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Migrated StudentT distribution to shape fitter

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This commit is contained in:
Thorsten Sommer 2020-10-31 21:18:27 +01:00
parent 3bf829d684
commit b662d08c9c
3 changed files with 76 additions and 65 deletions
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36
FastRng/Double/Distributions/StudentT.cs
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@ -1,36 +0,0 @@
using System;
using System.Threading;
using System.Threading.Tasks;
namespace FastRng.Double.Distributions
{
public sealed class StudentT : IDistribution
{
private static readonly IDistribution NORMAL_DISTRIBUTED = new Normal();
private double degreesOfFreedom = 1.0;
public IRandom Random { get; set; }
public double DegreesOfFreedom
{
get => this.degreesOfFreedom;
set
{
if(value <= 0.0)
throw new ArgumentOutOfRangeException(message: "DegreesOfFreedom must be greater than 0", null);
this.degreesOfFreedom = value;
}
}
public async ValueTask<double> GetDistributedValue(CancellationToken token = default)
{
if (this.Random == null)
return double.NaN;
var normal = await this.Random.NextNumber(NORMAL_DISTRIBUTED, token);
var chiSquare = await this.Random.NextNumber(new ChiSquare {DegreesOfFreedom = this.DegreesOfFreedom}, token);
return normal / Math.Sqrt(chiSquare / this.DegreesOfFreedom);
}
}
}

48
FastRng/Double/Distributions/StudentTNu1.cs Normal file
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@ -0,0 +1,48 @@
using System;
using System.Threading;
using System.Threading.Tasks;
namespace FastRng.Double.Distributions
{
public sealed class StudentTNu1 : IDistribution
{
private const double NU = 1.0;
private const double START = 0.0;
private const double COMPRESS = 1.0;
private const double CONSTANT = 3.14190548592729;
private static readonly double DIVIDEND;
private static readonly double DIVISOR;
private static readonly double EXPONENT;
private ShapeFitter fitter;
private IRandom random;
static StudentTNu1()
{
DIVIDEND = MathTools.Gamma((NU + 1.0d) * 0.5d);
DIVISOR = Math.Sqrt(NU * Math.PI) * MathTools.Gamma(NU * 0.5d);
EXPONENT = -((NU + 1.0d) * 0.5d);
}
public IRandom Random
{
get => this.random;
set
{
this.random = value;
this.fitter = new ShapeFitter(StudentTNu1.ShapeFunction, this.random, 100);
}
}
private static double ShapeFunction(double x) => CONSTANT * Math.Pow((DIVIDEND / DIVISOR) * Math.Pow(1.0d + Math.Pow(START + x * COMPRESS, 2) / NU, EXPONENT), COMPRESS);
public async ValueTask<double> GetDistributedValue(CancellationToken token = default)
{
if (this.Random == null)
return double.NaN;
return await this.fitter.NextNumber(token);
}
}
}

57
FastRngTests/Double/Distributions/StudentT.cs → FastRngTests/Double/Distributions/StudentTNu1.cs
View File

@ -8,30 +8,40 @@ using NUnit.Framework;
namespace FastRngTests.Double.Distributions
{
[ExcludeFromCodeCoverage]
public class StudentT
public class StudentTNu1
{
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestStudentTDistribution01()
{
const double DOF = 6;
const double MEAN = 0.0;
const double VARIANCE = DOF / (DOF - 2);
var dist = new FastRng.Double.Distributions.StudentT{ DegreesOfFreedom = DOF };
var stats = new RunningStatistics();
var dist = new FastRng.Double.Distributions.StudentTNu1();
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(1.000000000).Within(0.2));
Assert.That(result[1], Is.EqualTo(0.999700120).Within(0.2));
Assert.That(result[2], Is.EqualTo(0.999200719).Within(0.2));
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(0.953929798).Within(0.2));
Assert.That(result[22], Is.EqualTo(0.949852788).Within(0.2));
Assert.That(result[23], Is.EqualTo(0.945631619).Within(0.2));
Assert.That(result[50], Is.EqualTo(0.793667169).Within(0.095));
Assert.That(result[75], Is.EqualTo(0.633937627).Within(0.09));
Assert.That(result[85], Is.EqualTo(0.574902276).Within(0.09));
Assert.That(result[90], Is.EqualTo(0.547070729).Within(0.09));
Assert.That(result[97], Is.EqualTo(0.510150990).Within(0.09));
Assert.That(result[98], Is.EqualTo(0.505075501).Within(0.09));
Assert.That(result[99], Is.EqualTo(0.500050000).Within(0.09));
}
[Test]
@ -40,9 +50,10 @@ namespace FastRngTests.Double.Distributions
public async Task TestStudentTGeneratorWithRange01()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.StudentTNu1();
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.StudentT());
samples[n] = await rng.NextNumber(-1.0, 1.0, dist);
rng.StopProducer();
Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(-1.0), "Min out of range");
@ -55,9 +66,10 @@ namespace FastRngTests.Double.Distributions
public async Task TestStudentTGeneratorWithRange02()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.StudentTNu1();
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.StudentT());
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");
@ -70,7 +82,7 @@ namespace FastRngTests.Double.Distributions
public async Task TestStudentTGeneratorWithRange03()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.StudentT { Random = rng }; // Test default parameters
var dist = new FastRng.Double.Distributions.StudentTNu1 { Random = rng }; // Test default parameters
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
@ -81,25 +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.StudentT();
Assert.Throws<ArgumentOutOfRangeException>(() => dist.DegreesOfFreedom = 0);
Assert.Throws<ArgumentOutOfRangeException>(() => dist.DegreesOfFreedom = -78);
Assert.DoesNotThrow(() => dist.DegreesOfFreedom = 0.0001);
Assert.DoesNotThrow(() => dist.DegreesOfFreedom = 4);
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task NoRandomNumberGenerator01()
{
var dist = new FastRng.Double.Distributions.StudentT();
var dist = new FastRng.Double.Distributions.StudentTNu1();
Assert.DoesNotThrowAsync(async () => await dist.GetDistributedValue());
Assert.That(await dist.GetDistributedValue(), Is.NaN);
}