376 lines
13 KiB
Python
376 lines
13 KiB
Python
import sys
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import numpy as np
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from numpy import inf
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from scipy import special
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from scipy.stats._distribution_infrastructure import (
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ContinuousDistribution, _RealDomain, _RealParameter, _Parameterization,
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_combine_docs)
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__all__ = ['Normal', 'Uniform']
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class Normal(ContinuousDistribution):
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r"""Normal distribution with prescribed mean and standard deviation.
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The probability density function of the normal distribution is:
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.. math::
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f(x) = \frac{1}{\sigma \sqrt{2 \pi}} \exp {
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\left( -\frac{1}{2}\left( \frac{x - \mu}{\sigma} \right)^2 \right)}
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"""
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# `ShiftedScaledDistribution` allows this to be generated automatically from
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# an instance of `StandardNormal`, but the normal distribution is so frequently
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# used that it's worth a bit of code duplication to get better performance.
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_mu_domain = _RealDomain(endpoints=(-inf, inf))
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_sigma_domain = _RealDomain(endpoints=(0, inf))
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_x_support = _RealDomain(endpoints=(-inf, inf))
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_mu_param = _RealParameter('mu', symbol=r'\mu', domain=_mu_domain,
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typical=(-1, 1))
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_sigma_param = _RealParameter('sigma', symbol=r'\sigma', domain=_sigma_domain,
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typical=(0.5, 1.5))
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_x_param = _RealParameter('x', domain=_x_support, typical=(-1, 1))
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_parameterizations = [_Parameterization(_mu_param, _sigma_param)]
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_variable = _x_param
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_normalization = 1/np.sqrt(2*np.pi)
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_log_normalization = np.log(2*np.pi)/2
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def __new__(cls, mu=None, sigma=None, **kwargs):
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if mu is None and sigma is None:
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return super().__new__(StandardNormal)
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return super().__new__(cls)
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def __init__(self, *, mu=0., sigma=1., **kwargs):
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super().__init__(mu=mu, sigma=sigma, **kwargs)
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def _logpdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._logpdf_formula(self, (x - mu)/sigma) - np.log(sigma)
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def _pdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._pdf_formula(self, (x - mu)/sigma) / sigma
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def _logcdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._logcdf_formula(self, (x - mu)/sigma)
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def _cdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._cdf_formula(self, (x - mu)/sigma)
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def _logccdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._logccdf_formula(self, (x - mu)/sigma)
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def _ccdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._ccdf_formula(self, (x - mu)/sigma)
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def _icdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._icdf_formula(self, x) * sigma + mu
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def _ilogcdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._ilogcdf_formula(self, x) * sigma + mu
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def _iccdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._iccdf_formula(self, x) * sigma + mu
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def _ilogccdf_formula(self, x, *, mu, sigma, **kwargs):
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return StandardNormal._ilogccdf_formula(self, x) * sigma + mu
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def _entropy_formula(self, *, mu, sigma, **kwargs):
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return StandardNormal._entropy_formula(self) + np.log(abs(sigma))
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def _logentropy_formula(self, *, mu, sigma, **kwargs):
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lH0 = StandardNormal._logentropy_formula(self)
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with np.errstate(divide='ignore'):
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# sigma = 1 -> log(sigma) = 0 -> log(log(sigma)) = -inf
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# Silence the unnecessary runtime warning
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lls = np.log(np.log(abs(sigma))+0j)
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return special.logsumexp(np.broadcast_arrays(lH0, lls), axis=0)
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def _median_formula(self, *, mu, sigma, **kwargs):
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return mu
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def _mode_formula(self, *, mu, sigma, **kwargs):
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return mu
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def _moment_raw_formula(self, order, *, mu, sigma, **kwargs):
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if order == 0:
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return np.ones_like(mu)
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elif order == 1:
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return mu
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else:
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return None
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_moment_raw_formula.orders = [0, 1] # type: ignore[attr-defined]
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def _moment_central_formula(self, order, *, mu, sigma, **kwargs):
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if order == 0:
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return np.ones_like(mu)
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elif order % 2:
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return np.zeros_like(mu)
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else:
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# exact is faster (and obviously more accurate) for reasonable orders
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return sigma**order * special.factorial2(int(order) - 1, exact=True)
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def _sample_formula(self, sample_shape, full_shape, rng, *, mu, sigma, **kwargs):
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return rng.normal(loc=mu, scale=sigma, size=full_shape)[()]
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def _log_diff(log_p, log_q):
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return special.logsumexp([log_p, log_q+np.pi*1j], axis=0)
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class StandardNormal(Normal):
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r"""Standard normal distribution.
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The probability density function of the standard normal distribution is:
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.. math::
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f(x) = \frac{1}{\sqrt{2 \pi}} \exp \left( -\frac{1}{2} x^2 \right)
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"""
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_x_support = _RealDomain(endpoints=(-inf, inf))
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_x_param = _RealParameter('x', domain=_x_support, typical=(-5, 5))
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_variable = _x_param
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_parameterizations = []
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_normalization = 1/np.sqrt(2*np.pi)
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_log_normalization = np.log(2*np.pi)/2
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mu = np.float64(0.)
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sigma = np.float64(1.)
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def __init__(self, **kwargs):
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ContinuousDistribution.__init__(self, **kwargs)
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def _logpdf_formula(self, x, **kwargs):
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return -(self._log_normalization + x**2/2)
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def _pdf_formula(self, x, **kwargs):
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return self._normalization * np.exp(-x**2/2)
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def _logcdf_formula(self, x, **kwargs):
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return special.log_ndtr(x)
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def _cdf_formula(self, x, **kwargs):
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return special.ndtr(x)
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def _logccdf_formula(self, x, **kwargs):
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return special.log_ndtr(-x)
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def _ccdf_formula(self, x, **kwargs):
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return special.ndtr(-x)
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def _icdf_formula(self, x, **kwargs):
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return special.ndtri(x)
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def _ilogcdf_formula(self, x, **kwargs):
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return special.ndtri_exp(x)
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def _iccdf_formula(self, x, **kwargs):
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return -special.ndtri(x)
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def _ilogccdf_formula(self, x, **kwargs):
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return -special.ndtri_exp(x)
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def _entropy_formula(self, **kwargs):
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return (1 + np.log(2*np.pi))/2
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def _logentropy_formula(self, **kwargs):
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return np.log1p(np.log(2*np.pi)) - np.log(2)
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def _median_formula(self, **kwargs):
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return 0
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def _mode_formula(self, **kwargs):
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return 0
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def _moment_raw_formula(self, order, **kwargs):
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raw_moments = {0: 1, 1: 0, 2: 1, 3: 0, 4: 3, 5: 0}
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return raw_moments.get(order, None)
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def _moment_central_formula(self, order, **kwargs):
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return self._moment_raw_formula(order, **kwargs)
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def _moment_standardized_formula(self, order, **kwargs):
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return self._moment_raw_formula(order, **kwargs)
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def _sample_formula(self, sample_shape, full_shape, rng, **kwargs):
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return rng.normal(size=full_shape)[()]
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# currently for testing only
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class _LogUniform(ContinuousDistribution):
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r"""Log-uniform distribution.
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The probability density function of the log-uniform distribution is:
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.. math::
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f(x; a, b) = \frac{1}
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{x (\log(b) - \log(a))}
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If :math:`\log(X)` is a random variable that follows a uniform distribution
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between :math:`\log(a)` and :math:`\log(b)`, then :math:`X` is log-uniformly
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distributed with shape parameters :math:`a` and :math:`b`.
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"""
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_a_domain = _RealDomain(endpoints=(0, inf))
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_b_domain = _RealDomain(endpoints=('a', inf))
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_log_a_domain = _RealDomain(endpoints=(-inf, inf))
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_log_b_domain = _RealDomain(endpoints=('log_a', inf))
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_x_support = _RealDomain(endpoints=('a', 'b'), inclusive=(True, True))
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_a_param = _RealParameter('a', domain=_a_domain, typical=(1e-3, 0.9))
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_b_param = _RealParameter('b', domain=_b_domain, typical=(1.1, 1e3))
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_log_a_param = _RealParameter('log_a', symbol=r'\log(a)',
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domain=_log_a_domain, typical=(-3, -0.1))
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_log_b_param = _RealParameter('log_b', symbol=r'\log(b)',
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domain=_log_b_domain, typical=(0.1, 3))
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_x_param = _RealParameter('x', domain=_x_support, typical=('a', 'b'))
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_b_domain.define_parameters(_a_param)
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_log_b_domain.define_parameters(_log_a_param)
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_x_support.define_parameters(_a_param, _b_param)
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_parameterizations = [_Parameterization(_log_a_param, _log_b_param),
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_Parameterization(_a_param, _b_param)]
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_variable = _x_param
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def __init__(self, *, a=None, b=None, log_a=None, log_b=None, **kwargs):
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super().__init__(a=a, b=b, log_a=log_a, log_b=log_b, **kwargs)
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def _process_parameters(self, a=None, b=None, log_a=None, log_b=None, **kwargs):
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a = np.exp(log_a) if a is None else a
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b = np.exp(log_b) if b is None else b
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log_a = np.log(a) if log_a is None else log_a
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log_b = np.log(b) if log_b is None else log_b
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kwargs.update(dict(a=a, b=b, log_a=log_a, log_b=log_b))
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return kwargs
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# def _logpdf_formula(self, x, *, log_a, log_b, **kwargs):
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# return -np.log(x) - np.log(log_b - log_a)
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def _pdf_formula(self, x, *, log_a, log_b, **kwargs):
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return ((log_b - log_a)*x)**-1
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# def _cdf_formula(self, x, *, log_a, log_b, **kwargs):
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# return (np.log(x) - log_a)/(log_b - log_a)
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def _moment_raw_formula(self, order, log_a, log_b, **kwargs):
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if order == 0:
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return self._one
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t1 = self._one / (log_b - log_a) / order
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t2 = np.real(np.exp(_log_diff(order * log_b, order * log_a)))
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return t1 * t2
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class Uniform(ContinuousDistribution):
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r"""Uniform distribution.
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The probability density function of the uniform distribution is:
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.. math::
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f(x; a, b) = \frac{1}
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{b - a}
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"""
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_a_domain = _RealDomain(endpoints=(-inf, inf))
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_b_domain = _RealDomain(endpoints=('a', inf))
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_x_support = _RealDomain(endpoints=('a', 'b'), inclusive=(True, True))
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_a_param = _RealParameter('a', domain=_a_domain, typical=(1e-3, 0.9))
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_b_param = _RealParameter('b', domain=_b_domain, typical=(1.1, 1e3))
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_x_param = _RealParameter('x', domain=_x_support, typical=('a', 'b'))
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_b_domain.define_parameters(_a_param)
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_x_support.define_parameters(_a_param, _b_param)
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_parameterizations = [_Parameterization(_a_param, _b_param)]
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_variable = _x_param
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def __init__(self, *, a=None, b=None, **kwargs):
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super().__init__(a=a, b=b, **kwargs)
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def _process_parameters(self, a=None, b=None, ab=None, **kwargs):
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ab = b - a
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kwargs.update(dict(a=a, b=b, ab=ab))
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return kwargs
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def _logpdf_formula(self, x, *, ab, **kwargs):
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return np.where(np.isnan(x), np.nan, -np.log(ab))
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def _pdf_formula(self, x, *, ab, **kwargs):
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return np.where(np.isnan(x), np.nan, 1/ab)
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def _logcdf_formula(self, x, *, a, ab, **kwargs):
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with np.errstate(divide='ignore'):
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return np.log(x - a) - np.log(ab)
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def _cdf_formula(self, x, *, a, ab, **kwargs):
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return (x - a) / ab
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def _logccdf_formula(self, x, *, b, ab, **kwargs):
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with np.errstate(divide='ignore'):
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return np.log(b - x) - np.log(ab)
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def _ccdf_formula(self, x, *, b, ab, **kwargs):
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return (b - x) / ab
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def _icdf_formula(self, p, *, a, ab, **kwargs):
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return a + ab*p
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def _iccdf_formula(self, p, *, b, ab, **kwargs):
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return b - ab*p
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def _entropy_formula(self, *, ab, **kwargs):
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return np.log(ab)
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def _mode_formula(self, *, a, b, ab, **kwargs):
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return a + 0.5*ab
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def _median_formula(self, *, a, b, ab, **kwargs):
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return a + 0.5*ab
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def _moment_raw_formula(self, order, a, b, ab, **kwargs):
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np1 = order + 1
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return (b**np1 - a**np1) / (np1 * ab)
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def _moment_central_formula(self, order, ab, **kwargs):
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return ab**2/12 if order == 2 else None
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_moment_central_formula.orders = [2] # type: ignore[attr-defined]
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def _sample_formula(self, sample_shape, full_shape, rng, a, b, ab, **kwargs):
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try:
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return rng.uniform(a, b, size=full_shape)[()]
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except OverflowError: # happens when there are NaNs
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return rng.uniform(0, 1, size=full_shape)*ab + a
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class _Gamma(ContinuousDistribution):
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# Gamma distribution for testing only
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_a_domain = _RealDomain(endpoints=(0, inf))
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_x_support = _RealDomain(endpoints=(0, inf), inclusive=(False, False))
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_a_param = _RealParameter('a', domain=_a_domain, typical=(0.1, 10))
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_x_param = _RealParameter('x', domain=_x_support, typical=(0.1, 10))
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_parameterizations = [_Parameterization(_a_param)]
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_variable = _x_param
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def _pdf_formula(self, x, *, a, **kwargs):
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return x ** (a - 1) * np.exp(-x) / special.gamma(a)
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# Distribution classes need only define the summary and beginning of the extended
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# summary portion of the class documentation. All other documentation, including
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# examples, is generated automatically.
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_module = sys.modules[__name__].__dict__
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for dist_name in __all__:
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_module[dist_name].__doc__ = _combine_docs(_module[dist_name])
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