diff options
Diffstat (limited to 'rand/rand_distr/src/dirichlet.rs')
-rw-r--r-- | rand/rand_distr/src/dirichlet.rs | 154 |
1 files changed, 154 insertions, 0 deletions
diff --git a/rand/rand_distr/src/dirichlet.rs b/rand/rand_distr/src/dirichlet.rs new file mode 100644 index 0000000..71cf73c --- /dev/null +++ b/rand/rand_distr/src/dirichlet.rs @@ -0,0 +1,154 @@ +// 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 dirichlet distribution. + +use rand::Rng; +use crate::{Distribution, Gamma, StandardNormal, Exp1, Open01}; +use crate::utils::Float; + +/// The dirichelet distribution `Dirichlet(alpha)`. +/// +/// The Dirichlet distribution is a family of continuous multivariate +/// probability distributions parameterized by a vector alpha of positive reals. +/// It is a multivariate generalization of the beta distribution. +/// +/// # Example +/// +/// ``` +/// use rand::prelude::*; +/// use rand_distr::Dirichlet; +/// +/// let dirichlet = Dirichlet::new(vec![1.0, 2.0, 3.0]).unwrap(); +/// let samples = dirichlet.sample(&mut rand::thread_rng()); +/// println!("{:?} is from a Dirichlet([1.0, 2.0, 3.0]) distribution", samples); +/// ``` +#[derive(Clone, Debug)] +pub struct Dirichlet<N> { + /// Concentration parameters (alpha) + alpha: Vec<N>, +} + +/// Error type returned from `Dirchlet::new`. +#[derive(Clone, Copy, Debug, PartialEq, Eq)] +pub enum Error { + /// `alpha.len() < 2`. + AlphaTooShort, + /// `alpha <= 0.0` or `nan`. + AlphaTooSmall, + /// `size < 2`. + SizeTooSmall, +} + +impl<N: Float> Dirichlet<N> +where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N> +{ + /// Construct a new `Dirichlet` with the given alpha parameter `alpha`. + /// + /// Requires `alpha.len() >= 2`. + #[inline] + pub fn new<V: Into<Vec<N>>>(alpha: V) -> Result<Dirichlet<N>, Error> { + let a = alpha.into(); + if a.len() < 2 { + return Err(Error::AlphaTooShort); + } + for &ai in &a { + if !(ai > N::from(0.0)) { + return Err(Error::AlphaTooSmall); + } + } + + Ok(Dirichlet { alpha: a }) + } + + /// Construct a new `Dirichlet` with the given shape parameter `alpha` and `size`. + /// + /// Requires `size >= 2`. + #[inline] + pub fn new_with_size(alpha: N, size: usize) -> Result<Dirichlet<N>, Error> { + if !(alpha > N::from(0.0)) { + return Err(Error::AlphaTooSmall); + } + if size < 2 { + return Err(Error::SizeTooSmall); + } + Ok(Dirichlet { + alpha: vec![alpha; size], + }) + } +} + +impl<N: Float> Distribution<Vec<N>> for Dirichlet<N> +where StandardNormal: Distribution<N>, Exp1: Distribution<N>, Open01: Distribution<N> +{ + fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> Vec<N> { + let n = self.alpha.len(); + let mut samples = vec![N::from(0.0); n]; + let mut sum = N::from(0.0); + + for (s, &a) in samples.iter_mut().zip(self.alpha.iter()) { + let g = Gamma::new(a, N::from(1.0)).unwrap(); + *s = g.sample(rng); + sum += *s; + } + let invacc = N::from(1.0) / sum; + for s in samples.iter_mut() { + *s *= invacc; + } + samples + } +} + +#[cfg(test)] +mod test { + use super::Dirichlet; + use crate::Distribution; + + #[test] + fn test_dirichlet() { + let d = Dirichlet::new(vec![1.0, 2.0, 3.0]).unwrap(); + let mut rng = crate::test::rng(221); + let samples = d.sample(&mut rng); + let _: Vec<f64> = samples + .into_iter() + .map(|x| { + assert!(x > 0.0); + x + }) + .collect(); + } + + #[test] + fn test_dirichlet_with_param() { + let alpha = 0.5f64; + let size = 2; + let d = Dirichlet::new_with_size(alpha, size).unwrap(); + let mut rng = crate::test::rng(221); + let samples = d.sample(&mut rng); + let _: Vec<f64> = samples + .into_iter() + .map(|x| { + assert!(x > 0.0); + x + }) + .collect(); + } + + #[test] + #[should_panic] + fn test_dirichlet_invalid_length() { + Dirichlet::new_with_size(0.5f64, 1).unwrap(); + } + + #[test] + #[should_panic] + fn test_dirichlet_invalid_alpha() { + Dirichlet::new_with_size(0.0f64, 2).unwrap(); + } +} |