From a710226941ccdd233adf0d97bf5d7b5339b79389 Mon Sep 17 00:00:00 2001 From: Thorsten Sommer Date: Sat, 31 Oct 2020 19:42:52 +0100 Subject: [PATCH] Migrated log normal distribution to shape fitter --- FastRng/Double/Distributions/LogNormal.cs | 35 ----------- FastRng/Double/Distributions/LogNormalS1M0.cs | 43 +++++++++++++ .../{LogNormal.cs => LogNormalS1M0.cs} | 62 +++++++++---------- 3 files changed, 71 insertions(+), 69 deletions(-) delete mode 100644 FastRng/Double/Distributions/LogNormal.cs create mode 100644 FastRng/Double/Distributions/LogNormalS1M0.cs rename FastRngTests/Double/Distributions/{LogNormal.cs => LogNormalS1M0.cs} (64%) diff --git a/FastRng/Double/Distributions/LogNormal.cs b/FastRng/Double/Distributions/LogNormal.cs deleted file mode 100644 index 18195f9..0000000 --- a/FastRng/Double/Distributions/LogNormal.cs +++ /dev/null @@ -1,35 +0,0 @@ -using System; -using System.Threading; -using System.Threading.Tasks; - -namespace FastRng.Double.Distributions -{ - public sealed class LogNormal : IDistribution - { - private double sigma = 1.0; - public IRandom Random { get; set; } - - public double Mu { get; set; } = 0.0; - - public double Sigma - { - get => this.sigma; - set - { - if(value <= 0.0) - throw new ArgumentOutOfRangeException(message: "Sigma must be greater than 0", null); - - this.sigma = value; - } - } - - public async ValueTask GetDistributedValue(CancellationToken token = default) - { - if (this.Random == null) - return double.NaN; - - var normal = await this.Random.NextNumber(new Normal(), token); // TODO: Check all distributions. Used distributions must be static readonly! Probably, after refactoring, no distribution should depend on any other! - return Math.Exp(normal); - } - } -} \ No newline at end of file diff --git a/FastRng/Double/Distributions/LogNormalS1M0.cs b/FastRng/Double/Distributions/LogNormalS1M0.cs new file mode 100644 index 0000000..2b7209b --- /dev/null +++ b/FastRng/Double/Distributions/LogNormalS1M0.cs @@ -0,0 +1,43 @@ +using System; +using System.Threading; +using System.Threading.Tasks; + +namespace FastRng.Double.Distributions +{ + public sealed class LogNormalS1M0 : IDistribution + { + private const double SIGMA = 1.0; + private const double MU = 0.0; + private const double CONSTANT = 1.51998658387455; + + private static readonly double FACTOR; + + private ShapeFitter fitter; + private IRandom random; + + static LogNormalS1M0() + { + FACTOR = SIGMA * Math.Sqrt(2 * Math.PI); + } + + public IRandom Random + { + get => this.random; + set + { + this.random = value; + this.fitter = new ShapeFitter(LogNormalS1M0.ShapeFunction, this.random, 100); + } + } + + private static double ShapeFunction(double x) => (CONSTANT / (x * FACTOR)) * Math.Exp( -(Math.Pow(Math.Log(x) - MU, 2) / (2 * Math.Pow(SIGMA, 2)))); + + public async ValueTask GetDistributedValue(CancellationToken token = default) + { + if (this.Random == null) + return double.NaN; + + return await this.fitter.NextNumber(token); + } + } +} \ No newline at end of file diff --git a/FastRngTests/Double/Distributions/LogNormal.cs b/FastRngTests/Double/Distributions/LogNormalS1M0.cs similarity index 64% rename from FastRngTests/Double/Distributions/LogNormal.cs rename to FastRngTests/Double/Distributions/LogNormalS1M0.cs index 0187739..c81c915 100644 --- a/FastRngTests/Double/Distributions/LogNormal.cs +++ b/FastRngTests/Double/Distributions/LogNormalS1M0.cs @@ -8,31 +8,40 @@ using NUnit.Framework; namespace FastRngTests.Double.Distributions { [ExcludeFromCodeCoverage] - public class LogNormal + public class LogNormalS1M0 { [Test] [Category(TestCategories.COVER)] [Category(TestCategories.NORMAL)] public async Task TestLogNormalDistribution01() { - const double MU = 0.1; - const double SIGMA = 0.25; - var mean = Math.Exp(MU + SIGMA * SIGMA * 0.5); - var variance = Math.Abs(Math.Exp(SIGMA * SIGMA) - 1) * Math.Exp(2 * MU + SIGMA * SIGMA); - - var dist = new FastRng.Double.Distributions.LogNormal{ Mu = MU, Sigma = SIGMA }; - var stats = new RunningStatistics(); + var dist = new FastRng.Double.Distributions.LogNormalS1M0(); + var fra = new FrequencyAnalysis(); var rng = new MultiThreadedRng(); for (var n = 0; n < 100_000; n++) - stats.Push(await rng.NextNumber(dist)); + fra.CountThis(await rng.NextNumber(dist)); rng.StopProducer(); - TestContext.WriteLine($"mean={mean} vs. {stats.Mean}"); - TestContext.WriteLine($"variance={variance} vs {stats.Variance}"); + var result = fra.NormalizeAndPlotEvents(TestContext.WriteLine); + + Assert.That(result[0], Is.EqualTo(0.001505531).Within(0.003)); + Assert.That(result[1], Is.EqualTo(0.014408709).Within(0.01)); + Assert.That(result[2], Is.EqualTo(0.043222256).Within(0.014)); - Assert.That(stats.Mean, Is.EqualTo(mean).Within(0.1), "Mean is out of range"); - Assert.That(stats.Variance, Is.EqualTo(variance).Within(0.1), "Variance is out of range"); + Assert.That(result[21], Is.EqualTo(0.876212056).Within(0.099)); + Assert.That(result[22], Is.EqualTo(0.895582226).Within(0.099)); + Assert.That(result[23], Is.EqualTo(0.912837250).Within(0.099)); + + Assert.That(result[50], Is.EqualTo(0.948062005).Within(0.099)); + + Assert.That(result[75], Is.EqualTo(0.768584762).Within(0.089)); + Assert.That(result[85], Is.EqualTo(0.697303612).Within(0.089)); + Assert.That(result[90], Is.EqualTo(0.663570581).Within(0.089)); + + Assert.That(result[97], Is.EqualTo(0.618792767).Within(0.089)); + Assert.That(result[98], Is.EqualTo(0.612636410).Within(0.089)); + Assert.That(result[99], Is.EqualTo(0.606540679).Within(0.089)); } [Test] @@ -41,9 +50,10 @@ namespace FastRngTests.Double.Distributions public async Task TestLogNormalGeneratorWithRange01() { var rng = new MultiThreadedRng(); + var dist = new FastRng.Double.Distributions.LogNormalS1M0(); var samples = new double[1_000]; for (var n = 0; n < samples.Length; n++) - samples[n] = await rng.NextNumber(-1.0, 1.0, new FastRng.Double.Distributions.LogNormal()); + samples[n] = await rng.NextNumber(-1.0, 1.0, dist); rng.StopProducer(); Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(-1.0), "Min out of range"); @@ -56,9 +66,10 @@ namespace FastRngTests.Double.Distributions public async Task TestLogNormalGeneratorWithRange02() { var rng = new MultiThreadedRng(); + var dist = new FastRng.Double.Distributions.LogNormalS1M0(); var samples = new double[1_000]; for (var n = 0; n < samples.Length; n++) - samples[n] = await rng.NextNumber(0.0, 1.0, new FastRng.Double.Distributions.LogNormal()); + samples[n] = await rng.NextNumber(0.0, 1.0, dist); rng.StopProducer(); Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(0.0), "Min is out of range"); @@ -71,7 +82,7 @@ namespace FastRngTests.Double.Distributions public async Task TestLogNormalGeneratorWithRange03() { var rng = new MultiThreadedRng(); - var dist = new FastRng.Double.Distributions.LogNormal { Random = rng }; // Test default parameters + var dist = new FastRng.Double.Distributions.LogNormalS1M0 { Random = rng }; // Test default parameters var samples = new double[1_000]; for (var n = 0; n < samples.Length; n++) @@ -82,29 +93,12 @@ namespace FastRngTests.Double.Distributions Assert.That(samples.Max(), Is.LessThanOrEqualTo(1.0), "Max is out of range"); } - [Test] - [Category(TestCategories.COVER)] - [Category(TestCategories.NORMAL)] - public void ParameterTest01() - { - var dist = new FastRng.Double.Distributions.LogNormal(); - - Assert.DoesNotThrow(() => dist.Mu = -45); - Assert.DoesNotThrow(() => dist.Mu = 15); - Assert.DoesNotThrow(() => dist.Mu = 0); - - Assert.Throws(() => dist.Sigma = 0); - Assert.Throws(() => dist.Sigma = -78); - Assert.DoesNotThrow(() => dist.Sigma = 0.0001); - Assert.DoesNotThrow(() => dist.Sigma = 4); - } - [Test] [Category(TestCategories.COVER)] [Category(TestCategories.NORMAL)] public async Task NoRandomNumberGenerator01() { - var dist = new FastRng.Double.Distributions.LogNormal(); + var dist = new FastRng.Double.Distributions.LogNormalS1M0(); Assert.DoesNotThrowAsync(async () => await dist.GetDistributedValue()); Assert.That(await dist.GetDistributedValue(), Is.NaN); }