//
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// http://numerics.mathdotnet.com
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namespace MathNet.Numerics.Distributions
{
using System;
using System.Collections.Generic;
using Properties;
///
/// The negative binomial is a distribution over the natural numbers with two parameters r,p. For the special
/// case that r is an integer one can interpret the distribution as the number of tails before the r'th head
/// when the probability of head is p.
/// Wikipedia - NegativeBinomial distribution.
///
/// The distribution will use the by default.
/// Users can set the random number generator by using the property.
/// 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.
public class NegativeBinomial : IDiscreteDistribution
{
///
/// The r parameter of the distribution.
///
double _r;
///
/// The p parameter of the distribution.
///
double _p;
///
/// The distribution's random number generator.
///
Random _random;
///
/// Gets or sets the number of trials.
///
public double R
{
get { return _r; }
set { SetParameters(value, _p); }
}
///
/// Gets or sets the probability of success.
///
public double P
{
get { return _p; }
set { SetParameters(_r, value); }
}
///
/// Initializes a new instance of the class.
///
/// The number of trials.
/// The probability of a trial resulting in success.
public NegativeBinomial(double r, double p)
{
_random = new Random();
SetParameters(r, p);
}
///
/// Initializes a new instance of the class.
///
/// The number of trials.
/// The probability of a trial resulting in success.
/// The random number generator which is used to draw random samples.
public NegativeBinomial(double r, double p, Random randomSource)
{
_random = randomSource ?? new Random();
SetParameters(r, p);
}
///
/// Sets the parameters of the distribution after checking their validity.
///
/// The number of trials.
/// The probability of a trial resulting in success.
/// When the parameters don't pass the function.
void SetParameters(double r, double p)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(r, p))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
_p = p;
_r = r;
}
///
/// Checks whether the parameters of the distribution are valid.
///
/// The number of trials.
/// The probability of a trial resulting in success.
/// true when the parameters are valid, false otherwise.
static bool IsValidParameterSet(double r, double p)
{
if (r < 0.0 || Double.IsNaN(r))
{
return false;
}
if (p < 0.0 || p > 1.0 || Double.IsNaN(p))
{
return false;
}
return true;
}
///
/// Returns a that represents this instance.
///
///
/// A that represents this instance.
///
public override string ToString()
{
return "NegativeBinomial(R = " + _r + ", P = " + _p + ")";
}
#region IDistribution Members
///
/// Gets or sets the distribution's random number generator.
///
public Random RandomSource
{
get { return _random; }
set
{
if (value == null)
{
throw new ArgumentNullException();
}
_random = value;
}
}
///
/// Gets the mean of the distribution.
///
public double Mean
{
get { return _r*(1.0 - _p)/_p; }
}
///
/// Gets the variance of the distribution.
///
public double Variance
{
get { return _r*(1.0 - _p)/(_p*_p); }
}
///
/// Gets the standard deviation of the distribution.
///
public double StdDev
{
get { return Math.Sqrt(_r*(1.0 - _p))/_p; }
}
///
/// Gets the entropy of the distribution.
///
public double Entropy
{
get { throw new NotSupportedException(); }
}
///
/// Gets the skewness of the distribution.
///
public double Skewness
{
get { return (2.0 - _p)/Math.Sqrt(_r*(1.0 - _p)); }
}
///
/// Computes the cumulative distribution function of the NegativeBinomial distribution.
///
/// The location at which to compute the cumulative density.
/// the cumulative density at .
public double CumulativeDistribution(double x)
{
return 1 - SpecialFunctions.BetaRegularized(x + 1, _r, 1 - _p);
}
#endregion
#region IDiscreteDistribution Members
///
/// Gets the mode of the distribution
///
public int Mode
{
get { return _r > 1.0 ? (int) Math.Floor((_r - 1.0)*(1.0 - _p)/_p) : 0; }
}
///
/// Gets the median of the distribution.
///
public int Median
{
get { throw new NotSupportedException(); }
}
///
/// Gets the smallest element in the domain of the distributions which can be represented by an integer.
///
public int Minimum
{
get { return 0; }
}
///
/// Gets the largest element in the domain of the distributions which can be represented by an integer.
///
public int Maximum
{
get { return int.MaxValue; }
}
///
/// Computes values of the probability mass function.
///
/// The location in the domain where we want to evaluate the probability mass function.
///
/// the probability mass at location .
///
public double Probability(int k)
{
var ln = SpecialFunctions.GammaLn(_r + k)
- SpecialFunctions.GammaLn(_r)
- SpecialFunctions.GammaLn(k + 1.0)
+ (_r*Math.Log(_p))
+ (k*Math.Log(1.0 - _p));
return Math.Exp(ln);
}
///
/// Computes values of the log probability mass function.
///
/// The location in the domain where we want to evaluate the log probability mass function.
///
/// the log probability mass at location .
///
public double ProbabilityLn(int k)
{
var ln = SpecialFunctions.GammaLn(_r + k)
- SpecialFunctions.GammaLn(_r)
- SpecialFunctions.GammaLn(k + 1.0)
+ (_r*Math.Log(_p))
+ (k*Math.Log(1.0 - _p));
return ln;
}
#endregion
///
/// Samples a negative binomial distributed random variable.
///
/// The random number generator to use.
/// The r parameter.
/// The p parameter.
/// a sample from the distribution.
internal static int SampleUnchecked(Random rnd, double r, double p)
{
var lambda = Gamma.SampleUnchecked(rnd, r, p);
var c = Math.Exp(-lambda);
var p1 = 1.0;
var k = 0;
do
{
k = k + 1;
p1 = p1*rnd.NextDouble();
} while (p1 >= c);
return k - 1;
}
///
/// Samples a NegativeBinomial distributed random variable.
///
/// a sample from the distribution.
public int Sample()
{
return SampleUnchecked(RandomSource, _r, _p);
}
///
/// Samples an array of NegativeBinomial distributed random variables.
///
/// a sequence of samples from the distribution.
public IEnumerable Samples()
{
while (true)
{
yield return SampleUnchecked(RandomSource, _r, _p);
}
}
///
/// Samples a random variable.
///
/// The random number generator to use.
/// The r parameter.
/// The p parameter.
public static int Sample(Random rnd, double r, double p)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(r, p))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
return SampleUnchecked(rnd, r, p);
}
///
/// Samples a sequence of this random variable.
///
/// The random number generator to use.
/// The r parameter.
/// The p parameter.
public static IEnumerable Samples(Random rnd, double r, double p)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(r, p))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
while (true)
{
yield return SampleUnchecked(rnd, r, p);
}
}
}
}