| /* |
| * Licensed to the Apache Software Foundation (ASF) under one or more |
| * contributor license agreements. See the NOTICE file distributed with |
| * this work for additional information regarding copyright ownership. |
| * The ASF licenses this file to You under the Apache License, Version 2.0 |
| * (the "License"); you may not use this file except in compliance with |
| * the License. You may obtain a copy of the License at |
| * |
| * http://www.apache.org/licenses/LICENSE-2.0 |
| * |
| * Unless required by applicable law or agreed to in writing, software |
| * distributed under the License is distributed on an "AS IS" BASIS, |
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
| * See the License for the specific language governing permissions and |
| * limitations under the License. |
| */ |
| package org.apache.commons.rng.sampling.distribution; |
| |
| import org.apache.commons.rng.UniformRandomProvider; |
| |
| /** |
| * Distribution sampler that uses the |
| * <a href="https://en.wikipedia.org/wiki/Inverse_transform_sampling"> |
| * inversion method</a>. |
| * |
| * It can be used to sample any distribution that provides access to its |
| * <em>inverse cumulative probability function</em>. |
| * |
| * <p>Sampling uses {@link UniformRandomProvider#nextDouble()}.</p> |
| * |
| * <p>Example:</p> |
| * <pre><code> |
| * import org.apache.commons.math3.distribution.RealDistribution; |
| * import org.apache.commons.math3.distribution.ChiSquaredDistribution; |
| * |
| * import org.apache.commons.rng.simple.RandomSource; |
| * import org.apache.commons.rng.sampling.distribution.ContinuousSampler; |
| * import org.apache.commons.rng.sampling.distribution.InverseTransformContinuousSampler; |
| * import org.apache.commons.rng.sampling.distribution.ContinuousInverseCumulativeProbabilityFunction; |
| * |
| * // Distribution to sample. |
| * final RealDistribution dist = new ChiSquaredDistribution(9); |
| * // Create the sampler. |
| * final ContinuousSampler chiSquareSampler = |
| * InverseTransformContinuousSampler.of(RandomSource.MT.create(), |
| * new ContinuousInverseCumulativeProbabilityFunction() { |
| * public double inverseCumulativeProbability(double p) { |
| * return dist.inverseCumulativeProbability(p); |
| * } |
| * }); |
| * |
| * // Generate random deviate. |
| * double random = chiSquareSampler.sample(); |
| * </code></pre> |
| * |
| * @since 1.0 |
| */ |
| public class InverseTransformContinuousSampler |
| extends SamplerBase |
| implements SharedStateContinuousSampler { |
| /** Inverse cumulative probability function. */ |
| private final ContinuousInverseCumulativeProbabilityFunction function; |
| /** Underlying source of randomness. */ |
| private final UniformRandomProvider rng; |
| |
| /** |
| * @param rng Generator of uniformly distributed random numbers. |
| * @param function Inverse cumulative probability function. |
| */ |
| public InverseTransformContinuousSampler(UniformRandomProvider rng, |
| ContinuousInverseCumulativeProbabilityFunction function) { |
| super(null); |
| this.rng = rng; |
| this.function = function; |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public double sample() { |
| return function.inverseCumulativeProbability(rng.nextDouble()); |
| } |
| |
| /** {@inheritDoc} */ |
| @Override |
| public String toString() { |
| return function.toString() + " (inverse method) [" + rng.toString() + "]"; |
| } |
| |
| /** |
| * {@inheritDoc} |
| * |
| * <p>Note: The new sampler will share the inverse cumulative probability function. This |
| * must be suitable for concurrent use to ensure thread safety.</p> |
| * |
| * @since 1.3 |
| */ |
| @Override |
| public SharedStateContinuousSampler withUniformRandomProvider(UniformRandomProvider rng) { |
| return new InverseTransformContinuousSampler(rng, function); |
| } |
| |
| /** |
| * Create a new inverse-transform continuous sampler. |
| * |
| * <p>To use the sampler to |
| * {@link org.apache.commons.rng.sampling.SharedStateSampler share state} the function must be |
| * suitable for concurrent use.</p> |
| * |
| * @param rng Generator of uniformly distributed random numbers. |
| * @param function Inverse cumulative probability function. |
| * @return the sampler |
| * @see #withUniformRandomProvider(UniformRandomProvider) |
| * @since 1.3 |
| */ |
| public static SharedStateContinuousSampler of(UniformRandomProvider rng, |
| ContinuousInverseCumulativeProbabilityFunction function) { |
| return new InverseTransformContinuousSampler(rng, function); |
| } |
| } |