I have a black box function, f(x) and a range of values for x.
I need to find the lowest value of x for which f(x) = 0.
I know that for the start of the range of x, f(x) > 0, and if I had a value for which f(x) < 0 I could use regula falsi, or similar root finding methods, to try determine f(x)=0.
I know f(x) is continuous, and should only have 0,1 or 2 roots for the range in question, but it might have a local minimum.
f(x) is somewhat computationally expensive, and I'll have to find this first root a lot.
I was thinking some kind of hill climbing with a degree of randomness to avoid any local minimums, but then how do you know if there was no minimum less than zero or if you just haven't found it yet? I think the function shouldn't have more than two minimum points, but I can't be absolutely certain of that enough to rely on it.
If it helps, x in this case represents a time, and f(x) represents the distance between a ship and a body in orbit (moon/planet) at that time. I need the first point where they are a certain distance from each other.
My method will sound pretty complicated, but in the end the computation time of the method will be far smaller than the distance calculations (evaluation of your f(x)). Also, there are quite many implementations of it already written up in existing libraries.
So what I would do:
approximate f(x) with a Chebychev polynomial
find the real roots of that polynomial
If any are found, use those roots as initial estimates in a more precise rootfinder (if needed)
Given the nature of your function (smooth, continuous, otherwise well-behaved) and the information that there's 0,1 or 2 roots, a good Chebychev polynomial can already be found with 3 evaluations of f(x).
Then find the eigenvalues of the companion matrix of the Chebychev coefficients; these correspond to the roots of the Chebychev polynomial.
If all are imaginary, there's 0 roots.
If there are some real roots, check if two are equal (that "rare" case you spoke of).
Otherwise, all real eigenvalues are roots; the lowest one of which is the root you seek.
Then use Newton-Raphson to refine (if necessary, or use a better Chebychev polynomial). Derivatives of f can be approximated using central differences
f'(x) = ( f(x+h)-f(h-x) ) /2/h (for small h)
I have an implementation of the Chebychev routines in Matlab/Octave (given below). Use like this:
R = FindRealRoots(#f, x_min, x_max, 5, true,true);
with [x_min,x_max] your range in x, 5 the number of points to use for finding the polynomial (the higher, the more accurate. Equals the amount of function evaluations needed), and the last true will make a plot of the actual function and the Chebychev approximation to it (mainly for testing purposes).
Now, the implementation:
% FINDREALROOTS Find approximations to all real roots of any function
% on an interval [a, b].
%
% USAGE:
% Roots = FindRealRoots(funfcn, a, b, n, vectorized, make_plot)
%
% FINDREALROOTS() approximates all the real roots of the function 'funfcn'
% in the interval [a,b]. It does so by finding the roots of an [n]-th degree
% Chebyshev polynomial approximation, via the eignevalues of the associated
% companion matrix.
%
% When the argument [vectorized] is [true], FINDREALROOTS() will evaluate
% the function 'funfcn' at all [n] required points in the interval
% simultaneously. Otherwise, it will use ARRAFUN() to calculate the [n]
% function values one-by-one. [vectorized] defaults to [false].
%
% When the argument [make_plot] is true, FINDREALROOTS() plots the
% original function and the Chebyshev approximation, and shows any roots on
% the given interval. Also [make_plot] defaults to [false].
%
% All [Roots] (if any) will be sorted.
%
% First version 26th May 2007 by Stephen Morris,
% Nightingale-EOS Ltd., St. Asaph, Wales.
%
% Modified 14/Nov (Rody Oldenhuis)
%
% See also roots, eig.
function Roots = FindRealRoots(funfcn, a, b, n, vectorized, make_plot)
% parse input and initialize.
inarg = nargin;
if n <= 2, n = 3; end % Minimum [n] is 3:
if (inarg < 5), vectorized = false; end % default: function isn't vectorized
if (inarg < 6), make_plot = false; end % default: don't make plot
% some convenient variables
bma = (b-a)/2; bpa = (b+a)/2; Roots = [];
% Obtain the Chebyshev coefficients for the function
%
% Based on the routine given in Numerical Recipes (3rd) section 5.8;
% calculates the Chebyshev coefficients necessary to approximate some
% function over the interval [a,b]
% initialize
c = zeros(1,n); k=(1:n)'; y = cos(pi*((1:n)-1/2)/n);
% evaluate function on Chebychev nodes
if vectorized
f = feval(funfcn,(y*bma)+bpa);
else
f = arrayfun(#(x) feval(funfcn,x),(y*bma)+bpa);
end
% compute the coefficients
for j=1:n, c(j)=(f(:).'*(cos((pi*(j-1))*((k-0.5)/n))))*(2-(j==1))/n; end
% coefficients may be [NaN] if [inf]
% ??? TODO - it is of course possible for c(n) to be zero...
if any(~isfinite(c(:))) || (c(n) == 0), return; end
% Define [A] as the Frobenius-Chebyshev companion matrix. This is based
% on the form given by J.P. Boyd, Appl. Num. Math. 56 pp.1077-1091 (2006).
one = ones(n-3,1);
A = diag([one/2; 0],-1) + diag([1; one/2],+1);
A(end, :) = -c(1:n-1)/2/c(n);
A(end,end-1) = A(end,end-1) + 0.5;
% Now we have the companion matrix, we can find its eigenvalues using the
% MATLAB built-in function. We're only interested in the real elements of
% the matrix:
eigvals = eig(A); realvals = eigvals(imag(eigvals)==0);
% if there aren't any real roots, return
if isempty(realvals), return; end
% Of course these are the roots scaled to the canonical interval [-1,1]. We
% need to map them back onto the interval [a, b]; we widen the interval just
% a tiny bit to make sure that we don't miss any that are right on the
% boundaries.
rangevals = nonzeros(realvals(abs(realvals) <= 1+1e-5));
% also sort the roots
Roots = sort(rangevals*bma + bpa);
% As a sanity check we'll plot out the original function and its Chebyshev
% approximation: if they don't match then we know to call the routine again
% with a larger 'n'.
if make_plot
% simple grid
grid = linspace(a,b, max(25,n));
% evaluate function
if vectorized
fungrid = feval(funfcn, grid);
else
fungrid = arrayfun(#(x) feval(funfcn,x), grid);
end
% corresponding Chebychev-grid (more complicated but essentially the same)
y = (2.*grid-a-b)./(b-a); d = zeros(1,length(grid)); dd = d;
for j = length(c):-1:2, sv=d; d=(2*y.*d)-dd+c(j); dd=sv; end, chebgrid=(y.*d)-dd+c(1);
% Now make plot
figure(1), clf, hold on
plot(grid, fungrid ,'color' , 'r');
line(grid, chebgrid,'color' , 'b');
line(grid, zeros(1,length(grid)), 'linestyle','--')
legend('function', 'interpolation')
end % make plot
end % FindRealRoots
You could use the secant method which is a discrete version of Newton's method.
The root is estimated by calculating the line between two points (= the secant) and its crossing of the X axis.
Your function has only 0, 1 or 2 roots, so it can be done using an algorithm it doesn't ensure the first root.
Find one root using Newton's method or other method. If it can't find any root, this algorithm also give up.
Let the found root is r and beginning of the range of the x is x0. let d = (r-x0)/2.
While d > 0, calculate f(r-d). if f(r-d) > 0, half d (d := d / 2) and loop. if
f(r-d) <= 0, escape the loop.
if loop is finished by d = 0, report r as the first root. if d > 0, find a root between x0 and r-d by using any other method and report it.
I assumed two prerequiesite conditions.
f(x) takes x of floating point numbers
At each point of the roots of f(x), the graph of f(x) crosses to x-axis. They are not touching root like x=0 in f(x)=x^2.
Using condition 2, you can prove that if there is no point such that f(r-d) < 0, ∀ x: x0 < x < r, f(x) > 0.
You could make a small change to the uniroot.all function from the R library rootSolve.
uniroot.all <- function (f, interval, lower= min(interval),
upper= max(interval), tol= .Machine$double.eps^0.2,
maxiter= 1000, n = 100, nroots = -1, ... ) {
## error checking as in uniroot...
if (!missing(interval) && length(interval) != 2)
stop("'interval' must be a vector of length 2")
if (!is.numeric(lower) || !is.numeric(upper) || lower >=
upper)
stop("lower < upper is not fulfilled")
## subdivide interval in n subintervals and estimate the function values
xseq <- seq(lower,upper,len=n+1)
mod <- f(xseq,...)
## some function values may already be 0
Equi <- xseq[which(mod==0)]
ss <- mod[1:n]*mod[2:(n+1)] # interval where functionvalues change sign
ii <- which(ss<0)
for (i in ii) {
Equi <- c(Equi, uniroot(f, lower = xseq[i], upper = xseq[i+1] ,...)$root)
if (length(Equi) == nroots) {
return(Equi)
}
}
return(Equi)
}
And run it like this:
uniroot.all(f = your_function, interval = c(start, stop), nroots = 1)
I'm working on a project for fun and I need an algorithm to do as follows:
Generate a list of numbers of Length n which add up to x
I would settle for list of integers, but ideally, I would like to be left with a set of floating point numbers.
I would be very surprised if this problem wasn't heavily studied, but I'm not sure what to look for.
I've tackled similar problems in the past, but this one is decidedly different in nature. Before I've generated different combinations of a list of numbers that will add up to x. I'm sure that I could simply bruteforce this problem but that hardly seems like the ideal solution.
Anyone have any idea what this may be called, or how to approach it? Thanks all!
Edit: To clarify, I mean that the list should be length N while the numbers themselves can be of any size.
edit2: Sorry for my improper use of 'set', I was using it as a catch all term for a list or an array. I understand that it was causing confusion, my apologies.
This is how to do it in Python
import random
def random_values_with_prescribed_sum(n, total):
x = [random.random() for i in range(n)]
k = total / sum(x)
return [v * k for v in x]
Basically you pick n random numbers, compute their sum and compute a scale factor so that the sum will be what you want it to be.
Note that this approach will not produce "uniform" slices, i.e. the distribution you will get will tend to be more "egalitarian" than it should be if it was picked at random among all distribution with the given sum.
To see the reason you can just picture what the algorithm does in the case of two numbers with a prescribed sum (e.g. 1):
The point P is a generic point obtained by picking two random numbers and it will be uniform inside the square [0,1]x[0,1]. The point Q is the point obtained by scaling P so that the sum is required to be 1. As it's clear from the picture the points close to the center of the have an higher probability; for example the exact center of the squares will be found by projecting any point on the diagonal (0,0)-(1,1), while the point (0, 1) will be found projecting only points from (0,0)-(0,1)... the diagonal length is sqrt(2)=1.4142... while the square side is only 1.0.
Actually, you need to generate a partition of x into n parts. This is usually done the in following way: The partition of x into n non-negative parts can be represented in the following way: reserve n + x free places, put n borders to some arbitrary places, and stones to the rest. The stone groups add up to x, thus the number of possible partitions is the binomial coefficient (n + x \atop n).
So your algorithm could be as follows: choose an arbitrary n-subset of (n + x)-set, it determines uniquely a partition of x into n parts.
In Knuth's TAOCP the chapter 3.4.2 discusses random sampling. See Algortihm S there.
Algorithm S: (choose n arbitrary records from total of N)
t = 0, m = 0;
u = random, uniformly distributed on (0, 1)
if (N - t)*u >= n - m, skip t-th record and increase t by 1; otherwise include t-th record in the sample, increase m and t by 1
if M < n, return to 2, otherwise, algorithm finished
The solution for non-integers is algorithmically trivial: you just select arbitrary n numbers that don't sum up to 0, and norm them by their sum.
If you want to sample uniformly in the region of N-1-dimensional space defined by x1 + x2 + ... + xN = x, then you're looking at a special case of sampling from a Dirichlet distribution. The sampling procedure is a little more involved than generating uniform deviates for the xi. Here's one way to do it, in Python:
xs = [random.gammavariate(1,1) for a in range(N)]
xs = [x*v/sum(xs) for v in xs]
If you don't care too much about the sampling properties of your results, you can just generate uniform deviates and correct their sum afterwards.
Here is a version of the above algorithm in Javascript
function getRandomArbitrary(min, max) {
return Math.random() * (max - min) + min;
};
function getRandomArray(min, max, n) {
var arr = [];
for (var i = 0, l = n; i < l; i++) {
arr.push(getRandomArbitrary(min, max))
};
return arr;
};
function randomValuesPrescribedSum(min, max, n, total) {
var arr = getRandomArray(min, max, n);
var sum = arr.reduce(function(pv, cv) { return pv + cv; }, 0);
var k = total/sum;
var delays = arr.map(function(x) { return k*x; })
return delays;
};
You can call it with
var myarray = randomValuesPrescribedSum(0,1,3,3);
And then check it with
var sum = myarray.reduce(function(pv, cv) { return pv + cv;},0);
This code does a reasonable job. I think it produces a different distribution than 6502's answer, but I am not sure which is better or more natural. Certainly his code is clearer/nicer.
import random
def parts(total_sum, num_parts):
points = [random.random() for i in range(num_parts-1)]
points.append(0)
points.append(1)
points.sort()
ret = []
for i in range(1, len(points)):
ret.append((points[i] - points[i-1]) * total_sum)
return ret
def test(total_sum, num_parts):
ans = parts(total_sum, num_parts)
assert abs(sum(ans) - total_sum) < 1e-7
print ans
test(5.5, 3)
test(10, 1)
test(10, 5)
In python:
a: create a list of (random #'s 0 to 1) times total; append 0 and total to the list
b: sort the list, measure the distance between each element
c: round the list elements
import random
import time
TOTAL = 15
PARTS = 4
PLACES = 3
def random_sum_split(parts, total, places):
a = [0, total] + [random.random()*total for i in range(parts-1)]
a.sort()
b = [(a[i] - a[i-1]) for i in range(1, (parts+1))]
if places == None:
return b
else:
b.pop()
c = [round(x, places) for x in b]
c.append(round(total-sum(c), places))
return c
def tick():
if info.tick == 1:
start = time.time()
alpha = random_sum_split(PARTS, TOTAL, PLACES)
end = time.time()
log('alpha: %s' % alpha)
log('total: %.7f' % sum(alpha))
log('parts: %s' % PARTS)
log('places: %s' % PLACES)
log('elapsed: %.7f' % (end-start))
yields:
[2014-06-13 01:00:00] alpha: [0.154, 3.617, 6.075, 5.154]
[2014-06-13 01:00:00] total: 15.0000000
[2014-06-13 01:00:00] parts: 4
[2014-06-13 01:00:00] places: 3
[2014-06-13 01:00:00] elapsed: 0.0005839
to the best of my knowledge this distribution is uniform
Selecting without any weights (equal probabilities) is beautifully described here.
I was wondering if there is a way to convert this approach to a weighted one.
I am also interested in other approaches as well.
Update: Sampling without replacement
If the sampling is with replacement, you can use this algorithm (implemented here in Python):
import random
items = [(10, "low"),
(100, "mid"),
(890, "large")]
def weighted_sample(items, n):
total = float(sum(w for w, v in items))
i = 0
w, v = items[0]
while n:
x = total * (1 - random.random() ** (1.0 / n))
total -= x
while x > w:
x -= w
i += 1
w, v = items[i]
w -= x
yield v
n -= 1
This is O(n + m) where m is the number of items.
Why does this work? It is based on the following algorithm:
def n_random_numbers_decreasing(v, n):
"""Like reversed(sorted(v * random() for i in range(n))),
but faster because we avoid sorting."""
while n:
v *= random.random() ** (1.0 / n)
yield v
n -= 1
The function weighted_sample is just this algorithm fused with a walk of the items list to pick out the items selected by those random numbers.
This in turn works because the probability that n random numbers 0..v will all happen to be less than z is P = (z/v)n. Solve for z, and you get z = vP1/n. Substituting a random number for P picks the largest number with the correct distribution; and we can just repeat the process to select all the other numbers.
If the sampling is without replacement, you can put all the items into a binary heap, where each node caches the total of the weights of all items in that subheap. Building the heap is O(m). Selecting a random item from the heap, respecting the weights, is O(log m). Removing that item and updating the cached totals is also O(log m). So you can pick n items in O(m + n log m) time.
(Note: "weight" here means that every time an element is selected, the remaining possibilities are chosen with probability proportional to their weights. It does not mean that elements appear in the output with a likelihood proportional to their weights.)
Here's an implementation of that, plentifully commented:
import random
class Node:
# Each node in the heap has a weight, value, and total weight.
# The total weight, self.tw, is self.w plus the weight of any children.
__slots__ = ['w', 'v', 'tw']
def __init__(self, w, v, tw):
self.w, self.v, self.tw = w, v, tw
def rws_heap(items):
# h is the heap. It's like a binary tree that lives in an array.
# It has a Node for each pair in `items`. h[1] is the root. Each
# other Node h[i] has a parent at h[i>>1]. Each node has up to 2
# children, h[i<<1] and h[(i<<1)+1]. To get this nice simple
# arithmetic, we have to leave h[0] vacant.
h = [None] # leave h[0] vacant
for w, v in items:
h.append(Node(w, v, w))
for i in range(len(h) - 1, 1, -1): # total up the tws
h[i>>1].tw += h[i].tw # add h[i]'s total to its parent
return h
def rws_heap_pop(h):
gas = h[1].tw * random.random() # start with a random amount of gas
i = 1 # start driving at the root
while gas >= h[i].w: # while we have enough gas to get past node i:
gas -= h[i].w # drive past node i
i <<= 1 # move to first child
if gas >= h[i].tw: # if we have enough gas:
gas -= h[i].tw # drive past first child and descendants
i += 1 # move to second child
w = h[i].w # out of gas! h[i] is the selected node.
v = h[i].v
h[i].w = 0 # make sure this node isn't chosen again
while i: # fix up total weights
h[i].tw -= w
i >>= 1
return v
def random_weighted_sample_no_replacement(items, n):
heap = rws_heap(items) # just make a heap...
for i in range(n):
yield rws_heap_pop(heap) # and pop n items off it.
If the sampling is with replacement, use the roulette-wheel selection technique (often used in genetic algorithms):
sort the weights
compute the cumulative weights
pick a random number in [0,1]*totalWeight
find the interval in which this number falls into
select the elements with the corresponding interval
repeat k times
If the sampling is without replacement, you can adapt the above technique by removing the selected element from the list after each iteration, then re-normalizing the weights so that their sum is 1 (valid probability distribution function)
I know this is a very old question, but I think there's a neat trick to do this in O(n) time if you apply a little math!
The exponential distribution has two very useful properties.
Given n samples from different exponential distributions with different rate parameters, the probability that a given sample is the minimum is equal to its rate parameter divided by the sum of all rate parameters.
It is "memoryless". So if you already know the minimum, then the probability that any of the remaining elements is the 2nd-to-min is the same as the probability that if the true min were removed (and never generated), that element would have been the new min. This seems obvious, but I think because of some conditional probability issues, it might not be true of other distributions.
Using fact 1, we know that choosing a single element can be done by generating these exponential distribution samples with rate parameter equal to the weight, and then choosing the one with minimum value.
Using fact 2, we know that we don't have to re-generate the exponential samples. Instead, just generate one for each element, and take the k elements with lowest samples.
Finding the lowest k can be done in O(n). Use the Quickselect algorithm to find the k-th element, then simply take another pass through all elements and output all lower than the k-th.
A useful note: if you don't have immediate access to a library to generate exponential distribution samples, it can be easily done by: -ln(rand())/weight
I've done this in Ruby
https://github.com/fl00r/pickup
require 'pickup'
pond = {
"selmon" => 1,
"carp" => 4,
"crucian" => 3,
"herring" => 6,
"sturgeon" => 8,
"gudgeon" => 10,
"minnow" => 20
}
pickup = Pickup.new(pond, uniq: true)
pickup.pick(3)
#=> [ "gudgeon", "herring", "minnow" ]
pickup.pick
#=> "herring"
pickup.pick
#=> "gudgeon"
pickup.pick
#=> "sturgeon"
If you want to generate large arrays of random integers with replacement, you can use piecewise linear interpolation. For example, using NumPy/SciPy:
import numpy
import scipy.interpolate
def weighted_randint(weights, size=None):
"""Given an n-element vector of weights, randomly sample
integers up to n with probabilities proportional to weights"""
n = weights.size
# normalize so that the weights sum to unity
weights = weights / numpy.linalg.norm(weights, 1)
# cumulative sum of weights
cumulative_weights = weights.cumsum()
# piecewise-linear interpolating function whose domain is
# the unit interval and whose range is the integers up to n
f = scipy.interpolate.interp1d(
numpy.hstack((0.0, weights)),
numpy.arange(n + 1), kind='linear')
return f(numpy.random.random(size=size)).astype(int)
This is not effective if you want to sample without replacement.
Here's a Go implementation from geodns:
package foo
import (
"log"
"math/rand"
)
type server struct {
Weight int
data interface{}
}
func foo(servers []server) {
// servers list is already sorted by the Weight attribute
// number of items to pick
max := 4
result := make([]server, max)
sum := 0
for _, r := range servers {
sum += r.Weight
}
for si := 0; si < max; si++ {
n := rand.Intn(sum + 1)
s := 0
for i := range servers {
s += int(servers[i].Weight)
if s >= n {
log.Println("Picked record", i, servers[i])
sum -= servers[i].Weight
result[si] = servers[i]
// remove the server from the list
servers = append(servers[:i], servers[i+1:]...)
break
}
}
}
return result
}
If you want to pick x elements from a weighted set without replacement such that elements are chosen with a probability proportional to their weights:
import random
def weighted_choose_subset(weighted_set, count):
"""Return a random sample of count elements from a weighted set.
weighted_set should be a sequence of tuples of the form
(item, weight), for example: [('a', 1), ('b', 2), ('c', 3)]
Each element from weighted_set shows up at most once in the
result, and the relative likelihood of two particular elements
showing up is equal to the ratio of their weights.
This works as follows:
1.) Line up the items along the number line from [0, the sum
of all weights) such that each item occupies a segment of
length equal to its weight.
2.) Randomly pick a number "start" in the range [0, total
weight / count).
3.) Find all the points "start + n/count" (for all integers n
such that the point is within our segments) and yield the set
containing the items marked by those points.
Note that this implementation may not return each possible
subset. For example, with the input ([('a': 1), ('b': 1),
('c': 1), ('d': 1)], 2), it may only produce the sets ['a',
'c'] and ['b', 'd'], but it will do so such that the weights
are respected.
This implementation only works for nonnegative integral
weights. The highest weight in the input set must be less
than the total weight divided by the count; otherwise it would
be impossible to respect the weights while never returning
that element more than once per invocation.
"""
if count == 0:
return []
total_weight = 0
max_weight = 0
borders = []
for item, weight in weighted_set:
if weight < 0:
raise RuntimeError("All weights must be positive integers")
# Scale up weights so dividing total_weight / count doesn't truncate:
weight *= count
total_weight += weight
borders.append(total_weight)
max_weight = max(max_weight, weight)
step = int(total_weight / count)
if max_weight > step:
raise RuntimeError(
"Each weight must be less than total weight / count")
next_stop = random.randint(0, step - 1)
results = []
current = 0
for i in range(count):
while borders[current] <= next_stop:
current += 1
results.append(weighted_set[current][0])
next_stop += step
return results
In the question you linked to, Kyle's solution would work with a trivial generalization.
Scan the list and sum the total weights. Then the probability to choose an element should be:
1 - (1 - (#needed/(weight left)))/(weight at n). After visiting a node, subtract it's weight from the total. Also, if you need n and have n left, you have to stop explicitly.
You can check that with everything having weight 1, this simplifies to kyle's solution.
Edited: (had to rethink what twice as likely meant)
This one does exactly that with O(n) and no excess memory usage. I believe this is a clever and efficient solution easy to port to any language. The first two lines are just to populate sample data in Drupal.
function getNrandomGuysWithWeight($numitems){
$q = db_query('SELECT id, weight FROM theTableWithTheData');
$q = $q->fetchAll();
$accum = 0;
foreach($q as $r){
$accum += $r->weight;
$r->weight = $accum;
}
$out = array();
while(count($out) < $numitems && count($q)){
$n = rand(0,$accum);
$lessaccum = NULL;
$prevaccum = 0;
$idxrm = 0;
foreach($q as $i=>$r){
if(($lessaccum == NULL) && ($n <= $r->weight)){
$out[] = $r->id;
$lessaccum = $r->weight- $prevaccum;
$accum -= $lessaccum;
$idxrm = $i;
}else if($lessaccum){
$r->weight -= $lessaccum;
}
$prevaccum = $r->weight;
}
unset($q[$idxrm]);
}
return $out;
}
I putting here a simple solution for picking 1 item, you can easily expand it for k items (Java style):
double random = Math.random();
double sum = 0;
for (int i = 0; i < items.length; i++) {
val = items[i];
sum += val.getValue();
if (sum > random) {
selected = val;
break;
}
}
I have implemented an algorithm similar to Jason Orendorff's idea in Rust here. My version additionally supports bulk operations: insert and remove (when you want to remove a bunch of items given by their ids, not through the weighted selection path) from the data structure in O(m + log n) time where m is the number of items to remove and n the number of items in stored.
Sampling wihout replacement with recursion - elegant and very short solution in c#
//how many ways we can choose 4 out of 60 students, so that every time we choose different 4
class Program
{
static void Main(string[] args)
{
int group = 60;
int studentsToChoose = 4;
Console.WriteLine(FindNumberOfStudents(studentsToChoose, group));
}
private static int FindNumberOfStudents(int studentsToChoose, int group)
{
if (studentsToChoose == group || studentsToChoose == 0)
return 1;
return FindNumberOfStudents(studentsToChoose, group - 1) + FindNumberOfStudents(studentsToChoose - 1, group - 1);
}
}
I just spent a few hours trying to get behind the algorithms underlying sampling without replacement out there and this topic is more complex than I initially thought. That's exciting! For the benefit of a future readers (have a good day!) I document my insights here including a ready to use function which respects the given inclusion probabilities further below. A nice and quick mathematical overview of the various methods can be found here: Tillé: Algorithms of sampling with equal or unequal probabilities. For example Jason's method can be found on page 46. The caveat with his method is that the weights are not proportional to the inclusion probabilities as also noted in the document. Actually, the i-th inclusion probabilities can be recursively computed as follows:
def inclusion_probability(i, weights, k):
"""
Computes the inclusion probability of the i-th element
in a randomly sampled k-tuple using Jason's algorithm
(see https://stackoverflow.com/a/2149533/7729124)
"""
if k <= 0: return 0
cum_p = 0
for j, weight in enumerate(weights):
# compute the probability of j being selected considering the weights
p = weight / sum(weights)
if i == j:
# if this is the target element, we don't have to go deeper,
# since we know that i is included
cum_p += p
else:
# if this is not the target element, than we compute the conditional
# inclusion probability of i under the constraint that j is included
cond_i = i if i < j else i-1
cond_weights = weights[:j] + weights[j+1:]
cond_p = inclusion_probability(cond_i, cond_weights, k-1)
cum_p += p * cond_p
return cum_p
And we can check the validity of the function above by comparing
In : for i in range(3): print(i, inclusion_probability(i, [1,2,3], 2))
0 0.41666666666666663
1 0.7333333333333333
2 0.85
to
In : import collections, itertools
In : sample_tester = lambda f: collections.Counter(itertools.chain(*(f() for _ in range(10000))))
In : sample_tester(lambda: random_weighted_sample_no_replacement([(1,'a'),(2,'b'),(3,'c')],2))
Out: Counter({'a': 4198, 'b': 7268, 'c': 8534})
One way - also suggested in the document above - to specify the inclusion probabilities is to compute the weights from them. The whole complexity of the question at hand stems from the fact that one cannot do that directly since one basically has to invert the recursion formula, symbolically I claim this is impossible. Numerically it can be done using all kind of methods, e.g. Newton's method. However the complexity of inverting the Jacobian using plain Python becomes unbearable quickly, I really recommend looking into numpy.random.choice in this case.
Luckily there is method using plain Python which might or might not be sufficiently performant for your purposes, it works great if there aren't that many different weights. You can find the algorithm on page 75&76. It works by splitting up the sampling process into parts with the same inclusion probabilities, i.e. we can use random.sample again! I am not going to explain the principle here since the basics are nicely presented on page 69. Here is the code with hopefully a sufficient amount of comments:
def sample_no_replacement_exact(items, k, best_effort=False, random_=None, ε=1e-9):
"""
Returns a random sample of k elements from items, where items is a list of
tuples (weight, element). The inclusion probability of an element in the
final sample is given by
k * weight / sum(weights).
Note that the function raises if a inclusion probability cannot be
satisfied, e.g the following call is obviously illegal:
sample_no_replacement_exact([(1,'a'),(2,'b')],2)
Since selecting two elements means selecting both all the time,
'b' cannot be selected twice as often as 'a'. In general it can be hard to
spot if the weights are illegal and the function does *not* always raise
an exception in that case. To remedy the situation you can pass
best_effort=True which redistributes the inclusion probability mass
if necessary. Note that the inclusion probabilities will change
if deemed necessary.
The algorithm is based on the splitting procedure on page 75/76 in:
http://www.eustat.eus/productosServicios/52.1_Unequal_prob_sampling.pdf
Additional information can be found here:
https://stackoverflow.com/questions/2140787/
:param items: list of tuples of type weight,element
:param k: length of resulting sample
:param best_effort: fix inclusion probabilities if necessary,
(optional, defaults to False)
:param random_: random module to use (optional, defaults to the
standard random module)
:param ε: fuzziness parameter when testing for zero in the context
of floating point arithmetic (optional, defaults to 1e-9)
:return: random sample set of size k
:exception: throws ValueError in case of bad parameters,
throws AssertionError in case of algorithmic impossibilities
"""
# random_ defaults to the random submodule
if not random_:
random_ = random
# special case empty return set
if k <= 0:
return set()
if k > len(items):
raise ValueError("resulting tuple length exceeds number of elements (k > n)")
# sort items by weight
items = sorted(items, key=lambda item: item[0])
# extract the weights and elements
weights, elements = list(zip(*items))
# compute the inclusion probabilities (short: π) of the elements
scaling_factor = k / sum(weights)
π = [scaling_factor * weight for weight in weights]
# in case of best_effort: if a inclusion probability exceeds 1,
# try to rebalance the probabilities such that:
# a) no probability exceeds 1,
# b) the probabilities still sum to k, and
# c) the probability masses flow from top to bottom:
# [0.2, 0.3, 1.5] -> [0.2, 0.8, 1]
# (remember that π is sorted)
if best_effort and π[-1] > 1 + ε:
# probability mass we still we have to distribute
debt = 0.
for i in reversed(range(len(π))):
if π[i] > 1.:
# an 'offender', take away excess
debt += π[i] - 1.
π[i] = 1.
else:
# case π[i] < 1, i.e. 'save' element
# maximum we can transfer from debt to π[i] and still not
# exceed 1 is computed by the minimum of:
# a) 1 - π[i], and
# b) debt
max_transfer = min(debt, 1. - π[i])
debt -= max_transfer
π[i] += max_transfer
assert debt < ε, "best effort rebalancing failed (impossible)"
# make sure we are talking about probabilities
if any(not (0 - ε <= π_i <= 1 + ε) for π_i in π):
raise ValueError("inclusion probabilities not satisfiable: {}" \
.format(list(zip(π, elements))))
# special case equal probabilities
# (up to fuzziness parameter, remember that π is sorted)
if π[-1] < π[0] + ε:
return set(random_.sample(elements, k))
# compute the two possible lambda values, see formula 7 on page 75
# (remember that π is sorted)
λ1 = π[0] * len(π) / k
λ2 = (1 - π[-1]) * len(π) / (len(π) - k)
λ = min(λ1, λ2)
# there are two cases now, see also page 69
# CASE 1
# with probability λ we are in the equal probability case
# where all elements have the same inclusion probability
if random_.random() < λ:
return set(random_.sample(elements, k))
# CASE 2:
# with probability 1-λ we are in the case of a new sample without
# replacement problem which is strictly simpler,
# it has the following new probabilities (see page 75, π^{(2)}):
new_π = [
(π_i - λ * k / len(π))
/
(1 - λ)
for π_i in π
]
new_items = list(zip(new_π, elements))
# the first few probabilities might be 0, remove them
# NOTE: we make sure that floating point issues do not arise
# by using the fuzziness parameter
while new_items and new_items[0][0] < ε:
new_items = new_items[1:]
# the last few probabilities might be 1, remove them and mark them as selected
# NOTE: we make sure that floating point issues do not arise
# by using the fuzziness parameter
selected_elements = set()
while new_items and new_items[-1][0] > 1 - ε:
selected_elements.add(new_items[-1][1])
new_items = new_items[:-1]
# the algorithm reduces the length of the sample problem,
# it is guaranteed that:
# if λ = λ1: the first item has probability 0
# if λ = λ2: the last item has probability 1
assert len(new_items) < len(items), "problem was not simplified (impossible)"
# recursive call with the simpler sample problem
# NOTE: we have to make sure that the selected elements are included
return sample_no_replacement_exact(
new_items,
k - len(selected_elements),
best_effort=best_effort,
random_=random_,
ε=ε
) | selected_elements
Example:
In : sample_no_replacement_exact([(1,'a'),(2,'b'),(3,'c')],2)
Out: {'b', 'c'}
In : import collections, itertools
In : sample_tester = lambda f: collections.Counter(itertools.chain(*(f() for _ in range(10000))))
In : sample_tester(lambda: sample_no_replacement_exact([(1,'a'),(2,'b'),(3,'c'),(4,'d')],2))
Out: Counter({'a': 2048, 'b': 4051, 'c': 5979, 'd': 7922})
The weights sum up to 10, hence the inclusion probabilities compute to: a → 20%, b → 40%, c → 60%, d → 80%. (Sum: 200% = k.) It works!
Just one word of caution for the productive use of this function, it can be very hard to spot illegal inputs for the weights. An obvious illegal example is
In: sample_no_replacement_exact([(1,'a'),(2,'b')],2)
ValueError: inclusion probabilities not satisfiable: [(0.6666666666666666, 'a'), (1.3333333333333333, 'b')]
b cannot appear twice as often as a since both have to be always be selected. There are more subtle examples. To avoid an exception in production just use best_effort=True, which rebalances the inclusion probability mass such that we have always a valid distribution. Obviously this might change the inclusion probabilities.
I used a associative map (weight,object). for example:
{
(10,"low"),
(100,"mid"),
(10000,"large")
}
total=10110
peek a random number between 0 and 'total' and iterate over the keys until this number fits in a given range.