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author | Daniel Mueller <deso@posteo.net> | 2020-01-02 08:32:06 -0800 |
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committer | Daniel Mueller <deso@posteo.net> | 2020-01-02 08:32:06 -0800 |
commit | fd091b04316db9dc5fafadbd6bdbe60b127408a9 (patch) | |
tree | f202270f7ae5cedc513be03833a26148d9b5e219 /rand/rand_distr/src/poisson.rs | |
parent | 8161cdb26f98e65b39c603ddf7a614cc87c77a1c (diff) | |
download | nitrocli-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.rs | 233 |
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(); + } +} |