use self::ChiSquaredRepr::*;
use self::GammaRepr::*;
use crate::normal::StandardNormal;
use num_traits::Float;
use crate::{Distribution, Exp, Exp1, Open01};
use rand::Rng;
use core::fmt;
#[derive(Clone, Copy, Debug)]
pub struct Gamma<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
repr: GammaRepr<F>,
}
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum Error {
ShapeTooSmall,
ScaleTooSmall,
ScaleTooLarge,
}
impl fmt::Display for Error {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
f.write_str(match self {
Error::ShapeTooSmall => "shape is not positive in gamma distribution",
Error::ScaleTooSmall => "scale is not positive in gamma distribution",
Error::ScaleTooLarge => "scale is infinity in gamma distribution",
})
}
}
#[cfg(feature = "std")]
impl std::error::Error for Error {}
#[derive(Clone, Copy, Debug)]
enum GammaRepr<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
Large(GammaLargeShape<F>),
One(Exp<F>),
Small(GammaSmallShape<F>),
}
#[derive(Clone, Copy, Debug)]
struct GammaSmallShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
inv_shape: F,
large_shape: GammaLargeShape<F>,
}
#[derive(Clone, Copy, Debug)]
struct GammaLargeShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
scale: F,
c: F,
d: F,
}
impl<F> Gamma<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
#[inline]
pub fn new(shape: F, scale: F) -> Result<Gamma<F>, Error> {
if !(shape > F::zero()) {
return Err(Error::ShapeTooSmall);
}
if !(scale > F::zero()) {
return Err(Error::ScaleTooSmall);
}
let repr = if shape == F::one() {
One(Exp::new(F::one() / scale).map_err(|_| Error::ScaleTooLarge)?)
} else if shape < F::one() {
Small(GammaSmallShape::new_raw(shape, scale))
} else {
Large(GammaLargeShape::new_raw(shape, scale))
};
Ok(Gamma { repr })
}
}
impl<F> GammaSmallShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
fn new_raw(shape: F, scale: F) -> GammaSmallShape<F> {
GammaSmallShape {
inv_shape: F::one() / shape,
large_shape: GammaLargeShape::new_raw(shape + F::one(), scale),
}
}
}
impl<F> GammaLargeShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
fn new_raw(shape: F, scale: F) -> GammaLargeShape<F> {
let d = shape - F::from(1. / 3.).unwrap();
GammaLargeShape {
scale,
c: F::one() / (F::from(9.).unwrap() * d).sqrt(),
d,
}
}
}
impl<F> Distribution<F> for Gamma<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
match self.repr {
Small(ref g) => g.sample(rng),
One(ref g) => g.sample(rng),
Large(ref g) => g.sample(rng),
}
}
}
impl<F> Distribution<F> for GammaSmallShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
let u: F = rng.sample(Open01);
self.large_shape.sample(rng) * u.powf(self.inv_shape)
}
}
impl<F> Distribution<F> for GammaLargeShape<F>
where
F: Float,
StandardNormal: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
loop {
let x: F = rng.sample(StandardNormal);
let v_cbrt = F::one() + self.c * x;
if v_cbrt <= F::zero() {
continue;
}
let v = v_cbrt * v_cbrt * v_cbrt;
let u: F = rng.sample(Open01);
let x_sqr = x * x;
if u < F::one() - F::from(0.0331).unwrap() * x_sqr * x_sqr
|| u.ln() < F::from(0.5).unwrap() * x_sqr + self.d * (F::one() - v + v.ln())
{
return self.d * v * self.scale;
}
}
}
}
#[derive(Clone, Copy, Debug)]
pub struct ChiSquared<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
repr: ChiSquaredRepr<F>,
}
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum ChiSquaredError {
DoFTooSmall,
}
impl fmt::Display for ChiSquaredError {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
f.write_str(match self {
ChiSquaredError::DoFTooSmall => {
"degrees-of-freedom k is not positive in chi-squared distribution"
}
})
}
}
#[cfg(feature = "std")]
impl std::error::Error for ChiSquaredError {}
#[derive(Clone, Copy, Debug)]
enum ChiSquaredRepr<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
DoFExactlyOne,
DoFAnythingElse(Gamma<F>),
}
impl<F> ChiSquared<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
pub fn new(k: F) -> Result<ChiSquared<F>, ChiSquaredError> {
let repr = if k == F::one() {
DoFExactlyOne
} else {
if !(F::from(0.5).unwrap() * k > F::zero()) {
return Err(ChiSquaredError::DoFTooSmall);
}
DoFAnythingElse(Gamma::new(F::from(0.5).unwrap() * k, F::from(2.0).unwrap()).unwrap())
};
Ok(ChiSquared { repr })
}
}
impl<F> Distribution<F> for ChiSquared<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
match self.repr {
DoFExactlyOne => {
let norm: F = rng.sample(StandardNormal);
norm * norm
}
DoFAnythingElse(ref g) => g.sample(rng),
}
}
}
#[derive(Clone, Copy, Debug)]
pub struct FisherF<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
numer: ChiSquared<F>,
denom: ChiSquared<F>,
dof_ratio: F,
}
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum FisherFError {
MTooSmall,
NTooSmall,
}
impl fmt::Display for FisherFError {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
f.write_str(match self {
FisherFError::MTooSmall => "m is not positive in Fisher F distribution",
FisherFError::NTooSmall => "n is not positive in Fisher F distribution",
})
}
}
#[cfg(feature = "std")]
impl std::error::Error for FisherFError {}
impl<F> FisherF<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
pub fn new(m: F, n: F) -> Result<FisherF<F>, FisherFError> {
let zero = F::zero();
if !(m > zero) {
return Err(FisherFError::MTooSmall);
}
if !(n > zero) {
return Err(FisherFError::NTooSmall);
}
Ok(FisherF {
numer: ChiSquared::new(m).unwrap(),
denom: ChiSquared::new(n).unwrap(),
dof_ratio: n / m,
})
}
}
impl<F> Distribution<F> for FisherF<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
self.numer.sample(rng) / self.denom.sample(rng) * self.dof_ratio
}
}
#[derive(Clone, Copy, Debug)]
pub struct StudentT<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
chi: ChiSquared<F>,
dof: F,
}
impl<F> StudentT<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
pub fn new(n: F) -> Result<StudentT<F>, ChiSquaredError> {
Ok(StudentT {
chi: ChiSquared::new(n)?,
dof: n,
})
}
}
impl<F> Distribution<F> for StudentT<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
let norm: F = rng.sample(StandardNormal);
norm * (self.dof / self.chi.sample(rng)).sqrt()
}
}
#[derive(Clone, Copy, Debug)]
pub struct Beta<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
gamma_a: Gamma<F>,
gamma_b: Gamma<F>,
}
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum BetaError {
AlphaTooSmall,
BetaTooSmall,
}
impl fmt::Display for BetaError {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
f.write_str(match self {
BetaError::AlphaTooSmall => "alpha is not positive in beta distribution",
BetaError::BetaTooSmall => "beta is not positive in beta distribution",
})
}
}
#[cfg(feature = "std")]
impl std::error::Error for BetaError {}
impl<F> Beta<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
pub fn new(alpha: F, beta: F) -> Result<Beta<F>, BetaError> {
Ok(Beta {
gamma_a: Gamma::new(alpha, F::one()).map_err(|_| BetaError::AlphaTooSmall)?,
gamma_b: Gamma::new(beta, F::one()).map_err(|_| BetaError::BetaTooSmall)?,
})
}
}
impl<F> Distribution<F> for Beta<F>
where
F: Float,
StandardNormal: Distribution<F>,
Exp1: Distribution<F>,
Open01: Distribution<F>,
{
fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> F {
let x = self.gamma_a.sample(rng);
let y = self.gamma_b.sample(rng);
x / (x + y)
}
}
#[cfg(test)]
mod test {
use super::*;
#[test]
fn test_chi_squared_one() {
let chi = ChiSquared::new(1.0).unwrap();
let mut rng = crate::test::rng(201);
for _ in 0..1000 {
chi.sample(&mut rng);
}
}
#[test]
fn test_chi_squared_small() {
let chi = ChiSquared::new(0.5).unwrap();
let mut rng = crate::test::rng(202);
for _ in 0..1000 {
chi.sample(&mut rng);
}
}
#[test]
fn test_chi_squared_large() {
let chi = ChiSquared::new(30.0).unwrap();
let mut rng = crate::test::rng(203);
for _ in 0..1000 {
chi.sample(&mut rng);
}
}
#[test]
#[should_panic]
fn test_chi_squared_invalid_dof() {
ChiSquared::new(-1.0).unwrap();
}
#[test]
fn test_f() {
let f = FisherF::new(2.0, 32.0).unwrap();
let mut rng = crate::test::rng(204);
for _ in 0..1000 {
f.sample(&mut rng);
}
}
#[test]
fn test_t() {
let t = StudentT::new(11.0).unwrap();
let mut rng = crate::test::rng(205);
for _ in 0..1000 {
t.sample(&mut rng);
}
}
#[test]
fn test_beta() {
let beta = Beta::new(1.0, 2.0).unwrap();
let mut rng = crate::test::rng(201);
for _ in 0..1000 {
beta.sample(&mut rng);
}
}
#[test]
#[should_panic]
fn test_beta_invalid_dof() {
Beta::new(0., 0.).unwrap();
}
}