"""
Continuous Random Variables Module
See Also
========
sympy.stats.crv_types
sympy.stats.rv
sympy.stats.frv
"""
from __future__ import print_function, division
from sympy import (Interval, Intersection, symbols, sympify, Dummy,
Integral, And, Or, Piecewise, cacheit, integrate, oo, Lambda,
Basic, S, exp, I, FiniteSet, Ne, Eq, Union, poly, series, factorial)
from sympy.functions.special.delta_functions import DiracDelta
from sympy.polys.polyerrors import PolynomialError
from sympy.solvers.solveset import solveset
from sympy.solvers.inequalities import reduce_rational_inequalities
from sympy.stats.rv import (RandomDomain, SingleDomain, ConditionalDomain,
ProductDomain, PSpace, SinglePSpace, random_symbols, NamedArgsMixin)
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 compute_expectation(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 compute_expectation(self, expr, variables=None, **kwargs):
if variables is None:
variables = self.symbols
for domain in self.domains:
domain_vars = frozenset(variables) & frozenset(domain.symbols)
if domain_vars:
expr = domain.compute_expectation(expr, domain_vars, **kwargs)
return expr
def as_boolean(self):
return And(*[domain.as_boolean() for domain in self.domains])
class ConditionalContinuousDomain(ContinuousDomain, ConditionalDomain):
"""
A domain with continuous support that has been further restricted by a
condition such as x > 3
"""
def compute_expectation(self, expr, variables=None, **kwargs):
if variables is None:
variables = self.symbols
if not variables:
return expr
# Extract the full integral
fullintgrl = self.fulldomain.compute_expectation(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)
@cacheit
def compute_moment_generating_function(self, **kwargs):
""" Compute the moment generating function from the PDF
Returns a Lambda
"""
x, t = symbols('x, t', real=True, cls=Dummy)
pdf = self.pdf(x)
mgf = integrate(exp(t * x) * pdf, (x, -oo, oo))
return Lambda(t, mgf)
def _moment_generating_function(self, t):
return None
def moment_generating_function(self, t, **kwargs):
""" Moment generating function """
if len(kwargs) == 0:
try:
mgf = self._moment_generating_function(t)
if mgf is not None:
return mgf
except NotImplementedError:
return None
return self.compute_moment_generating_function(**kwargs)(t)
def expectation(self, expr, var, evaluate=True, **kwargs):
""" Expectation of expression over distribution """
if evaluate:
try:
p = poly(expr, var)
t = Dummy('t', real=True)
mgf = self._moment_generating_function(t)
if mgf is None:
return integrate(expr * self.pdf(var), (var, self.set), **kwargs)
deg = p.degree()
taylor = poly(series(mgf, t, 0, deg + 1).removeO(), t)
result = 0
for k in range(deg+1):
result += p.coeff_monomial(var ** k) * taylor.coeff_monomial(t ** k) * factorial(k)
return result
except PolynomialError:
return integrate(expr * self.pdf(var), (var, self.set), **kwargs)
else:
return Integral(expr * self.pdf(var), (var, self.set), **kwargs)
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 compute_expectation(self, expr, rvs=None, evaluate=False, **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.compute_expectation(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.compute_expectation(self.pdf, symbols, **kwargs)
return Lambda(expr.symbol, pdf)
z = Dummy('z', real=True, finite=True)
return Lambda(z, self.compute_expectation(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)
@cacheit
def compute_moment_generating_function(self, expr, **kwargs):
if not self.domain.set.is_Interval:
raise NotImplementedError("Moment generating function of multivariate expressions not implemented")
d = self.compute_density(expr, **kwargs)
x, t = symbols('x, t', real=True, cls=Dummy)
mgf = integrate(exp(t * x) * d(x), (x, -oo, oo), **kwargs)
return Lambda(t, mgf)
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.compute_expectation(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 compute_expectation(self, expr, rvs=None, evaluate=False, **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=evaluate, **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_moment_generating_function(self, expr, **kwargs):
if expr == self.value:
t = symbols("t", real=True, cls=Dummy)
return Lambda(t, self.distribution.moment_generating_function(t, **kwargs))
else:
return ContinuousPSpace.compute_moment_generating_function(self, expr, **kwargs)
def compute_density(self, expr, **kwargs):
# https://en.wikipedia.org/wiki/Random_variable#Functions_of_random_variables
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
