Safe Haskell	None
Language	Haskell2010

System.Random.SplitMix.Distributions

Contents

Distributions
- Continuous
- Discrete
PRNG

Description

Random samplers for few common distributions, with an interface similar to that of mwc-probability.

Usage

Compose your random sampler out of simpler ones thanks to the Applicative and Monad interface, e.g. this is how you would declare and sample a binary mixture of Gaussian random variables:

import Control.Monad (replicateM)
import System.Random.SplitMix.Distributions (Gen, sample, bernoulli, normal)

process :: Gen Double
process = do
  coin <- bernoulli 0.7
  if coin
    then
      normal 0 2
    else
      normal 3 1

dataset :: [Double]
dataset = sample 1234 $ replicateM 20 process

and sample your data in a pure (sample) or monadic (sampleT) setting.

Initializing the PRNG with a fixed seed makes all results fully reproducible across runs. If this behavior is not desired, one can sample the random seed itself from an IO-based entropy pool, and run the samplers with sampleIO and samplesIO.

Implementation details

The library is built on top of splitmix ( https://hackage.haskell.org/package/splitmix ), which provides fast pseudorandom number generation utilities.

Synopsis

stdUniform :: forall (m :: Type -> Type). Monad m => GenT m Double
uniformR :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
exponential :: forall (m :: Type -> Type). Monad m => Double -> GenT m Double
stdNormal :: forall (m :: Type -> Type). Monad m => GenT m Double
normal :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
beta :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
gamma :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
pareto :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
dirichlet :: forall (m :: Type -> Type) f. (Monad m, Traversable f) => f Double -> GenT m (f Double)
logNormal :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
laplace :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
weibull :: forall (m :: Type -> Type). Monad m => Double -> Double -> GenT m Double
bernoulli :: forall (m :: Type -> Type). Monad m => Double -> GenT m Bool
fairCoin :: forall (m :: Type -> Type). Monad m => GenT m Bool
multinomial :: forall (m :: Type -> Type) t. (Monad m, Foldable t) => Int -> t Double -> GenT m (Maybe [Int])
categorical :: forall (m :: Type -> Type) t. (Monad m, Foldable t) => t Double -> GenT m (Maybe Int)
discrete :: forall (m :: Type -> Type) t b. (Monad m, Foldable t) => t (Double, b) -> GenT m (Maybe b)
zipf :: forall (m :: Type -> Type) i. (Monad m, Integral i) => Double -> GenT m i
crp :: forall (m :: Type -> Type). Monad m => Double -> Int -> GenT m [Integer]
type SMGenState = (Word64, Word64)
type Gen = GenT Identity
sample :: Word64 -> Gen a -> a
samples :: Int -> Word64 -> Gen a -> [a]
data GenT (m :: Type -> Type) a
sampleT :: Monad m => Word64 -> GenT m a -> m a
samplesT :: Monad m => Int -> Word64 -> GenT m a -> m [a]
sampleRunT :: Functor m => SMGenState -> GenT m a -> m (a, SMGenState)
samplesRunT :: Monad m => Int -> SMGenState -> GenT m a -> m ([a], SMGenState)
sampleIO :: MonadIO m => GenT m b -> m b
samplesIO :: MonadIO m => Int -> GenT m a -> m [a]
withGen :: forall (m :: Type -> Type) a. Monad m => (SMGen -> (a, SMGen)) -> GenT m a

Distributions

Continuous

stdUniform :: forall (m :: Type -> Type). Monad m => GenT m Double Source #

Uniform in [0, 1)

uniformR Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	low
-> Double	high
-> GenT m Double

Uniform between two values

exponential Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	rate parameter $ \lambda > 0 $
-> GenT m Double

Exponential distribution

stdNormal :: forall (m :: Type -> Type). Monad m => GenT m Double Source #

Standard normal distribution

normal Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	mean
-> Double	standard deviation $ \sigma \gt 0 $
-> GenT m Double

Normal distribution

beta Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	shape parameter $ \alpha \gt 0 $
-> Double	shape parameter $ \beta \gt 0 $
-> GenT m Double

Beta distribution, from two standard uniform samples

gamma Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	shape parameter $ k \gt 0 $
-> Double	scale parameter $ \theta \gt 0 $
-> GenT m Double

Gamma distribution, using Ahrens-Dieter accept-reject (algorithm GD):

Ahrens, J. H.; Dieter, U (January 1982). "Generating gamma variates by a modified rejection technique". Communications of the ACM. 25 (1): 47–54

pareto Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	shape parameter $ \alpha \gt 0 $
-> Double	scale parameter $ x_{min} \gt 0 $
-> GenT m Double

Pareto distribution

dirichlet Source #

Arguments

:: forall (m :: Type -> Type) f. (Monad m, Traversable f)
=> f Double	concentration parameters $ \gamma_i \gt 0 , \forall i $
-> GenT m (f Double)

The Dirichlet distribution with the provided concentration parameters. The dimension of the distribution is determined by the number of concentration parameters supplied.

>>> sample 1234 (dirichlet [0.1, 1, 10])
[2.3781130220132788e-11,6.646079701567026e-2,0.9335392029605486]

logNormal Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double
-> Double	standard deviation $ \sigma \gt 0 $
-> GenT m Double

Log-normal distribution with specified mean and standard deviation.

laplace Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	location parameter
-> Double	scale parameter $ s \gt 0 $
-> GenT m Double

Laplace or double-exponential distribution with provided location and scale parameters.

weibull Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	shape $ a \gt 0 $
-> Double	scale $ b \gt 0 $
-> GenT m Double

Weibull distribution with provided shape and scale parameters.

Discrete

bernoulli Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	bias parameter $ 0 \lt p \lt 1 $
-> GenT m Bool

Bernoulli trial

fairCoin :: forall (m :: Type -> Type). Monad m => GenT m Bool Source #

A fair coin toss returns either value with probability 0.5

multinomial Source #

Arguments

:: forall (m :: Type -> Type) t. (Monad m, Foldable t)
=> Int	number of Bernoulli trials $ n \gt 0 $
-> t Double	probability vector $ p_i \gt 0 , \forall i $ (does not need to be normalized)
-> GenT m (Maybe [Int])

Multinomial distribution

NB : returns Nothing if any of the input probabilities is negative

categorical Source #

Arguments

:: forall (m :: Type -> Type) t. (Monad m, Foldable t)
=> t Double	probability vector $ p_i \gt 0 , \forall i $ (does not need to be normalized)
-> GenT m (Maybe Int)

Categorical distribution

Picks one index out of a discrete set with probability proportional to those supplied as input parameter vector

discrete Source #

Arguments

:: forall (m :: Type -> Type) t b. (Monad m, Foldable t)
=> t (Double, b)	(probability, item) vector $ p_i \gt 0 , \forall i $ (does not need to be normalized)
-> GenT m (Maybe b)

Discrete distribution

Pick one item with probability proportional to those supplied as input parameter vector

zipf Source #

Arguments

:: forall (m :: Type -> Type) i. (Monad m, Integral i)
=> Double	$ \alpha \gt 1 $
-> GenT m i

The Zipf-Mandelbrot distribution.

Note that values of the parameter close to 1 are very computationally intensive.

>>> samples 10 1234 (zipf 1.1)
[3170051793,2,668775891,146169301649651,23,36,5,6586194257347,21,37911]

>>> samples 10 1234 (zipf 1.5)
[79,1,58,680,3,1,2,1,366,1]

crp Source #

Arguments

:: forall (m :: Type -> Type). Monad m
=> Double	concentration parameter $ \alpha \gt 1 $
-> Int	number of customers $ n > 0 $
-> GenT m [Integer]

Chinese restaurant process

>>> sample 1234 $ crp 1.02 50
[24,18,7,1]

>>> sample 1234 $ crp 2 50
[17,8,13,3,3,3,2,1]

>>> sample 1234 $ crp 10 50
[5,7,1,6,1,3,5,1,1,3,1,1,1,4,3,1,3,1,1,1]

PRNG

type SMGenState = (Word64, Word64) Source #

Internal state of the splitmix PRNG.

This representation has the benefit of being serializable (e.g. can be passed back and forth between API calls)

Pure

type Gen = GenT Identity Source #

Pure random generation

sample Source #

Arguments

:: Word64	random seed
-> Gen a
-> a

Pure sampling

samples Source #

Arguments

:: Int	sample size
-> Word64	random seed
-> Gen a
-> [a]

Sample a batch

Monadic

data GenT (m :: Type -> Type) a Source #

Random generator

wraps splitmix state-passing inside a StateT monad

useful for embedding random generation inside a larger effect stack

Instances

Instances details

MonadTrans GenT Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods lift :: Monad m => m a -> GenT m a #
MonadReader r m => MonadReader r (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods ask :: GenT m r # local :: (r -> r) -> GenT m a -> GenT m a # reader :: (r -> a) -> GenT m a #
MonadState s m => MonadState s (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods get :: GenT m s # put :: s -> GenT m () # state :: (s -> (a, s)) -> GenT m a #
MonadIO m => MonadIO (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods liftIO :: IO a -> GenT m a #
MonadThrow m => MonadThrow (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods throwM :: (HasCallStack, Exception e) => e -> GenT m a #
Monad m => Applicative (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods pure :: a -> GenT m a # (<>) :: GenT m (a -> b) -> GenT m a -> GenT m b # liftA2 :: (a -> b -> c) -> GenT m a -> GenT m b -> GenT m c # (>) :: GenT m a -> GenT m b -> GenT m b # (<*) :: GenT m a -> GenT m b -> GenT m a #
Functor m => Functor (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods fmap :: (a -> b) -> GenT m a -> GenT m b # (<$) :: a -> GenT m b -> GenT m a #
Monad m => Monad (GenT m) Source #
Instance details Defined in System.Random.SplitMix.Distributions Methods (>>=) :: GenT m a -> (a -> GenT m b) -> GenT m b # (>>) :: GenT m a -> GenT m b -> GenT m b # return :: a -> GenT m a #

sampleT Source #

Arguments

:: Monad m
=> Word64	random seed
-> GenT m a
-> m a

Sample in a monadic context

samplesT Source #

Arguments

:: Monad m
=> Int	size of sample
-> Word64	random seed
-> GenT m a
-> m [a]

Sample a batch

Return final PRNG state

sampleRunT Source #

Arguments

:: Functor m
=> SMGenState	random seed
-> GenT m a
-> m (a, SMGenState)	(result, final PRNG state)

Sample in a monadic context, returning the final PRNG state as well

This makes it possible to have deterministic chains of invocations, for reproducible results

samplesRunT Source #

Arguments

:: Monad m
=> Int	size of sample
-> SMGenState	random seed
-> GenT m a
-> m ([a], SMGenState)	(result, final PRNG state)

Sample a batch in a monadic context, returning the final PRNG state as well

Same as n repeated invocations of sampleRunT, while threading the PRNG state.

IO-based

sampleIO :: MonadIO m => GenT m b -> m b Source #

Initialize a splitmix random generator from system entropy (current time etc.) and sample from the PRNG.

samplesIO :: MonadIO m => Int -> GenT m a -> m [a] Source #

Initialize a splitmix random generator from system entropy (current time etc.) and sample n times from the PRNG.

splitmix utilities

withGen Source #

Arguments

:: forall (m :: Type -> Type) a. Monad m
=> (SMGen -> (a, SMGen))	explicit generator passing (e.g. `nextDouble`)
-> GenT m a

Wrap a splitmix PRNG function

:: forall (m :: Type -> Type). Monad m
=> Double	rate parameter \( \lambda > 0 \)
-> GenT m Double

:: forall (m :: Type -> Type). Monad m
=> Double	shape parameter \( \alpha \gt 0 \)
-> Double	shape parameter \( \beta \gt 0 \)
-> GenT m Double

:: forall (m :: Type -> Type). Monad m
=> Double	shape parameter \( k \gt 0 \)
-> Double	scale parameter \( \theta \gt 0 \)
-> GenT m Double

:: forall (m :: Type -> Type) f. (Monad m, Traversable f)
=> f Double	concentration parameters \( \gamma_i \gt 0 , \forall i \)
-> GenT m (f Double)

:: forall (m :: Type -> Type). Monad m
=> Double	shape \( a \gt 0 \)
-> Double	scale \( b \gt 0 \)
-> GenT m Double

:: forall (m :: Type -> Type). Monad m
=> Double	bias parameter \( 0 \lt p \lt 1 \)
-> GenT m Bool

:: forall (m :: Type -> Type) t. (Monad m, Foldable t)
=> Int	number of Bernoulli trials \( n \gt 0 \)
-> t Double	probability vector \( p_i \gt 0 , \forall i \) (does not need to be normalized)
-> GenT m (Maybe [Int])

:: forall (m :: Type -> Type) t b. (Monad m, Foldable t)
=> t (Double, b)	(probability, item) vector \( p_i \gt 0 , \forall i \) (does not need to be normalized)
-> GenT m (Maybe b)

:: forall (m :: Type -> Type) i. (Monad m, Integral i)
=> Double	\( \alpha \gt 1 \)
-> GenT m i

:: forall (m :: Type -> Type). Monad m
=> Double	concentration parameter \( \alpha \gt 1 \)
-> Int	number of customers \( n > 0 \)
-> GenT m [Integer]