Added Dirichlet distribution.

Signed-off-by: jvangael <jurgen.vangael@gmail.com>

src/Numerics/Distributions/Multivariate/Dirichlet.cs

@@ -0,0 +1,252 @@
+// <copyright file="Dirichlet.cs" company="Math.NET">
+// Math.NET Numerics, part of the Math.NET Project
+// http://mathnet.opensourcedotnet.info
+//
+// Copyright (c) 2009 Math.NET
+//
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+//
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+// </copyright>
+
+namespace dnAnalytics.Statistics.Distributions
+{
+    using System;
+    using Properties;
+
+    /// <summary>
+    /// Implements the multivariate Dirichlet distribution. For details about this distribution, see 
+    /// <a href="http://en.wikipedia.org/wiki/Dirichlet_distribution">Wikipedia - Dirichlet distribution</a>.
+    /// </summary>
+    /// <remarks><para>The distribution will use the <see cref="System.Random"/> by default. 
+    /// Users can get/set the random number generator by using the <see cref="RandomSource"/> property.</para>
+    /// <para>The statistics classes will check all the incoming parameters whether they are in the allowed
+    /// range. This might involve heavy computation. Optionally, by setting Control.CheckDistributionParameters
+    /// to false, all parameter checks can be turned off.</para></remarks>
+    public class Dirichlet
+    {
+        // The Dirichlet distribution parameters.
+        private readonly double[] _alpha;
+
+        /// <summary>
+        /// The distribution's random number generator.
+        /// </summary>
+        private Random _random;
+
+        /// <summary>
+        /// Initializes a new instance of the Dirichlet class. The distribution will
+        /// be initialized with the default <seealso cref="System.Random"/> random number generator.
+        /// </summary>
+        /// <param name="alpha">An array with the Dirichlet parameters.</param>
+        public Dirichlet(double[] alpha)
+        {
+            SetParameters(alpha);
+            RandomSource = new Random();
+        }
+
+        /// <summary>
+        /// Constructs a new symmetric Dirichlet distribution. The distribution will
+        /// be initialized with the default <seealso cref="System.Random"/> random number generator.
+        /// </summary>
+        /// <param name="alpha">The value of each parameter of the Dirichlet distribution.</param>
+        /// <param name="k">The dimension of the Dirichlet distribution.</param>
+        public Dirichlet(double alpha, int k)
+        {
+            // Create a parameter structure.
+            double[] parm = new double[k];
+            for (int i = 0; i < k; i++)
+            {
+                parm[i] = alpha;
+            }
+
+            SetParameters(parm);
+            RandomSource = new Random();
+        }
+
+        /// <summary>
+        /// Checks whether the parameters of the distribution are valid: no parameter can be less than zero and
+        /// at least one parameter should be larger than zero.
+        /// </summary>
+        /// <param name="alpha">The parameters of the Dirichlet distribution.</param>
+        /// <returns>True when the parameters are valid, false otherwise.</returns>
+        public static bool IsValidParameterSet(double[] alpha)
+        {
+            bool allzero = true;
+
+            for (int i = 0; i < alpha.Length; i++)
+            {
+                if (alpha[i] < 0.0)
+                {
+                    return false;
+                }
+                else if (alpha[i] > 0.0)
+                {
+                    allzero = false;
+                }
+            }
+
+            if (allzero)
+            {
+                return false;
+            }
+        }
+
+        /// <summary>
+        /// Sets the parameters of the distribution after checking their validity.
+        /// </summary>
+        /// <param name="alpha">The parameters of the Dirichlet distribution.</param>
+        /// <exception cref="ArgumentOutOfRangeException">When the parameters don't pass the <see cref="IsValidParameterSet"/> function.</exception>
+        private void SetParameters(double[] alpha)
+        {
+            if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha) && ! alpha.Length == _alpha.Length)
+            {
+                throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
+            }
+
+            for (int i = 0; i < alpha.Length; i++)
+            {
+                _alpha[i] = alpha[i];
+            }
+        }
+
+        /// <summary>
+        /// A string representation of the distribution.
+        /// </summary>
+        public override string ToString()
+        {
+            return "Dirichlet(Dimension = " + this.Dimension + ")";
+        }
+
+        /// <summary>
+        /// Gets the dimension of the Dirichlet distribution.
+        /// </summary>
+        public int Dimension
+        {
+            get { return _alpha.Length; }
+        }
+
+        /// <summary>
+        /// The parameters of the Dirichlet distribution.
+        /// </summary>
+        public double[] Alpha
+        {
+            get { return _alpha; }
+        }
+
+        /// <summary>
+        /// The sum of the Dirichlet parameters.
+        /// </summary>
+        private double AlphaSum
+        {
+            get
+            {
+                double s = 0.0;
+                for (int i = 0; i < _alpha.Length; i++)
+                {
+                    s += _alpha[i];
+                }
+                return s;
+            }
+        }
+
+        /// <summary>
+        /// Gets the mean of the Dirichlet distribution.
+        /// </summary>
+        public double[] Mean
+        {
+            get { return _alpha / AlphaSum; }
+        }
+
+        /// <summary>
+        /// Gets the variance of the Dirichlet distribution.
+        /// </summary>
+        public double[] Variance
+        {
+            get
+            {
+                double s = this.AlphaSum;
+                double[] v = new double[_alpha.Length];
+                for (int i = 0; i < _alpha.Length; i++)
+                {
+                    v[i] = _alpha[i]*(s - _alpha[i])/(s*s*(s + 1.0));
+                }
+                return v;
+            }
+        }
+
+        /// <summary>
+        /// Gets or sets the random number generator which is used to draw random samples.
+        /// </summary>
+        public Random RandomSource
+        {
+            get
+            {
+                return _random;
+            }
+
+            set
+            {
+                if (value == null)
+                {
+                    throw new ArgumentNullException();
+                }
+
+                _random = value;
+            }
+        }
+
+        /// <summary>
+        /// Samples a Dirichlet distributed random vector.
+        /// </summary>
+        public double[] Sample()
+        {
+            return Sample(RandomSource, _alpha);
+        }
+
+        /// <summary>
+        /// Samples a Dirichlet distributed random vector.
+        /// </summary>
+        /// <param name="rnd">The random number generator to use.</param>
+        /// <param name="alpha">The Dirichlet distribution parameter.</param>
+        public static double[] Sample(System.Random rnd, double[] alpha)
+        {
+            if (Control.CheckDistributionParameters && ! IsValidParameterSet(alpha))
+            {
+                throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
+            }
+
+            int n = alpha.Length;
+            double[] gv = new double[n];
+            double sum = 0.0;
+            for (int i = 0; i < n; i++)
+            {
+                gv[i] = Gamma.Sample(rnd, alpha[i], 1.0);
+                sum += gv[i];
+            }
+
+            for (int i = 0; i < n; i++)
+            {
+                gv[i] /= sum;
+            }
+
+            return gv;
+        }
+    }
+}

src/Numerics/Numerics.csproj

@@ -56,6 +56,7 @@
     <Compile Include="Distributions\IContinuousDistribution.cs" />
     <Compile Include="Distributions\IDiscreteDistribution.cs" />
     <Compile Include="Distributions\IDistribution.cs" />
+    <Compile Include="Distributions\Multivariate\Dirichlet.cs" />
     <Compile Include="IntegralTransforms\Algorithms\DiscreteHartleyTransform.Naive.cs" />
     <Compile Include="IntegralTransforms\Algorithms\DiscreteHartleyTransform.Options.cs" />
     <Compile Include="IntegralTransforms\HartleyOptions.cs" />
@@ -121,7 +122,6 @@
   </ItemGroup>
   <ItemGroup>
     <Folder Include="Algorithms\LinearAlgebra\" />
-    <Folder Include="Distributions\Multivariate\" />
   </ItemGroup>
   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
   <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 

src/UnitTests/DistributionTests/Multivariate/DirichletTests.cs

@@ -0,0 +1,62 @@
+// <copyright file="DirichletTests.cs" company="Math.NET">
+// Math.NET Numerics, part of the Math.NET Project
+// http://mathnet.opensourcedotnet.info
+//
+// Copyright (c) 2009 Math.NET
+//
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+//
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+// </copyright>
+
+namespace dnAnalytics.Tests.Statistics.Distributions
+{
+    using dnAnalytics.Statistics.Distributions;
+    using NUnit.Framework;
+
+    [TestFixture]
+    public class DirichletTests
+    {
+        private const double mAcceptableError = 1e-12;
+
+        [Test]
+        public void SymmetricDirichlet()
+        {
+            Dirichlet d = new Dirichlet(0.3, 5);
+
+            for (int i = 0; i < 5; i++)
+            {
+                Assert.AreEqual(0.3, d.Mean[i], mAcceptableError);
+                Assert.AreEqual(0.3 * (1.5 - 0.3) / (1.5 * 1.5 * 2.5), d.Variance[i], mAcceptableError);
+            }
+        }
+
+        [Test]
+        public void GetSetRNG()
+        {
+            Dirichlet d = new Dirichlet(0.3, 5);
+
+            // Try getting the random number generator.
+            System.Random rnd = d.RandomNumberGenerator;
+            // Try setting the random number generator.
+            d.RandomNumberGenerator = new System.Random();
+        }
+    }
+}

src/UnitTests/UnitTests.csproj

@@ -68,6 +68,7 @@
     <Compile Include="DistributionTests\Continuous\ContinuousUniformTests.cs" />
     <Compile Include="DistributionTests\Continuous\GammaTests.cs" />
     <Compile Include="DistributionTests\Continuous\NormalTests.cs" />
+    <Compile Include="DistributionTests\Multivariate\DirichletTests.cs" />
     <Compile Include="IntegralTransformsTests\HartleyTest.cs" />
     <Compile Include="IntegralTransformsTests\FourierTest.cs" />
     <Compile Include="IntegralTransformsTests\MatchingNaiveTransformTest.cs" />
@@ -109,7 +110,6 @@
   </ItemGroup>
   <ItemGroup>
     <Folder Include="DistributionTests\Discrete\" />
-    <Folder Include="DistributionTests\Multivariate\" />
   </ItemGroup>
   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
   <!-- To modify your build process, add your task inside one of the targets below and uncomment it.