"""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. """ # 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 # 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 seed(self, a=None): """Seed from hashable value None or no argument seeds from current time. """ 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 __getstate__(self): # for pickle return self.getstate() 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 __setstate__(self, state): # for pickle self.setstate(state) 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 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 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): """Get a random integer in the range [a, b] including both end points. (Deprecated; use randrange below.) """ return self.randrange(a, b+1) 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] # -------------------- 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) s = getstate() N = 1019 jumpahead(N) r1 = random() setstate(s) for i in range(N): # now do it the slow way random() r2 = random() if r1 != r2: raise ValueError("jumpahead test failed " + `(N, r1, r2)`) 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)') # 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()