Julia: Generate normally distributed random number with restricted range - random

Question: How can I generate a random number in the interval [0,1] from a Gaussian distribution in Julia?
I gather randn is the way to generate normally distributed random numbers, but the documentation's description of how to specify a range is quite opaque.

Use the Distributions package. If you don't already have it:
using Pkg ; Pkg.add("Distributions")
then:
using Distributions
mu = 0 #The mean of the truncated Normal
sigma = 1 #The standard deviation of the truncated Normal
lb = 0 #The truncation lower bound
ub = 1 #The truncation upper bound
d = Truncated(Normal(mu, sigma), lb, ub) #Construct the distribution type
x = rand(d, 100) #Simulate 100 obs from the truncated Normal
or all in one line:
x = rand(Truncated(Normal(0, 1), 0, 1), 100)

Related

random number generator with x,y coordinates as seed

I'm looking for a efficient, uniformly distributed PRNG, that generates one random integer for any whole number point in the plain with coordinates x and y as input to the function.
int rand(int x, int y)
It has to deliver the same random number each time you input the same coordinate.
Do you know of algorithms, that can be used for this kind of problem and also in higher dimensions?
I already tried to use normal PRNGs like a LFSR and merged the x,y coordinates together to use it as a seed value. Something like this.
int seed = x << 16 | (y & 0xFFFF)
The obvious problem with this method is that the seed is not iterated over multiple times but is initialized again for every x,y-point. This results in very ugly non random patterns if you visualize the results.
I already know of the method which uses shuffled permutation tables of some size like 256 and you get a random integer out of it like this.
int r = P[x + P[y & 255] & 255];
But I don't want to use this method because of the very limited range, restricted period length and high memory consumption.
Thanks for any helpful suggestions!
I found a very simple, fast and sufficient hash function based on the xxhash algorithm.
// cash stands for chaos hash :D
int cash(int x, int y){
int h = seed + x*374761393 + y*668265263; //all constants are prime
h = (h^(h >> 13))*1274126177;
return h^(h >> 16);
}
It is now much faster than the lookup table method I described above and it looks equally random. I don't know if the random properties are good compared to xxhash but as long as it looks random to the eye it's a fair solution for my purpose.
This is what it looks like with the pixel coordinates as input:
My approach
In general i think you want some hash-function (mostly all of these are designed to output randomness; avalanche-effect for RNGs, explicitly needed randomness for CryptoPRNGs). Compare with this thread.
The following code uses this approach:
1) build something hashable from your input
2) hash -> random-bytes (non-cryptographically)
3) somehow convert these random-bytes to your integer range (hard to do correctly/uniformly!)
The last step is done by this approach, which seems to be not that fast, but has strong theoretical guarantees (selected answer was used).
The hash-function i used supports seeds, which will be used in step 3!
import xxhash
import math
import numpy as np
import matplotlib.pyplot as plt
import time
def rng(a, b, maxExclN=100):
# preprocessing
bytes_needed = int(math.ceil(maxExclN / 256.0))
smallest_power_larger = 2
while smallest_power_larger < maxExclN:
smallest_power_larger *= 2
counter = 0
while True:
random_hash = xxhash.xxh32(str((a, b)).encode('utf-8'), seed=counter).digest()
random_integer = int.from_bytes(random_hash[:bytes_needed], byteorder='little')
if random_integer < 0:
counter += 1
continue # inefficient but safe; could be improved
random_integer = random_integer % smallest_power_larger
if random_integer < maxExclN:
return random_integer
else:
counter += 1
test_a = rng(3, 6)
test_b = rng(3, 9)
test_c = rng(3, 6)
print(test_a, test_b, test_c) # OUTPUT: 90 22 90
random_as = np.random.randint(100, size=1000000)
random_bs = np.random.randint(100, size=1000000)
start = time.time()
rands = [rng(*x) for x in zip(random_as, random_bs)]
end = time.time()
plt.hist(rands, bins=100)
plt.show()
print('needed secs: ', end-start)
# OUTPUT: needed secs: 15.056888341903687 -> 0,015056 per sample
# -> possibly heavy-dependence on range of output
Possible improvements
Add additional entropy from some source (urandom; could be put into str)
Make a class and initialize to memorize preprocessing (costly if done for each sampling)
Handle negative integers; maybe just use abs(x)
Assumptions:
the ouput-range is [0, N) -> just shift for others!
the output-range is smaller (bits) than the hash-output (may use xxh64)
Evaluation:
Check randomness/uniformity
Check if deterministic regarding input
You can use various randomness extractors to achieve your goals. There are at least two sources you can look for a solution.
Dodis et al, "Randomness Extraction and Key Derivation
Using the CBC, Cascade and HMAC Modes"
NIST SP800-90 "Recommendation for the Entropy Sources Used for
Random Bit Generation"
All in all, you can preferably use:
AES-CBC-MAC using a random key (may be fixed and reused)
HMAC, preferably with SHA2-512
SHA-family hash functions (SHA1, SHA256 etc); using a random final block (eg use a big random salt at the end)
Thus, you can concatenate your coordinates, get their bytes, add a random key (for AES and HMAC) or a salt for SHA and your output has an adequate entropy.
According to NIST, the output entropy relies on the input entropy:
Assuming you use SHA1; thus n = 160bits. Let's suppose that m = input_entropy (your coordinates' entropy)
if m >= 2n then output_entropy=n=160 bits
if 2n < m <= n then maximum output_entropy=m (but full entropy is not guaranteed).
if m < n then maximum output_entropy=m (this is your case)
see NIST sp800-90c (page 11)

Randomly pick elements from a vector of counts

I'm currently trying to optimize some MATLAB/Octave code by means of an algorithmic change, but can't figure out how to deal with some randomness here. Suppose that I have a vector V of integers, with each element representing a count of some things, photons in my case. Now I want to randomly pick some amount of those "things" and create a new vector of the same size, but with the counts adjusted.
Here's how I do this at the moment:
function W = photonfilter(V, eff)
% W = photonfilter(V, eff)
% Randomly takes photons from V according to the given efficiency.
%
% Args:
% V: Input vector containing the number of emitted photons in each
% timeslot (one element is one timeslot). The elements are rounded
% to integers before processing.
% eff: Filter efficiency. On the average, every 1/eff photon will be
% taken. This value must be in the range 0 < eff <= 1.
% W: Output row vector with the same length as V and containing the number
% of received photons in each timeslot.
%
% WARNING: This function operates on a photon-by-photon basis in that it
% constructs a vector with one element per photon. The storage requirements
% therefore directly depend on sum(V), not only on the length of V.
% Round V and make it flat.
Ntot = length(V);
V = round(V);
V = V(:);
% Initialize the photon-based vector, so that each element contains
% the original index of the photon.
idxV = zeros(1, sum(V), 'uint32');
iout = 1;
for i = 1:Ntot
N = V(i);
idxV(iout:iout+N-1) = i;
iout = iout + N;
end;
% Take random photons.
idxV = idxV(randperm(length(idxV)));
idxV = idxV(1:round(length(idxV)*eff));
% Generate the output vector by placing the remaining photons back
% into their timeslots.
[W, trash] = hist(idxV, 1:Ntot);
This is a rather straightforward implementation of the description above. But it has an obvious performance drawback: The function creates a vector (idxV) containing one element per single photon. So if my V has only 1000 elements but an average count of 10000 per element, the internal vector will have 10 million elements making the function slow and heavy.
What I'd like to achieve now is not to directly optimize this code, but to use some other kind of algorithm which immediately calculates the new counts without giving each photon some kind of "identity". This must be possible somehow, but I just can't figure out how to do it.
Requirements:
The output vector W must have the same number of elements as the input vector V.
W(i) must be an integer and bounded by 0 <= W(i) <= V(i).
The expected value of sum(W) must be sum(V)*eff.
The algorithm must somehow implement this "random picking" of photons, i.e. there should not be some deterministic part like "run through V dividing all counts by the stepsize and propagating the remainders", as the whole point of this function is to bring randomness into the system.
An explicit loop over V is allowed if unavoidable, but a vectorized approach is preferable.
Any ideas how to implement something like this? A solution using only a random vector and then some trickery with probabilities and rounding would be ideal, but I haven't had any success with that so far.
Thanks! Best regards, Philipp
The method you employ to compute W is called Monte Carlo method. And indeed there can be some optimizations. Once of such is instead of calculating indices of photons, let's imagine a set of bins. Each bin has some probability and the sum of all bins' probabilities adds up to 1. We divide the segment [0, 1] into parts whose lengths are proportional to the probabilities of the bins. Now for every random number within [0, 1) that we generate we can quickly find the bin that it belongs to. Finally, we count numbers in the bins to obtain the final result. The code below illustrates the idea.
% Population size (number of photons).
N = 1000000;
% Sample size, size of V and W as well.
% For convenience of plotting, V and W are of the same size, but
% the algorithm doesn't enforce this constraint.
M = 10000;
% Number of Monte Carlo iterations, greater numbers give better quality.
K = 100000;
% Generate population of counts, use gaussian distribution to test the method.
% If implemented correctly histograms should have the same shape eventually.
V = hist(randn(1, N), M);
P = cumsum(V / sum(V));
% For every generated random value find its bin and then count the bins.
% Finally we normalize counts by the ration of N / K.
W = hist(lookup(P, rand(1, K)), M) * N / K;
% Compare distribution plots, they should be the same.
hold on;
plot(W, '+r');
plot(V, '*b');
pause
Based on the answer from Alexander Solovets, this is how the code now looks:
function W = photonfilter(V, eff, impl=1)
Ntot = length(V);
V = V(:);
if impl == 0
% Original "straightforward" solution.
V = round(V);
idxV = zeros(1, sum(V), 'uint32');
iout = 1;
for i = 1:Ntot
N = V(i);
idxV(iout:iout+N-1) = i;
iout = iout + N;
end;
idxV = idxV(randperm(length(idxV)));
idxV = idxV(1:round(length(idxV)*eff));
[W, trash] = hist(idxV, 1:Ntot);
else
% Monte Carlo approach.
Nphot = sum(V);
P = cumsum(V / Nphot);
W = hist(lookup(P, rand(1, round(Nphot * eff))), 0:Ntot-1);
end;
The results are quite comparable, as long as eff if not too close to 1 (with eff=1, the original solution yields W=V while the Monte Carlo approach still has some randomness, thereby violating the upper bound constraints).
Test in the interactive Octave shell:
octave:1> T=linspace(0,10*pi,10000);
octave:2> V=100*(1+sin(T));
octave:3> W1=photonfilter(V, 0.1, 0);
octave:4> W2=photonfilter(V, 0.1, 1);
octave:5> plot(T,V,T,W1,T,W2);
octave:6> legend('V','Random picking','Monte Carlo')
octave:7> sum(W1)
ans = 100000
octave:8> sum(W2)
ans = 100000
Plot:

Keep uniform distribution after remapping to a new range

Since this is about remapping a uniform distribution to another with a different range, this is not a PHP question specifically although I am using PHP.
I have a cryptographicaly secure random number generator that gives me evenly distributed integers (uniform discrete distribution) between 0 and PHP_INT_MAX.
How do I remap these results to fit into a different range in an efficient manner?
Currently I am using $mappedRandomNumber = $randomNumber % ($range + 1) + $min where $range = $max - $min, but that obvioulsy doesn't work since the first PHP_INT_MAX%$range integers from the range have a higher chance to be picked, breaking the uniformity of the distribution.
Well, having zero knowledge of PHP definitely qualifies me as an expert, so
mentally converting to float U[0,1)
f = r / PHP_MAX_INT
then doing
mapped = min + f*(max - min)
going back to integers
mapped = min + (r * max - r * min)/PHP_MAX_INT
if computation is done via 64bit math, and PHP_MAX_INT being 2^31 it should work
This is what I ended up doing. PRNG 101 (if it does not fit, ignore and generate again). Not very sophisticated, but simple:
public function rand($min = 0, $max = null){
// pow(2,$numBits-1) calculated as (pow(2,$numBits-2)-1) + pow(2,$numBits-2)
// to avoid overflow when $numBits is the number of bits of PHP_INT_MAX
$maxSafe = (int) floor(
((pow(2,8*$this->intByteCount-2)-1) + pow(2,8*$this->intByteCount-2))
/
($max - $min)
) * ($max - $min);
// discards anything above the last interval N * {0 .. max - min -1}
// that fits in {0 .. 2^(intBitCount-1)-1}
do {
$chars = $this->getRandomBytesString($this->intByteCount);
$n = 0;
for ($i=0;$i<$this->intByteCount;$i++) {$n|=(ord($chars[$i])<<(8*($this->intByteCount-$i-1)));}
} while (abs($n)>$maxSafe);
return (abs($n)%($max-$min+1))+$min;
}
Any improvements are welcomed.
(Full code on https://github.com/elcodedocle/cryptosecureprng/blob/master/CryptoSecurePRNG.php)
Here is the sketch how I would do it:
Consider you have uniform random integer distribution in range [A, B) that's what your random number generator provide.
Let L = B - A.
Let P be the highest power of 2 such that P <= L.
Let X be a sample from this range.
First calculate Y = X - A.
If Y >= P, discard it and start with new X until you get an Y that fits.
Now Y contains log2(P) uniformly random bits - zero extend it up to log2(P) bits.
Now we have uniform random bit generator that can be used to provide arbitrary number of random bits as needed.
To generate a number in the target range, let [A_t, B_t) be the target range. Let L_t = B_t - A_t.
Let P_t be the smallest power of 2 such that P_t >= L_t.
Read log2(P_t) random bits and make an integer from it, let's call it X_t.
If X_t >= L_t, discard it and try again until you get a number that fits.
Your random number in the desired range will be L_t + A_t.
Implementation considerations: if your L_t and L are powers of 2, you never have to discard anything. If not, then even in the worst case you should get the right number in less than 2 trials on average.

In matlab in a product dense matrix * sparse matrix, how can I only calculate specific entries?

We have a matlab program in which we want to calculate the following expression:
sum( (M*x) .* x)
Here, M is a small dense matrix (say 100 by 100) and x is a sparse fat matrix (say of size 100 by 1 000 000, with 5% non-zero entries). When I run the code, then first M*x is calculated, which is a dense matrix-- however, most of the computation that went into computing that matrix is a complete waste of time, as most of it will be zero-ed out in the point-wise product with x afterwards.
In other words: What I want to do is to only calculate those entries (i,j) of M*x which correspond to (i,j) for which x(i,j) is non-zero. In the end, I will then also only be interested in each column count.
It seems pretty simple to start with but I could not figure out how to tell matlab to do it or how to reshape the calculation so that matlab does it efficiently. I would really like to avoid having to code up a mex-file for this operation, and this operation is eating up most of the computation time.
Here is a code snippet for comparison:
m = 100;
n = 100000;
density = 0.05;
M = randn(m); M = M * M';
x = sprandn(m,n,density);
tic
for i = 1:100
xsi = sum((M * x).*x,1);
end
toc
Elapsed time is 13.570713 seconds.
To compute (M*x) .* x: find which entries of the final result can be nonzero (using find), compute manually only for those (sum(M(...).'.*x(...)) .* nonzeros(x).'), and from that build the final matrix (using sparse):
[ii jj] = find(x);
R = sparse(ii, jj, sum(M(ii,:).'.*x(:,jj)) .* nonzeros(x).');
Of course, to compute sum((M*x) .* x) you then simply use
full(sum(R))

Converting a Uniform Distribution to a Normal Distribution

How can I convert a uniform distribution (as most random number generators produce, e.g. between 0.0 and 1.0) into a normal distribution? What if I want a mean and standard deviation of my choosing?
There are plenty of methods:
Do not use Box Muller. Especially if you draw many gaussian numbers. Box Muller yields a result which is clamped between -6 and 6 (assuming double precision. Things worsen with floats.). And it is really less efficient than other available methods.
Ziggurat is fine, but needs a table lookup (and some platform-specific tweaking due to cache size issues)
Ratio-of-uniforms is my favorite, only a few addition/multiplications and a log 1/50th of the time (eg. look there).
Inverting the CDF is efficient (and overlooked, why ?), you have fast implementations of it available if you search google. It is mandatory for Quasi-Random numbers.
The Ziggurat algorithm is pretty efficient for this, although the Box-Muller transform is easier to implement from scratch (and not crazy slow).
Changing the distribution of any function to another involves using the inverse of the function you want.
In other words, if you aim for a specific probability function p(x) you get the distribution by integrating over it -> d(x) = integral(p(x)) and use its inverse: Inv(d(x)). Now use the random probability function (which have uniform distribution) and cast the result value through the function Inv(d(x)). You should get random values cast with distribution according to the function you chose.
This is the generic math approach - by using it you can now choose any probability or distribution function you have as long as it have inverse or good inverse approximation.
Hope this helped and thanks for the small remark about using the distribution and not the probability itself.
Here is a javascript implementation using the polar form of the Box-Muller transformation.
/*
* Returns member of set with a given mean and standard deviation
* mean: mean
* standard deviation: std_dev
*/
function createMemberInNormalDistribution(mean,std_dev){
return mean + (gaussRandom()*std_dev);
}
/*
* Returns random number in normal distribution centering on 0.
* ~95% of numbers returned should fall between -2 and 2
* ie within two standard deviations
*/
function gaussRandom() {
var u = 2*Math.random()-1;
var v = 2*Math.random()-1;
var r = u*u + v*v;
/*if outside interval [0,1] start over*/
if(r == 0 || r >= 1) return gaussRandom();
var c = Math.sqrt(-2*Math.log(r)/r);
return u*c;
/* todo: optimize this algorithm by caching (v*c)
* and returning next time gaussRandom() is called.
* left out for simplicity */
}
Where R1, R2 are random uniform numbers:
NORMAL DISTRIBUTION, with SD of 1:
sqrt(-2*log(R1))*cos(2*pi*R2)
This is exact... no need to do all those slow loops!
Reference: dspguide.com/ch2/6.htm
Use the central limit theorem wikipedia entry mathworld entry to your advantage.
Generate n of the uniformly distributed numbers, sum them, subtract n*0.5 and you have the output of an approximately normal distribution with mean equal to 0 and variance equal to (1/12) * (1/sqrt(N)) (see wikipedia on uniform distributions for that last one)
n=10 gives you something half decent fast. If you want something more than half decent go for tylers solution (as noted in the wikipedia entry on normal distributions)
I would use Box-Muller. Two things about this:
You end up with two values per iteration
Typically, you cache one value and return the other. On the next call for a sample, you return the cached value.
Box-Muller gives a Z-score
You have to then scale the Z-score by the standard deviation and add the mean to get the full value in the normal distribution.
It seems incredible that I could add something to this after eight years, but for the case of Java I would like to point readers to the Random.nextGaussian() method, which generates a Gaussian distribution with mean 0.0 and standard deviation 1.0 for you.
A simple addition and/or multiplication will change the mean and standard deviation to your needs.
The standard Python library module random has what you want:
normalvariate(mu, sigma)
Normal distribution. mu is the mean, and sigma is the standard deviation.
For the algorithm itself, take a look at the function in random.py in the Python library.
The manual entry is here
This is a Matlab implementation using the polar form of the Box-Muller transformation:
Function randn_box_muller.m:
function [values] = randn_box_muller(n, mean, std_dev)
if nargin == 1
mean = 0;
std_dev = 1;
end
r = gaussRandomN(n);
values = r.*std_dev - mean;
end
function [values] = gaussRandomN(n)
[u, v, r] = gaussRandomNValid(n);
c = sqrt(-2*log(r)./r);
values = u.*c;
end
function [u, v, r] = gaussRandomNValid(n)
r = zeros(n, 1);
u = zeros(n, 1);
v = zeros(n, 1);
filter = r==0 | r>=1;
% if outside interval [0,1] start over
while n ~= 0
u(filter) = 2*rand(n, 1)-1;
v(filter) = 2*rand(n, 1)-1;
r(filter) = u(filter).*u(filter) + v(filter).*v(filter);
filter = r==0 | r>=1;
n = size(r(filter),1);
end
end
And invoking histfit(randn_box_muller(10000000),100); this is the result:
Obviously it is really inefficient compared with the Matlab built-in randn.
This is my JavaScript implementation of Algorithm P (Polar method for normal deviates) from Section 3.4.1 of Donald Knuth's book The Art of Computer Programming:
function normal_random(mean,stddev)
{
var V1
var V2
var S
do{
var U1 = Math.random() // return uniform distributed in [0,1[
var U2 = Math.random()
V1 = 2*U1-1
V2 = 2*U2-1
S = V1*V1+V2*V2
}while(S >= 1)
if(S===0) return 0
return mean+stddev*(V1*Math.sqrt(-2*Math.log(S)/S))
}
I thing you should try this in EXCEL: =norminv(rand();0;1). This will product the random numbers which should be normally distributed with the zero mean and unite variance. "0" can be supplied with any value, so that the numbers will be of desired mean, and by changing "1", you will get the variance equal to the square of your input.
For example: =norminv(rand();50;3) will yield to the normally distributed numbers with MEAN = 50 VARIANCE = 9.
Q How can I convert a uniform distribution (as most random number generators produce, e.g. between 0.0 and 1.0) into a normal distribution?
For software implementation I know couple random generator names which give you a pseudo uniform random sequence in [0,1] (Mersenne Twister, Linear Congruate Generator). Let's call it U(x)
It is exist mathematical area which called probibility theory.
First thing: If you want to model r.v. with integral distribution F then you can try just to evaluate F^-1(U(x)). In pr.theory it was proved that such r.v. will have integral distribution F.
Step 2 can be appliable to generate r.v.~F without usage of any counting methods when F^-1 can be derived analytically without problems. (e.g. exp.distribution)
To model normal distribution you can cacculate y1*cos(y2), where y1~is uniform in[0,2pi]. and y2 is the relei distribution.
Q: What if I want a mean and standard deviation of my choosing?
You can calculate sigma*N(0,1)+m.
It can be shown that such shifting and scaling lead to N(m,sigma)
I have the following code which maybe could help:
set.seed(123)
n <- 1000
u <- runif(n) #creates U
x <- -log(u)
y <- runif(n, max=u*sqrt((2*exp(1))/pi)) #create Y
z <- ifelse (y < dnorm(x)/2, -x, NA)
z <- ifelse ((y > dnorm(x)/2) & (y < dnorm(x)), x, z)
z <- z[!is.na(z)]
It is also easier to use the implemented function rnorm() since it is faster than writing a random number generator for the normal distribution. See the following code as prove
n <- length(z)
t0 <- Sys.time()
z <- rnorm(n)
t1 <- Sys.time()
t1-t0
function distRandom(){
do{
x=random(DISTRIBUTION_DOMAIN);
}while(random(DISTRIBUTION_RANGE)>=distributionFunction(x));
return x;
}

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