mirror of https://github.com/python/cpython
573 lines
18 KiB
Python
573 lines
18 KiB
Python
"""Random variable generators.
|
|
|
|
integers
|
|
--------
|
|
uniform within range
|
|
|
|
sequences
|
|
---------
|
|
pick random element
|
|
generate random permutation
|
|
|
|
distributions on the real line:
|
|
------------------------------
|
|
uniform
|
|
normal (Gaussian)
|
|
lognormal
|
|
negative exponential
|
|
gamma
|
|
beta
|
|
|
|
distributions on the circle (angles 0 to 2pi)
|
|
---------------------------------------------
|
|
circular uniform
|
|
von Mises
|
|
|
|
Translated from anonymously contributed C/C++ source.
|
|
|
|
Multi-threading note: the random number generator used here is not
|
|
thread-safe; it is possible that two calls return the same random
|
|
value. But you can instantiate a different instance of Random() in
|
|
each thread to get generators that don't share state, then use
|
|
.setstate() and .jumpahead() to move the generators to disjoint
|
|
segments of the full period.
|
|
"""
|
|
# XXX The docstring sucks.
|
|
|
|
from math import log as _log, exp as _exp, pi as _pi, e as _e
|
|
from math import sqrt as _sqrt, acos as _acos, cos as _cos, sin as _sin
|
|
|
|
def _verify(name, expected):
|
|
computed = eval(name)
|
|
if abs(computed - expected) > 1e-7:
|
|
raise ValueError(
|
|
"computed value for %s deviates too much "
|
|
"(computed %g, expected %g)" % (name, computed, expected))
|
|
|
|
NV_MAGICCONST = 4 * _exp(-0.5)/_sqrt(2.0)
|
|
_verify('NV_MAGICCONST', 1.71552776992141)
|
|
|
|
TWOPI = 2.0*_pi
|
|
_verify('TWOPI', 6.28318530718)
|
|
|
|
LOG4 = _log(4.0)
|
|
_verify('LOG4', 1.38629436111989)
|
|
|
|
SG_MAGICCONST = 1.0 + _log(4.5)
|
|
_verify('SG_MAGICCONST', 2.50407739677627)
|
|
|
|
del _verify
|
|
|
|
# Translated by Guido van Rossum from C source provided by
|
|
# Adrian Baddeley.
|
|
|
|
class Random:
|
|
|
|
VERSION = 1 # used by getstate/setstate
|
|
|
|
def __init__(self, x=None):
|
|
"""Initialize an instance.
|
|
|
|
Optional argument x controls seeding, as for Random.seed().
|
|
"""
|
|
|
|
self.seed(x)
|
|
self.gauss_next = None
|
|
|
|
## -------------------- core generator -------------------
|
|
|
|
# Specific to Wichmann-Hill generator. Subclasses wishing to use a
|
|
# different core generator should override the seed(), random(),
|
|
# getstate(), setstate() and jumpahead() methods.
|
|
|
|
def __whseed(self, x=0, y=0, z=0):
|
|
"""Set the Wichmann-Hill seed from (x, y, z).
|
|
|
|
These must be integers in the range [0, 256).
|
|
"""
|
|
|
|
if not type(x) == type(y) == type(z) == type(0):
|
|
raise TypeError('seeds must be integers')
|
|
if not (0 <= x < 256 and 0 <= y < 256 and 0 <= z < 256):
|
|
raise ValueError('seeds must be in range(0, 256)')
|
|
if 0 == x == y == z:
|
|
# Initialize from current time
|
|
import time
|
|
t = long(time.time()) * 256
|
|
t = int((t&0xffffff) ^ (t>>24))
|
|
t, x = divmod(t, 256)
|
|
t, y = divmod(t, 256)
|
|
t, z = divmod(t, 256)
|
|
# Zero is a poor seed, so substitute 1
|
|
self._seed = (x or 1, y or 1, z or 1)
|
|
|
|
def random(self):
|
|
"""Get the next random number in the range [0.0, 1.0)."""
|
|
|
|
# Wichman-Hill random number generator.
|
|
#
|
|
# Wichmann, B. A. & Hill, I. D. (1982)
|
|
# Algorithm AS 183:
|
|
# An efficient and portable pseudo-random number generator
|
|
# Applied Statistics 31 (1982) 188-190
|
|
#
|
|
# see also:
|
|
# Correction to Algorithm AS 183
|
|
# Applied Statistics 33 (1984) 123
|
|
#
|
|
# McLeod, A. I. (1985)
|
|
# A remark on Algorithm AS 183
|
|
# Applied Statistics 34 (1985),198-200
|
|
|
|
# This part is thread-unsafe:
|
|
# BEGIN CRITICAL SECTION
|
|
x, y, z = self._seed
|
|
x = (171 * x) % 30269
|
|
y = (172 * y) % 30307
|
|
z = (170 * z) % 30323
|
|
self._seed = x, y, z
|
|
# END CRITICAL SECTION
|
|
|
|
# Note: on a platform using IEEE-754 double arithmetic, this can
|
|
# never return 0.0 (asserted by Tim; proof too long for a comment).
|
|
return (x/30269.0 + y/30307.0 + z/30323.0) % 1.0
|
|
|
|
def seed(self, a=None):
|
|
"""Seed from hashable object's hash code.
|
|
|
|
None or no argument seeds from current time. It is not guaranteed
|
|
that objects with distinct hash codes lead to distinct internal
|
|
states.
|
|
"""
|
|
|
|
if a is None:
|
|
self.__whseed()
|
|
return
|
|
a = hash(a)
|
|
a, x = divmod(a, 256)
|
|
a, y = divmod(a, 256)
|
|
a, z = divmod(a, 256)
|
|
x = (x + a) % 256 or 1
|
|
y = (y + a) % 256 or 1
|
|
z = (z + a) % 256 or 1
|
|
self.__whseed(x, y, z)
|
|
|
|
def getstate(self):
|
|
"""Return internal state; can be passed to setstate() later."""
|
|
return self.VERSION, self._seed, self.gauss_next
|
|
|
|
def setstate(self, state):
|
|
"""Restore internal state from object returned by getstate()."""
|
|
version = state[0]
|
|
if version == 1:
|
|
version, self._seed, self.gauss_next = state
|
|
else:
|
|
raise ValueError("state with version %s passed to "
|
|
"Random.setstate() of version %s" %
|
|
(version, self.VERSION))
|
|
|
|
def jumpahead(self, n):
|
|
"""Act as if n calls to random() were made, but quickly.
|
|
|
|
n is an int, greater than or equal to 0.
|
|
|
|
Example use: If you have 2 threads and know that each will
|
|
consume no more than a million random numbers, create two Random
|
|
objects r1 and r2, then do
|
|
r2.setstate(r1.getstate())
|
|
r2.jumpahead(1000000)
|
|
Then r1 and r2 will use guaranteed-disjoint segments of the full
|
|
period.
|
|
"""
|
|
|
|
if not n >= 0:
|
|
raise ValueError("n must be >= 0")
|
|
x, y, z = self._seed
|
|
x = int(x * pow(171, n, 30269)) % 30269
|
|
y = int(y * pow(172, n, 30307)) % 30307
|
|
z = int(z * pow(170, n, 30323)) % 30323
|
|
self._seed = x, y, z
|
|
|
|
## ---- Methods below this point do not need to be overridden when
|
|
## ---- subclassing for the purpose of using a different core generator.
|
|
|
|
## -------------------- pickle support -------------------
|
|
|
|
def __getstate__(self): # for pickle
|
|
return self.getstate()
|
|
|
|
def __setstate__(self, state): # for pickle
|
|
self.setstate(state)
|
|
|
|
## -------------------- integer methods -------------------
|
|
|
|
def randrange(self, start, stop=None, step=1, int=int, default=None):
|
|
"""Choose a random item from range(start, stop[, step]).
|
|
|
|
This fixes the problem with randint() which includes the
|
|
endpoint; in Python this is usually not what you want.
|
|
Do not supply the 'int' and 'default' arguments.
|
|
"""
|
|
|
|
# This code is a bit messy to make it fast for the
|
|
# common case while still doing adequate error checking
|
|
istart = int(start)
|
|
if istart != start:
|
|
raise ValueError, "non-integer arg 1 for randrange()"
|
|
if stop is default:
|
|
if istart > 0:
|
|
return int(self.random() * istart)
|
|
raise ValueError, "empty range for randrange()"
|
|
istop = int(stop)
|
|
if istop != stop:
|
|
raise ValueError, "non-integer stop for randrange()"
|
|
if step == 1:
|
|
if istart < istop:
|
|
return istart + int(self.random() *
|
|
(istop - istart))
|
|
raise ValueError, "empty range for randrange()"
|
|
istep = int(step)
|
|
if istep != step:
|
|
raise ValueError, "non-integer step for randrange()"
|
|
if istep > 0:
|
|
n = (istop - istart + istep - 1) / istep
|
|
elif istep < 0:
|
|
n = (istop - istart + istep + 1) / istep
|
|
else:
|
|
raise ValueError, "zero step for randrange()"
|
|
|
|
if n <= 0:
|
|
raise ValueError, "empty range for randrange()"
|
|
return istart + istep*int(self.random() * n)
|
|
|
|
def randint(self, a, b):
|
|
"""Return random integer in range [a, b], including both end points.
|
|
|
|
(Deprecated; use randrange(a, b+1).)
|
|
"""
|
|
|
|
return self.randrange(a, b+1)
|
|
|
|
## -------------------- sequence methods -------------------
|
|
|
|
def choice(self, seq):
|
|
"""Choose a random element from a non-empty sequence."""
|
|
return seq[int(self.random() * len(seq))]
|
|
|
|
def shuffle(self, x, random=None, int=int):
|
|
"""x, random=random.random -> shuffle list x in place; return None.
|
|
|
|
Optional arg random is a 0-argument function returning a random
|
|
float in [0.0, 1.0); by default, the standard random.random.
|
|
|
|
Note that for even rather small len(x), the total number of
|
|
permutations of x is larger than the period of most random number
|
|
generators; this implies that "most" permutations of a long
|
|
sequence can never be generated.
|
|
"""
|
|
|
|
if random is None:
|
|
random = self.random
|
|
for i in xrange(len(x)-1, 0, -1):
|
|
# pick an element in x[:i+1] with which to exchange x[i]
|
|
j = int(random() * (i+1))
|
|
x[i], x[j] = x[j], x[i]
|
|
|
|
## -------------------- real-valued distributions -------------------
|
|
|
|
## -------------------- uniform distribution -------------------
|
|
|
|
def uniform(self, a, b):
|
|
"""Get a random number in the range [a, b)."""
|
|
return a + (b-a) * self.random()
|
|
|
|
## -------------------- normal distribution --------------------
|
|
|
|
def normalvariate(self, mu, sigma):
|
|
# mu = mean, sigma = standard deviation
|
|
|
|
# Uses Kinderman and Monahan method. Reference: Kinderman,
|
|
# A.J. and Monahan, J.F., "Computer generation of random
|
|
# variables using the ratio of uniform deviates", ACM Trans
|
|
# Math Software, 3, (1977), pp257-260.
|
|
|
|
random = self.random
|
|
while 1:
|
|
u1 = random()
|
|
u2 = random()
|
|
z = NV_MAGICCONST*(u1-0.5)/u2
|
|
zz = z*z/4.0
|
|
if zz <= -_log(u2):
|
|
break
|
|
return mu + z*sigma
|
|
|
|
## -------------------- lognormal distribution --------------------
|
|
|
|
def lognormvariate(self, mu, sigma):
|
|
return _exp(self.normalvariate(mu, sigma))
|
|
|
|
## -------------------- circular uniform --------------------
|
|
|
|
def cunifvariate(self, mean, arc):
|
|
# mean: mean angle (in radians between 0 and pi)
|
|
# arc: range of distribution (in radians between 0 and pi)
|
|
|
|
return (mean + arc * (self.random() - 0.5)) % _pi
|
|
|
|
## -------------------- exponential distribution --------------------
|
|
|
|
def expovariate(self, lambd):
|
|
# lambd: rate lambd = 1/mean
|
|
# ('lambda' is a Python reserved word)
|
|
|
|
random = self.random
|
|
u = random()
|
|
while u <= 1e-7:
|
|
u = random()
|
|
return -_log(u)/lambd
|
|
|
|
## -------------------- von Mises distribution --------------------
|
|
|
|
def vonmisesvariate(self, mu, kappa):
|
|
# mu: mean angle (in radians between 0 and 2*pi)
|
|
# kappa: concentration parameter kappa (>= 0)
|
|
# if kappa = 0 generate uniform random angle
|
|
|
|
# Based upon an algorithm published in: Fisher, N.I.,
|
|
# "Statistical Analysis of Circular Data", Cambridge
|
|
# University Press, 1993.
|
|
|
|
# Thanks to Magnus Kessler for a correction to the
|
|
# implementation of step 4.
|
|
|
|
random = self.random
|
|
if kappa <= 1e-6:
|
|
return TWOPI * random()
|
|
|
|
a = 1.0 + _sqrt(1.0 + 4.0 * kappa * kappa)
|
|
b = (a - _sqrt(2.0 * a))/(2.0 * kappa)
|
|
r = (1.0 + b * b)/(2.0 * b)
|
|
|
|
while 1:
|
|
u1 = random()
|
|
|
|
z = _cos(_pi * u1)
|
|
f = (1.0 + r * z)/(r + z)
|
|
c = kappa * (r - f)
|
|
|
|
u2 = random()
|
|
|
|
if not (u2 >= c * (2.0 - c) and u2 > c * _exp(1.0 - c)):
|
|
break
|
|
|
|
u3 = random()
|
|
if u3 > 0.5:
|
|
theta = (mu % TWOPI) + _acos(f)
|
|
else:
|
|
theta = (mu % TWOPI) - _acos(f)
|
|
|
|
return theta
|
|
|
|
## -------------------- gamma distribution --------------------
|
|
|
|
def gammavariate(self, alpha, beta):
|
|
# beta times standard gamma
|
|
ainv = _sqrt(2.0 * alpha - 1.0)
|
|
return beta * self.stdgamma(alpha, ainv, alpha - LOG4, alpha + ainv)
|
|
|
|
def stdgamma(self, alpha, ainv, bbb, ccc):
|
|
# ainv = sqrt(2 * alpha - 1)
|
|
# bbb = alpha - log(4)
|
|
# ccc = alpha + ainv
|
|
|
|
random = self.random
|
|
if alpha <= 0.0:
|
|
raise ValueError, 'stdgamma: alpha must be > 0.0'
|
|
|
|
if alpha > 1.0:
|
|
|
|
# Uses R.C.H. Cheng, "The generation of Gamma
|
|
# variables with non-integral shape parameters",
|
|
# Applied Statistics, (1977), 26, No. 1, p71-74
|
|
|
|
while 1:
|
|
u1 = random()
|
|
u2 = random()
|
|
v = _log(u1/(1.0-u1))/ainv
|
|
x = alpha*_exp(v)
|
|
z = u1*u1*u2
|
|
r = bbb+ccc*v-x
|
|
if r + SG_MAGICCONST - 4.5*z >= 0.0 or r >= _log(z):
|
|
return x
|
|
|
|
elif alpha == 1.0:
|
|
# expovariate(1)
|
|
u = random()
|
|
while u <= 1e-7:
|
|
u = random()
|
|
return -_log(u)
|
|
|
|
else: # alpha is between 0 and 1 (exclusive)
|
|
|
|
# Uses ALGORITHM GS of Statistical Computing - Kennedy & Gentle
|
|
|
|
while 1:
|
|
u = random()
|
|
b = (_e + alpha)/_e
|
|
p = b*u
|
|
if p <= 1.0:
|
|
x = pow(p, 1.0/alpha)
|
|
else:
|
|
# p > 1
|
|
x = -_log((b-p)/alpha)
|
|
u1 = random()
|
|
if not (((p <= 1.0) and (u1 > _exp(-x))) or
|
|
((p > 1) and (u1 > pow(x, alpha - 1.0)))):
|
|
break
|
|
return x
|
|
|
|
|
|
## -------------------- Gauss (faster alternative) --------------------
|
|
|
|
def gauss(self, mu, sigma):
|
|
|
|
# When x and y are two variables from [0, 1), uniformly
|
|
# distributed, then
|
|
#
|
|
# cos(2*pi*x)*sqrt(-2*log(1-y))
|
|
# sin(2*pi*x)*sqrt(-2*log(1-y))
|
|
#
|
|
# are two *independent* variables with normal distribution
|
|
# (mu = 0, sigma = 1).
|
|
# (Lambert Meertens)
|
|
# (corrected version; bug discovered by Mike Miller, fixed by LM)
|
|
|
|
# Multithreading note: When two threads call this function
|
|
# simultaneously, it is possible that they will receive the
|
|
# same return value. The window is very small though. To
|
|
# avoid this, you have to use a lock around all calls. (I
|
|
# didn't want to slow this down in the serial case by using a
|
|
# lock here.)
|
|
|
|
random = self.random
|
|
z = self.gauss_next
|
|
self.gauss_next = None
|
|
if z is None:
|
|
x2pi = random() * TWOPI
|
|
g2rad = _sqrt(-2.0 * _log(1.0 - random()))
|
|
z = _cos(x2pi) * g2rad
|
|
self.gauss_next = _sin(x2pi) * g2rad
|
|
|
|
return mu + z*sigma
|
|
|
|
## -------------------- beta --------------------
|
|
|
|
def betavariate(self, alpha, beta):
|
|
|
|
# Discrete Event Simulation in C, pp 87-88.
|
|
|
|
y = self.expovariate(alpha)
|
|
z = self.expovariate(1.0/beta)
|
|
return z/(y+z)
|
|
|
|
## -------------------- Pareto --------------------
|
|
|
|
def paretovariate(self, alpha):
|
|
# Jain, pg. 495
|
|
|
|
u = self.random()
|
|
return 1.0 / pow(u, 1.0/alpha)
|
|
|
|
## -------------------- Weibull --------------------
|
|
|
|
def weibullvariate(self, alpha, beta):
|
|
# Jain, pg. 499; bug fix courtesy Bill Arms
|
|
|
|
u = self.random()
|
|
return alpha * pow(-_log(u), 1.0/beta)
|
|
|
|
## -------------------- test program --------------------
|
|
|
|
def _test_generator(n, funccall):
|
|
import time
|
|
print n, 'times', funccall
|
|
code = compile(funccall, funccall, 'eval')
|
|
sum = 0.0
|
|
sqsum = 0.0
|
|
smallest = 1e10
|
|
largest = -1e10
|
|
t0 = time.time()
|
|
for i in range(n):
|
|
x = eval(code)
|
|
sum = sum + x
|
|
sqsum = sqsum + x*x
|
|
smallest = min(x, smallest)
|
|
largest = max(x, largest)
|
|
t1 = time.time()
|
|
print round(t1-t0, 3), 'sec,',
|
|
avg = sum/n
|
|
stddev = _sqrt(sqsum/n - avg*avg)
|
|
print 'avg %g, stddev %g, min %g, max %g' % \
|
|
(avg, stddev, smallest, largest)
|
|
|
|
def _test(N=200):
|
|
print 'TWOPI =', TWOPI
|
|
print 'LOG4 =', LOG4
|
|
print 'NV_MAGICCONST =', NV_MAGICCONST
|
|
print 'SG_MAGICCONST =', SG_MAGICCONST
|
|
_test_generator(N, 'random()')
|
|
_test_generator(N, 'normalvariate(0.0, 1.0)')
|
|
_test_generator(N, 'lognormvariate(0.0, 1.0)')
|
|
_test_generator(N, 'cunifvariate(0.0, 1.0)')
|
|
_test_generator(N, 'expovariate(1.0)')
|
|
_test_generator(N, 'vonmisesvariate(0.0, 1.0)')
|
|
_test_generator(N, 'gammavariate(0.5, 1.0)')
|
|
_test_generator(N, 'gammavariate(0.9, 1.0)')
|
|
_test_generator(N, 'gammavariate(1.0, 1.0)')
|
|
_test_generator(N, 'gammavariate(2.0, 1.0)')
|
|
_test_generator(N, 'gammavariate(20.0, 1.0)')
|
|
_test_generator(N, 'gammavariate(200.0, 1.0)')
|
|
_test_generator(N, 'gauss(0.0, 1.0)')
|
|
_test_generator(N, 'betavariate(3.0, 3.0)')
|
|
_test_generator(N, 'paretovariate(1.0)')
|
|
_test_generator(N, 'weibullvariate(1.0, 1.0)')
|
|
|
|
# Test jumpahead.
|
|
s = getstate()
|
|
jumpahead(N)
|
|
r1 = random()
|
|
# now do it the slow way
|
|
setstate(s)
|
|
for i in range(N):
|
|
random()
|
|
r2 = random()
|
|
if r1 != r2:
|
|
raise ValueError("jumpahead test failed " + `(N, r1, r2)`)
|
|
|
|
# Initialize from current time.
|
|
_inst = Random()
|
|
seed = _inst.seed
|
|
random = _inst.random
|
|
uniform = _inst.uniform
|
|
randint = _inst.randint
|
|
choice = _inst.choice
|
|
randrange = _inst.randrange
|
|
shuffle = _inst.shuffle
|
|
normalvariate = _inst.normalvariate
|
|
lognormvariate = _inst.lognormvariate
|
|
cunifvariate = _inst.cunifvariate
|
|
expovariate = _inst.expovariate
|
|
vonmisesvariate = _inst.vonmisesvariate
|
|
gammavariate = _inst.gammavariate
|
|
stdgamma = _inst.stdgamma
|
|
gauss = _inst.gauss
|
|
betavariate = _inst.betavariate
|
|
paretovariate = _inst.paretovariate
|
|
weibullvariate = _inst.weibullvariate
|
|
getstate = _inst.getstate
|
|
setstate = _inst.setstate
|
|
jumpahead = _inst.jumpahead
|
|
|
|
if __name__ == '__main__':
|
|
_test()
|