distrb 0.1.0 → 0.1.1

checksums.yaml

@@ -1,7 +1,7 @@
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data/.rubocop.yml

@@ -18,3 +18,9 @@ Style/Documentation:
   Exclude:
     - 'spec/**/*'
     - 'test/**/*'
+
+# Configuration parameters: CountComments, ExcludedMethods.
+Metrics/BlockLength:
+  Exclude:
+    - 'spec/**/*'
+    - 'test/**/*'

data/bin/console

@@ -3,13 +3,14 @@
 
 require 'bundler/setup'
 require 'distrb'
+require 'distrb/multivariate'
 
 # You can add fixtures and/or initialization code here to make experimenting
 # with your gem easier. You can also use a different console, if you like.
 
 # (If you use this, don't forget to add pry to your Gemfile!)
-# require "pry"
-# Pry.start
+require 'pry'
+Pry.start
 
-require 'irb'
-IRB.start(__FILE__)
+# require 'irb'
+# IRB.start(__FILE__)

data/distrb.gemspec

@@ -22,9 +22,11 @@ Gem::Specification.new do |spec|
   spec.require_paths = ['lib']
 
   spec.add_development_dependency 'bundler', '~> 1.16'
+  spec.add_development_dependency 'gsl', '~> 2.1.0'
   spec.add_development_dependency 'guard', '~> 2.14.0'
   spec.add_development_dependency 'guard-rspec', '~> 4.7.0'
   spec.add_development_dependency 'guard-rubocop', '~> 1.3.0'
+  spec.add_development_dependency 'pry', '~> 0.11.3'
   spec.add_development_dependency 'rake', '~> 10.0'
   spec.add_development_dependency 'rspec', '~> 3.0'
   spec.add_development_dependency 'rubocop', '~> 0.52.0'

data/lib/distrb/multivariate.rb

@@ -0,0 +1,9 @@
+# frozen_string_literal: true
+
+#
+# Namespace for multivariate probability distributions
+#
+module Distrb::Multivariate
+  require_relative './multivariate/distribution'
+  require_relative './multivariate/normal'
+end

data/lib/distrb/multivariate/distribution.rb

@@ -0,0 +1,15 @@
+# frozen_string_literal: true
+
+#
+# Base class of multivariate probability distribution
+# Currently, this class only supports sampling feature.
+#
+class Distrb::Multivariate::Distribution
+  def sampler
+    raise NotImplementedError
+  end
+
+  def sample
+    self.sampler.sample
+  end
+end

data/lib/distrb/multivariate/normal.rb

@@ -0,0 +1,17 @@
+# frozen_string_literal: true
+
+require 'gsl'
+
+#
+# Normal distribution
+# See: https://en.wikipedia.org/wiki/Multivariate_normal_distribution
+#
+class Distrb::Multivariate::Normal < Distrb::Multivariate::Distribution
+  require_relative './normal/transform_independent_samples'
+
+  attr_reader :sampler
+
+  def initialize mean, covariance = nil
+    @sampler = TransformIndependentSamples.new mean, covariance
+  end
+end

data/lib/distrb/multivariate/normal/transform_independent_samples.rb

@@ -0,0 +1,37 @@
+# frozen_string_literal: true
+
+#
+# Generating random values from multivariate normal distribution can be done
+# with independent samples from normal distribution.
+# In this way, a square root of the covariance matrix is required.
+# We use SVD to get the matrix.
+# See: https://stats.stackexchange.com/a/159322/89764
+#
+class Distrb::Multivariate::Normal::TransformIndependentSamples
+  attr_reader :normal, :mean, :covariance
+
+  def initialize mean, covariance = nil
+    @normal = Distrb::Normal.new
+    @mean = mean
+    @covariance = covariance || GSL::Matrix.eye(mean.length)
+  end
+
+  def sample
+    x = GSL::Vector.alloc(Array.new(self.mean.length) { self.normal.sample })
+    (sqrt_covariance * x + self.mean).to_a
+  end
+
+  private
+
+  def sqrt_covariance
+    @sqrt_covariance ||=
+      begin
+        u, _v, s = svd_covariance
+        u * s.sqrt.to_m_diagonal
+      end
+  end
+
+  def svd_covariance
+    @svd_covariance ||= @covariance.svd
+  end
+end

data/lib/distrb/normal.rb

@@ -7,9 +7,15 @@
 class Distrb::Normal < Distrb::Distribution
   require_relative './normal/box_muller_transform'
 
-  attr_reader :sampler
+  attr_reader :sampler, :mean, :stdev
 
-  def initialize
+  def initialize mean = 0.0, stdev = 1.0
     @sampler = BoxMullerTransform.new
+    @mean = mean
+    @stdev = stdev
+  end
+
+  def sample
+    super * self.stdev + self.mean
   end
 end

data/lib/distrb/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Distrb
-  VERSION = '0.1.0'
+  VERSION = '0.1.1'
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: distrb
 version: !ruby/object:Gem::Version
-  version: 0.1.0
+  version: 0.1.1
 platform: ruby
 authors:
 - Hiroki Arai
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2018-02-26 00:00:00.000000000 Z
+date: 2018-04-10 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -24,6 +24,20 @@ dependencies:
     - - "~>"
       - !ruby/object:Gem::Version
         version: '1.16'
+- !ruby/object:Gem::Dependency
+  name: gsl
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 2.1.0
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 2.1.0
 - !ruby/object:Gem::Dependency
   name: guard
   requirement: !ruby/object:Gem::Requirement
@@ -66,6 +80,20 @@ dependencies:
     - - "~>"
       - !ruby/object:Gem::Version
         version: 1.3.0
+- !ruby/object:Gem::Dependency
+  name: pry
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.11.3
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: 0.11.3
 - !ruby/object:Gem::Dependency
   name: rake
   requirement: !ruby/object:Gem::Requirement
@@ -135,6 +163,10 @@ files:
 - lib/distrb/gamma/marsaglia_tsang.rb
 - lib/distrb/gamma/marsaglia_tsang/high_alpha.rb
 - lib/distrb/gamma/marsaglia_tsang/low_alpha.rb
+- lib/distrb/multivariate.rb
+- lib/distrb/multivariate/distribution.rb
+- lib/distrb/multivariate/normal.rb
+- lib/distrb/multivariate/normal/transform_independent_samples.rb
 - lib/distrb/normal.rb
 - lib/distrb/normal/box_muller_transform.rb
 - lib/distrb/uniform.rb