// Copyright 2018 Developers of the Rand project. // Copyright 2013 The Rust Project Developers. // // Licensed under the Apache License, Version 2.0 or the MIT license // , at your // option. This file may not be copied, modified, or distributed // except according to those terms. //! The Gamma and derived distributions. #![allow(deprecated)] use self::GammaRepr::*; use self::ChiSquaredRepr::*; use crate::Rng; use crate::distributions::normal::StandardNormal; use crate::distributions::{Distribution, Exp, Open01}; /// 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`. /// /// [^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) #[deprecated(since="0.7.0", note="moved to rand_distr crate")] #[derive(Clone, Copy, Debug)] pub struct Gamma { repr: GammaRepr, } #[derive(Clone, Copy, Debug)] enum GammaRepr { Large(GammaLargeShape), One(Exp), Small(GammaSmallShape) } // 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 { inv_shape: f64, large_shape: GammaLargeShape } /// 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 { scale: f64, c: f64, d: f64 } impl Gamma { /// Construct an object representing the `Gamma(shape, scale)` /// distribution. /// /// Panics if `shape <= 0` or `scale <= 0`. #[inline] pub fn new(shape: f64, scale: f64) -> Gamma { assert!(shape > 0.0, "Gamma::new called with shape <= 0"); assert!(scale > 0.0, "Gamma::new called with scale <= 0"); let repr = if shape == 1.0 { One(Exp::new(1.0 / scale)) } else if shape < 1.0 { Small(GammaSmallShape::new_raw(shape, scale)) } else { Large(GammaLargeShape::new_raw(shape, scale)) }; Gamma { repr } } } impl GammaSmallShape { fn new_raw(shape: f64, scale: f64) -> GammaSmallShape { GammaSmallShape { inv_shape: 1. / shape, large_shape: GammaLargeShape::new_raw(shape + 1.0, scale) } } } impl GammaLargeShape { fn new_raw(shape: f64, scale: f64) -> GammaLargeShape { let d = shape - 1. / 3.; GammaLargeShape { scale, c: 1. / (9. * d).sqrt(), d } } } impl Distribution for Gamma { fn sample(&self, rng: &mut R) -> f64 { match self.repr { Small(ref g) => g.sample(rng), One(ref g) => g.sample(rng), Large(ref g) => g.sample(rng), } } } impl Distribution for GammaSmallShape { fn sample(&self, rng: &mut R) -> f64 { let u: f64 = rng.sample(Open01); self.large_shape.sample(rng) * u.powf(self.inv_shape) } } impl Distribution for GammaLargeShape { fn sample(&self, rng: &mut R) -> f64 { loop { let x = rng.sample(StandardNormal); let v_cbrt = 1.0 + self.c * x; if v_cbrt <= 0.0 { // a^3 <= 0 iff a <= 0 continue } let v = v_cbrt * v_cbrt * v_cbrt; let u: f64 = rng.sample(Open01); let x_sqr = x * x; if u < 1.0 - 0.0331 * x_sqr * x_sqr || u.ln() < 0.5 * x_sqr + self.d * (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)`. #[deprecated(since="0.7.0", note="moved to rand_distr crate")] #[derive(Clone, Copy, Debug)] pub struct ChiSquared { repr: ChiSquaredRepr, } #[derive(Clone, Copy, Debug)] enum ChiSquaredRepr { // 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), } impl ChiSquared { /// Create a new chi-squared distribution with degrees-of-freedom /// `k`. Panics if `k < 0`. pub fn new(k: f64) -> ChiSquared { let repr = if k == 1.0 { DoFExactlyOne } else { assert!(k > 0.0, "ChiSquared::new called with `k` < 0"); DoFAnythingElse(Gamma::new(0.5 * k, 2.0)) }; ChiSquared { repr } } } impl Distribution for ChiSquared { fn sample(&self, rng: &mut R) -> f64 { match self.repr { DoFExactlyOne => { // k == 1 => N(0,1)^2 let norm = 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)`. #[deprecated(since="0.7.0", note="moved to rand_distr crate")] #[derive(Clone, Copy, Debug)] pub struct FisherF { numer: ChiSquared, denom: ChiSquared, // denom_dof / numer_dof so that this can just be a straight // multiplication, rather than a division. dof_ratio: f64, } impl FisherF { /// Create a new `FisherF` distribution, with the given /// parameter. Panics if either `m` or `n` are not positive. pub fn new(m: f64, n: f64) -> FisherF { assert!(m > 0.0, "FisherF::new called with `m < 0`"); assert!(n > 0.0, "FisherF::new called with `n < 0`"); FisherF { numer: ChiSquared::new(m), denom: ChiSquared::new(n), dof_ratio: n / m } } } impl Distribution for FisherF { fn sample(&self, rng: &mut R) -> f64 { self.numer.sample(rng) / self.denom.sample(rng) * self.dof_ratio } } /// The Student t distribution, `t(nu)`, where `nu` is the degrees of /// freedom. #[deprecated(since="0.7.0", note="moved to rand_distr crate")] #[derive(Clone, Copy, Debug)] pub struct StudentT { chi: ChiSquared, dof: f64 } impl StudentT { /// Create a new Student t distribution with `n` degrees of /// freedom. Panics if `n <= 0`. pub fn new(n: f64) -> StudentT { assert!(n > 0.0, "StudentT::new called with `n <= 0`"); StudentT { chi: ChiSquared::new(n), dof: n } } } impl Distribution for StudentT { fn sample(&self, rng: &mut R) -> f64 { let norm = rng.sample(StandardNormal); norm * (self.dof / self.chi.sample(rng)).sqrt() } } /// The Beta distribution with shape parameters `alpha` and `beta`. #[deprecated(since="0.7.0", note="moved to rand_distr crate")] #[derive(Clone, Copy, Debug)] pub struct Beta { gamma_a: Gamma, gamma_b: Gamma, } impl Beta { /// Construct an object representing the `Beta(alpha, beta)` /// distribution. /// /// Panics if `shape <= 0` or `scale <= 0`. pub fn new(alpha: f64, beta: f64) -> Beta { assert!((alpha > 0.) & (beta > 0.)); Beta { gamma_a: Gamma::new(alpha, 1.), gamma_b: Gamma::new(beta, 1.), } } } impl Distribution for Beta { fn sample(&self, rng: &mut R) -> f64 { let x = self.gamma_a.sample(rng); let y = self.gamma_b.sample(rng); x / (x + y) } } #[cfg(test)] mod test { use crate::distributions::Distribution; use super::{Beta, ChiSquared, StudentT, FisherF}; const N: u32 = 100; #[test] fn test_chi_squared_one() { let chi = ChiSquared::new(1.0); let mut rng = crate::test::rng(201); for _ in 0..N { chi.sample(&mut rng); } } #[test] fn test_chi_squared_small() { let chi = ChiSquared::new(0.5); let mut rng = crate::test::rng(202); for _ in 0..N { chi.sample(&mut rng); } } #[test] fn test_chi_squared_large() { let chi = ChiSquared::new(30.0); let mut rng = crate::test::rng(203); for _ in 0..N { chi.sample(&mut rng); } } #[test] #[should_panic] fn test_chi_squared_invalid_dof() { ChiSquared::new(-1.0); } #[test] fn test_f() { let f = FisherF::new(2.0, 32.0); let mut rng = crate::test::rng(204); for _ in 0..N { f.sample(&mut rng); } } #[test] fn test_t() { let t = StudentT::new(11.0); let mut rng = crate::test::rng(205); for _ in 0..N { t.sample(&mut rng); } } #[test] fn test_beta() { let beta = Beta::new(1.0, 2.0); let mut rng = crate::test::rng(201); for _ in 0..N { beta.sample(&mut rng); } } #[test] #[should_panic] fn test_beta_invalid_dof() { Beta::new(0., 0.); } }