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authorDaniel Mueller <deso@posteo.net>2020-01-02 08:32:06 -0800
committerDaniel Mueller <deso@posteo.net>2020-01-02 08:32:06 -0800
commitfd091b04316db9dc5fafadbd6bdbe60b127408a9 (patch)
treef202270f7ae5cedc513be03833a26148d9b5e219 /rand/rand_distr/src/gamma.rs
parent8161cdb26f98e65b39c603ddf7a614cc87c77a1c (diff)
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Update nitrokey crate to 0.4.0
This change finally updates the version of the nitrokey crate that we consume to 0.4.0. Along with that we update rand_core, one of its dependencies, to 0.5.1. Further more we add cfg-if in version 0.1.10 and getrandom in version 0.1.13, both of which are now new (non-development) dependencies. Import subrepo nitrokey/:nitrokey at e81057037e9b4f370b64c0a030a725bc6bdfb870 Import subrepo cfg-if/:cfg-if at 4484a6faf816ff8058088ad857b0c6bb2f4b02b2 Import subrepo getrandom/:getrandom at d661aa7e1b8cc80b47dabe3d2135b3b47d2858af Import subrepo rand/:rand at d877ed528248b52d947e0484364a4e1ae59ca502
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+// Copyright 2018 Developers of the Rand project.
+// Copyright 2013 The Rust Project Developers.
+//
+// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or
+// https://www.apache.org/licenses/LICENSE-2.0> or the MIT license
+// <LICENSE-MIT or https://opensource.org/licenses/MIT>, at your
+// option. This file may not be copied, modified, or distributed
+// except according to those terms.
+
+//! The Gamma and derived distributions.
+
+use self::GammaRepr::*;
+use self::ChiSquaredRepr::*;
+
+use rand::Rng;
+use crate::normal::StandardNormal;
+use crate::{Distribution, Exp1, Exp, Open01};
+use crate::utils::Float;
+
+/// The Gamma distribution `Gamma(shape, scale)` distribution.
+///
+/// The density function of this distribution is
+///
+/// ```text
+/// f(x) = x^(k - 1) * exp(-x / θ) / (Γ(k) * θ^k)
+/// ```
+///
+/// where `Γ` is the Gamma function, `k` is the shape and `θ` is the
+/// scale and both `k` and `θ` are strictly positive.
+///
+/// The algorithm used is that described by Marsaglia & Tsang 2000[^1],
+/// falling back to directly sampling from an Exponential for `shape
+/// == 1`, and using the boosting technique described in that paper for
+/// `shape < 1`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{Distribution, Gamma};
+///
+/// let gamma = Gamma::new(2.0, 5.0).unwrap();
+/// let v = gamma.sample(&mut rand::thread_rng());
+/// println!("{} is from a Gamma(2, 5) distribution", v);
+/// ```
+///
+/// [^1]: George Marsaglia and Wai Wan Tsang. 2000. "A Simple Method for
+/// Generating Gamma Variables" *ACM Trans. Math. Softw.* 26, 3
+/// (September 2000), 363-372.
+/// DOI:[10.1145/358407.358414](https://doi.acm.org/10.1145/358407.358414)
+#[derive(Clone, Copy, Debug)]
+pub struct Gamma<N> {
+ repr: GammaRepr<N>,
+}
+
+/// Error type returned from `Gamma::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum Error {
+ /// `shape <= 0` or `nan`.
+ ShapeTooSmall,
+ /// `scale <= 0` or `nan`.
+ ScaleTooSmall,
+ /// `1 / scale == 0`.
+ ScaleTooLarge,
+}
+
+#[derive(Clone, Copy, Debug)]
+enum GammaRepr<N> {
+ Large(GammaLargeShape<N>),
+ One(Exp<N>),
+ Small(GammaSmallShape<N>)
+}
+
+// These two helpers could be made public, but saving the
+// match-on-Gamma-enum branch from using them directly (e.g. if one
+// knows that the shape is always > 1) doesn't appear to be much
+// faster.
+
+/// Gamma distribution where the shape parameter is less than 1.
+///
+/// Note, samples from this require a compulsory floating-point `pow`
+/// call, which makes it significantly slower than sampling from a
+/// gamma distribution where the shape parameter is greater than or
+/// equal to 1.
+///
+/// See `Gamma` for sampling from a Gamma distribution with general
+/// shape parameters.
+#[derive(Clone, Copy, Debug)]
+struct GammaSmallShape<N> {
+ inv_shape: N,
+ large_shape: GammaLargeShape<N>
+}
+
+/// Gamma distribution where the shape parameter is larger than 1.
+///
+/// See `Gamma` for sampling from a Gamma distribution with general
+/// shape parameters.
+#[derive(Clone, Copy, Debug)]
+struct GammaLargeShape<N> {
+ scale: N,
+ c: N,
+ d: N
+}
+
+impl<N: Float> Gamma<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ /// Construct an object representing the `Gamma(shape, scale)`
+ /// distribution.
+ #[inline]
+ pub fn new(shape: N, scale: N) -> Result<Gamma<N>, Error> {
+ if !(shape > N::from(0.0)) {
+ return Err(Error::ShapeTooSmall);
+ }
+ if !(scale > N::from(0.0)) {
+ return Err(Error::ScaleTooSmall);
+ }
+
+ let repr = if shape == N::from(1.0) {
+ One(Exp::new(N::from(1.0) / scale).map_err(|_| Error::ScaleTooLarge)?)
+ } else if shape < N::from(1.0) {
+ Small(GammaSmallShape::new_raw(shape, scale))
+ } else {
+ Large(GammaLargeShape::new_raw(shape, scale))
+ };
+ Ok(Gamma { repr })
+ }
+}
+
+impl<N: Float> GammaSmallShape<N>
+where StandardNormal: Distribution<N>, Open01: Distribution<N>
+{
+ fn new_raw(shape: N, scale: N) -> GammaSmallShape<N> {
+ GammaSmallShape {
+ inv_shape: N::from(1.0) / shape,
+ large_shape: GammaLargeShape::new_raw(shape + N::from(1.0), scale)
+ }
+ }
+}
+
+impl<N: Float> GammaLargeShape<N>
+where StandardNormal: Distribution<N>, Open01: Distribution<N>
+{
+ fn new_raw(shape: N, scale: N) -> GammaLargeShape<N> {
+ let d = shape - N::from(1. / 3.);
+ GammaLargeShape {
+ scale,
+ c: N::from(1.0) / (N::from(9.) * d).sqrt(),
+ d
+ }
+ }
+}
+
+impl<N: Float> Distribution<N> for Gamma<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ match self.repr {
+ Small(ref g) => g.sample(rng),
+ One(ref g) => g.sample(rng),
+ Large(ref g) => g.sample(rng),
+ }
+ }
+}
+impl<N: Float> Distribution<N> for GammaSmallShape<N>
+where StandardNormal: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ let u: N = rng.sample(Open01);
+
+ self.large_shape.sample(rng) * u.powf(self.inv_shape)
+ }
+}
+impl<N: Float> Distribution<N> for GammaLargeShape<N>
+where StandardNormal: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ // Marsaglia & Tsang method, 2000
+ loop {
+ let x: N = rng.sample(StandardNormal);
+ let v_cbrt = N::from(1.0) + self.c * x;
+ if v_cbrt <= N::from(0.0) { // a^3 <= 0 iff a <= 0
+ continue
+ }
+
+ let v = v_cbrt * v_cbrt * v_cbrt;
+ let u: N = rng.sample(Open01);
+
+ let x_sqr = x * x;
+ if u < N::from(1.0) - N::from(0.0331) * x_sqr * x_sqr ||
+ u.ln() < N::from(0.5) * x_sqr + self.d * (N::from(1.0) - v + v.ln())
+ {
+ return self.d * v * self.scale
+ }
+ }
+ }
+}
+
+/// The chi-squared distribution `χ²(k)`, where `k` is the degrees of
+/// freedom.
+///
+/// For `k > 0` integral, this distribution is the sum of the squares
+/// of `k` independent standard normal random variables. For other
+/// `k`, this uses the equivalent characterisation
+/// `χ²(k) = Gamma(k/2, 2)`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{ChiSquared, Distribution};
+///
+/// let chi = ChiSquared::new(11.0).unwrap();
+/// let v = chi.sample(&mut rand::thread_rng());
+/// println!("{} is from a χ²(11) distribution", v)
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct ChiSquared<N> {
+ repr: ChiSquaredRepr<N>,
+}
+
+/// Error type returned from `ChiSquared::new` and `StudentT::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum ChiSquaredError {
+ /// `0.5 * k <= 0` or `nan`.
+ DoFTooSmall,
+}
+
+#[derive(Clone, Copy, Debug)]
+enum ChiSquaredRepr<N> {
+ // k == 1, Gamma(alpha, ..) is particularly slow for alpha < 1,
+ // e.g. when alpha = 1/2 as it would be for this case, so special-
+ // casing and using the definition of N(0,1)^2 is faster.
+ DoFExactlyOne,
+ DoFAnythingElse(Gamma<N>),
+}
+
+impl<N: Float> ChiSquared<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ /// Create a new chi-squared distribution with degrees-of-freedom
+ /// `k`.
+ pub fn new(k: N) -> Result<ChiSquared<N>, ChiSquaredError> {
+ let repr = if k == N::from(1.0) {
+ DoFExactlyOne
+ } else {
+ if !(N::from(0.5) * k > N::from(0.0)) {
+ return Err(ChiSquaredError::DoFTooSmall);
+ }
+ DoFAnythingElse(Gamma::new(N::from(0.5) * k, N::from(2.0)).unwrap())
+ };
+ Ok(ChiSquared { repr })
+ }
+}
+impl<N: Float> Distribution<N> for ChiSquared<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ match self.repr {
+ DoFExactlyOne => {
+ // k == 1 => N(0,1)^2
+ let norm: N = rng.sample(StandardNormal);
+ norm * norm
+ }
+ DoFAnythingElse(ref g) => g.sample(rng)
+ }
+ }
+}
+
+/// The Fisher F distribution `F(m, n)`.
+///
+/// This distribution is equivalent to the ratio of two normalised
+/// chi-squared distributions, that is, `F(m,n) = (χ²(m)/m) /
+/// (χ²(n)/n)`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{FisherF, Distribution};
+///
+/// let f = FisherF::new(2.0, 32.0).unwrap();
+/// let v = f.sample(&mut rand::thread_rng());
+/// println!("{} is from an F(2, 32) distribution", v)
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct FisherF<N> {
+ numer: ChiSquared<N>,
+ denom: ChiSquared<N>,
+ // denom_dof / numer_dof so that this can just be a straight
+ // multiplication, rather than a division.
+ dof_ratio: N,
+}
+
+/// Error type returned from `FisherF::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum FisherFError {
+ /// `m <= 0` or `nan`.
+ MTooSmall,
+ /// `n <= 0` or `nan`.
+ NTooSmall,
+}
+
+impl<N: Float> FisherF<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ /// Create a new `FisherF` distribution, with the given parameter.
+ pub fn new(m: N, n: N) -> Result<FisherF<N>, FisherFError> {
+ if !(m > N::from(0.0)) {
+ return Err(FisherFError::MTooSmall);
+ }
+ if !(n > N::from(0.0)) {
+ return Err(FisherFError::NTooSmall);
+ }
+
+ Ok(FisherF {
+ numer: ChiSquared::new(m).unwrap(),
+ denom: ChiSquared::new(n).unwrap(),
+ dof_ratio: n / m
+ })
+ }
+}
+impl<N: Float> Distribution<N> for FisherF<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ self.numer.sample(rng) / self.denom.sample(rng) * self.dof_ratio
+ }
+}
+
+/// The Student t distribution, `t(nu)`, where `nu` is the degrees of
+/// freedom.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{StudentT, Distribution};
+///
+/// let t = StudentT::new(11.0).unwrap();
+/// let v = t.sample(&mut rand::thread_rng());
+/// println!("{} is from a t(11) distribution", v)
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct StudentT<N> {
+ chi: ChiSquared<N>,
+ dof: N
+}
+
+impl<N: Float> StudentT<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ /// Create a new Student t distribution with `n` degrees of
+ /// freedom.
+ pub fn new(n: N) -> Result<StudentT<N>, ChiSquaredError> {
+ Ok(StudentT {
+ chi: ChiSquared::new(n)?,
+ dof: n
+ })
+ }
+}
+impl<N: Float> Distribution<N> for StudentT<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ let norm: N = rng.sample(StandardNormal);
+ norm * (self.dof / self.chi.sample(rng)).sqrt()
+ }
+}
+
+/// The Beta distribution with shape parameters `alpha` and `beta`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{Distribution, Beta};
+///
+/// let beta = Beta::new(2.0, 5.0).unwrap();
+/// let v = beta.sample(&mut rand::thread_rng());
+/// println!("{} is from a Beta(2, 5) distribution", v);
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct Beta<N> {
+ gamma_a: Gamma<N>,
+ gamma_b: Gamma<N>,
+}
+
+/// Error type returned from `Beta::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum BetaError {
+ /// `alpha <= 0` or `nan`.
+ AlphaTooSmall,
+ /// `beta <= 0` or `nan`.
+ BetaTooSmall,
+}
+
+impl<N: Float> Beta<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ /// Construct an object representing the `Beta(alpha, beta)`
+ /// distribution.
+ pub fn new(alpha: N, beta: N) -> Result<Beta<N>, BetaError> {
+ Ok(Beta {
+ gamma_a: Gamma::new(alpha, N::from(1.))
+ .map_err(|_| BetaError::AlphaTooSmall)?,
+ gamma_b: Gamma::new(beta, N::from(1.))
+ .map_err(|_| BetaError::BetaTooSmall)?,
+ })
+ }
+}
+
+impl<N: Float> Distribution<N> for Beta<N>
+where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N>
+{
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ let x = self.gamma_a.sample(rng);
+ let y = self.gamma_b.sample(rng);
+ x / (x + y)
+ }
+}
+
+#[cfg(test)]
+mod test {
+ use crate::Distribution;
+ use super::{Beta, ChiSquared, StudentT, FisherF};
+
+ #[test]
+ fn test_chi_squared_one() {
+ let chi = ChiSquared::new(1.0).unwrap();
+ let mut rng = crate::test::rng(201);
+ for _ in 0..1000 {
+ chi.sample(&mut rng);
+ }
+ }
+ #[test]
+ fn test_chi_squared_small() {
+ let chi = ChiSquared::new(0.5).unwrap();
+ let mut rng = crate::test::rng(202);
+ for _ in 0..1000 {
+ chi.sample(&mut rng);
+ }
+ }
+ #[test]
+ fn test_chi_squared_large() {
+ let chi = ChiSquared::new(30.0).unwrap();
+ let mut rng = crate::test::rng(203);
+ for _ in 0..1000 {
+ chi.sample(&mut rng);
+ }
+ }
+ #[test]
+ #[should_panic]
+ fn test_chi_squared_invalid_dof() {
+ ChiSquared::new(-1.0).unwrap();
+ }
+
+ #[test]
+ fn test_f() {
+ let f = FisherF::new(2.0, 32.0).unwrap();
+ let mut rng = crate::test::rng(204);
+ for _ in 0..1000 {
+ f.sample(&mut rng);
+ }
+ }
+
+ #[test]
+ fn test_t() {
+ let t = StudentT::new(11.0).unwrap();
+ let mut rng = crate::test::rng(205);
+ for _ in 0..1000 {
+ t.sample(&mut rng);
+ }
+ }
+
+ #[test]
+ fn test_beta() {
+ let beta = Beta::new(1.0, 2.0).unwrap();
+ let mut rng = crate::test::rng(201);
+ for _ in 0..1000 {
+ beta.sample(&mut rng);
+ }
+ }
+
+ #[test]
+ #[should_panic]
+ fn test_beta_invalid_dof() {
+ Beta::new(0., 0.).unwrap();
+ }
+}