rnd

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 Go to latest Published: Dec 5, 2019 License: BSD-3-Clause Imports: 12 Imported by: 0

README

Gosl. rnd. Random numbers and probability distributions

GoDoc

More information is available in the documentation of this package.

The rnd package assists on computations involving stochastic processes. The package has many functions to generate pseudo-random numbers, probability distributions, and sampling techniques such as the Latin hypercube algorithm.

Pseudo random numbers

In this package, some standard Go functions from package rand are wrapped for convenience. Most random generation functions have an equivalent function wrapping the Mersenne Twister code from Mutsuo Saito and Makoto Matsumoto.

Some useful functions are:

  1. Init initialise the system with a seed
  2. Int, Ints, Float64, Float64s to generate integers and floats
  3. Shuffle and GetUnique functions to shuffle slices and filter slices with unique values, respectively.

Probability distributions

The probability distributions in the rnd package are initialised with the help of the VarData structure that contains the following main fields:

// input
D DistType // type of distribution
M float64  // mean
S float64  // standard deviation

// input: Frechet
L float64 // location
C float64 // scale
A float64 // shape

// input: uniform
Min float64 // min value
Max float64 // max value

The currently available distributions are:

  1. NormalKind Normal distribution
  2. LognormalKind Lognormal distribution
  3. GumbelKind Type I Extreme Value distribution
  4. FrechetKind Type II Extreme Value distribution
  5. UniformKind Uniform distribution

Sampling algorithms: Halton and Latin Hypercube methods

The HaltonPoints function is a simple way to generate combinations of point coordinates in a hypercube.

The LatinIHS function implements the Latin improved distributed hypercube sampling method. The results are the indices of points. The point coordinates can be computed with the HypercubeCoords function.

Examples

Generate 100,000 integers and draw Histogram

Source code: ../examples/rnd_ints01.go

Output:

time elapsed = 3.506121ms
  [0,1) |  10085 ############################################################
  [1,2) |   9874 ###########################################################
  [2,3) |  10078 ############################################################
  [3,4) |   9998 ############################################################
  [4,5) |   9937 ###########################################################
  [5,6) |  10003 ############################################################
  [6,7) |  10119 #############################################################
  [7,8) |   9795 ###########################################################
  [8,9) |  10026 ############################################################
 [9,10) |  10085 ############################################################
  count = 100000
time elapsed = 3.259988ms
  [0,1) |  10077 ############################################################
  [1,2) |  10017 ############################################################
  [2,3) |   9910 ###########################################################
  [3,4) |  10092 ############################################################
  [4,5) |   9853 ###########################################################
  [5,6) |   9976 ############################################################
  [6,7) |  10096 #############################################################
  [7,8) |  10058 ############################################################
  [8,9) |   9905 ###########################################################
 [9,10) |  10016 ############################################################
  count = 100000
Generate samples based on the Lognormal distribution

Source code: ../examples/rnd_lognormalDistribution.go

Example: sampling algorithms

Source code: ../examples/rnd_haltonAndLatin01.go

Documentation

Overview

Package rnd implements random numbers generators (wrapping the standard functions or the Mersenne Twister library). It also implements probability distribution functions.

Index

Constants

This section is empty.

Variables

View Source 
var (
	// Primes1000 contains 1000 prime numbers
	Primes1000 = []int{}/* 1000 elements not displayed */

)

Functions

func BuildTextHist 

func BuildTextHist(xmin, xmax float64, nstations int, values []float64, numfmt string, barlen int) string

BuildTextHist builds a text histogram 

Input:
 xmin      -- station xmin
 xmax      -- station xmax
 nstations -- number of stations
 values    -- values to be counted
 numfmt    -- number format
 barlen    -- max length of bar

func FlipCoin 

func FlipCoin(p float64) bool

FlipCoin generates a Bernoulli variable; throw a coin with probability p

func Float64 

func Float64(low, high float64) float64

Float64 generates a pseudo random real number between low and high; i.e. in [low, right) 

Input:
 low  -- lower limit (closed)
 high -- upper limit (open)
Output:
 random float64

func Float64s 

func Float64s(values []float64, low, high float64)

Float64s generates pseudo random real numbers between low and high; i.e. in [low, right) 

Input:
 low  -- lower limit (closed)
 high -- upper limit (open)
Output:
 values -- slice to be filled with len(values) numbers

func FrechetPlotCoef 

func FrechetPlotCoef(dirout, fnkey string, amin, amax float64)

FrechetPlotCoef plots coefficients for Frechet parameter's estimation

func HaltonPoints 

func HaltonPoints(dim, n int) (x [][]float64)

HaltonPoints generates randomly spaced points 

x -- [dim][n] points

func HypercubeCoords 

func HypercubeCoords(sample [][]int, xmin, xmax []float64) (X [][]float64)

HypercubeCoords computes the coordinates in the hypercube 

Input:
  sample -- the hypercube sampling indices; e.g. from LatinIHS [ndim][npoints]
  xmin -- min limit of coordinates [ndim]
  xmax -- max limit of coordinates [ndim]
Output:
  X -- coordinates [ndim][npoints]

func Init 

func Init(seed int)

Init initialises random numbers generators 

Input:
 seed -- seed value; use seed <= 0 to use current time

func Int 

func Int(low, high int) int

Int generates pseudo random integer between low and high. 

Input:
 low  -- lower limit
 high -- upper limit
Output:
 random integer

func IntGetGroups 

func IntGetGroups(groups [][]int, pool []int)

IntGetGroups randomly selects indices from pool separating them in groups 

Input:
  pool -- all ints.
Output:
  groups -- [ngroups][size_of_group] pre-allocated slices

func IntGetShuffled 

func IntGetShuffled(values []int) (shuffled []int)

IntGetShuffled returns a shufled slice of integers

func IntGetUnique 

func IntGetUnique(values []int, n int) (selected []int)

IntGetUnique randomly selects n items in a list avoiding duplicates 

Note: using the 'reservoir sampling' method; see Wikipedia:
      https://en.wikipedia.org/wiki/Reservoir_sampling

func IntGetUniqueN 

func IntGetUniqueN(start, endp1, n int) (selected []int)

IntGetUniqueN randomly selects n items from start to endp1-1 avoiding duplicates 

Note: using the 'reservoir sampling' method; see Wikipedia:
      https://en.wikipedia.org/wiki/Reservoir_sampling

func IntShuffle 

func IntShuffle(values []int)

IntShuffle shuffles a slice of integers

func Ints 

func Ints(values []int, low, high int)

Ints generates pseudo random integers between low and high. 

Input:
 low    -- lower limit
 high   -- upper limit
Output:
 values -- slice to be filled with len(values) numbers

func LatinIHS 

func LatinIHS(dim, n, d int) (x [][]int)

LatinIHS implements the improved distributed hypercube sampling algorithm. Note: code developed by John Burkardt (GNU LGPL license) -- see source code for further information. 

Input:
 dim -- spatial dimension
 n   -- number of points to be generated
 d   -- duplication factor ≥ 1 (~ 5 is reasonable)
Output:
 x   -- [dim][n] points

func Lognormal 

func Lognormal(μ, σ float64) float64

Lognormal returns a random number belonging to a lognormal distribution

func MTfloat64 

func MTfloat64(low, high float64) float64

MTfloat64 generates pseudo random real numbers between low and high; i.e. in [low, right) using the Mersenne Twister method. 

Input:
 low  -- lower limit (closed)
 high -- upper limit (open)
Output:
 random float64

func MTfloat64s 

func MTfloat64s(values []float64, low, high float64)

MTfloat64s generates pseudo random real numbers between low and high; i.e. in [low, right) using the Mersenne Twister method. 

Input:
 low  -- lower limit (closed)
 high -- upper limit (open)
Output:
 values -- slice to be filled with len(values) numbers

func MTinit 

func MTinit(seed int)

MTinit initialises random numbers generators (Mersenne Twister code) 

Input:
 seed -- seed value; use seed <= 0 to use current time

func MTint 

func MTint(low, high int) int

MTint generates pseudo random integer between low and high using the Mersenne Twister method. 

Input:
 low  -- lower limit
 high -- upper limit
Output:
 random integer

func MTintShuffle 

func MTintShuffle(v []int)

MTintShuffle shuffles a slice of integers using Mersenne Twister algorithm.

func MTints 

func MTints(values []int, low, high int)

MTints generates pseudo random integers between low and high using the Mersenne Twister method. 

Input:
 low    -- lower limit
 high   -- upper limit
Output:
 values -- slice to be filled with len(values) numbers

func Normal 

func Normal(μ, σ float64) float64

Normal returns a random number belonging to a normal distribution

func ReportVariables 

func ReportVariables(dirout, fnkey string, sets SetsOfVars, genPDF bool)

ReportVariables generates TeX report of sets of variables

func Shuffle 

func Shuffle(values []float64)

Shuffle shuffles a slice of float point numbers

func StatAve 

func StatAve(x []float64) (xave float64)

StatAve computes the average of x values 

Input:
 x -- sample
Output:
 xave -- average

func StatAveDev 

func StatAveDev(x []float64, std bool) (xave, xdev float64)

StatAveDev computes the average of x and the average deviation or standard deviation (σ) 

Input:
 x   -- sample
 std -- compute standard deviation (σ) instead of average deviation (adev)
Output:
 xdev -- average deviation; if std==true, computes standard deviation (σ) instead

func StatBasic 

func StatBasic(x []float64, std bool) (xmin, xave, xmax, xdev float64)

StatBasic performs some basic statistics 

Input:
 x   -- sample
 std -- compute standard deviation (σ) instead of average deviation (adev)
Output:
 xmin -- minimum value
 xave -- mean average (first moment)
 xmax -- maximum value
 xdev -- average deviation; if std==true, computes standard deviation (σ) instead

func StatDev 

func StatDev(x []float64, std bool) (xdev float64)

StatDev computes the average deviation or standard deviation (σ) 

Input:
 x   -- sample
 std -- compute standard deviation (σ) instead of average deviation (adev)
Output:
 xdev -- average deviation; if std==true, computes standard deviation (σ) instead

func StatDevFirst 

func StatDevFirst(x []float64, xave float64, std bool) (xdev float64)

StatDevFirst computes the average deviation or standard deviation (σ) for given value of average/mean/first moment 

Input:
 x    -- sample
 xave -- bar(x) == average/mean/first moment
 std  -- compute standard deviation (σ) instead of average deviation (adev)
Output:
 xdev -- average deviation; if std==true, computes standard deviation (σ) instead

func StatDur 

func StatDur(durs []time.Duration) (min, ave, max, sum time.Duration)

StatDur generates stat about duration

func StatMoments 

func StatMoments(x []float64) (sum, mean, adev, sdev, vari, skew, kurt float64)

StatMoments computes the 4th moments of a data set 

Input:
 x -- sample
Output:
 sum  -- sum of values
 mean -- mean average (first moment)
 adev -- average deviation
 sdev -- standrad deviation
 vari -- variance (second moment)
 skew -- skewness (third moment)
 kurt -- kurtosis (fourth moment)
Based on:
   Press WH, Teukolsky SA, Vetterling WT and Flannery BP (2007)
     Numerical Recipes in C++ 2007 (3rd Edition), page 725.

func StatTable 

func StatTable(x [][]float64, std, withZ bool) (y, z [][]float64)

StatTable computes the min, ave, max, and dev of values organised in a table 

Input:
 x     -- sample
 std   -- compute standard deviation (σ) instead of average deviation (adev)
 withZ -- computes z-matrix as well
Convention of indices:
 0=min  1=ave  2=max  3=dev
Output:                        min          ave          max          dev
                                ↓            ↓            ↓            ↓
 x00 x01 x02 x03 x04 x05 → y00=min(x0?) y10=ave(x0?) y20=max(x0?) y30=dev(x0?)
 x10 x11 x12 x13 x14 x15 → y01=min(x1?) y11=ave(x1?) y21=max(x1?) y31=dev(x1?)
 x20 x21 x22 x23 x24 x25 → y02=min(x2?) y12=ave(x2?) y22=max(x2?) y32=dev(x2?)
                                ↓            ↓            ↓            ↓
                     min → z00=min(y0?) z01=min(y1?) z02=min(y2?) z03=min(y3?)
                     ave → z10=ave(y0?) z11=ave(y1?) z12=ave(y2?) z13=ave(y3?)
                     max → z20=max(y0?) z21=max(y1?) z22=max(y2?) z23=max(y3?)
                     dev → z30=dev(y0?) z31=dev(y1?) z32=dev(y2?) z33=dev(y3?)
                                =            =            =            =
                     min → z00=min(min) z01=min(ave) z02=min(max) z03=min(dev)
                     ave → z10=ave(min) z11=ave(ave) z12=ave(max) z13=ave(dev)
                     max → z20=max(min) z21=max(ave) z22=max(max) z23=max(dev)
                     dev → z30=dev(min) z31=dev(ave) z32=dev(max) z33=dev(dev)

func StdInvPhi 

func StdInvPhi(x float64) float64

StdInvPhi implements Φ⁻¹(x), the inverse standard cumulative distribution function

func StdPhi 

func StdPhi(x float64) float64

StdPhi implements Φ(x), the standard cumulative distribution function

func Stdphi 

func Stdphi(x float64) float64

Stdphi implements φ(x), the standard probability density function

func TextHist 

func TextHist(labels []string, counts []int, barlen int) string

TextHist prints a text histogram 

Input:
 labels -- labels
 counts -- frequencies

func Uniform 

func Uniform(min, max float64) float64

Uniform returns a random number belonging to a uniform distribution

func UnitVectors 

func UnitVectors(n int) (U [][]float64)

UnitVectors generates random unit vectors in 3D

Types

type DistFrechet 

type DistFrechet struct {
	L float64 // location. default = 0
	C float64 // scale. default = 1
	A float64 // shape
}

DistFrechet implements the Frechet / Type II Extreme Value Distribution (largest value)

func (DistFrechet) Cdf 

func (o DistFrechet) Cdf(x float64) float64

Cdf computes the cumulative probability function @ x

func (*DistFrechet) Init 

func (o *DistFrechet) Init(p *Variable)

Init initialises Frechet distribution

func (DistFrechet) Mean 

func (o DistFrechet) Mean() float64

Mean returns the expected value

func (*DistFrechet) Name 

func (o *DistFrechet) Name() string

Name returns the name of this probability distribution

func (DistFrechet) Pdf 

func (o DistFrechet) Pdf(x float64) float64

Pdf computes the probability density function @ x

func (DistFrechet) Variance 

func (o DistFrechet) Variance() float64

Variance returns the variance

type DistGumbel 

type DistGumbel struct {
	U float64 // location: characteristic largest value
	B float64 // scale: measure of dispersion of the largest value
}

DistGumbel implements the Gumbel / Type I Extreme Value Distribution (largest value)

func (DistGumbel) Cdf 

func (o DistGumbel) Cdf(x float64) float64

Cdf computes the cumulative probability function @ x

func (*DistGumbel) Init 

func (o *DistGumbel) Init(p *Variable)

Init initialises Gumbel distribution

func (*DistGumbel) Name 

func (o *DistGumbel) Name() string

Name returns the name of this probability distribution

func (DistGumbel) Pdf 

func (o DistGumbel) Pdf(x float64) float64

Pdf computes the probability density function @ x

type DistLogNormal 

type DistLogNormal struct {

	// input
	N float64 // mean of log(x)
	Z float64 // standard deviation of log(x)

	// auxiliary
	A float64 // 1 / (z sqrt(2 π))
	B float64 // -1 / (2 z²)
}

DistLogNormal implements the lognormal distribution

func (*DistLogNormal) CalcDerived 

func (o *DistLogNormal) CalcDerived()

CalcDerived computes derived/auxiliary quantities

func (DistLogNormal) Cdf 

func (o DistLogNormal) Cdf(x float64) float64

Cdf computes the cumulative probability function @ x

func (*DistLogNormal) Init 

func (o *DistLogNormal) Init(p *Variable)

Init initialises lognormal distribution

func (*DistLogNormal) Name 

func (o *DistLogNormal) Name() string

Name returns the name of this probability distribution

func (DistLogNormal) Pdf 

func (o DistLogNormal) Pdf(x float64) float64

Pdf computes the probability density function @ x

type DistNormal 

type DistNormal struct {

	// input
	Mu  float64 // μ: mean
	Sig float64 // σ: std deviation
	// contains filtered or unexported fields
}

DistNormal implements the normal distribution

func (*DistNormal) CalcDerived 

func (o *DistNormal) CalcDerived()

CalcDerived compute derived/auxiliary quantities

func (DistNormal) Cdf 

func (o DistNormal) Cdf(x float64) float64

Cdf computes the cumulative probability function @ x

func (*DistNormal) Init 

func (o *DistNormal) Init(p *Variable)

Init initialises normal distribution

func (*DistNormal) Name 

func (o *DistNormal) Name() string

Name returns the name of this probability distribution

func (DistNormal) Pdf 

func (o DistNormal) Pdf(x float64) float64

Pdf computes the probability density function @ x

type DistUniform 

type DistUniform struct {

	// input
	A float64 // min value
	B float64 // max value
}

DistUniform implements the normal distribution

func (DistUniform) Cdf 

func (o DistUniform) Cdf(x float64) float64

Cdf computes the cumulative probability function @ x

func (*DistUniform) Init 

func (o *DistUniform) Init(p *Variable)

Init initialises uniform distribution

func (*DistUniform) Name 

func (o *DistUniform) Name() string

Name returns the name of this probability distribution

func (DistUniform) Pdf 

func (o DistUniform) Pdf(x float64) float64

Pdf computes the probability density function @ x

type Distribution 

type Distribution interface {
	Name() string
	Init(prms *Variable)
	Pdf(x float64) float64
	Cdf(x float64) float64
}

Distribution defines a probability distribution

func GetDistrib 

func GetDistrib(dtype string) (d Distribution)

GetDistrib returns a distribution from factory

type Histogram 

type Histogram struct {
	Stations []float64 // stations
	Counts   []int     // counts
}

Histogram holds data for computing/plotting histograms 

bin[i] corresponds to station[i] <= x < station[i+1]

     [ bin[0] )[ bin[1] )[ bin[2] )[ bin[3] )[ bin[4] )
  ---|---------|---------|---------|---------|---------|---  x
   s[0]      s[1]      s[2]      s[3]      s[4]      s[5]

func (*Histogram) Count 

func (o *Histogram) Count(vals []float64, clear bool)

Count counts how many items fall within each bin

func (Histogram) DensityArea 

func (o Histogram) DensityArea(nsamples int) (area float64)

DensityArea computes the area of the density diagram 

nsamples -- number of samples used when generating pseudo-random numbers

func (Histogram) FindBin 

func (o Histogram) FindBin(x float64) int

FindBin finds where x falls in returns -1 if x is outside the range

func (Histogram) GenLabels 

func (o Histogram) GenLabels(numfmt string) (labels []string)

GenLabels generate nice labels identifying bins

func (Histogram) PlotDensity 

func (o Histogram) PlotDensity(args *plt.A)

PlotDensity plots histogram in density values 

args -- plot arguments. may be nil

type IntHistogram 

type IntHistogram struct {
	Stations []int // stations
	Counts   []int // counts
}

IntHistogram holds data for computing/plotting histograms with integers 

bin[i] corresponds to station[i] <= x < station[i+1]

     [ bin[0] )[ bin[1] )[ bin[2] )[ bin[3] )[ bin[4] )
  ---|---------|---------|---------|---------|---------|---  x
   s[0]      s[1]      s[2]      s[3]      s[4]      s[5]

func (*IntHistogram) Count 

func (o *IntHistogram) Count(vals []int, clear bool)

Count counts how many items fall within each bin

func (IntHistogram) FindBin 

func (o IntHistogram) FindBin(x int) int

FindBin finds where x falls in returns -1 if x is outside the range

func (IntHistogram) GenLabels 

func (o IntHistogram) GenLabels(numfmt string) (labels []string)

GenLabels generate nice labels identifying bins

func (IntHistogram) Plot 

func (o IntHistogram) Plot(withText bool, args, argsTxt *plt.A)

Plot plots histogram 

args -- plot arguments. may be nil

type SetOfVars 

type SetOfVars struct {
	Name string
	Vars Variables
}

SetOfVars defines a set of random variables

type SetsOfVars 

type SetsOfVars []*SetOfVars

SetsOfVars defines a set of sets of random variables

type Variable 

type Variable struct {

	// input: required by many distributions
	D string  // [required] type of distribution
	M float64 // [optional] mean
	S float64 // [optional] standard deviation

	// input: Frechet
	L float64 // [Frechet] location
	C float64 // [Frechet] scale
	A float64 // [Frechet] shape

	// input: limits
	Min float64 // [optional] min value
	Max float64 // [optional] max value

	// optional
	Key string // [optional] auxiliary indentifier
	Prm *dbf.P // [optional] parameter connected to this random variable

	// derived
	Normal bool         // [derived] is normal distribution
	Distr  Distribution // [derived] pointer to distribution
}

Variable holds all data defining a single random variable including information about a probability distribution that bests represents this variable 

Some distributions:
   "N" : Normal
   "L" : Lognormal
   "G" : Gumbel (Type I Extreme Value)
   "F" : Frechet (Type II Extreme Value)
   "U" : Uniform

func (Variable) PlotPdf 

func (o Variable) PlotPdf(np int, args *plt.A)

PlotPdf plots PDF

func (*Variable) SetDistribution 

func (o *Variable) SetDistribution(dtype string)

SetDistribution sets the implementation of Distribution in VarData

func (*Variable) Transform 

func (o *Variable) Transform(x float64) (y float64, invalid bool)

Transform transform x into standard normal space

type Variables 

type Variables []*Variable

Variables implements a set of random variables

func (*Variables) Init 

func (o *Variables) Init()

Init initialises distributions in Variables

func (Variables) Transform 

func (o Variables) Transform(x []float64) (y []float64, invalid bool)

Transform transforms all variables

Source Files

View all Source files

Directories

Path Synopsis
Package dsfmt wraps the dSFMT Double precision SIMD-oriented Fast Mersenne Twister
 Package dsfmt wraps the dSFMT Double precision SIMD-oriented Fast Mersenne Twister
Package sfmt wraps the SFMT SIMD-oriented Fast Mersenne Twister
 Package sfmt wraps the SFMT SIMD-oriented Fast Mersenne Twister

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