random_variates 0.2.0

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data/LICENSE.md

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+
+The MIT License (MIT)
+
+Copyright (c) 2017-2018 Paul J. Sanchez
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

data/README.md

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+This gem implements random variate generation for several
+common statistical distributions.  Each distribution is implemented
+in its own class, and different parameterizations are created as
+instances of the class using the constructor to specify the
+parameterization.  All constructors use named parameters for clarity,
+so the order of parameters does not matter. All random variate classes
+provide an optional argument `rng`, with which the user can specify an
+enumerable U(0,1) generator to use as the core source of randomness.
+If `rng` is not specified, it defaults to Ruby's `Kernel#rand`.
+
+Once a random variate class has been instantiated, values can either be
+generated on demand using the `next` method or by using the instance as
+a generator in any iterable context.

data/lib/random_variates.rb

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+# This library implements random variate generation for several
+# common statistical distributions.  Each distribution is implemented
+# in its own class, and different parameterizations are created as
+# instances of the class using the constructor to specify the
+# parameterization.  All constructors use named parameters for clarity,
+# so the order of parameters does not matter. All RV classes provide an
+# optional argument +rng+, with which the user can specify an enumerable
+# U(0,1) generator to use as the core source of randomness.  If +rng+ is
+# not specified, it defaults to +Kernel#rand+.
+#
+# Once a random variate class has been instantiated, values can either be
+# generated on demand using the +next+ method or by using the instance as
+# a generator in any iterable context.
+
+# Provide access to +Kernel#rand+ as an +Enumerator+ object.
+U_GENERATOR = Enumerator.new { |yielder| loop { yielder << rand } }
+
+# The +RV_Generator+ module provides a common core of methods to make
+# all of the RV classes +Enumerable+.
+module RV_Generator
+  include Enumerable
+
+  attr_reader :generator
+
+  def next
+    @generator.next
+  end
+
+  def each
+    loop { yield @generator.next }
+  end
+end
+
+# Generate values uniformly distributed between +min+ and +max+.
+#
+# *Arguments*::
+#   - +min+ -> the lower bound for the range (default: 0).
+#   - +max+ -> the upper bound for the range (default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Uniform
+  include RV_Generator
+
+  attr_reader :min, :max
+
+  def initialize(min: 0.0, max: 1.0, rng: U_GENERATOR)
+    fail 'Max must be greater than min.' if max <= min
+    @min = min
+    @max = max
+    range = max - min
+    @generator = Enumerator.new do |yielder|
+      loop { yielder << (min + range * rng.next) }
+    end
+  end
+end
+
+# Triangular random variate generator with specified +min+, +mode+, and +max+.
+#
+# *Arguments*::
+#   - +min+ -> the lower bound for the range (default: 0).
+#   - +max+ -> the upper bound for the range (default: 1).
+#   - +mode+ -> the highest likelihood value (+min+ ≤ +mode+ ≤ +max+; default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Triangle
+  include RV_Generator
+
+  attr_reader :min, :max, :mode, :range
+
+  def initialize(min: 0.0, max: 1.0, mode: 1.0, rng: U_GENERATOR)
+    @range = max - min
+    fail 'Min must be less than Max.' if @range <= 0
+    fail 'Mode must be between Min and Max.' unless (min..max).include? mode
+    @min = min
+    @max = max
+    @mode = mode
+    crossover_p = (mode - min).to_f / @range
+    @generator = Enumerator.new do |yielder|
+      loop do
+        u = rng.next
+        if u < crossover_p
+          yielder << min + Math.sqrt(range * (mode - min) * u)
+        else
+          yielder << max - Math.sqrt(range * (max - mode) * (1.0 - u))
+        end
+      end
+    end
+  end
+end
+
+# Exponential random variate generator with specified +rate+ or +mean+.
+# One and only one of +rate+ or +mean+ should be specified.
+#
+# *Arguments*::
+#   - +rate+ -> the rate of occurrences per unit time (default: +nil+).
+#   - +mean+ -> the expected value of the distribution (default: +nil+).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Exponential
+  include RV_Generator
+
+  attr_reader :rate
+
+  def initialize(rate: nil, mean: nil, rng: U_GENERATOR)
+    fail 'Rate must be positive.' if rate && rate <= 0
+    fail 'Mean must be positive.' if mean && mean <= 0
+    fail 'Supply one and only one of mean or rate' unless rate.nil? ^ mean.nil?
+    @mean = rate.nil? ? mean : 1.0 / rate
+    @generator = Enumerator.new do |yielder|
+      loop { yielder << (-mean * Math.log(rng.next)) }
+    end
+  end
+end
+
+# Gaussian/normal random variate generator with specified
+# +mean+ and +standard deviation+.  Defaults to a standard normal.
+#
+# *Arguments*::
+#   - +mean+ -> the expected value (default: 0).
+#   - +sd+ -> the standard deviation (default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Gaussian
+  include RV_Generator
+
+  attr_reader :mean, :sd
+
+  def initialize(mean: 0.0, sd: 1.0, rng: U_GENERATOR)
+    fail 'Standard deviation must be positive.' if sd <= 0
+    @mean = mean
+    @sd = sd
+    @generator = Enumerator.new do |yielder|
+      # Ratio of Uniforms
+      bound = 2.0 * Math.sqrt(2.0 / Math::E)
+      loop do
+          u = rng.next
+          next if u == 0.0
+          v = bound * (rng.next - 0.5)
+          x = v / u
+          x_sqr = x * x
+          u_sqr = u * u
+          if 6.0 * x_sqr <= 44.0 - 72.0 * u + 36.0 * u_sqr - 8.0 * u * u_sqr
+            yielder << sd * x + mean
+          elsif x_sqr * u >= 2.0 - 2.0 * u_sqr
+            next
+          elsif x_sqr <= -4.0 * Math.log(u)
+            yielder << sd * x + mean
+          end
+        end
+    end
+  end
+end
+
+# Alternate Gaussian/normal random variate generator with specified
+# +mean+ and +standard deviation+.  Defaults to a standard normal.
+#
+# *Arguments*::
+#   - +mean+ -> the expected value (default: 0).
+#   - +sd+ -> the standard deviation (default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class BoxMuller
+  include RV_Generator
+
+  attr_reader :mean, :sd
+
+  def initialize(mean: 0.0, sd: 1.0, rng: U_GENERATOR)
+    fail 'Standard deviation must be positive.' if sd <= 0
+    @mean = mean
+    @sd = sd
+    @generator = Enumerator.new do |yielder|
+      # Box-Muller
+      next_z = 0.0
+      need_new_pair = false
+      loop do
+        need_new_pair ^= true
+        if need_new_pair
+          theta = 2.0 * Math::PI * rng.next
+          d = sd * Math.sqrt(-2.0 * Math.log(rng.next))
+          next_z = mean + d * Math.sin(theta)
+          yielder << mean + d * Math.cos(theta)
+        else
+          yielder << next_z
+        end
+      end
+    end
+  end
+end
+
+# Gamma generator based on Marsaglia and Tsang method Algorithm 4.33
+#
+# *Arguments*::
+#   - +alpha+ -> the shape parameter (+alpha+ > 0; default: 1).
+#   - +beta+ -> the rate parameter (+beta+ > 0; default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Gamma
+  include RV_Generator
+
+  attr_reader :alpha, :beta
+
+  def initialize(alpha: 1.0, beta: 1.0, rng: U_GENERATOR)
+    fail 'Alpha and beta must be positive.' if alpha <= 0 || beta <= 0
+    @alpha = alpha
+    @beta = beta
+    std_normal = Gaussian.new(mean: 0.0, sd: 1.0, rng: rng)
+    @generator = Enumerator.new do |yielder|
+      loop { yielder << __gen__(alpha, beta, std_normal, rng) }
+    end
+  end
+
+  private
+
+  def __gen__(alpha, beta, std_normal, rng)
+    if alpha > 1
+      z = v = 0.0
+      d = alpha - 1.0 / 3.0
+      c = (1.0 / 3.0) / Math.sqrt(d)
+      loop do
+        loop do
+          z = std_normal.next
+          v = 1.0 + c * z
+          break if v > 0
+        end
+        z2 = z * z
+        v = v * v * v
+        u = rng.next
+        break if u < 1.0 - 0.0331 * z2 * z2
+        break if Math.log(u) < (0.5 * z2 + d * (1.0 - v + Math.log(v)))
+      end
+      d * v * beta
+    else
+      __gen__(alpha + 1.0, beta, std_normal, rng) * (rng.next**(1.0 / alpha))
+    end
+  end
+end
+
+# Weibull generator based on Devroye
+#
+# *Arguments*::
+#   - +rate+ -> the scale parameter (+rate+ > 0; default: 1).
+#   - +k+ -> the shape parameter (+k+ > 0; default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Weibull
+  include RV_Generator
+
+  attr_reader :rate, :k
+
+  def initialize(rate: 1.0, k: 1.0, rng: U_GENERATOR)
+    fail 'Rate and k must be positive.' if rate <= 0 || k <= 0
+    @rate = rate
+    @k = k
+    power = 1.0 / k
+    @generator = Enumerator.new do |yielder|
+      loop { yielder << (-Math.log(rng.next))**power / rate }
+    end
+  end
+end
+
+# Erlang generator - Weibull restricted to integer +k+
+#
+# *Arguments*::
+#   - +rate+ -> the scale parameter (+rate+ > 0; default: 1).
+#   - +k+ -> the shape parameter (+k+ > 0; default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Erlang < Weibull
+  def initialize(rate: 1.0, k: 1, rng: U_GENERATOR)
+    fail 'K must be integer.' unless k.integer?
+    super(rate: rate, k: k, rng: rng)
+  end
+end
+
+# Poisson generator.
+#
+# *Arguments*::
+#   - +rate+ -> expected number per unit time/distance (+rate+ > 0; default: 1).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Poisson
+  include RV_Generator
+
+  attr_reader :rate
+
+  def initialize(rate: 1.0, rng: U_GENERATOR)
+    fail 'rate must be positive.' if rate <= 0
+    @rate = rate
+    threshold = Math.exp(-rate)
+    @generator = Enumerator.new do |yielder|
+      loop do
+        count = 0
+        product = 1.0
+        count += 1 until (product *= rng.next) < threshold
+        yielder << count
+      end
+    end
+  end
+end
+
+# Geometric generator.  Number of trials until first "success".
+#
+# *Arguments*::
+#   - +p+ -> the probability of success (0 < +p+ < 1; default: 0.5).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Geometric
+  include RV_Generator
+
+  attr_reader :p
+
+  def initialize(p: 0.5, rng: U_GENERATOR)
+    fail 'Require 0 < p < 1.' if p <= 0 || p >= 1
+    @p = p
+    log_q = Math.log(1 - p)
+    @generator = Enumerator.new do |yielder|
+      loop { yielder << (Math.log(1.0 - rng.next) / log_q).ceil }
+    end
+  end
+end
+
+# Binomial generator.  Number of "successes" in +n+ independent trials.
+#
+# *Arguments*::
+#   - +n+ -> the number of trials (+p+ > 0, integer; default: 1).
+#   - +p+ -> the probability of success (0 < +p+ < 1; default: 0.5).
+#   - +rng+ -> the (+Enumerable+) source of U(0, 1)'s (default: U_GENERATOR)
+#
+class Binomial
+  include RV_Generator
+
+  attr_reader :n, :p
+
+  def initialize(n: 1, p: 0.5, rng: U_GENERATOR)
+    fail 'N must be a positive integer.' if n.to_i != n || n <= 0
+    fail 'Require 0 < p < 1.' if p <= 0 || p >= 1
+    @n = n.to_i
+    @p = p
+    log_q = Math.log(1 - p)
+    @generator = Enumerator.new do |yielder|
+      loop do
+        result = sum = 0
+        loop do
+          sum += Math.log(rng.next) / (n - result)
+          break if sum < log_q
+          result += 1
+        end
+        yielder << result
+      end
+    end
+  end
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: random_variates
+version: !ruby/object:Gem::Version
+  version: 0.2.0
+platform: ruby
+authors:
+- Paul J Sanchez
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2018-07-15 00:00:00.000000000 Z
+dependencies: []
+description: Random variate generators implemented as enumerator/enumerable.
+email: pjs@alum.mit.edu
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- LICENSE.md
+- README.md
+- lib/random_variates.rb
+homepage: 
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '2.0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.7.7
+signing_key: 
+specification_version: 4
+summary: Random variate generator classes.
+test_files: []