Statistical supplementary package to numpy, scipy, ...

Project description

Qilum is a statistical and utility library supplementing existing statistical libraries including numpy [1] and scipy [2]. We use numba library [3] to speed up some calculations.

In this first version, we provide several random number generators. They are based on the C++ LOPOR library [4] and the article Canonical local algorithms for spin systems: heat bath and Hasting methods [5]. We respect the scipy.stats random number generator interface and any of the scipy.stats classes can be used to initialize qilum classes.

The main classes are:

• Dist_reject. Construct an exact generator for any probability functions. This is the fastest method when you do not know how to calculate or inverse the cumulative [5].

• Dist_sum. Construct a sum of known distributions

• Dist_scale. Apply scaling for x and y, for any distributions, even negative scaling for x

• Dist_cubicSpline. Create an approximate random number generator for any functions using cubic spline. If you need an exact random number generator, use Dist_reject. The Dist_cubicSpline can be used instead of scipy.stats.rv_histogram, if you need a smooth function

• Dist_walker. Create a very fast random number generator for discrete distributions.

• In addition, we expose the function f_walker which calculates the parameters of the Walker algorithm [6]

The most up-to-date Qilum documentation can be found at https://www.qilum.com

The source code can be found at https://bitbucket.org/daminou_fr/qilum

• Example: Discrete Walker distribution Dist_walker
# Define a discrete distribution with Walker algorithm
import qilum.stats as qs
walker = qs.Dist_walker(probabilities=[0.2, 0.5, 0.3], values=[0, 10, 2])
# and call the random number generator
rans = walker.rvs(size=100000)

• Example: Sum of distributions Dist_sum
# exponential distributions left and right types
exp_left  = qs.Dist_scale(scipy.stats.expon(),loc_x=-1.000001, scale_x=-1, scale_y=2, name='Exp+')
exp_right = qs.Dist_scale(scipy.stats.expon(),loc_x= -1, scale_x= 1, scale_y=2, name='Exp-')
# sum of the distributions
dist_sum = qs.Dist_sum([exp_left, exp_right]);
# random numbers
rans = dist_sum.rvs(100)

• Example: Rejection method distribution Dist_reject
# generate a random generator for f_f(x)
def f_f(xs): return np.where((xs<-5) | (xs>5), 0, 3.*np.exp(-np.power(xs,4)/10.))
# find a step function above f_f(x)
xs = np.linspace(-6,6, 1001)
ys = f_f(xs)
xs_step, ys_step = qs.f_max(xs, ys, 20)
ys_step *= 1.2 # just to be sure that our step function >= f_f()
# create a distribution for this step function:
hist_dist = scipy.stats.rv_histogram((ys_step, xs_step))
# scale this diribution
cumulative = qs.f_cumulative(xs_step, ys_step)[-1]
dist_step = qs.Dist_scale(hist_dist, scale_y = cumulative, name='dist_step')
# create dist_reject
dist_reject = qs.Dist_reject(dist_step, f_f)
# random numbers
rans = dist_reject.rvs(100)


References:

[1] numpy: https://numpy.org

[2] scipy https://www.scipy.org/

[3] numba http://numba.pydata.org

[4] C++ LOPOR library: http://www.damienloison.com/finance/LOPOR/index.html

[5] Canonical local algorithms for spin systems: heat bath and Hasting methods: http://www.damienloison.com/articles/reference26.pdf

[6] A.J. Walker, ACM Transaction on Mathematical Software 3 (1977) 253

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