:`N` is the number of successes.
When estimating the standard error of a proportion in a population by
using a random sample, the normal distribution works well unless the
product p*n <=5, where p = population proportion estimate, and n =
number of samples, in which case the binomial distribution is used
instead. For example, a sample of 15 people shows 4 who are left
handed, and 11 who are right handed. Then p = 4/15 = 27%. 0.27*15 = 4,
so the binomial distribution should be used in this case.
References
----------
.. [1] Dalgaard, Peter, "Introductory Statistics with R",
Springer-Verlag, 2002.
.. [2] Glantz, Stanton A. "Primer of Biostatistics.", McGraw-Hill,
Fifth Edition, 2002.
.. [3] Lentner, Marvin, "Elementary Applied Statistics", Bogden
and Quigley, 1972.
.. [4] Weisstein, Eric W. "Binomial Distribution." From MathWorld--A
Wolfram Web Resource.
http://mathworld.wolfram.com/BinomialDistribution.html
.. [5] Wikipedia, "Binomial-distribution",
http://en.wikipedia.org/wiki/Binomial_distribution
Examples
--------
Draw samples from the distribution:
>>> n, p = 10, .5 # number of trials, probability of each trial
>>> s = mkl_random.binomial(n, p, 1000)
# result of flipping a coin 10 times, tested 1000 times.
A real world example. A company drills 9 wild-cat oil exploration
wells, each with an estimated probability of success of 0.1. All nine
wells fail. What is the probability of that happening?
Let's do 20,000 trials of the model, and count the number that
generate zero positive results.
>>> sum(mkl_random.binomial(9, 0.1, 20000) == 0)/20000.
# answer = 0.38885, or 38%.
"""
cdef cnp.ndarray on, op
cdef long ln
cdef double fp
fp = PyFloat_AsDouble(p)
ln = PyInt_AsLong(n)
if not PyErr_Occurred():
if ln < 0:
raise ValueError("n < 0")
if fp < 0:
raise ValueError("p < 0")
elif fp > 1:
raise ValueError("p > 1")
elif np.isnan(fp):
raise ValueError("p is nan")
if n > int(2**31-1):
raise ValueError("n > 2147483647")
else:
return vec_discnp_array_sc(self.internal_state, irk_binomial_vec, size, <int> ln,
fp, self.lock)
PyErr_Clear()
on = <cnp.ndarray>cnp.PyArray_FROM_OTF(n, cnp.NPY_LONG, cnp.NPY_ARRAY_IN_ARRAY)
op = <cnp.ndarray>cnp.PyArray_FROM_OTF(p, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less(n, 0)):
raise ValueError("n < 0")
if np.any(np.less(op, 0)):
raise ValueError("p < 0")
if np.any(np.greater(op, 1)):
raise ValueError("p > 1")
if np.any(np.greater(n, int(2**31-1))):
raise ValueError("n > 2147483647")
on = on.astype(np.int32, casting='unsafe')
return vec_discnp_array(self.internal_state, irk_binomial_vec, size, on, op,
self.lock)
def negative_binomial(self, n, p, size=None):
"""
negative_binomial(n, p, size=None)
Draw samples from a negative binomial distribution.
Samples are drawn from a negative binomial distribution with specified
parameters, `n` trials and `p` probability of success where `n` is an
integer > 0 and `p` is in the interval [0, 1].
Parameters
----------
n : int
Parameter, > 0.
p : float
Parameter, >= 0 and <=1.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : int or ndarray of ints
Drawn samples.
Notes
-----
The probability density for the negative binomial distribution is
.. math:: P(N;n,p) = \\binom{N+n-1}{n-1}p^{n}(1-p)^{N},
where :math:`n-1` is the number of successes, :math:`p` is the
probability of success, and :math:`N+n-1` is the number of trials.
The negative binomial distribution gives the probability of n-1
successes and N failures in N+n-1 trials, and success on the (N+n)th
trial.
If one throws a die repeatedly until the third time a "1" appears,
then the probability distribution of the number of non-"1"s that
appear before the third "1" is a negative binomial distribution.
References
----------
.. [1] Weisstein, Eric W. "Negative Binomial Distribution." From
MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/NegativeBinomialDistribution.html
.. [2] Wikipedia, "Negative binomial distribution",
http://en.wikipedia.org/wiki/Negative_binomial_distribution
Examples
--------
Draw samples from the distribution:
A real world example. A company drills wild-cat oil
exploration wells, each with an estimated probability of
success of 0.1. What is the probability of having one success
for each successive well, that is what is the probability of a
single success after drilling 5 wells, after 6 wells, etc.?
>>> s = mkl_random.negative_binomial(1, 0.1, 100000)
>>> for i in range(1, 11):
... probability = sum(s<i) / 100000.
... print i, "wells drilled, probability of one success =", probability
"""
cdef cnp.ndarray on
cdef cnp.ndarray op
cdef double fn
cdef double fp
fp = PyFloat_AsDouble(p)
fn = PyFloat_AsDouble(n)
if not PyErr_Occurred():
if fn <= 0:
raise ValueError("n <= 0")
if fp < 0:
raise ValueError("p < 0")
elif fp > 1:
raise ValueError("p > 1")
return vec_discdd_array_sc(self.internal_state, irk_negbinomial_vec,
size, fn, fp, self.lock)
PyErr_Clear()
on = <cnp.ndarray>cnp.PyArray_FROM_OTF(n, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
op = <cnp.ndarray>cnp.PyArray_FROM_OTF(p, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less_equal(n, 0)):
raise ValueError("n <= 0")
if np.any(np.less(p, 0)):
raise ValueError("p < 0")
if np.any(np.greater(p, 1)):
raise ValueError("p > 1")
return vec_discdd_array(self.internal_state, irk_negbinomial_vec, size,
on, op, self.lock)
def poisson(self, lam=1.0, size=None, method=POISNORM):
"""
poisson(lam=1.0, size=None, method='POISNORM')
Draw samples from a Poisson distribution.
The Poisson distribution is the limit of the binomial distribution
for large N.
Parameters
----------
lam : float or sequence of float
Expectation of interval, should be >= 0. A sequence of expectation
intervals must be broadcastable over the requested size.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
method : 'POISNORM, 'PTPE', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.POISNORM, mkl_random.PTPE
Returns
-------
samples : ndarray or scalar
The drawn samples, of shape *size*, if it was provided.
Notes
-----
The Poisson distribution
.. math:: f(k; \\lambda)=\\frac{\\lambda^k e^{-\\lambda}}{k!}
For events with an expected separation :math:`\\lambda` the Poisson
distribution :math:`f(k; \\lambda)` describes the probability of
:math:`k` events occurring within the observed
interval :math:`\\lambda`.
Because the output is limited to the range of the C long type, a
ValueError is raised when `lam` is within 10 sigma of the maximum
representable value.
References
----------
.. [1] Weisstein, Eric W. "Poisson Distribution."
From MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/PoissonDistribution.html
.. [2] Wikipedia, "Poisson distribution",
http://en.wikipedia.org/wiki/Poisson_distribution
Examples
--------
Draw samples from the distribution:
>>> import numpy as np
>>> s = mkl_random.poisson(5, 10000)
Display histogram of the sample:
>>> import matplotlib.pyplot as plt
>>> count, bins, ignored = plt.hist(s, 14, normed=True)
>>> plt.show()
Draw each 100 values for lambda 100 and 500:
>>> s = mkl_random.poisson(lam=(100., 500.), size=(100, 2))
"""
cdef cnp.ndarray olam
cdef double flam
flam = PyFloat_AsDouble(lam)
if not PyErr_Occurred():
if lam < 0:
raise ValueError("lam < 0")
if lam > self.poisson_lam_max:
raise ValueError("lam value too large")
method = choose_method(method, [POISNORM, PTPE], _method_alias_dict_poisson);
if method is POISNORM:
return vec_discd_array_sc(self.internal_state, irk_poisson_vec_POISNORM, size, flam, self.lock)
else:
return vec_discd_array_sc(self.internal_state, irk_poisson_vec_PTPE, size, flam, self.lock)
PyErr_Clear()
olam = <cnp.ndarray>cnp.PyArray_FROM_OTF(lam, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less(olam, 0)):
raise ValueError("lam < 0")
if np.any(np.greater(olam, self.poisson_lam_max)):
raise ValueError("lam value too large.")
method = choose_method(method, [POISNORM, PTPE], _method_alias_dict_poisson);
if method is POISNORM:
return vec_Poisson_array(self.internal_state, irk_poisson_vec_V, irk_poisson_vec_POISNORM, size, olam, self.lock)
else:
return vec_discd_array(self.internal_state, irk_poisson_vec_PTPE, size, olam, self.lock)
def zipf(self, a, size=None):
"""
zipf(a, size=None)
Draw samples from a Zipf distribution.
Samples are drawn from a Zipf distribution with specified parameter
`a` > 1.
The Zipf distribution (also known as the zeta distribution) is a
continuous probability distribution that satisfies Zipf's law: the
frequency of an item is inversely proportional to its rank in a
frequency table.
Parameters
----------
a : float > 1
Distribution parameter.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : scalar or ndarray
The returned samples are greater than or equal to one.
See Also
--------
scipy.stats.distributions.zipf : probability density function,
distribution, or cumulative density function, etc.
Notes
-----
The probability density for the Zipf distribution is
.. math:: p(x) = \\frac{x^{-a}}{\\zeta(a)},
where :math:`\\zeta` is the Riemann Zeta function.
It is named for the American linguist George Kingsley Zipf, who noted
that the frequency of any word in a sample of a language is inversely
proportional to its rank in the frequency table.
References
----------
.. [1] Zipf, G. K., "Selected Studies of the Principle of Relative
Frequency in Language," Cambridge, MA: Harvard Univ. Press,
1932.
Examples
--------
Draw samples from the distribution:
>>> a = 2. # parameter
>>> s = mkl_random.zipf(a, 1000)
Display the histogram of the samples, along with
the probability density function:
>>> import matplotlib.pyplot as plt
>>> import scipy.special as sps
Truncate s values at 50 so plot is interesting
>>> count, bins, ignored = plt.hist(s[s<50], 50, normed=True)
>>> x = np.arange(1., 50.)
>>> y = x**(-a)/sps.zetac(a)
>>> plt.plot(x, y/max(y), linewidth=2, color='r')
>>> plt.show()
"""
cdef cnp.ndarray oa
cdef double fa
fa = PyFloat_AsDouble(a)
if not PyErr_Occurred():
if fa <= 1.0:
raise ValueError("a <= 1.0")
return vec_long_discd_array_sc(self.internal_state, irk_zipf_long_vec, size, fa,
self.lock)
PyErr_Clear()
oa = <cnp.ndarray>cnp.PyArray_FROM_OTF(a, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less_equal(oa, 1.0)):
raise ValueError("a <= 1.0")
return vec_long_discd_array(self.internal_state, irk_zipf_long_vec, size, oa, self.lock)
def geometric(self, p, size=None):
"""
geometric(p, size=None)
Draw samples from the geometric distribution.
Bernoulli trials are experiments with one of two outcomes:
success or failure (an example of such an experiment is flipping
a coin). The geometric distribution models the number of trials
that must be run in order to achieve success. It is therefore
supported on the positive integers, ``k = 1, 2, ...``.
The probability mass function of the geometric distribution is
.. math:: f(k) = (1 - p)^{k - 1} p
where `p` is the probability of success of an individual trial.
Parameters
----------
p : float
The probability of success of an individual trial.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
out : ndarray
Samples from the geometric distribution, shaped according to
`size`.
Examples
--------
Draw ten thousand values from the geometric distribution,
with the probability of an individual success equal to 0.35:
>>> z = mkl_random.geometric(p=0.35, size=10000)
How many trials succeeded after a single run?
>>> (z == 1).sum() / 10000.
0.34889999999999999 #random
"""
cdef cnp.ndarray op
cdef double fp
fp = PyFloat_AsDouble(p)
if not PyErr_Occurred():
if fp <= 0.0:
raise ValueError("p <= 0.0")
if fp > 1.0:
raise ValueError("p > 1.0")
return vec_discd_array_sc(self.internal_state, irk_geometric_vec, size, fp,
self.lock)
PyErr_Clear()
op = <cnp.ndarray>cnp.PyArray_FROM_OTF(p, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less_equal(op, 0.0)):
raise ValueError("p < 0.0")
if np.any(np.greater(op, 1.0)):
raise ValueError("p > 1.0")
return vec_discd_array(self.internal_state, irk_geometric_vec, size, op,
self.lock)
def hypergeometric(self, ngood, nbad, nsample, size=None):
"""
hypergeometric(ngood, nbad, nsample, size=None)
Draw samples from a Hypergeometric distribution.
Samples are drawn from a hypergeometric distribution with specified
parameters, ngood (ways to make a good selection), nbad (ways to make
a bad selection), and nsample = number of items sampled, which is less
than or equal to the sum ngood + nbad.
Parameters
----------
ngood : int or array_like
Number of ways to make a good selection. Must be nonnegative.
nbad : int or array_like
Number of ways to make a bad selection. Must be nonnegative.
nsample : int or array_like
Number of items sampled. Must be at least 1 and at most
``ngood + nbad``.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(d1, d2, d3)``, then
``d1 * d2 * d3`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
The values are all integers in [0, n].
See Also
--------
scipy.stats.distributions.hypergeom : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Hypergeometric distribution is
.. math:: P(x) = \\frac{\\binom{m}{x}\\binom{N-m}{n-x}}{\\binom{N}{n}},
where :math:`0 \\le x \\le m` and :math:`n+m-N \\le x \\le n`
for P(x) the probability of x successes, m = ngood, N = ngood + nbad, and
n = number of samples.
Consider an urn with black and white marbles in it, ngood of them
black and nbad are white. If you draw nsample balls without
replacement, then the hypergeometric distribution describes the
distribution of black balls in the drawn sample.
Note that this distribution is very similar to the binomial
distribution, except that in this case, samples are drawn without
replacement, whereas in the Binomial case samples are drawn with
replacement (or the sample space is infinite). As the sample space
becomes large, this distribution approaches the binomial.
References
----------
.. [1] Lentner, Marvin, "Elementary Applied Statistics", Bogden
and Quigley, 1972.
.. [2] Weisstein, Eric W. "Hypergeometric Distribution." From
MathWorld--A Wolfram Web Resource.
http://mathworld.wolfram.com/HypergeometricDistribution.html
.. [3] Wikipedia, "Hypergeometric-distribution",
http://en.wikipedia.org/wiki/Hypergeometric_distribution
Examples
--------
Draw samples from the distribution:
>>> ngood, nbad, nsamp = 100, 2, 10
# number of good, number of bad, and number of samples
>>> s = mkl_random.hypergeometric(ngood, nbad, nsamp, 1000)
>>> hist(s)
# note that it is very unlikely to grab both bad items
Suppose you have an urn with 15 white and 15 black marbles.
If you pull 15 marbles at random, how likely is it that
12 or more of them are one color?
>>> s = mkl_random.hypergeometric(15, 15, 15, 100000)
>>> sum(s>=12)/100000. + sum(s<=3)/100000.
# answer = 0.003 ... pretty unlikely!
"""
cdef cnp.ndarray ongood, onbad, onsample, otot
cdef long lngood, lnbad, lnsample, lntot
lngood = PyInt_AsLong(ngood)
lnbad = PyInt_AsLong(nbad)
lnsample = PyInt_AsLong(nsample)
if not PyErr_Occurred():
if lngood < 0:
raise ValueError("ngood < 0")
if lnbad < 0:
raise ValueError("nbad < 0")
if lnsample < 1:
raise ValueError("nsample < 1")
if ((<int> lngood) != lngood) or ((<int> lnbad) != lnbad) or ((<int> lnsample) != lnsample):
raise ValueError("All parameters should not exceed 2147483647")
lntot = lngood + lnbad
if lntot < lnsample:
raise ValueError("ngood + nbad < nsample")
return vec_discnmN_array_sc(self.internal_state, irk_hypergeometric_vec,
size, lntot, lnsample, lngood, self.lock)
PyErr_Clear()
ongood = <cnp.ndarray>cnp.PyArray_FROM_OTF(ngood, cnp.NPY_LONG, cnp.NPY_ARRAY_IN_ARRAY)
onbad = <cnp.ndarray>cnp.PyArray_FROM_OTF(nbad, cnp.NPY_LONG, cnp.NPY_ARRAY_IN_ARRAY)
onsample = <cnp.ndarray>cnp.PyArray_FROM_OTF(nsample, cnp.NPY_LONG, cnp.NPY_ARRAY_IN_ARRAY)
if np.any(np.less(ongood, 0)):
raise ValueError("ngood < 0")
if np.any(np.less(onbad, 0)):
raise ValueError("nbad < 0")
if np.any(np.less(onsample, 1)):
raise ValueError("nsample < 1")
otot = np.asarray(np.add(ongood, onbad));
if np.any(np.less_equal(otot, 0)):
raise ValueError("Number of balls in each urn should not exceed 2147483647")
if np.any(np.less(otot,onsample)):
raise ValueError("ngood + nbad < nsample")
otot = otot.astype(np.int32, casting='unsafe')
onsample = onsample.astype(np.int32, casting='unsafe')
ongood = ongood.astype(np.int32, casting='unsafe')
return vec_discnmN_array(self.internal_state, irk_hypergeometric_vec, size,
otot, onsample, ongood, self.lock)
def logseries(self, p, size=None):
"""
logseries(p, size=None)
Draw samples from a logarithmic series distribution.
Samples are drawn from a log series distribution with specified
shape parameter, 0 < ``p`` < 1.
Parameters
----------
loc : float
scale : float > 0.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray or scalar
where the values are all integers in [0, n].
See Also
--------
scipy.stats.distributions.logser : probability density function,
distribution or cumulative density function, etc.
Notes
-----
The probability density for the Log Series distribution is
.. math:: P(k) = \\frac{-p^k}{k \\ln(1-p)},
where p = probability.
The log series distribution is frequently used to represent species
richness and occurrence, first proposed by Fisher, Corbet, and
Williams in 1943 [2]. It may also be used to model the numbers of
occupants seen in cars [3].
References
----------
.. [1] Buzas, Martin A.; Culver, Stephen J., Understanding regional
species diversity through the log series distribution of
occurrences: BIODIVERSITY RESEARCH Diversity & Distributions,
Volume 5, Number 5, September 1999 , pp. 187-195(9).
.. [2] Fisher, R.A,, A.S. Corbet, and C.B. Williams. 1943. The
relation between the number of species and the number of
individuals in a random sample of an animal population.
Journal of Animal Ecology, 12:42-58.
.. [3] D. J. Hand, F. Daly, D. Lunn, E. Ostrowski, A Handbook of Small
Data Sets, CRC Press, 1994.
.. [4] Wikipedia, "Logarithmic-distribution",
http://en.wikipedia.org/wiki/Logarithmic-distribution
Examples
--------
Draw samples from the distribution:
>>> a = .6
>>> s = mkl_random.logseries(a, 10000)
>>> count, bins, ignored = plt.hist(s)
# plot against distribution
>>> def logseries(k, p):
... return -p**k/(k*log(1-p))
>>> plt.plot(bins, logseries(bins, a)*count.max()/
logseries(bins, a).max(), 'r')
>>> plt.show()
"""
cdef cnp.ndarray op
cdef double fp
fp = PyFloat_AsDouble(p)
if not PyErr_Occurred():
if fp <= 0.0:
raise ValueError("p <= 0.0")
if fp >= 1.0:
raise ValueError("p >= 1.0")
return vec_discd_array_sc(self.internal_state, irk_logseries_vec, size, fp,
self.lock)
PyErr_Clear()
op = <cnp.ndarray>cnp.PyArray_FROM_OTF(p, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if np.any(np.less_equal(op, 0.0)):
raise ValueError("p <= 0.0")
if np.any(np.greater_equal(op, 1.0)):
raise ValueError("p >= 1.0")
return vec_discd_array(self.internal_state, irk_logseries_vec, size, op,
self.lock)
# Multivariate distributions:
def multivariate_normal(self, mean, cov, size=None):
"""
multivariate_normal(mean, cov[, size])
Draw random samples from a multivariate normal distribution.
The multivariate normal, multinormal or Gaussian distribution is a
generalization of the one-dimensional normal distribution to higher
dimensions. Such a distribution is specified by its mean and
covariance matrix. These parameters are analogous to the mean
(average or "center") and variance (standard deviation, or "width,"
squared) of the one-dimensional normal distribution.
Parameters
----------
mean : 1-D array_like, of length N
Mean of the N-dimensional distribution.
cov : 2-D array_like, of shape (N, N)
Covariance matrix of the distribution. It must be symmetric and
positive-semidefinite for proper sampling.
size : int or tuple of ints, optional
Given a shape of, for example, ``(m,n,k)``, ``m*n*k`` samples are
generated, and packed in an `m`-by-`n`-by-`k` arrangement. Because
each sample is `N`-dimensional, the output shape is ``(m,n,k,N)``.
If no shape is specified, a single (`N`-D) sample is returned.
Returns
-------
out : ndarray
The drawn samples, of shape *size*, if that was provided. If not,
the shape is ``(N,)``.
In other words, each entry ``out[i,j,...,:]`` is an N-dimensional
value drawn from the distribution.
Notes
-----
The mean is a coordinate in N-dimensional space, which represents the
location where samples are most likely to be generated. This is
analogous to the peak of the bell curve for the one-dimensional or
univariate normal distribution.
Covariance indicates the level to which two variables vary together.
From the multivariate normal distribution, we draw N-dimensional
samples, :math:`X = [x_1, x_2, ... x_N]`. The covariance matrix
element :math:`C_{ij}` is the covariance of :math:`x_i` and :math:`x_j`.
The element :math:`C_{ii}` is the variance of :math:`x_i` (i.e. its
"spread").
Instead of specifying the full covariance matrix, popular
approximations include:
- Spherical covariance (*cov* is a multiple of the identity matrix)
- Diagonal covariance (*cov* has non-negative elements, and only on
the diagonal)
This geometrical property can be seen in two dimensions by plotting
generated data-points:
>>> mean = [0, 0]
>>> cov = [[1, 0], [0, 100]] # diagonal covariance
Diagonal covariance means that points are oriented along x or y-axis:
>>> import matplotlib.pyplot as plt
>>> x, y = mkl_random.multivariate_normal(mean, cov, 5000).T
>>> plt.plot(x, y, 'x')
>>> plt.axis('equal')
>>> plt.show()
Note that the covariance matrix must be positive semidefinite (a.k.a.
nonnegative-definite). Otherwise, the behavior of this method is
undefined and backwards compatibility is not guaranteed.
References
----------
.. [1] Papoulis, A., "Probability, Random Variables, and Stochastic
Processes," 3rd ed., New York: McGraw-Hill, 1991.
.. [2] Duda, R. O., Hart, P. E., and Stork, D. G., "Pattern
Classification," 2nd ed., New York: Wiley, 2001.
Examples
--------
>>> mean = (1, 2)
>>> cov = [[1, 0], [0, 1]]
>>> x = mkl_random.multivariate_normal(mean, cov, (3, 3))
>>> x.shape
(3, 3, 2)
The following is probably true, given that 0.6 is roughly twice the
standard deviation:
>>> list((x[0,0,:] - mean) < 0.6)
[True, True]
"""
from numpy.linalg import svd
# Check preconditions on arguments
mean = np.array(mean)
cov = np.array(cov)
if size is None:
shape = []
elif isinstance(size, (int, long, np.integer)):
shape = [size]
else:
shape = size
if len(mean.shape) != 1:
raise ValueError("mean must be 1 dimensional")
if (len(cov.shape) != 2) or (cov.shape[0] != cov.shape[1]):
raise ValueError("cov must be 2 dimensional and square")
if mean.shape[0] != cov.shape[0]:
raise ValueError("mean and cov must have same length")
# Compute shape of output and create a matrix of independent
# standard normally distributed random numbers. The matrix has rows
# with the same length as mean and as many rows are necessary to
# form a matrix of shape final_shape.
final_shape = list(shape[:])
final_shape.append(mean.shape[0])
x = self.standard_normal(final_shape).reshape(-1, mean.shape[0])
# Transform matrix of standard normals into matrix where each row
# contains multivariate normals with the desired covariance.
# Compute A such that dot(transpose(A),A) == cov.
# Then the matrix products of the rows of x and A has the desired
# covariance. Note that sqrt(s)*v where (u,s,v) is the singular value
# decomposition of cov is such an A.
#
# Also check that cov is positive-semidefinite. If so, the u.T and v
# matrices should be equal up to roundoff error if cov is
# symmetrical and the singular value of the corresponding row is
# not zero. We continue to use the SVD rather than Cholesky in
# order to preserve current outputs. Note that symmetry has not
# been checked.
(u, s, v) = svd(cov)
neg = (np.sum(u.T * v, axis=1) < 0) & (s > 0)
if np.any(neg):
s[neg] = 0.
warnings.warn("covariance is not positive-semidefinite.",
RuntimeWarning)
x = np.dot(x, np.sqrt(s)[:, None] * v)
x += mean
x.shape = tuple(final_shape)
return x
def multinormal_cholesky(self, mean, ch, size=None, method=ICDF):
"""
multivariate_normal(mean, ch, size=None, method='ICDF')
Draw random samples from a multivariate normal distribution.
The multivariate normal, multinormal or Gaussian distribution is a
generalization of the one-dimensional normal distribution to higher
dimensions. Such a distribution is specified by its mean and
covariance matrix, specified by its lower triangular Cholesky factor.
These parameters are analogous to the mean
(average or "center") and standard deviation, or "width,"
of the one-dimensional normal distribution.
Parameters
----------
mean : 1-D array_like, of length N
Mean of the N-dimensional distribution.
ch : 2-D array_like, of shape (N, N)
Cholesky factor of the covariance matrix of the distribution. Only lower-triangular
part of the matrix is actually used.
size : int or tuple of ints, optional
Given a shape of, for example, ``(m,n,k)``, ``m*n*k`` samples are
generated, and packed in an `m`-by-`n`-by-`k` arrangement. Because
each sample is `N`-dimensional, the output shape is ``(m,n,k,N)``.
If no shape is specified, a single (`N`-D) sample is returned.
method : 'ICDF, 'BoxMuller', 'BoxMuller2', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.ICDF, mkl_random.BOXMULLER, mkl_random.BOXMULLER2
Returns
-------
out : ndarray
The drawn samples, of shape *size*, if that was provided. If not,
the shape is ``(N,)``.
In other words, each entry ``out[i,j,...,:]`` is an N-dimensional
value drawn from the distribution.
Notes
-----
The mean is a coordinate in N-dimensional space, which represents the
location where samples are most likely to be generated. This is
analogous to the peak of the bell curve for the one-dimensional or
univariate normal distribution.
Covariance indicates the level to which two variables vary together.
From the multivariate normal distribution, we draw N-dimensional
samples, :math:`X = [x_1, x_2, ... x_N]`. The covariance matrix
element :math:`C_{ij}` is the covariance of :math:`x_i` and :math:`x_j`.
The element :math:`C_{ii}` is the variance of :math:`x_i` (i.e. its
"spread").
Instead of specifying the full covariance matrix, popular
approximations include:
- Spherical covariance (*cov* is a multiple of the identity matrix)
- Diagonal covariance (*cov* has non-negative elements, and only on
the diagonal)
This geometrical property can be seen in two dimensions by plotting
generated data-points:
>>> mean = [0, 0]
>>> cov = [[1, 0], [0, 100]] # diagonal covariance
Diagonal covariance means that points are oriented along x or y-axis:
>>> import matplotlib.pyplot as plt
>>> x, y = mkl_random.multivariate_normal(mean, cov, 5000).T
>>> plt.plot(x, y, 'x')
>>> plt.axis('equal')
>>> plt.show()
Note that the covariance matrix must be positive semidefinite (a.k.a.
nonnegative-definite). Otherwise, the behavior of this method is
undefined and backwards compatibility is not guaranteed.
References
----------
.. [1] Papoulis, A., "Probability, Random Variables, and Stochastic
Processes," 3rd ed., New York: McGraw-Hill, 1991.
.. [2] Duda, R. O., Hart, P. E., and Stork, D. G., "Pattern
Classification," 2nd ed., New York: Wiley, 2001.
Examples
--------
>>> mean = (1, 2)
>>> cov = [[1, 0], [0, 1]]
>>> x = mkl_random.multivariate_normal(mean, cov, (3, 3))
>>> x.shape
(3, 3, 2)
The following is probably true, given that 0.6 is roughly twice the
standard deviation:
>>> list((x[0,0,:] - mean) < 0.6)
[True, True]
"""
cdef cnp.ndarray resarr "arrayObject_resarr"
cdef cnp.ndarray marr "arrayObject_marr"
cdef cnp.ndarray tarr "arrayObject_tarr"
cdef double *res_data
cdef double *mean_data
cdef double *t_data
cdef cnp.npy_intp dim, n
cdef ch_st_enum storage_mode
# Check preconditions on arguments
marr = <cnp.ndarray>cnp.PyArray_FROM_OTF(mean, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
tarr = <cnp.ndarray>cnp.PyArray_FROM_OTF(ch, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_IN_ARRAY)
if size is None:
shape = []
elif isinstance(size, (int, long, np.integer)):
shape = [size]
else:
shape = size
if marr.ndim != 1:
raise ValueError("mean must be 1 dimensional")
dim = marr.shape[0];
if (tarr.ndim == 2):
storage_mode = MATRIX
if (tarr.shape[0] != tarr.shape[1]):
raise ValueError("ch must be a square lower triangular 2-dimensional array or a row-packed one-dimensional representation of such")
if dim != tarr.shape[0]:
raise ValueError("mean and ch must have consistent shapes")
elif (tarr.ndim == 1):
if (tarr.shape[0] == dim):
storage_mode = DIAGONAL
elif (tarr.shape[0] == packed_cholesky_size(dim)):
storage_mode = PACKED
else:
raise ValueError("ch must be a square lower triangular 2-dimensional array or a row-packed one-dimensional representation of such")
else:
raise ValueError("ch must be a square lower triangular 2-dimensional array or a row-packed one-dimensional representation of such")
# Compute shape of output and create a matrix of independent
# standard normally distributed random numbers. The matrix has rows
# with the same length as mean and as many rows are necessary to
# form a matrix of shape final_shape.
final_shape = list(shape[:])
final_shape.append(int(dim))
resarr = <cnp.ndarray>np.empty(final_shape, np.float64)
res_data = <double*>cnp.PyArray_DATA(resarr)
mean_data = <double*>cnp.PyArray_DATA(marr)
t_data = <double*>cnp.PyArray_DATA(tarr)
n = cnp.PyArray_SIZE(resarr) // dim
method = choose_method(method, [ICDF, BOXMULLER2, BOXMULLER], _method_alias_dict_gaussian)
if (method is ICDF):
irk_multinormal_vec_ICDF(self.internal_state, n, res_data, dim, mean_data, t_data, storage_mode)
elif (method is BOXMULLER2):
irk_multinormal_vec_BM2(self.internal_state, n, res_data, dim, mean_data, t_data, storage_mode)
else:
irk_multinormal_vec_BM1(self.internal_state, n, res_data, dim, mean_data, t_data, storage_mode)
return resarr
def multinomial(self, int n, object pvals, size=None):
"""
multinomial(n, pvals, size=None, method='ICDF')
Draw samples from a multinomial distribution.
The multinomial distribution is a multivariate generalisation of the
binomial distribution. Take an experiment with one of ``p``
possible outcomes. An example of such an experiment is throwing a dice,
where the outcome can be 1 through 6. Each sample drawn from the
distribution represents `n` such experiments. Its values,
``X_i = [X_0, X_1, ..., X_p]``, represent the number of times the
outcome was ``i``.
Parameters
----------
n : int
Number of experiments.
pvals : sequence of floats, length p
Probabilities of each of the ``p`` different outcomes. These
should sum to 1 (however, the last element is always assumed to
account for the remaining probability, as long as
``sum(pvals[:-1]) <= 1)``.
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
method : 'ICDF, 'BoxMuller', 'BoxMuller2', optional
Sampling method used by Intel MKL. Can also be specified using
tokens mkl_random.ICDF, mkl_random.BOXMULLER, mkl_random.BOXMULLER2
Returns
-------
out : ndarray
The drawn samples, of shape *size*, if that was provided. If not,
the shape is ``(N,)``.
In other words, each entry ``out[i,j,...,:]`` is an N-dimensional
value drawn from the distribution.
Examples
--------
Throw a dice 20 times:
>>> mkl_random.multinomial(20, [1/6.]*6, size=1)
array([[4, 1, 7, 5, 2, 1]])
It landed 4 times on 1, once on 2, etc.
Now, throw the dice 20 times, and 20 times again:
>>> mkl_random.multinomial(20, [1/6.]*6, size=2)
array([[3, 4, 3, 3, 4, 3],
[2, 4, 3, 4, 0, 7]])
For the first run, we threw 3 times 1, 4 times 2, etc. For the second,
we threw 2 times 1, 4 times 2, etc.
A loaded die is more likely to land on number 6:
>>> mkl_random.multinomial(100, [1/7.]*5 + [2./7.])
array([11, 16, 14, 17, 16, 26])
The probability inputs should be normalized. As an implementation
detail, the value of the last entry is ignored and assumed to take
up any leftover probability mass, but this should not be relied on.
A biased coin which has twice as much weight on one side as on the
other should be sampled like so:
>>> mkl_random.multinomial(100, [1.0 / 3, 2.0 / 3]) # RIGHT
array([38, 62])
not like:
>>> mkl_random.multinomial(100, [1.0, 2.0]) # WRONG
array([100, 0])
"""
cdef cnp.npy_intp d
cdef cnp.ndarray parr "arrayObject_parr", mnarr "arrayObject_mnarr"
cdef double *pix
cdef int *mnix
cdef cnp.npy_intp i, j, sz
cdef double Sum
cdef int dn
d = len(pvals)
parr = <cnp.ndarray>cnp.PyArray_ContiguousFromObject(pvals, cnp.NPY_DOUBLE, 1, 1)
pix = <double*>cnp.PyArray_DATA(parr)
if kahan_sum(pix, d-1) > (1.0 + 1e-12):
raise ValueError("sum(pvals[:-1]) > 1.0")
shape = _shape_from_size(size, d)
multin = np.zeros(shape, np.int32)
mnarr = <cnp.ndarray>multin
mnix = <int*>cnp.PyArray_DATA(mnarr)
sz = cnp.PyArray_SIZE(mnarr)
irk_multinomial_vec(self.internal_state, sz // d, mnix, n, d, pix)
return multin
def dirichlet(self, object alpha, size=None):
"""
dirichlet(alpha, size=None)
Draw samples from the Dirichlet distribution.
Draw `size` samples of dimension k from a Dirichlet distribution. A
Dirichlet-distributed random variable can be seen as a multivariate
generalization of a Beta distribution. Dirichlet pdf is the conjugate
prior of a multinomial in Bayesian inference.
Parameters
----------
alpha : array
Parameter of the distribution (k dimension for sample of
dimension k).
size : int or tuple of ints, optional
Output shape. If the given shape is, e.g., ``(m, n, k)``, then
``m * n * k`` samples are drawn. Default is None, in which case a
single value is returned.
Returns
-------
samples : ndarray,
The drawn samples, of shape (size, alpha.ndim).
Notes
-----
.. math:: X \\approx \\prod_{i=1}^{k}{x^{\\alpha_i-1}_i}
Uses the following property for computation: for each dimension,
draw a random sample y_i from a standard gamma generator of shape
`alpha_i`, then
:math:`X = \\frac{1}{\\sum_{i=1}^k{y_i}} (y_1, \\ldots, y_n)` is
Dirichlet distributed.
References
----------
.. [1] David McKay, "Information Theory, Inference and Learning
Algorithms," chapter 23,
http://www.inference.phy.cam.ac.uk/mackay/
.. [2] Wikipedia, "Dirichlet distribution",
http://en.wikipedia.org/wiki/Dirichlet_distribution
Examples
--------
Taking an example cited in Wikipedia, this distribution can be used if
one wanted to cut strings (each of initial length 1.0) into K pieces
with different lengths, where each piece had, on average, a designated
average length, but allowing some variation in the relative sizes of
the pieces.
>>> s = mkl_random.dirichlet((10, 5, 3), 20).transpose()
>>> plt.barh(range(20), s[0])
>>> plt.barh(range(20), s[1], left=s[0], color='g')
>>> plt.barh(range(20), s[2], left=s[0]+s[1], color='r')
>>> plt.title("Lengths of Strings")
"""
#=================
# Pure python algo
#=================
#alpha = N.atleast_1d(alpha)
#k = alpha.size
#if n == 1:
# val = N.zeros(k)
# for i in range(k):
# val[i] = sgamma(alpha[i], n)
# val /= N.sum(val)
#else:
# val = N.zeros((k, n))
# for i in range(k):
# val[i] = sgamma(alpha[i], n)
# val /= N.sum(val, axis = 0)
# val = val.T
#return val
cdef cnp.npy_intp k
cdef cnp.npy_intp totsize
cdef cnp.ndarray alpha_arr, val_arr
cdef double *alpha_data
cdef double *val_data
cdef cnp.npy_intp i, j
cdef double invacc, acc
cdef cnp.broadcast multi1, multi2
alpha_arr = <cnp.ndarray>cnp.PyArray_FROM_OTF(alpha, cnp.NPY_DOUBLE, cnp.NPY_ARRAY_ALIGNED)
if (alpha_arr.ndim != 1):
raise ValueError("Parameter alpha is not a vector")
k = len(alpha)
shape = _shape_from_size(size, k)
diric = self.standard_gamma(alpha_arr, shape)
val_arr = <cnp.ndarray>diric
totsize = cnp.PyArray_SIZE(val_arr)
# Use of iterators is faster than calling PyArray_ContiguousFromObject and iterating in C
multi1 = cnp.PyArray_MultiIterNew(2, <void *>val_arr, <void *>alpha_arr)
multi2 = cnp.PyArray_MultiIterNew(2, <void *>val_arr, <void *>alpha_arr)
i = 0
with self.lock, nogil:
while i < totsize:
acc = 0.0
for j from 0 <= j < k:
val_data = <double*> cnp.PyArray_MultiIter_DATA(multi1, 0)
acc += val_data[0]
cnp.PyArray_MultiIter_NEXTi(multi1, 0)
invacc = 1.0/acc
for j from 0 <= j < k:
val_data = <double*> cnp.PyArray_MultiIter_DATA(multi2, 0)
val_data[0] *= invacc
cnp.PyArray_MultiIter_NEXTi(multi2, 0)
i += k
return diric
# Shuffling and permutations:
def shuffle(self, object x):
"""
shuffle(x)
Modify a sequence in-place by shuffling its contents.
Parameters
----------
x : array_like
The array or list to be shuffled.
Returns
-------
None
Examples
--------
>>> arr = np.arange(10)
>>> mkl_random.shuffle(arr)
>>> arr
[1 7 5 2 9 4 3 6 0 8]
This function only shuffles the array along the first index of a
multi-dimensional array:
>>> arr = np.arange(9).reshape((3, 3))
>>> mkl_random.shuffle(arr)
>>> arr
array([[3, 4, 5],
[6, 7, 8],
[0, 1, 2]])
"""
cdef:
cnp.npy_intp i, j, n = len(x), stride, itemsize
char* x_ptr
char* buf_ptr
cdef cnp.ndarray u "arrayObject_u"
cdef double *u_data
if (n == 0):
return
u = <cnp.ndarray>self.random_sample(n-1)
u_data = <double*>cnp.PyArray_DATA(u)
if type(x) is np.ndarray and x.ndim == 1 and x.size:
# Fast, statically typed path: shuffle the underlying buffer.
# Only for non-empty, 1d objects of class ndarray (subclasses such
# as MaskedArrays may not support this approach).
x_ptr = <char*><size_t>x.ctypes.data
stride = x.strides[0]
itemsize = x.dtype.itemsize
# As the array x could contain python objects we use a buffer
# of bytes for the swaps to avoid leaving one of the objects
# within the buffer and erroneously decrementing it's refcount
# when the function exits.
buf = np.empty(itemsize, dtype=np.int8) # GC'd at function exit
buf_ptr = <char*><size_t>buf.ctypes.data
with self.lock:
# We trick gcc into providing a specialized implementation for
# the most common case, yielding a ~33% performance improvement.
# Note that apparently, only one branch can ever be specialized.
if itemsize == sizeof(cnp.npy_intp):
self._shuffle_raw(n, sizeof(cnp.npy_intp), stride, x_ptr, buf_ptr, u_data)
else:
self._shuffle_raw(n, itemsize, stride, x_ptr, buf_ptr, u_data)
elif isinstance(x, np.ndarray) and x.ndim > 1 and x.size:
# Multidimensional ndarrays require a bounce buffer.
buf = np.empty_like(x[0])
with self.lock:
for i in reversed(range(1, n)):
j = <cnp.npy_intp>floor( (i + 1) * u_data[i - 1])
if (j < i):
buf[...] = x[j]
x[j] = x[i]
x[i] = buf
else:
# Untyped path.
with self.lock:
for i in reversed(range(1, n)):
j = <cnp.npy_intp>floor( (i + 1) * u_data[i - 1])
x[i], x[j] = x[j], x[i]
cdef inline _shuffle_raw(self, cnp.npy_intp n, cnp.npy_intp itemsize,
cnp.npy_intp stride, char* data, char* buf, double* udata):
cdef cnp.npy_intp i, j
for i in reversed(range(1, n)):
j = <cnp.npy_intp>floor( (i + 1) * udata[i - 1])
memcpy(buf, data + j * stride, itemsize)
memcpy(data + j * stride, data + i * stride, itemsize)
memcpy(data + i * stride, buf, itemsize)
def permutation(self, object x):
"""
permutation(x)
Randomly permute a sequence, or return a permuted range.
If `x` is a multi-dimensional array, it is only shuffled along its
first index.
Parameters
----------
x : int or array_like
If `x` is an integer, randomly permute ``np.arange(x)``.
If `x` is an array, make a copy and shuffle the elements
randomly.
Returns
-------
out : ndarray
Permuted sequence or array range.
Examples
--------
>>> mkl_random.permutation(10)
array([1, 7, 4, 3, 0, 9, 2, 5, 8, 6])
>>> mkl_random.permutation([1, 4, 9, 12, 15])
array([15, 1, 9, 4, 12])
>>> arr = np.arange(9).reshape((3, 3))
>>> mkl_random.permutation(arr)
array([[6, 7, 8],
[0, 1, 2],
[3, 4, 5]])
"""
if isinstance(x, (int, long, np.integer)):
arr = np.arange(x)
else:
arr = np.array(x)
self.shuffle(arr)
return arr
def __RandomState_ctor():
"""Return a RandomState instance.
This function exists solely to assist (un)pickling.
Note that the state of the RandomState returned here is irrelevant, as this function's
entire purpose is to return a newly allocated RandomState whose state pickle can set.
Consequently the RandomState returned by this function is a freshly allocated copy
with a seed=0.
See https://github.com/numpy/numpy/issues/4763 for a detailed discussion
"""
return RandomState(seed=0)
_rand = RandomState()
seed = _rand.seed
get_state = _rand.get_state
set_state = _rand.set_state
random_sample = _rand.random_sample
choice = _rand.choice
randint = _rand.randint
bytes = _rand.bytes
uniform = _rand.uniform
rand = _rand.rand
randn = _rand.randn
random_integers = _rand.random_integers
standard_normal = _rand.standard_normal
normal = _rand.normal
beta = _rand.beta
exponential = _rand.exponential
standard_exponential = _rand.standard_exponential
standard_gamma = _rand.standard_gamma
gamma = _rand.gamma
f = _rand.f
noncentral_f = _rand.noncentral_f
chisquare = _rand.chisquare
noncentral_chisquare = _rand.noncentral_chisquare
standard_cauchy = _rand.standard_cauchy
standard_t = _rand.standard_t
vonmises = _rand.vonmises
pareto = _rand.pareto
weibull = _rand.weibull
power = _rand.power
laplace = _rand.laplace
gumbel = _rand.gumbel
logistic = _rand.logistic
lognormal = _rand.lognormal
rayleigh = _rand.rayleigh
wald = _rand.wald
triangular = _rand.triangular
binomial = _rand.binomial
negative_binomial = _rand.negative_binomial
poisson = _rand.poisson
zipf = _rand.zipf
geometric = _rand.geometric
hypergeometric = _rand.hypergeometric
logseries = _rand.logseries
multivariate_normal = _rand.multivariate_normal
multinormal_cholesky = _rand.multinormal_cholesky
multinomial = _rand.multinomial
dirichlet = _rand.dirichlet
shuffle = _rand.shuffle
permutation = _rand.permutation