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Migrated laplace distribution to shape fitter

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This commit is contained in:
Thorsten Sommer 2020-10-31 16:20:38 +01:00
parent 66d58e74d3
commit e2f292a6ff
5 changed files with 220 additions and 60 deletions
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28
FastRng/Double/Distributions/Laplace.cs
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@ -1,28 +0,0 @@
using System;
using System.Threading;
using System.Threading.Tasks;
namespace FastRng.Double.Distributions
{
public sealed class Laplace : IDistribution
{
public IRandom Random { get; set; }
public double Mean { get; set; } = 0.0;
public double Scale { get; set; } = 1.0;
public async ValueTask<double> GetDistributedValue(CancellationToken token = default)
{
if (this.Random == null)
return double.NaN;
var value = await this.Random.GetUniform(token);
if (value < 0.5)
return this.Mean + this.Scale * Math.Log(2.0 * value);
else
return this.Mean - this.Scale * Math.Log(2.0 * (1.0 - value));
}
}
}

43
FastRng/Double/Distributions/LaplaceB01M0.cs Normal file
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@ -0,0 +1,43 @@
using System;
using System.Threading;
using System.Threading.Tasks;
namespace FastRng.Double.Distributions
{
public sealed class LaplaceB01M0 : IDistribution
{
private const double B = 0.1;
private const double MU = 0.0;
private const double CONSTANT = 0.221034183615129;
private static readonly double FACTOR_LEFT;
private ShapeFitter fitter;
private IRandom random;
static LaplaceB01M0()
{
FACTOR_LEFT = CONSTANT / (2.0d * B);
}
public IRandom Random
{
get => this.random;
set
{
this.random = value;
this.fitter = new ShapeFitter(LaplaceB01M0.ShapeFunction, this.random, 100);
}
}
private static double ShapeFunction(double x) => FACTOR_LEFT * Math.Exp(-Math.Abs(x - MU) / B);
public async ValueTask<double> GetDistributedValue(CancellationToken token = default)
{
if (this.Random == null)
return double.NaN;
return await this.fitter.NextNumber(token);
}
}
}

43
FastRng/Double/Distributions/LaplaceB01M05.cs Normal file
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@ -0,0 +1,43 @@
using System;
using System.Threading;
using System.Threading.Tasks;
namespace FastRng.Double.Distributions
{
public sealed class LaplaceB01M05 : IDistribution
{
private const double B = 0.1;
private const double MU = 0.5;
private const double CONSTANT = 0.2;
private static readonly double FACTOR_LEFT;
private ShapeFitter fitter;
private IRandom random;
static LaplaceB01M05()
{
FACTOR_LEFT = CONSTANT / (2.0d * B);
}
public IRandom Random
{
get => this.random;
set
{
this.random = value;
this.fitter = new ShapeFitter(LaplaceB01M05.ShapeFunction, this.random, 100);
}
}
private static double ShapeFunction(double x) => FACTOR_LEFT * Math.Exp(-Math.Abs(x - MU) / B);
public async ValueTask<double> GetDistributedValue(CancellationToken token = default)
{
if (this.Random == null)
return double.NaN;
return await this.fitter.NextNumber(token);
}
}
}

60
FastRngTests/Double/Distributions/Laplace.cs → FastRngTests/Double/Distributions/LaplaceB01M0.cs
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@ -8,30 +8,40 @@ using NUnit.Framework;
namespace FastRngTests.Double.Distributions
{
[ExcludeFromCodeCoverage]
public class Laplace
public class LaplaceB01M0
{
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestLaplaceDistribution01()
{
const double MEAN = 0.2;
const double SCALE = 4.8;
const double VARIANCE = 2 * SCALE * SCALE;
var dist = new FastRng.Double.Distributions.Laplace{ Mean = MEAN, Scale = SCALE };
var stats = new RunningStatistics();
var dist = new FastRng.Double.Distributions.LaplaceB01M0();
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(stats.Mean, Is.EqualTo(MEAN).Within(0.1), "Mean is out of range");
Assert.That(stats.Variance, Is.EqualTo(VARIANCE).Within(0.5), "Variance is out of range");
Assert.That(result[0], Is.EqualTo(1.0000000000000000).Within(0.05));
Assert.That(result[1], Is.EqualTo(0.9048374180359590).Within(0.05));
Assert.That(result[2], Is.EqualTo(0.8187307530779810).Within(0.05));
Assert.That(result[21], Is.EqualTo(0.1224564282529820).Within(0.05));
Assert.That(result[22], Is.EqualTo(0.1108031583623340).Within(0.05));
Assert.That(result[23], Is.EqualTo(0.1002588437228040).Within(0.05));
Assert.That(result[50], Is.EqualTo(0.0067379469990855).Within(0.002));
Assert.That(result[75], Is.EqualTo(0.0005530843701478).Within(0.0004));
Assert.That(result[85], Is.EqualTo(0.0002034683690106).Within(0.0003));
Assert.That(result[90], Is.EqualTo(0.0001234098040867).Within(0.0003));
Assert.That(result[97], Is.EqualTo(0.0000612834950532).Within(0.0002));
Assert.That(result[98], Is.EqualTo(0.0000554515994322).Within(0.0002));
Assert.That(result[99], Is.EqualTo(0.0000501746820562).Within(0.0002));
}
[Test]
@ -40,9 +50,10 @@ namespace FastRngTests.Double.Distributions
public async Task TestLaplaceGeneratorWithRange01()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.LaplaceB01M0();
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.Laplace());
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 TestLaplaceGeneratorWithRange02()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.LaplaceB01M0();
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.Laplace());
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 TestLaplaceGeneratorWithRange03()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.Laplace { Random = rng }; // Test default parameters
var dist = new FastRng.Double.Distributions.LaplaceB01M0 { Random = rng }; // Test default parameters
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
@ -81,28 +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.Laplace();
Assert.DoesNotThrow(() => dist.Mean = -45);
Assert.DoesNotThrow(() => dist.Mean = 15);
Assert.DoesNotThrow(() => dist.Mean = 0);
Assert.DoesNotThrow(() => dist.Scale = -45);
Assert.DoesNotThrow(() => dist.Scale = 15);
Assert.DoesNotThrow(() => dist.Scale = 0);
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task NoRandomNumberGenerator01()
{
var dist = new FastRng.Double.Distributions.Laplace();
var dist = new FastRng.Double.Distributions.LaplaceB01M0();
Assert.DoesNotThrowAsync(async () => await dist.GetDistributedValue());
Assert.That(await dist.GetDistributedValue(), Is.NaN);
}

106
FastRngTests/Double/Distributions/LaplaceB01M05.cs Normal file
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@ -0,0 +1,106 @@
using System;
using System.Diagnostics.CodeAnalysis;
using System.Linq;
using System.Threading.Tasks;
using FastRng.Double;
using NUnit.Framework;
namespace FastRngTests.Double.Distributions
{
[ExcludeFromCodeCoverage]
public class LaplaceB01M05
{
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestLaplaceDistribution01()
{
var dist = new FastRng.Double.Distributions.LaplaceB01M05();
var fra = new FrequencyAnalysis();
var rng = new MultiThreadedRng();
for (var n = 0; n < 100_000; n++)
fra.CountThis(await rng.NextNumber(dist));
rng.StopProducer();
var result = fra.NormalizeAndPlotEvents(TestContext.WriteLine);
Assert.That(result[0], Is.EqualTo(0.0074465830709244).Within(0.003));
Assert.That(result[1], Is.EqualTo(0.0082297470490200).Within(0.003));
Assert.That(result[2], Is.EqualTo(0.0090952771016958).Within(0.003));
Assert.That(result[21], Is.EqualTo(0.0608100626252180).Within(0.01));
Assert.That(result[22], Is.EqualTo(0.0672055127397498).Within(0.01));
Assert.That(result[23], Is.EqualTo(0.0742735782143340).Within(0.01));
Assert.That(result[50], Is.EqualTo(1.0000000000000000).Within(0.2));
Assert.That(result[75], Is.EqualTo(0.0742735782143335).Within(0.008));
Assert.That(result[85], Is.EqualTo(0.0273237224472924).Within(0.005));
Assert.That(result[90], Is.EqualTo(0.0165726754017612).Within(0.003));
Assert.That(result[97], Is.EqualTo(0.0082297470490200).Within(0.0025));
Assert.That(result[98], Is.EqualTo(0.0074465830709243).Within(0.0025));
Assert.That(result[99], Is.EqualTo(0.0067379469990854).Within(0.0025));
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestLaplaceGeneratorWithRange01()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.LaplaceB01M05();
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
samples[n] = await rng.NextNumber(-1.0, 1.0, dist);
rng.StopProducer();
Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(-1.0), "Min out of range");
Assert.That(samples.Max(), Is.LessThanOrEqualTo(1.0), "Max out of range");
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestLaplaceGeneratorWithRange02()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.LaplaceB01M05();
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
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");
Assert.That(samples.Max(), Is.LessThanOrEqualTo(1.0), "Max is out of range");
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task TestLaplaceGeneratorWithRange03()
{
var rng = new MultiThreadedRng();
var dist = new FastRng.Double.Distributions.LaplaceB01M05 { Random = rng }; // Test default parameters
var samples = new double[1_000];
for (var n = 0; n < samples.Length; n++)
samples[n] = await dist.GetDistributedValue();
rng.StopProducer();
Assert.That(samples.Min(), Is.GreaterThanOrEqualTo(0.0), "Min is out of range");
Assert.That(samples.Max(), Is.LessThanOrEqualTo(1.0), "Max is out of range");
}
[Test]
[Category(TestCategories.COVER)]
[Category(TestCategories.NORMAL)]
public async Task NoRandomNumberGenerator01()
{
var dist = new FastRng.Double.Distributions.LaplaceB01M05();
Assert.DoesNotThrowAsync(async () => await dist.GetDistributedValue());
Assert.That(await dist.GetDistributedValue(), Is.NaN);
}
}
}