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| </pre><pre class="rust"><code><span class="comment">// Copyright 2021 Developers of the Rand project.</span> |
| <span class="comment">//</span> |
| <span class="comment">// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or</span> |
| <span class="comment">// https://www.apache.org/licenses/LICENSE-2.0> or the MIT license</span> |
| <span class="comment">// <LICENSE-MIT or https://opensource.org/licenses/MIT>, at your</span> |
| <span class="comment">// option. This file may not be copied, modified, or distributed</span> |
| <span class="comment">// except according to those terms.</span> |
| |
| <span class="doccomment">//! The Gumbel distribution.</span> |
| |
| <span class="kw">use</span> <span class="kw">crate</span>::{<span class="ident">Distribution</span>, <span class="ident">OpenClosed01</span>}; |
| <span class="kw">use</span> <span class="ident">core::fmt</span>; |
| <span class="kw">use</span> <span class="ident">num_traits::Float</span>; |
| <span class="kw">use</span> <span class="ident">rand::Rng</span>; |
| |
| <span class="doccomment">/// Samples floating-point numbers according to the Gumbel distribution</span> |
| <span class="doccomment">///</span> |
| <span class="doccomment">/// This distribution has density function:</span> |
| <span class="doccomment">/// `f(x) = exp(-(z + exp(-z))) / σ`, where `z = (x - μ) / σ`,</span> |
| <span class="doccomment">/// `μ` is the location parameter, and `σ` the scale parameter.</span> |
| <span class="doccomment">///</span> |
| <span class="doccomment">/// # Example</span> |
| <span class="doccomment">/// ```</span> |
| <span class="doccomment">/// use rand::prelude::*;</span> |
| <span class="doccomment">/// use rand_distr::Gumbel;</span> |
| <span class="doccomment">///</span> |
| <span class="doccomment">/// let val: f64 = thread_rng().sample(Gumbel::new(0.0, 1.0).unwrap());</span> |
| <span class="doccomment">/// println!("{}", val);</span> |
| <span class="doccomment">/// ```</span> |
| <span class="attribute">#[<span class="ident">derive</span>(<span class="ident">Clone</span>, <span class="ident">Copy</span>, <span class="ident">Debug</span>)]</span> |
| <span class="attribute">#[<span class="ident">cfg_attr</span>(<span class="ident">feature</span> <span class="op">=</span> <span class="string">"serde1"</span>, <span class="ident">derive</span>(<span class="ident">serde::Serialize</span>, <span class="ident">serde::Deserialize</span>))]</span> |
| <span class="kw">pub</span> <span class="kw">struct</span> <span class="ident">Gumbel</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> |
| <span class="kw">where</span> |
| <span class="ident">F</span>: <span class="ident">Float</span>, |
| <span class="ident">OpenClosed01</span>: <span class="ident">Distribution</span><span class="op"><</span><span class="ident">F</span><span class="op">></span>, |
| { |
| <span class="ident">location</span>: <span class="ident">F</span>, |
| <span class="ident">scale</span>: <span class="ident">F</span>, |
| } |
| |
| <span class="doccomment">/// Error type returned from `Gumbel::new`.</span> |
| <span class="attribute">#[<span class="ident">derive</span>(<span class="ident">Clone</span>, <span class="ident">Copy</span>, <span class="ident">Debug</span>, <span class="ident">PartialEq</span>, <span class="ident">Eq</span>)]</span> |
| <span class="kw">pub</span> <span class="kw">enum</span> <span class="ident">Error</span> { |
| <span class="doccomment">/// location is infinite or NaN</span> |
| <span class="ident">LocationNotFinite</span>, |
| <span class="doccomment">/// scale is not finite positive number</span> |
| <span class="ident">ScaleNotPositive</span>, |
| } |
| |
| <span class="kw">impl</span> <span class="ident">fmt::Display</span> <span class="kw">for</span> <span class="ident">Error</span> { |
| <span class="kw">fn</span> <span class="ident">fmt</span>(<span class="kw-2">&</span><span class="self">self</span>, <span class="ident">f</span>: <span class="kw-2">&mut</span> <span class="ident">fmt::Formatter</span><span class="op"><</span><span class="lifetime">'_</span><span class="op">></span>) -> <span class="ident">fmt::Result</span> { |
| <span class="ident">f</span>.<span class="ident">write_str</span>(<span class="kw">match</span> <span class="self">self</span> { |
| <span class="ident">Error::ScaleNotPositive</span> => <span class="string">"scale is not positive and finite in Gumbel distribution"</span>, |
| <span class="ident">Error::LocationNotFinite</span> => <span class="string">"location is not finite in Gumbel distribution"</span>, |
| }) |
| } |
| } |
| |
| <span class="attribute">#[<span class="ident">cfg</span>(<span class="ident">feature</span> <span class="op">=</span> <span class="string">"std"</span>)]</span> |
| <span class="attribute">#[<span class="ident">cfg_attr</span>(<span class="ident">doc_cfg</span>, <span class="ident">doc</span>(<span class="ident">cfg</span>(<span class="ident">feature</span> <span class="op">=</span> <span class="string">"std"</span>)))]</span> |
| <span class="kw">impl</span> <span class="ident">std::error::Error</span> <span class="kw">for</span> <span class="ident">Error</span> {} |
| |
| <span class="kw">impl</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> <span class="ident">Gumbel</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> |
| <span class="kw">where</span> |
| <span class="ident">F</span>: <span class="ident">Float</span>, |
| <span class="ident">OpenClosed01</span>: <span class="ident">Distribution</span><span class="op"><</span><span class="ident">F</span><span class="op">></span>, |
| { |
| <span class="doccomment">/// Construct a new `Gumbel` distribution with given `location` and `scale`.</span> |
| <span class="kw">pub</span> <span class="kw">fn</span> <span class="ident">new</span>(<span class="ident">location</span>: <span class="ident">F</span>, <span class="ident">scale</span>: <span class="ident">F</span>) -> <span class="prelude-ty">Result</span><span class="op"><</span><span class="ident">Gumbel</span><span class="op"><</span><span class="ident">F</span><span class="op">></span>, <span class="ident">Error</span><span class="op">></span> { |
| <span class="kw">if</span> <span class="ident">scale</span> <span class="op"><</span><span class="op">=</span> <span class="ident">F::zero</span>() <span class="op">|</span><span class="op">|</span> <span class="ident">scale</span>.<span class="ident">is_infinite</span>() <span class="op">|</span><span class="op">|</span> <span class="ident">scale</span>.<span class="ident">is_nan</span>() { |
| <span class="kw">return</span> <span class="prelude-val">Err</span>(<span class="ident">Error::ScaleNotPositive</span>); |
| } |
| <span class="kw">if</span> <span class="ident">location</span>.<span class="ident">is_infinite</span>() <span class="op">|</span><span class="op">|</span> <span class="ident">location</span>.<span class="ident">is_nan</span>() { |
| <span class="kw">return</span> <span class="prelude-val">Err</span>(<span class="ident">Error::LocationNotFinite</span>); |
| } |
| <span class="prelude-val">Ok</span>(<span class="ident">Gumbel</span> { <span class="ident">location</span>, <span class="ident">scale</span> }) |
| } |
| } |
| |
| <span class="kw">impl</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> <span class="ident">Distribution</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> <span class="kw">for</span> <span class="ident">Gumbel</span><span class="op"><</span><span class="ident">F</span><span class="op">></span> |
| <span class="kw">where</span> |
| <span class="ident">F</span>: <span class="ident">Float</span>, |
| <span class="ident">OpenClosed01</span>: <span class="ident">Distribution</span><span class="op"><</span><span class="ident">F</span><span class="op">></span>, |
| { |
| <span class="kw">fn</span> <span class="ident">sample</span><span class="op"><</span><span class="ident">R</span>: <span class="ident">Rng</span> <span class="op">+</span> <span class="question-mark">?</span><span class="ident">Sized</span><span class="op">></span>(<span class="kw-2">&</span><span class="self">self</span>, <span class="ident">rng</span>: <span class="kw-2">&mut</span> <span class="ident">R</span>) -> <span class="ident">F</span> { |
| <span class="kw">let</span> <span class="ident">x</span>: <span class="ident">F</span> <span class="op">=</span> <span class="ident">rng</span>.<span class="ident">sample</span>(<span class="ident">OpenClosed01</span>); |
| <span class="self">self</span>.<span class="ident">location</span> <span class="op">-</span> <span class="self">self</span>.<span class="ident">scale</span> <span class="op">*</span> (<span class="op">-</span><span class="ident">x</span>.<span class="ident">ln</span>()).<span class="ident">ln</span>() |
| } |
| } |
| |
| <span class="attribute">#[<span class="ident">cfg</span>(<span class="ident">test</span>)]</span> |
| <span class="kw">mod</span> <span class="ident">tests</span> { |
| <span class="kw">use</span> <span class="kw">super</span>::<span class="kw-2">*</span>; |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="attribute">#[<span class="ident">should_panic</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_zero_scale</span>() { |
| <span class="ident">Gumbel::new</span>(<span class="number">0.0</span>, <span class="number">0.0</span>).<span class="ident">unwrap</span>(); |
| } |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="attribute">#[<span class="ident">should_panic</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_infinite_scale</span>() { |
| <span class="ident">Gumbel::new</span>(<span class="number">0.0</span>, <span class="ident">core::f64::INFINITY</span>).<span class="ident">unwrap</span>(); |
| } |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="attribute">#[<span class="ident">should_panic</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_nan_scale</span>() { |
| <span class="ident">Gumbel::new</span>(<span class="number">0.0</span>, <span class="ident">core::f64::NAN</span>).<span class="ident">unwrap</span>(); |
| } |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="attribute">#[<span class="ident">should_panic</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_infinite_location</span>() { |
| <span class="ident">Gumbel::new</span>(<span class="ident">core::f64::INFINITY</span>, <span class="number">1.0</span>).<span class="ident">unwrap</span>(); |
| } |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="attribute">#[<span class="ident">should_panic</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_nan_location</span>() { |
| <span class="ident">Gumbel::new</span>(<span class="ident">core::f64::NAN</span>, <span class="number">1.0</span>).<span class="ident">unwrap</span>(); |
| } |
| |
| <span class="attribute">#[<span class="ident">test</span>]</span> |
| <span class="kw">fn</span> <span class="ident">test_sample_against_cdf</span>() { |
| <span class="kw">fn</span> <span class="ident">neg_log_log</span>(<span class="ident">x</span>: <span class="ident">f64</span>) -> <span class="ident">f64</span> { |
| <span class="op">-</span>(<span class="op">-</span><span class="ident">x</span>.<span class="ident">ln</span>()).<span class="ident">ln</span>() |
| } |
| <span class="kw">let</span> <span class="ident">location</span> <span class="op">=</span> <span class="number">0.0</span>; |
| <span class="kw">let</span> <span class="ident">scale</span> <span class="op">=</span> <span class="number">1.0</span>; |
| <span class="kw">let</span> <span class="ident">iterations</span> <span class="op">=</span> <span class="number">100_000</span>; |
| <span class="kw">let</span> <span class="ident">increment</span> <span class="op">=</span> <span class="number">1.0</span> <span class="op">/</span> <span class="ident">iterations</span> <span class="kw">as</span> <span class="ident">f64</span>; |
| <span class="kw">let</span> <span class="ident">probabilities</span> <span class="op">=</span> [<span class="number">0.1</span>, <span class="number">0.2</span>, <span class="number">0.3</span>, <span class="number">0.4</span>, <span class="number">0.5</span>, <span class="number">0.6</span>, <span class="number">0.7</span>, <span class="number">0.8</span>, <span class="number">0.9</span>]; |
| <span class="kw">let</span> <span class="kw-2">mut</span> <span class="ident">quantiles</span> <span class="op">=</span> [<span class="number">0.0</span>; <span class="number">9</span>]; |
| <span class="kw">for</span> (<span class="ident">i</span>, <span class="ident">p</span>) <span class="kw">in</span> <span class="ident">probabilities</span>.<span class="ident">iter</span>().<span class="ident">enumerate</span>() { |
| <span class="ident">quantiles</span>[<span class="ident">i</span>] <span class="op">=</span> <span class="ident">neg_log_log</span>(<span class="kw-2">*</span><span class="ident">p</span>); |
| } |
| <span class="kw">let</span> <span class="kw-2">mut</span> <span class="ident">proportions</span> <span class="op">=</span> [<span class="number">0.0</span>; <span class="number">9</span>]; |
| <span class="kw">let</span> <span class="ident">d</span> <span class="op">=</span> <span class="ident">Gumbel::new</span>(<span class="ident">location</span>, <span class="ident">scale</span>).<span class="ident">unwrap</span>(); |
| <span class="kw">let</span> <span class="kw-2">mut</span> <span class="ident">rng</span> <span class="op">=</span> <span class="ident"><span class="kw">crate</span>::test::rng</span>(<span class="number">1</span>); |
| <span class="kw">for</span> <span class="kw">_</span> <span class="kw">in</span> <span class="number">0</span>..<span class="ident">iterations</span> { |
| <span class="kw">let</span> <span class="ident">replicate</span> <span class="op">=</span> <span class="ident">d</span>.<span class="ident">sample</span>(<span class="kw-2">&mut</span> <span class="ident">rng</span>); |
| <span class="kw">for</span> (<span class="ident">i</span>, <span class="ident">q</span>) <span class="kw">in</span> <span class="ident">quantiles</span>.<span class="ident">iter</span>().<span class="ident">enumerate</span>() { |
| <span class="kw">if</span> <span class="ident">replicate</span> <span class="op"><</span> <span class="kw-2">*</span><span class="ident">q</span> { |
| <span class="ident">proportions</span>[<span class="ident">i</span>] <span class="op">+</span><span class="op">=</span> <span class="ident">increment</span>; |
| } |
| } |
| } |
| <span class="macro">assert!</span>(<span class="ident">proportions</span> |
| .<span class="ident">iter</span>() |
| .<span class="ident">zip</span>(<span class="kw-2">&</span><span class="ident">probabilities</span>) |
| .<span class="ident">all</span>(<span class="op">|</span>(<span class="ident">p_hat</span>, <span class="ident">p</span>)<span class="op">|</span> (<span class="ident">p_hat</span> <span class="op">-</span> <span class="ident">p</span>).<span class="ident">abs</span>() <span class="op"><</span> <span class="number">0.003</span>)) |
| } |
| } |
| </code></pre></div> |
| </section><section id="search" class="content hidden"></section></div></main><div id="rustdoc-vars" data-root-path="../../" data-current-crate="rand_distr" data-themes="ayu,dark,light" data-resource-suffix="" data-rustdoc-version="1.60.0-nightly (1bd4fdc94 2022-01-12)" ></div> |
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