Source code for sympy.stats.crv

Continuous Random Variables Module

See Also

from __future__ import print_function, division

from sympy.stats.rv import (RandomDomain, SingleDomain, ConditionalDomain,
        ProductDomain, PSpace, SinglePSpace, random_symbols, ProductPSpace,
from sympy.functions.special.delta_functions import DiracDelta
from sympy import (Interval, Intersection, symbols, sympify, Dummy, Mul,
        Integral, And, Or, Piecewise, cacheit, integrate, oo, Lambda,
        Basic, S, exp, I, FiniteSet, Ne, Eq, Union)
from sympy.solvers.solveset import solveset
from sympy.solvers.inequalities import reduce_rational_inequalities
from sympy.polys.polyerrors import PolynomialError
import random

[docs]class ContinuousDomain(RandomDomain): """ A domain with continuous support Represented using symbols and Intervals. """ is_Continuous = True def as_boolean(self): raise NotImplementedError("Not Implemented for generic Domains")
class SingleContinuousDomain(ContinuousDomain, SingleDomain): """ A univariate domain with continuous support Represented using a single symbol and interval. """ def integrate(self, expr, variables=None, **kwargs): if variables is None: variables = self.symbols if not variables: return expr if frozenset(variables) != frozenset(self.symbols): raise ValueError("Values should be equal") # assumes only intervals return Integral(expr, (self.symbol, self.set), **kwargs) def as_boolean(self): return self.set.as_relational(self.symbol) class ProductContinuousDomain(ProductDomain, ContinuousDomain): """ A collection of independent domains with continuous support """ def integrate(self, expr, variables=None, **kwargs): if variables is None: variables = self.symbols for domain in domain_vars = frozenset(variables) & frozenset(domain.symbols) if domain_vars: expr = domain.integrate(expr, domain_vars, **kwargs) return expr def as_boolean(self): return And(*[domain.as_boolean() for domain in]) class ConditionalContinuousDomain(ContinuousDomain, ConditionalDomain): """ A domain with continuous support that has been further restricted by a condition such as x > 3 """ def integrate(self, expr, variables=None, **kwargs): if variables is None: variables = self.symbols if not variables: return expr # Extract the full integral fullintgrl = self.fulldomain.integrate(expr, variables) # separate into integrand and limits integrand, limits = fullintgrl.function, list(fullintgrl.limits) conditions = [self.condition] while conditions: cond = conditions.pop() if cond.is_Boolean: if isinstance(cond, And): conditions.extend(cond.args) elif isinstance(cond, Or): raise NotImplementedError("Or not implemented here") elif cond.is_Relational: if cond.is_Equality: # Add the appropriate Delta to the integrand integrand *= DiracDelta(cond.lhs - cond.rhs) else: symbols = cond.free_symbols & set(self.symbols) if len(symbols) != 1: # Can't handle x > y raise NotImplementedError( "Multivariate Inequalities not yet implemented") # Can handle x > 0 symbol = symbols.pop() # Find the limit with x, such as (x, -oo, oo) for i, limit in enumerate(limits): if limit[0] == symbol: # Make condition into an Interval like [0, oo] cintvl = reduce_rational_inequalities_wrap( cond, symbol) # Make limit into an Interval like [-oo, oo] lintvl = Interval(limit[1], limit[2]) # Intersect them to get [0, oo] intvl = cintvl.intersect(lintvl) # Put back into limits list limits[i] = (symbol, intvl.left, intvl.right) else: raise TypeError( "Condition %s is not a relational or Boolean" % cond) return Integral(integrand, *limits, **kwargs) def as_boolean(self): return And(self.fulldomain.as_boolean(), self.condition) @property def set(self): if len(self.symbols) == 1: return (self.fulldomain.set & reduce_rational_inequalities_wrap( self.condition, tuple(self.symbols)[0])) else: raise NotImplementedError( "Set of Conditional Domain not Implemented") class ContinuousDistribution(Basic): def __call__(self, *args): return self.pdf(*args) class SingleContinuousDistribution(ContinuousDistribution, NamedArgsMixin): """ Continuous distribution of a single variable Serves as superclass for Normal/Exponential/UniformDistribution etc.... Represented by parameters for each of the specific classes. E.g NormalDistribution is represented by a mean and standard deviation. Provides methods for pdf, cdf, and sampling See Also: sympy.stats.crv_types.* """ set = Interval(-oo, oo) def __new__(cls, *args): args = list(map(sympify, args)) return Basic.__new__(cls, *args) @staticmethod def check(*args): pass def sample(self): """ A random realization from the distribution """ icdf = self._inverse_cdf_expression() return icdf(random.uniform(0, 1)) @cacheit def _inverse_cdf_expression(self): """ Inverse of the CDF Used by sample """ x, z = symbols('x, z', real=True, positive=True, cls=Dummy) # Invert CDF try: inverse_cdf = solveset(self.cdf(x) - z, x, S.Reals) if isinstance(inverse_cdf, Intersection) and S.Reals in inverse_cdf.args: inverse_cdf = list(inverse_cdf.args[1]) except NotImplementedError: inverse_cdf = None if not inverse_cdf or len(inverse_cdf) != 1: raise NotImplementedError("Could not invert CDF") return Lambda(z, inverse_cdf[0]) @cacheit def compute_cdf(self, **kwargs): """ Compute the CDF from the PDF Returns a Lambda """ x, z = symbols('x, z', real=True, finite=True, cls=Dummy) left_bound = self.set.start # CDF is integral of PDF from left bound to z pdf = self.pdf(x) cdf = integrate(pdf, (x, left_bound, z), **kwargs) # CDF Ensure that CDF left of left_bound is zero cdf = Piecewise((cdf, z >= left_bound), (0, True)) return Lambda(z, cdf) def _cdf(self, x): return None def cdf(self, x, **kwargs): """ Cumulative density function """ if len(kwargs) == 0: cdf = self._cdf(x) if cdf is not None: return cdf return self.compute_cdf(**kwargs)(x) @cacheit def compute_characteristic_function(self, **kwargs): """ Compute the characteristic function from the PDF Returns a Lambda """ x, t = symbols('x, t', real=True, finite=True, cls=Dummy) pdf = self.pdf(x) cf = integrate(exp(I*t*x)*pdf, (x, -oo, oo)) return Lambda(t, cf) def _characteristic_function(self, t): return None def characteristic_function(self, t, **kwargs): """ Characteristic function """ if len(kwargs) == 0: cf = self._characteristic_function(t) if cf is not None: return cf return self.compute_characteristic_function(**kwargs)(t) def expectation(self, expr, var, evaluate=True, **kwargs): """ Expectation of expression over distribution """ integral = Integral(expr * self.pdf(var), (var, self.set), **kwargs) return integral.doit() if evaluate else integral class ContinuousDistributionHandmade(SingleContinuousDistribution): _argnames = ('pdf',) @property def set(self): return self.args[1] def __new__(cls, pdf, set=Interval(-oo, oo)): return Basic.__new__(cls, pdf, set)
[docs]class ContinuousPSpace(PSpace): """ Continuous Probability Space Represents the likelihood of an event space defined over a continuum. Represented with a ContinuousDomain and a PDF (Lambda-Like) """ is_Continuous = True is_real = True @property def pdf(self): return self.density(*self.domain.symbols) def integrate(self, expr, rvs=None, **kwargs): if rvs is None: rvs = self.values else: rvs = frozenset(rvs) expr = expr.xreplace(dict((rv, rv.symbol) for rv in rvs)) domain_symbols = frozenset(rv.symbol for rv in rvs) return self.domain.integrate(self.pdf * expr, domain_symbols, **kwargs) def compute_density(self, expr, **kwargs): # Common case Density(X) where X in self.values if expr in self.values: # Marginalize all other random symbols out of the density randomsymbols = tuple(set(self.values) - frozenset([expr])) symbols = tuple(rs.symbol for rs in randomsymbols) pdf = self.domain.integrate(self.pdf, symbols, **kwargs) return Lambda(expr.symbol, pdf) z = Dummy('z', real=True, finite=True) return Lambda(z, self.integrate(DiracDelta(expr - z), **kwargs)) @cacheit def compute_cdf(self, expr, **kwargs): if not self.domain.set.is_Interval: raise ValueError( "CDF not well defined on multivariate expressions") d = self.compute_density(expr, **kwargs) x, z = symbols('x, z', real=True, finite=True, cls=Dummy) left_bound = self.domain.set.start # CDF is integral of PDF from left bound to z cdf = integrate(d(x), (x, left_bound, z), **kwargs) # CDF Ensure that CDF left of left_bound is zero cdf = Piecewise((cdf, z >= left_bound), (0, True)) return Lambda(z, cdf) @cacheit def compute_characteristic_function(self, expr, **kwargs): if not self.domain.set.is_Interval: raise NotImplementedError("Characteristic function of multivariate expressions not implemented") d = self.compute_density(expr, **kwargs) x, t = symbols('x, t', real=True, cls=Dummy) cf = integrate(exp(I*t*x)*d(x), (x, -oo, oo), **kwargs) return Lambda(t, cf) def probability(self, condition, **kwargs): z = Dummy('z', real=True, finite=True) cond_inv = False if isinstance(condition, Ne): condition = Eq(condition.args[0], condition.args[1]) cond_inv = True # Univariate case can be handled by where try: domain = self.where(condition) rv = [rv for rv in self.values if rv.symbol == domain.symbol][0] # Integrate out all other random variables pdf = self.compute_density(rv, **kwargs) # return S.Zero if `domain` is empty set if domain.set is S.EmptySet or isinstance(domain.set, FiniteSet): return S.Zero if not cond_inv else S.One if isinstance(domain.set, Union): return sum( Integral(pdf(z), (z, subset), **kwargs) for subset in domain.set.args if isinstance(subset, Interval)) # Integrate out the last variable over the special domain return Integral(pdf(z), (z, domain.set), **kwargs) # Other cases can be turned into univariate case # by computing a density handled by density computation except NotImplementedError: from sympy.stats.rv import density expr = condition.lhs - condition.rhs dens = density(expr, **kwargs) if not isinstance(dens, ContinuousDistribution): dens = ContinuousDistributionHandmade(dens) # Turn problem into univariate case space = SingleContinuousPSpace(z, dens) result = space.probability(condition.__class__(space.value, 0)) return result if not cond_inv else S.One - result def where(self, condition): rvs = frozenset(random_symbols(condition)) if not (len(rvs) == 1 and rvs.issubset(self.values)): raise NotImplementedError( "Multiple continuous random variables not supported") rv = tuple(rvs)[0] interval = reduce_rational_inequalities_wrap(condition, rv) interval = interval.intersect(self.domain.set) return SingleContinuousDomain(rv.symbol, interval) def conditional_space(self, condition, normalize=True, **kwargs): condition = condition.xreplace(dict((rv, rv.symbol) for rv in self.values)) domain = ConditionalContinuousDomain(self.domain, condition) if normalize: # create a clone of the variable to # make sure that variables in nested integrals are different # from the variables outside the integral # this makes sure that they are evaluated separately # and in the correct order replacement = {rv: Dummy(str(rv)) for rv in self.symbols} norm = domain.integrate(self.pdf, **kwargs) pdf = self.pdf / norm.xreplace(replacement) density = Lambda(domain.symbols, pdf) return ContinuousPSpace(domain, density)
class SingleContinuousPSpace(ContinuousPSpace, SinglePSpace): """ A continuous probability space over a single univariate variable These consist of a Symbol and a SingleContinuousDistribution This class is normally accessed through the various random variable functions, Normal, Exponential, Uniform, etc.... """ @property def set(self): return self.distribution.set @property def domain(self): return SingleContinuousDomain(sympify(self.symbol), self.set) def sample(self): """ Internal sample method Returns dictionary mapping RandomSymbol to realization value. """ return {self.value: self.distribution.sample()} def integrate(self, expr, rvs=None, **kwargs): rvs = rvs or (self.value,) if self.value not in rvs: return expr expr = expr.xreplace(dict((rv, rv.symbol) for rv in rvs)) x = self.value.symbol try: return self.distribution.expectation(expr, x, evaluate=False, **kwargs) except Exception: return Integral(expr * self.pdf, (x, self.set), **kwargs) def compute_cdf(self, expr, **kwargs): if expr == self.value: z = symbols("z", real=True, finite=True, cls=Dummy) return Lambda(z, self.distribution.cdf(z, **kwargs)) else: return ContinuousPSpace.compute_cdf(self, expr, **kwargs) def compute_characteristic_function(self, expr, **kwargs): if expr == self.value: t = symbols("t", real=True, cls=Dummy) return Lambda(t, self.distribution.characteristic_function(t, **kwargs)) else: return ContinuousPSpace.compute_characteristic_function(self, expr, **kwargs) def compute_density(self, expr, **kwargs): # if expr == self.value: return self.density y = Dummy('y') gs = solveset(expr - y, self.value, S.Reals) if isinstance(gs, Intersection) and S.Reals in gs.args: gs = list(gs.args[1]) if not gs: raise ValueError("Can not solve %s for %s"%(expr, self.value)) fx = self.compute_density(self.value) fy = sum(fx(g) * abs(g.diff(y)) for g in gs) return Lambda(y, fy) def _reduce_inequalities(conditions, var, **kwargs): try: return reduce_rational_inequalities(conditions, var, **kwargs) except PolynomialError: raise ValueError("Reduction of condition failed %s\n" % conditions[0]) def reduce_rational_inequalities_wrap(condition, var): if condition.is_Relational: return _reduce_inequalities([[condition]], var, relational=False) if isinstance(condition, Or): return Union(*[_reduce_inequalities([[arg]], var, relational=False) for arg in condition.args]) if isinstance(condition, And): intervals = [_reduce_inequalities([[arg]], var, relational=False) for arg in condition.args] I = intervals[0] for i in intervals: I = I.intersect(i) return I