summaryrefslogtreecommitdiff
path: root/rand/rand_distr/src/poisson.rs
diff options
context:
space:
mode:
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/poisson.rs
parent8161cdb26f98e65b39c603ddf7a614cc87c77a1c (diff)
downloadnitrocli-fd091b04316db9dc5fafadbd6bdbe60b127408a9.tar.gz
nitrocli-fd091b04316db9dc5fafadbd6bdbe60b127408a9.tar.bz2
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
Diffstat (limited to 'rand/rand_distr/src/poisson.rs')
-rw-r--r--rand/rand_distr/src/poisson.rs233
1 files changed, 233 insertions, 0 deletions
diff --git a/rand/rand_distr/src/poisson.rs b/rand/rand_distr/src/poisson.rs
new file mode 100644
index 0000000..4f4a0b7
--- /dev/null
+++ b/rand/rand_distr/src/poisson.rs
@@ -0,0 +1,233 @@
+// Copyright 2018 Developers of the Rand project.
+// Copyright 2016-2017 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 Poisson distribution.
+
+use rand::Rng;
+use crate::{Distribution, Cauchy, Standard};
+use crate::utils::Float;
+
+/// The Poisson distribution `Poisson(lambda)`.
+///
+/// This distribution has a density function:
+/// `f(k) = lambda^k * exp(-lambda) / k!` for `k >= 0`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{Poisson, Distribution};
+///
+/// let poi = Poisson::new(2.0).unwrap();
+/// let v: u64 = poi.sample(&mut rand::thread_rng());
+/// println!("{} is from a Poisson(2) distribution", v);
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct Poisson<N> {
+ lambda: N,
+ // precalculated values
+ exp_lambda: N,
+ log_lambda: N,
+ sqrt_2lambda: N,
+ magic_val: N,
+}
+
+/// Error type returned from `Poisson::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum Error {
+ /// `lambda <= 0` or `nan`.
+ ShapeTooSmall,
+}
+
+impl<N: Float> Poisson<N>
+where Standard: Distribution<N>
+{
+ /// Construct a new `Poisson` with the given shape parameter
+ /// `lambda`.
+ pub fn new(lambda: N) -> Result<Poisson<N>, Error> {
+ if !(lambda > N::from(0.0)) {
+ return Err(Error::ShapeTooSmall);
+ }
+ let log_lambda = lambda.ln();
+ Ok(Poisson {
+ lambda,
+ exp_lambda: (-lambda).exp(),
+ log_lambda,
+ sqrt_2lambda: (N::from(2.0) * lambda).sqrt(),
+ magic_val: lambda * log_lambda - (N::from(1.0) + lambda).log_gamma(),
+ })
+ }
+}
+
+impl<N: Float> Distribution<N> for Poisson<N>
+where Standard: Distribution<N>
+{
+ #[inline]
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> N {
+ // using the algorithm from Numerical Recipes in C
+
+ // for low expected values use the Knuth method
+ if self.lambda < N::from(12.0) {
+ let mut result = N::from(0.);
+ let mut p = N::from(1.0);
+ while p > self.exp_lambda {
+ p *= rng.gen::<N>();
+ result += N::from(1.);
+ }
+ result - N::from(1.)
+ }
+ // high expected values - rejection method
+ else {
+ // we use the Cauchy distribution as the comparison distribution
+ // f(x) ~ 1/(1+x^2)
+ let cauchy = Cauchy::new(N::from(0.0), N::from(1.0)).unwrap();
+ let mut result;
+
+ loop {
+ let mut comp_dev;
+
+ loop {
+ // draw from the Cauchy distribution
+ comp_dev = rng.sample(cauchy);
+ // shift the peak of the comparison ditribution
+ result = self.sqrt_2lambda * comp_dev + self.lambda;
+ // repeat the drawing until we are in the range of possible values
+ if result >= N::from(0.0) {
+ break;
+ }
+ }
+ // now the result is a random variable greater than 0 with Cauchy distribution
+ // the result should be an integer value
+ result = result.floor();
+
+ // this is the ratio of the Poisson distribution to the comparison distribution
+ // the magic value scales the distribution function to a range of approximately 0-1
+ // since it is not exact, we multiply the ratio by 0.9 to avoid ratios greater than 1
+ // this doesn't change the resulting distribution, only increases the rate of failed drawings
+ let check = N::from(0.9) * (N::from(1.0) + comp_dev * comp_dev)
+ * (result * self.log_lambda - (N::from(1.0) + result).log_gamma() - self.magic_val).exp();
+
+ // check with uniform random value - if below the threshold, we are within the target distribution
+ if rng.gen::<N>() <= check {
+ break;
+ }
+ }
+ result
+ }
+ }
+}
+
+impl<N: Float> Distribution<u64> for Poisson<N>
+where Standard: Distribution<N>
+{
+ #[inline]
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> u64 {
+ let result: N = self.sample(rng);
+ result.to_u64().unwrap()
+ }
+}
+
+#[cfg(test)]
+mod test {
+ use crate::Distribution;
+ use super::Poisson;
+
+ #[test]
+ fn test_poisson_10() {
+ let poisson = Poisson::new(10.0).unwrap();
+ let mut rng = crate::test::rng(123);
+ let mut sum_u64 = 0;
+ let mut sum_f64 = 0.;
+ for _ in 0..1000 {
+ let s_u64: u64 = poisson.sample(&mut rng);
+ let s_f64: f64 = poisson.sample(&mut rng);
+ sum_u64 += s_u64;
+ sum_f64 += s_f64;
+ }
+ let avg_u64 = (sum_u64 as f64) / 1000.0;
+ let avg_f64 = sum_f64 / 1000.0;
+ println!("Poisson averages: {} (u64) {} (f64)", avg_u64, avg_f64);
+ for &avg in &[avg_u64, avg_f64] {
+ assert!((avg - 10.0).abs() < 0.5); // not 100% certain, but probable enough
+ }
+ }
+
+ #[test]
+ fn test_poisson_15() {
+ // Take the 'high expected values' path
+ let poisson = Poisson::new(15.0).unwrap();
+ let mut rng = crate::test::rng(123);
+ let mut sum_u64 = 0;
+ let mut sum_f64 = 0.;
+ for _ in 0..1000 {
+ let s_u64: u64 = poisson.sample(&mut rng);
+ let s_f64: f64 = poisson.sample(&mut rng);
+ sum_u64 += s_u64;
+ sum_f64 += s_f64;
+ }
+ let avg_u64 = (sum_u64 as f64) / 1000.0;
+ let avg_f64 = sum_f64 / 1000.0;
+ println!("Poisson average: {} (u64) {} (f64)", avg_u64, avg_f64);
+ for &avg in &[avg_u64, avg_f64] {
+ assert!((avg - 15.0).abs() < 0.5); // not 100% certain, but probable enough
+ }
+ }
+
+ #[test]
+ fn test_poisson_10_f32() {
+ let poisson = Poisson::new(10.0f32).unwrap();
+ let mut rng = crate::test::rng(123);
+ let mut sum_u64 = 0;
+ let mut sum_f32 = 0.;
+ for _ in 0..1000 {
+ let s_u64: u64 = poisson.sample(&mut rng);
+ let s_f32: f32 = poisson.sample(&mut rng);
+ sum_u64 += s_u64;
+ sum_f32 += s_f32;
+ }
+ let avg_u64 = (sum_u64 as f32) / 1000.0;
+ let avg_f32 = sum_f32 / 1000.0;
+ println!("Poisson averages: {} (u64) {} (f32)", avg_u64, avg_f32);
+ for &avg in &[avg_u64, avg_f32] {
+ assert!((avg - 10.0).abs() < 0.5); // not 100% certain, but probable enough
+ }
+ }
+
+ #[test]
+ fn test_poisson_15_f32() {
+ // Take the 'high expected values' path
+ let poisson = Poisson::new(15.0f32).unwrap();
+ let mut rng = crate::test::rng(123);
+ let mut sum_u64 = 0;
+ let mut sum_f32 = 0.;
+ for _ in 0..1000 {
+ let s_u64: u64 = poisson.sample(&mut rng);
+ let s_f32: f32 = poisson.sample(&mut rng);
+ sum_u64 += s_u64;
+ sum_f32 += s_f32;
+ }
+ let avg_u64 = (sum_u64 as f32) / 1000.0;
+ let avg_f32 = sum_f32 / 1000.0;
+ println!("Poisson average: {} (u64) {} (f32)", avg_u64, avg_f32);
+ for &avg in &[avg_u64, avg_f32] {
+ assert!((avg - 15.0).abs() < 0.5); // not 100% certain, but probable enough
+ }
+ }
+
+ #[test]
+ #[should_panic]
+ fn test_poisson_invalid_lambda_zero() {
+ Poisson::new(0.0).unwrap();
+ }
+
+ #[test]
+ #[should_panic]
+ fn test_poisson_invalid_lambda_neg() {
+ Poisson::new(-10.0).unwrap();
+ }
+}