capricious 0.0.2 → 0.1.0

data/CHANGES

@@ -1,3 +1,8 @@
+version 0.1.0
+
+* added multiply-with-carry based PRNG (algorithm due to George Marsaglia)
+* added Poisson distribution
+
 version 0.0.2 
 
 * initial release

data/VERSION

@@ -1 +1 @@
-0.0.2
+0.1.0

data/lib/capricious.rb

@@ -17,5 +17,7 @@
 # limitations under the License.
 
 require 'capricious/lfsr'
+require 'capricious/mwc5'
 require 'capricious/sample_sink'
 require 'capricious/uniform'
+require 'capricious/poisson'

data/lib/capricious/generic_prng.rb

@@ -0,0 +1,53 @@
+# capricious/generic_prng.rb:  generic PRNG mixin with selectable source-randomness
+#
+# Copyright (c) 2010 Red Hat, Inc.
+#
+# Author:  William Benton <willb@redhat.com>
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#      http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+require 'capricious/lfsr'
+require 'capricious/mwc5'
+require 'capricious/sample_sink'
+
+module Capricious
+  module PRNG
+    
+    def initialize(seed=nil, policy=MWC5, keep_stats=false)
+      prng_initialize(seed, policy, keep_stats)
+    end
+    
+    def prng_initialize(seed=nil, policy=MWC5, keep_stats=false)
+      @prng = policy.new_with_seed(seed)
+      @seed = @prng.seed
+      @aggregate = SampleSink.new if keep_stats
+    end
+    
+    def next
+      val = next_value
+      @aggregate << val if @aggregate
+      val
+    end
+
+    def reset(seed=nil)
+      @prng.reset(seed)
+      @aggregate = SampleSink.new if @aggregate
+    end
+    
+    def self.included(base)
+      base.class_eval do
+        attr_reader :aggregate, :seed
+      end
+    end
+  end
+end

data/lib/capricious/lfsr.rb

@@ -47,13 +47,13 @@ module Capricious
       reset
     end
 
-    def next
+    def next_i
       shift_reg
       @reg
     end
 
     def next_f
-      self.next
+      next_i
       @reg.quo(@ns::MASK.to_f)
     end
 
@@ -66,7 +66,8 @@ module Capricious
   module SixtyFourBitShifter
     MASK = 0xffffffffffffffff
     SIZE = 64
-    BITS = [64,63,61,60]
+#    BITS = [64,63,61,60]
+    BITS = [64,4,3,1]
     BITSELECT = BITS.map {|bit| "@reg[#{SIZE-bit}]"}.join("^")
     
     class_eval <<-SHIFT_REG

data/lib/capricious/mwc5.rb

@@ -0,0 +1,71 @@
+# capricious/mwc5.rb:  32-bit multiply-with-carry PRNG
+#
+# Copyright (c) 2010 Red Hat, Inc.
+#
+# Author:  William Benton <willb@redhat.com>
+# Algorithm due to George Marsaglia:  http://groups.google.com/group/comp.lang.c/msg/e3c4ea1169e463ae
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#      http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+require 'capricious/lfsr'
+
+module Capricious
+  class MWC5
+    attr_reader :seed, :seeds
+    def MWC5.new_with_seed(seed)
+      MWC5.new(seed)
+    end
+    
+    def initialize(seed=nil)
+      reset(seed)
+    end
+    
+    def reset(seed=nil)
+      @seed ||= (seed || Time.now.utc.to_i)
+      unless @seeds
+        seeder = LFSR.new_with_seed(@seed)
+        @seeds = [seeder.next_i & 0xffffffff]
+        4.times do
+          9.times do
+            # the observed lag-10 autocorrelation of the LFSRs is low
+            seeder.next_i
+          end
+          @seeds << (seeder.next_i & 0xffffffff)
+        end
+      end
+      
+      @x,@y,@z,@w,@v = @seeds
+    end
+    
+    def next_i
+      shift_ks
+    end
+    
+    def next_f
+      next_i.quo(0xffffffff.to_f)
+    end
+    
+    private
+    def shift_ks
+      # XXX:  this is ugly, but it has to be to avoid coercing things into bignums
+      t=(@x^(@x>>7)) & 0xffffffff
+      @x=@y
+      @y=@z
+      @z=@w
+      @w=@v
+      @v=(@v^(@v<<6))^(t^(t<<13)) & 0xffffffff
+      yy = ((@y & 0x7fffffff << 1) + 1) & 0xffffffff
+      (yy * @v) & 0xffffffff;
+    end
+  end
+end

data/lib/capricious/poisson.rb

@@ -0,0 +1,46 @@
+# capricious/poisson.rb:  Poisson-distribution PRNG, with selectable source-randomness policy
+#
+# Copyright (c) 2010 Red Hat, Inc.
+#
+# Author:  William Benton <willb@redhat.com>
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#      http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+require 'capricious/generic_prng'
+
+module Capricious
+  class Poisson
+    include PRNG
+    
+    attr_reader :z
+    
+    def initialize(l, seed=nil, policy=MWC5, keep_stats=false)
+      @z = Math.exp(-l)
+      prng_initialize(seed, policy, keep_stats)
+    end
+    
+    private
+    # Algorithm 369, CACM, January 1970
+    def next_value
+      k = 0
+
+      t = @prng.next_f
+      while t > self.z
+        k = k + 1
+        t = t * @prng.next_f
+      end
+      
+      k
+    end
+  end
+end

data/lib/capricious/sample_sink.rb

@@ -19,13 +19,13 @@
 module Capricious
   class SampleSink
     
-    attr_reader :min, :max, :count, :mean
+    attr_reader :min, :max, :count, :mean, :variance
     
     def initialize
       @min = nil
       @max = nil
       @count = 0
-      @var = 0.0
+      @variance = 0.0
       @mean = 0.0
       @sum_x2 = 0.0
     end
@@ -42,7 +42,7 @@ module Capricious
     end
     
     def stddev
-      Math::sqrt(@var)
+      Math::sqrt(@variance)
     end
     
     private
@@ -56,7 +56,7 @@ module Capricious
       dev = sample - @mean
       @mean += (dev / @count)
       @sum_x2 += (dev * (sample - @mean))
-      @var = @sum_x2 / @count
+      @variance = @sum_x2 / @count
     end
   end
 end

data/lib/capricious/uniform.rb

@@ -16,28 +16,15 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-require 'capricious/lfsr'
-require 'capricious/sample_sink'
+require 'capricious/generic_prng'
 
 module Capricious
   class Uniform
-    attr_reader :aggregate, :seed
+    include PRNG
     
-    def initialize(seed=nil, policy=LFSR, keep_stats=false)
-      @prng = policy.new_with_seed(seed)
-      @seed = @prng.seed
-      @aggregate = SampleSink.new if keep_stats
-    end
-    
-    def next
-      val = @prng.next_f
-      @aggregate << val if @aggregate
-      val
-    end
-
-    def reset(seed=nil)
-      @prng.reset(seed)
-      @aggregate = SampleSink.new if @aggregate
+    private
+    def next_value
+      @prng.next_f
     end
   end
 end

data/spec/poisson_spec.rb

@@ -0,0 +1,27 @@
+require File.expand_path(File.dirname(__FILE__) + '/spec_helper')
+
+module Capricious
+  LAMBDA = 8
+  SAMPLE_COUNT = 200
+
+  describe Poisson do
+    def generate_samples(count=SAMPLE_COUNT)
+      count.times {@poisson.next}
+    end
+    
+    before(:each) do
+      @poisson = Capricious::Poisson.new(LAMBDA, nil, MWC5, true)
+    end
+    
+    it "should generate distributed numbers in a Poisson distribution with lambda #{LAMBDA}, as judged by mean and variance estimates" do
+      generate_samples(10000)
+      @poisson.aggregate.mean.should be_close(LAMBDA, 0.05)
+      @poisson.aggregate.variance.should be_close(LAMBDA, 0.15)
+    end
+    
+    it "should generate the same sequence given the same seed" do
+      @poisson2 = Poisson.new(LAMBDA, @poisson.seed, MWC5, true)
+      SAMPLE_COUNT.times { @poisson2.next.should == @poisson.next }
+    end
+  end
+end

data/spec/uniform_spec.rb

@@ -3,32 +3,32 @@ require File.expand_path(File.dirname(__FILE__) + '/spec_helper')
 module Capricious
   EXPECTED_MEAN = 0.5
   EXPECTED_STDDEV = 0.288675134594813
-  SAMPLE_COUNT = 200000
+  SAMPLE_COUNT = 20000
 
   describe Uniform do
-    def generate_samples(count=SAMPLE_COUNT)
+    def generate_samples(policy=MWC5, count=SAMPLE_COUNT)
+      @uniform = Capricious::Uniform.new(nil, policy, true)
       count.times {@uniform.next}
     end
     
-    before(:each) do
-      @uniform = Capricious::Uniform.new(nil, LFSR, true)
-    end
-    
-    it "should generate numbers in the range (0,1]" do
-      generate_samples
-      @uniform.aggregate.max.should <= 1.0
-      @uniform.aggregate.min.should > 0.0
-    end
+    [LFSR,MWC5].each do |policy|
+      it "should, given policy #{policy.name}, generate numbers in the range (0,1]" do
+        generate_samples(policy)
+        @uniform.aggregate.max.should <= 1.0
+        @uniform.aggregate.min.should > 0.0
+      end
 
-    it "should generate uniformly-distributed numbers in the range (0,1], as judged by mean and variance estimates" do
-      generate_samples
-      @uniform.aggregate.mean.should be_close(EXPECTED_MEAN, 0.01)
-      @uniform.aggregate.stddev.should be_close(EXPECTED_STDDEV, 0.01)
-    end
+      it "should, given policy #{policy.name}, generate uniformly-distributed numbers in the range (0,1], as judged by mean and variance estimates" do
+        generate_samples(policy)
+        @uniform.aggregate.mean.should be_close(EXPECTED_MEAN, 0.01)
+        @uniform.aggregate.stddev.should be_close(EXPECTED_STDDEV, 0.01)
+      end
     
-    it "should generate the same sequence given the same seed" do
-      @uniform2 = Uniform.new(@uniform.seed, LFSR, true)
-      SAMPLE_COUNT.times { @uniform2.next.should == @uniform.next }
+      it "should, given policy #{policy.name}, generate the same sequence given the same seed" do
+        @uniform = Uniform.new(nil, policy, false)
+        @uniform2 = Uniform.new(nil, policy, false)
+        (SAMPLE_COUNT/10).times { @uniform2.next.should == @uniform.next }
+      end
     end
   end
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification 
 name: capricious
 version: !ruby/object:Gem::Version 
-  version: 0.0.2
+  version: 0.1.0
 platform: ruby
 authors: 
 - Will Benton
@@ -9,7 +9,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2010-03-11 00:00:00 -06:00
+date: 2010-03-12 00:00:00 -06:00
 default_executable: 
 dependencies: 
 - !ruby/object:Gem::Dependency 
@@ -40,9 +40,13 @@ files:
 - Rakefile
 - VERSION
 - lib/capricious.rb
+- lib/capricious/generic_prng.rb
 - lib/capricious/lfsr.rb
+- lib/capricious/mwc5.rb
+- lib/capricious/poisson.rb
 - lib/capricious/sample_sink.rb
 - lib/capricious/uniform.rb
+- spec/poisson_spec.rb
 - spec/spec.opts
 - spec/spec_helper.rb
 - spec/uniform_spec.rb
@@ -75,5 +79,6 @@ signing_key:
 specification_version: 3
 summary: Pseudorandom number generator classes and support code
 test_files: 
+- spec/poisson_spec.rb
 - spec/spec_helper.rb
 - spec/uniform_spec.rb