erv 0.2.0 → 0.3.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/lib/erv/mixture_distribution.rb

@@ -14,13 +14,19 @@ module ERV
       raise ArgumentError, "Please, provide at least 2 distributions!" unless confs.length >= 2
 
       @mixture = []
-      @weight_sum = 0.0
+      weight_sum = 0.0
       while dist_conf = confs.shift
         # get weight ...
         weight = dist_conf.delete(:weight).to_f
 
         # ... and keep track of it
-        @weight_sum += weight
+        weight_sum += weight
+
+        # get amplitude
+        amplitude = dist_conf.fetch(:amplitude) { 1.0 }
+        # unless amplitude.is_a? Float
+        #   raise ArgumentError, "Please, provide at least 2 distributions!" unless confs.length >= 2
+        # end
 
         # get distribution name
         dist_name = dist_conf.delete(:distribution).to_s
@@ -32,7 +38,12 @@ module ERV
         distribution = ERV.const_get(klass_name).new(dist_conf)
 
         # add distribution to mixture
-        @mixture << { weight: weight, distribution: distribution }
+        @mixture << { amplitude: amplitude, weight: weight, distribution: distribution }
+      end
+
+      # normalize weights
+      @mixture.each do |dist|
+        dist[:weight] /= weight_sum
       end
 
       seed = opts[:seed]
@@ -44,13 +55,13 @@ module ERV
 
       # find index of distribution we are supposed to sample from
       i = 0
-      while x > (@mixture[i][:weight] / @weight_sum)
-        x -= (@mixture[i][:weight] / @weight_sum)
+      while x > @mixture[i][:weight]
+        x -= @mixture[i][:weight]
         i += 1
       end
 
       # return sample
-      @mixture[i][:distribution].sample
+      @mixture[i][:amplitude] * @mixture[i][:distribution].sample
     end
 
     def mean
@@ -64,16 +75,24 @@ module ERV
     private
 
       def calculate_mean
-        @mixture.inject(0.0) do |s,x| 
-          s += (x[:weight] / @weight_sum * x[:distribution].mean)
+        @mixture.inject(0.0) do |s,x|
+          s += (# the following formula was taken from
+                # https://en.wikipedia.org/wiki/Mixture_Distribution#Moments
+                x[:weight] *
+                # remember: E[aX] = a E[X]
+                x[:amplitude] * x[:distribution].mean)
         end
       end
 
       def calculate_variance
-        @mixture.inject(0.0) do |s,x| 
-          s += (x[:weight] / @weight_sum * 
-                ((x[:distribution].mean - self.mean) ** 2 + 
-                 x[:distribution].variance))
+        @mixture.inject(0.0) do |s,x|
+          s += (# the following formula was taken from
+                # https://en.wikipedia.org/wiki/Mixture_Distribution#Moments
+                x[:weight] *
+                # remember: E[aX] = a E[X]
+                ((x[:amplitude] * x[:distribution].mean - self.mean) ** 2 +
+                # remember: Var(aX) = a**2 Var(X)
+                 x[:amplitude] ** 2 * x[:distribution].variance))
         end
       end
   end

data/lib/erv/version.rb

@@ -1,3 +1,3 @@
 module ERV
-  VERSION = '0.2.0'
+  VERSION = '0.3.0'
 end

data/test/erv/mixture_distribution_test.rb

@@ -9,14 +9,6 @@ describe ERV::MixtureDistribution do
     end.must_raise ArgumentError
   end
 
-  it 'should keep track of distribution weights (for normalization)' do
-    # create a mixture distribution with unnormalized weights
-    uw_md = ERV::MixtureDistribution.new([ { distribution: :exponential, rate: 1.0, weight: 100.0 },
-                                           { distribution: :exponential, rate: 2.0, weight: 200.0 },
-                                           { distribution: :exponential, rate: 3.0, weight: 300.0 } ])
-    uw_md.instance_variable_get("@weight_sum").must_equal 600.0
-  end
-
   let :md do
     ERV::MixtureDistribution.new([ { distribution: :exponential, rate: 1.0, weight: 0.3 },
                                    { distribution: :exponential, rate: 2.0, weight: 0.2 },
@@ -33,23 +25,81 @@ describe ERV::MixtureDistribution do
 
   context 'moments' do
 
-    let :expected_mean do
-      0.3 * 1/1.0 + 0.2 * 1/2.0 + 0.5 * 1/3.0
-    end
+    context 'with default amplitude' do
+      let :md_expected_mean do
+        0.3 * 1/1.0 + 0.2 * 1/2.0 + 0.5 * 1/3.0
+      end
+
+      let :md_expected_variance do
+        0.3 * ((1/1.0 - md_expected_mean) ** 2 + (1/1.0) ** 2) +
+        0.2 * ((1/2.0 - md_expected_mean) ** 2 + (1/2.0) ** 2) +
+        0.5 * ((1/3.0 - md_expected_mean) ** 2 + (1/3.0) ** 2)
+      end
 
-    let :expected_variance do
-      0.3 * (1/1.0 - expected_mean) ** 2 + (1/1.0) ** 2 +
-      0.2 * (1/2.0 - expected_mean) ** 2 + (1/2.0) ** 2 +
-      0.5 * (1/3.0 - expected_mean) ** 2 + (1/3.0) ** 2
+      it 'should correctly calculate the mean of the mixture' do
+        md.mean.must_equal md_expected_mean
+      end
+
+      it 'should correctly calculate the variance of the mixture' do
+        md.variance.must_equal md_expected_variance
+      end
     end
 
-    it 'should correctly calculate the mean of the mixture' do
-      md.mean.must_equal expected_mean
+    context 'with different amplitudes' do
+      let :amd do
+        ERV::MixtureDistribution.new([ { distribution: :gaussian, amplitude: 3.0, mean: 1.0, sd: 0.1, weight: 0.3 },
+                                       { distribution: :gaussian, amplitude: 5.0, mean: 2.0, sd: 0.2, weight: 0.2 },
+                                       { distribution: :gaussian, amplitude: 7.0, mean: 3.0, sd: 0.3, weight: 0.5 } ])
+      end
+
+      let :amd_expected_mean do
+        0.3 * 3.0 * 1.0 +
+        0.2 * 5.0 * 2.0 +
+        0.5 * 7.0 * 3.0
+      end
+
+      let :amd_expected_variance do
+        0.3 * ((3.0 * 1.0 - amd_expected_mean) ** 2 + (3.0 * 0.1) ** 2) +
+        0.2 * ((5.0 * 2.0 - amd_expected_mean) ** 2 + (5.0 * 0.2) ** 2) +
+        0.5 * ((7.0 * 3.0 - amd_expected_mean) ** 2 + (7.0 * 0.3) ** 2)
+      end
+
+      it 'should correctly calculate the mean of the mixture' do
+        amd.mean.must_equal amd_expected_mean
+      end
+
+      it 'should correctly calculate the variance of the mixture' do
+        amd.variance.must_equal amd_expected_variance
+      end
     end
 
-    it 'should correctly calculate the variance of the mixture' do
-      md.mean.must_equal expected_mean
+    context 'with unnormalized weights' do
+      let :uwmd do
+        ERV::MixtureDistribution.new([ { distribution: :exponential, rate: 1.0, weight: 300 },
+                                       { distribution: :exponential, rate: 2.0, weight: 200 },
+                                       { distribution: :exponential, rate: 3.0, weight: 500 } ])
+      end
+
+      let :uwmd_expected_mean do
+        0.3 * 1/1.0 + 0.2 * 1/2.0 + 0.5 * 1/3.0
+      end
+
+      let :uwmd_expected_variance do
+        0.3 * ((1/1.0 - uwmd_expected_mean) ** 2 + (1/1.0) ** 2) +
+        0.2 * ((1/2.0 - uwmd_expected_mean) ** 2 + (1/2.0) ** 2) +
+        0.5 * ((1/3.0 - uwmd_expected_mean) ** 2 + (1/3.0) ** 2)
+      end
+
+      it 'should correctly calculate the mean of the mixture' do
+        uwmd.mean.must_equal uwmd_expected_mean
+      end
+
+      it 'should correctly calculate the variance of the mixture' do
+        uwmd.variance.must_equal uwmd_expected_variance
+      end
+
     end
 
   end
+
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: erv
 version: !ruby/object:Gem::Version
-  version: 0.2.0
+  version: 0.3.0
 platform: ruby
 authors:
 - Mauro Tortonesi
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2017-01-26 00:00:00.000000000 Z
+date: 2017-02-01 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -80,7 +80,7 @@ dependencies:
     - - "~>"
       - !ruby/object:Gem::Version
         version: 0.0.3
-description: erv-0.2.0
+description: erv-0.3.0
 email:
 - mauro.tortonesi@unife.it
 executables: []