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Diffstat (limited to 'rand/src/distributions/poisson.rs')
-rw-r--r-- | rand/src/distributions/poisson.rs | 157 |
1 files changed, 157 insertions, 0 deletions
diff --git a/rand/src/distributions/poisson.rs b/rand/src/distributions/poisson.rs new file mode 100644 index 0000000..1244caa --- /dev/null +++ b/rand/src/distributions/poisson.rs @@ -0,0 +1,157 @@ +// 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 Rng; +use distributions::{Distribution, Cauchy}; +use distributions::utils::log_gamma; + +/// The Poisson distribution `Poisson(lambda)`. +/// +/// This distribution has a density function: +/// `f(k) = lambda^k * exp(-lambda) / k!` for `k >= 0`. +/// +/// # Example +/// +/// ``` +/// use rand::distributions::{Poisson, Distribution}; +/// +/// let poi = Poisson::new(2.0); +/// let v = poi.sample(&mut rand::thread_rng()); +/// println!("{} is from a Poisson(2) distribution", v); +/// ``` +#[derive(Clone, Copy, Debug)] +pub struct Poisson { + lambda: f64, + // precalculated values + exp_lambda: f64, + log_lambda: f64, + sqrt_2lambda: f64, + magic_val: f64, +} + +impl Poisson { + /// Construct a new `Poisson` with the given shape parameter + /// `lambda`. Panics if `lambda <= 0`. + pub fn new(lambda: f64) -> Poisson { + assert!(lambda > 0.0, "Poisson::new called with lambda <= 0"); + let log_lambda = lambda.ln(); + Poisson { + lambda, + exp_lambda: (-lambda).exp(), + log_lambda, + sqrt_2lambda: (2.0 * lambda).sqrt(), + magic_val: lambda * log_lambda - log_gamma(1.0 + lambda), + } + } +} + +impl Distribution<u64> for Poisson { + fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> u64 { + // using the algorithm from Numerical Recipes in C + + // for low expected values use the Knuth method + if self.lambda < 12.0 { + let mut result = 0; + let mut p = 1.0; + while p > self.exp_lambda { + p *= rng.gen::<f64>(); + result += 1; + } + result - 1 + } + // high expected values - rejection method + else { + let mut int_result: u64; + + // we use the Cauchy distribution as the comparison distribution + // f(x) ~ 1/(1+x^2) + let cauchy = Cauchy::new(0.0, 1.0); + + loop { + let mut result; + 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 >= 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(); + int_result = result as u64; + + // 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 = 0.9 * (1.0 + comp_dev * comp_dev) + * (result * self.log_lambda - log_gamma(1.0 + result) - self.magic_val).exp(); + + // check with uniform random value - if below the threshold, we are within the target distribution + if rng.gen::<f64>() <= check { + break; + } + } + int_result + } + } +} + +#[cfg(test)] +mod test { + use distributions::Distribution; + use super::Poisson; + + #[test] + fn test_poisson_10() { + let poisson = Poisson::new(10.0); + let mut rng = ::test::rng(123); + let mut sum = 0; + for _ in 0..1000 { + sum += poisson.sample(&mut rng); + } + let avg = (sum as f64) / 1000.0; + println!("Poisson average: {}", avg); + 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); + let mut rng = ::test::rng(123); + let mut sum = 0; + for _ in 0..1000 { + sum += poisson.sample(&mut rng); + } + let avg = (sum as f64) / 1000.0; + println!("Poisson average: {}", avg); + 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); + } + + #[test] + #[should_panic] + fn test_poisson_invalid_lambda_neg() { + Poisson::new(-10.0); + } +} |