Related
To make sure that this is not a duplicate, I have already checked this and this out.
I want to generate random numbers in a specific range including step size (not continuous distribution).
For example, I want to generate random numbers between -2 and 3 in which the step between two consecutive numbers is 0.02. (e.g. [-2 -1.98 -1.96 ... 2.69 2.98 3] so a generated number should be 2.96 not 2.95).
I have tried this:
a=-2*100;
b=3*100;
r = (b-a).*rand(5,1) + a;
for i=1:length(r)
if r(i) >= 0
if mod(fix(r(i)),2)
r(i)=ceil(r(i))/100;
else
r(i)=floor(r(i))/100;
end
else
if mod(fix(r(i)),2)
r(i)=floor(r(i))/100;
else
r(i)=ceil(r(i))/100;
end
end
end
and it works.
there is an alternative way to do this in MATLAB which is :
y = datasample(-2:0.02:3,5,'Replace',false)
I want to know:
How can I make my own implementation faster (improve the
performance)?
If the second method is faster (it looks faster to me), how can I
use similar implementation in C++?
Those previous answers do cover your case if you read carefully. For example, this one produces random numbers between limits with a step size of one. But let's generalize this to an arbitrary step size in case you can't figure out how to get there. There are several different ways. Here's one using randi where we use the default step size of one and the range from one to the number possible values as indices:
lo = 2;
hi = 3;
step = 0.02;
v = lo:step:hi;
r = v(randi(length(v),[5 1]))
If you look inside datasample (type edit datasample in your command window to view the code) you'll see that it's doing something very similar to this answer. In the case of the 'Replace' option being true see around line 135 (in R2013a at least).
If the 'Replace' option is false, as in your use of datasample above, then randperm actually needs to be used instead (see around line 159):
lo = 2;
hi = 3;
step = 0.02;
v = lo:step:hi;
r = v(randperm(length(v),51))
Because there is no replacement in this case, 51 is the maximum number of values that can be requested in a call and all values of r will be unique.
In C++ you should not use rand() if you're doing scientific computing and generating large numbers of random variates. Instead you should use a large period random number generator such as Mersenne Twister (the default in Matlab). C++11 includes a version of this generator as part of . More here in rand(). If you want something fast, you should try the Double precision SIMD-oriented Fast Mersenne Twister. You'll have to ask another question if you want to implement your code in C++.
The distribution you want is a simple transform of integers, so how about:
step = 0.02
r = randi([-2 3] / step, [5, 1]) * step;
In C++, rand() generates integers too, so it should be pretty obvious how to take a similar approach there.
Lets have matrix A say A = magic(100);. I have seen 2 ways of computing sum of all elements of matrix A.
sumOfA = sum(sum(A));
Or
sumOfA = sum(A(:));
Is one of them faster (or better practise) then other? If so which one is it? Or are they both equally fast?
It seems that you can't make up your mind about whether performance or floating point accuracy is more important.
If floating point accuracy were of paramount accuracy, then you would segregate the positive and negative elements, sorting each segment. Then sum in order of increasing absolute value. Yeah, I know, its more work than anyone would do, and it probably will be a waste of time.
Instead, use adequate precision such that any errors made will be irrelevant. Use good numerical practices about tests, etc, such that there are no problems generated.
As far as the time goes, for an NxM array,
sum(A(:)) will require N*M-1 additions.
sum(sum(A)) will require (N-1)*M + M-1 = N*M-1 additions.
Either method requires the same number of adds, so for a large array, even if the interpreter is not smart enough to recognize that they are both the same op, who cares?
It is simply not an issue. Don't make a mountain out of a mole hill to worry about this.
Edit: in response to Amro's comment about the errors for one method over the other, there is little you can control. The additions will be done in a different order, but there is no assurance about which sequence will be better.
A = randn(1000);
format long g
The two solutions are quite close. In fact, compared to eps, the difference is barely significant.
sum(A(:))
ans =
945.760668102446
sum(sum(A))
ans =
945.760668102449
sum(sum(A)) - sum(A(:))
ans =
2.72848410531878e-12
eps(sum(A(:)))
ans =
1.13686837721616e-13
Suppose you choose the segregate and sort trick I mentioned. See that the negative and positive parts will be large enough that there will be a loss of precision.
sum(sort(A(A<0),'descend'))
ans =
-398276.24754782
sum(sort(A(A<0),'descend')) + sum(sort(A(A>=0),'ascend'))
ans =
945.7606681037
So you really would need to accumulate the pieces in a higher precision array anyway. We might try this:
[~,tags] = sort(abs(A(:)));
sum(A(tags))
ans =
945.760668102446
An interesting problem arises even in these tests. Will there be an issue because the tests are done on a random (normal) array? Essentially, we can view sum(A(:)) as a random walk, a drunkard's walk. But consider sum(sum(A)). Each element of sum(A) (i.e., the internal sum) is itself a sum of 1000 normal deviates. Look at a few of them:
sum(A)
ans =
Columns 1 through 6
-32.6319600960983 36.8984589766173 38.2749084367497 27.3297721091922 30.5600109446534 -59.039228262402
Columns 7 through 12
3.82231962760523 4.11017616179294 -68.1497901792032 35.4196443983385 7.05786623564426 -27.1215387236418
Columns 13 through 18
When we add them up, there will be a loss of precision. So potentially, the operation as sum(A(:)) might be slightly more accurate. Is it so? What if we use a higher precision for the accumulation? So first, I'll form the sum down the columns using doubles, then convert to 25 digits of decimal precision, and sum the rows. (I've displayed only 20 digits here, leaving 5 digits hidden as guard digits.)
sum(hpf(sum(A)))
ans =
945.76066810244807408
Or, instead, convert immediately to 25 digits of precision, then summing the result.
sum(hpf(A(:))
945.76066810244749807
So both forms in double precision were equally wrong here, in opposite directions. In the end, this is all moot, since any of the alternatives I've shown are far more time consuming compared to the simple variations sum(A(:)) or sum(sum(A)). Just pick one of them and don't worry.
Performance-wise, I'd say both are very similar (assuming a recent MATLAB version). Here is quick test using the TIMEIT function:
function sumTest()
M = randn(5000);
timeit( #() func1(M) )
timeit( #() func2(M) )
end
function v = func1(A)
v = sum(A(:));
end
function v = func2(A)
v = sum(sum(A));
end
the results were:
>> sumTest
ans =
0.0020917
ans =
0.0017159
What I would worry about is floating-point issues. Example:
>> M = randn(1000);
>> abs( sum(M(:)) - sum(sum(M)) )
ans =
3.9108e-11
Error magnitude increases for larger matrices
i think a simple way to understand is apply " tic_ toc "function in first and last of your code.
tic
A = randn(5000);
format long g
sum(A(:));
toc
but when you used randn function ,elements of it are random and time of calculation can
different in each cycle CPU calculation .
This better you used a unique matrix whit so large elements to compare time of calculation.
I would like to genrate a random permutation as fast as possible.
The problem: The knuth shuffle which is O(n) involves generating n random numbers.
Since generating random numbers is quite expensive.
I would like to find an O(n) function involving a fixed O(1) amount of random numbers.
I realize that this question has been asked before, but I did not see any relevant answers.
Just to stress a point: I am not looking for anything less than O(n), just an algorithm involving less generation of random numbers.
Thanks
Create a 1-1 mapping of each permutation to a number from 1 to n! (n factorial). Generate a random number in 1 to n!, use the mapping, get the permutation.
For the mapping, perhaps this will be useful: http://en.wikipedia.org/wiki/Permutation#Numbering_permutations
Of course, this would get out of hand quickly, as n! can become really large soon.
Generating a random number takes long time you say? The implementation of Javas Random.nextInt is roughly
oldseed = seed;
nextseed = (oldseed * multiplier + addend) & mask;
return (int)(nextseed >>> (48 - bits));
Is that too much work to do for each element?
See https://doi.org/10.1145/3009909 for a careful analysis of the number of random bits required to generate a random permutation. (It's open-access, but it's not easy reading! Bottom line: if carefully implemented, all of the usual methods for generating random permutations are efficient in their use of random bits.)
And... if your goal is to generate a random permutation rapidly for large N, I'd suggest you try the MergeShuffle algorithm. An article published in 2015 claimed a factor-of-two speedup over Fisher-Yates in both parallel and sequential implementations, and a significant speedup in sequential computations over the other standard algorithm they tested (Rao-Sandelius).
An implementation of MergeShuffle (and of the usual Fisher-Yates and Rao-Sandelius algorithms) is available at https://github.com/axel-bacher/mergeshuffle. But caveat emptor! The authors are theoreticians, not software engineers. They have published their experimental code to github but aren't maintaining it. Someday, I imagine someone (perhaps you!) will add MergeShuffle to GSL. At present gsl_ran_shuffle() is an implementation of Fisher-Yates, see https://www.gnu.org/software/gsl/doc/html/randist.html?highlight=gsl_ran_shuffle.
Not what you asked exactly, but if provided random number generator doesn't satisfy you, may be you should try something different. Generally, pseudorandom number generation can be very simple.
Probably, best-known algorithm
http://en.wikipedia.org/wiki/Linear_congruential_generator
More
http://en.wikipedia.org/wiki/List_of_pseudorandom_number_generators
As other answers suggest, you can make a random integer in the range 0 to N! and use it to produce a shuffle. Although theoretically correct, this won't be faster in general since N! grows fast and you'll spend all your time doing bigint arithmetic.
If you want speed and you don't mind trading off some randomness, you will be much better off using a less good random number generator. A linear congruential generator (see http://en.wikipedia.org/wiki/Linear_congruential_generator) will give you a random number in a few cycles.
Usually there is no need in full-range of next random value, so to use exactly the same amount of randomness you can use next approach (which is almost like random(0,N!), I guess):
// ...
m = 1; // range of random buffer (single variant)
r = 0; // random buffer (number zero)
// ...
for(/* ... */) {
while (m < n) { // range of our buffer is too narrow for "n"
r = r*RAND_MAX + random(); // add another random to our random-buffer
m *= RAND_MAX; // update range of random-buffer
}
x = r % n; // pull-out next random with range "n"
r /= n; // remove it from random-buffer
m /= n; // fix range of random-buffer
// ...
}
P.S. of course there will be some errors related with division by value different from 2^n, but they will be distributed among resulted samples.
Generate N numbers (N < of the number of random number you need) before to do the computation, or store them in an array as data, with your slow but good random generator; then pick up a number simply incrementing an index into the array inside your computing loop; if you need different seeds, create multiple tables.
Are you sure that your mathematical and algorithmical approach to the problem is correct?
I hit exactly same problem where Fisher–Yates shuffle will be bottleneck in corner cases. But for me the real problem is brute force algorithm that doesn't scale well to all problems. Following story explains the problem and optimizations that I have come up with so far.
Dealing cards for 4 players
Number of possible deals is 96 bit number. That puts quite a stress for random number generator to avoid statical anomalies when selecting play plan from generated sample set of deals. I choose to use 2xmt19937_64 seeded from /dev/random because of the long period and heavy advertisement in web that it is good for scientific simulations.
Simple approach is to use Fisher–Yates shuffle to generate deals and filter out deals that don't match already collected information. Knuth shuffle takes ~1400 CPU cycles per deal mostly because I have to generate 51 random numbers and swap 51 times entries in the table.
That doesn't matter for normal cases where I would only need to generate 10000-100000 deals in 7 minutes. But there is extreme cases when filters may select only very small subset of hands requiring huge number of deals to be generated.
Using single number for multiple cards
When profiling with callgrind (valgrind) I noticed that main slow down was C++ random number generator (after switching away from std::uniform_int_distribution that was first bottleneck).
Then I came up with idea that I can use single random number for multiple cards. The idea is to use least significant information from the number first and then erase that information.
int number = uniform_rng(0, 52*51*50*49);
int card1 = number % 52;
number /= 52;
int cards2 = number % 51;
number /= 51;
......
Of course that is only minor optimization because generation is still O(N).
Generation using bit permutations
Next idea was exactly solution asked in here but I ended up still with O(N) but with larger cost than original shuffle. But lets look into solution and why it fails so miserably.
I decided to use idea Dealing All the Deals by John Christman
void Deal::generate()
{
// 52:26 split, 52!/(26!)**2 = 495,918,532,948,1041
max = 495918532948104LU;
partner = uniform_rng(eng1, max);
// 2x 26:13 splits, (26!)**2/(13!)**2 = 10,400,600**2
max = 10400600LU*10400600LU;
hands = uniform_rng(eng2, max);
// Create 104 bit presentation of deal (2 bits per card)
select_deal(id, partner, hands);
}
So far good and pretty good looking but select_deal implementation is PITA.
void select_deal(Id &new_id, uint64_t partner, uint64_t hands)
{
unsigned idx;
unsigned e, n, ns = 26;
e = n = 13;
// Figure out partnership who owns which card
for (idx = CARDS_IN_SUIT*NUM_SUITS; idx > 0; ) {
uint64_t cut = ncr(idx - 1, ns);
if (partner >= cut) {
partner -= cut;
// Figure out if N or S holds the card
ns--;
cut = ncr(ns, n) * 10400600LU;
if (hands > cut) {
hands -= cut;
n--;
} else
new_id[idx%NUM_SUITS] |= 1 << (idx/NUM_SUITS);
} else
new_id[idx%NUM_SUITS + NUM_SUITS] |= 1 << (idx/NUM_SUITS);
idx--;
}
unsigned ew = 26;
// Figure out if E or W holds a card
for (idx = CARDS_IN_SUIT*NUM_SUITS; idx-- > 0; ) {
if (new_id[idx%NUM_SUITS + NUM_SUITS] & (1 << (idx/NUM_SUITS))) {
uint64_t cut = ncr(--ew, e);
if (hands >= cut) {
hands -= cut;
e--;
} else
new_id[idx%NUM_SUITS] |= 1 << (idx/NUM_SUITS);
}
}
}
Now that I had the O(N) permutation solution done to prove algorithm could work I started searching for O(1) mapping from random number to bit permutation. Too bad it looks like only solution would be using huge lookup tables that would kill CPU caches. That doesn't sound good idea for AI that will be using very large amount of caches for double dummy analyzer.
Mathematical solution
After all hard work to figure out how to generate random bit permutations I decided go back to maths. It is entirely possible to apply filters before dealing cards. That requires splitting deals to manageable number of layered sets and selecting between sets based on their relative probabilities after filtering out impossible sets.
I don't yet have code ready for that to tests how much cycles I'm wasting in common case where filter is selecting major part of deal. But I believe this approach gives the most stable generation performance keeping the cost less than 0.1%.
Generate a 32 bit integer. For each index i (maybe only up to half the number of elements in the array), if bit i % 32 is 1, swap i with n - i - 1.
Of course, this might not be random enough for your purposes. You could probably improve this by not swapping with n - i - 1, but rather by another function applied to n and i that gives better distribution. You could even use two functions: one for when the bit is 0 and another for when it's 1.
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I want to generate random numbers manually. I know that every language have the rand or random function, but I'm curious to know how this is working.
Does anyone have code for that?
POSIX.1-2001 gives the following example of an implementation of rand() and srand(), possibly useful when one needs the same sequence on two different machines.
static unsigned long next = 1;
/* RAND_MAX assumed to be 32767 */
int myrand(void) {
next = next * 1103515245 + 12345;
return((unsigned)(next/65536) % 32768);
}
void mysrand(unsigned seed) {
next = seed;
}
Have a look at the following:
Random Number Generation
Linear Congruential Generator - a popular approach also used in Java
List of Random Number Generators
And here's another link which elaborates on the use of LCG in Java's Random class
static void Main()
{
DateTime currentTime = DateTime.Now;
int maxValue = 100;
int hour = currentTime.Hour;
int minute = currentTime.Minute;
int second = currentTime.Second;
int milisecond = currentTime.Millisecond;
int randNum = (((hour + 1) * (minute + 1) * (second + 1) * milisecond) % maxValue);
Console.WriteLine(randNum);
Console.ReadLine();
}
Above shows a very simple piece of code to generate random numbers. It is a console program written in C#. If you know any kind of basic programming this should be understandable and easy to convert to any other language desired.
The DateTime simply takes in a current date and time, most programming languages have a facility to do this.
The hour, minute, second and milisecond variables break the date time value it up into its component parts. We are only interested in these parts so can ignore day. Again, in most languages dates and times are usually presented as strings. In .Net we have facilities that allow us to parse this information easily. But in most other languages where times are presented as strings, its is not overly difficult to parse the string for the parts that you want and convert them to their numbers. These facilities are usually provided even in the oldest of languages.
The seed essentially gives us a starting number which always changes. Traditionally you would just multiply this number by a decimal value between 0 and 1 this cuts out that step.
The upperRange defines the maximum value. So the number generated will never be above this value. Also it will never be below 0. So no ngeatives. But if you want negatives you could just negate it manually. (by multiplying it by -1)
The actual variable randNumis what holds the random value you are interested in.
The trick is to get the remainder (the modulus) after dividing the seed by the upper range. The remainder will always be smaller than the divisor which in this case is 100. Simple maths tells you that you cant have a remainder greater than the divisor. So if you divide by 10 you cant have a remainder greater than 10. It is this simple law that gets us our random number between 0 and 100 in this case.
The console.writeline simply outputs it to the screen.
The console.readline simply pauses the program so you can see it.
This is a very simple piece of code to generate random numbers. If you ran this program at the exact same intervil every day (but you would have to do it at the same hour, minute, second and milisecond) for more than 1 day you would begin to generate the same set of numbers again and again each additional day. This is because it is tied to the time. That is the resolution of the generator. So if you know the code of this program, and the time it is run at, you can predict the number generated, but it wont be easy. That is why I used miliseconds. Use seconds or minutes only to see what I mean. So you could write a table showing when 1 goes in, 0 comes out, when 2 goes in 0 comes out and so on. You could then predict the output for every second, and the range of numbers generated. The more you increase the resolution (by increasing the numbers that change) the harder it is and the longer it takes to get a predictable pattern. This method is good enough for most peoples use.
That is the old school way of doing random number generation for basic games. It needed to be fast, and simple. It is. This also highlights exactly why, random numbers genaerators are not really random but psudo random.
I hope this is a reasonable answer to your question.
I assume you mean pseudo-random numbers. The simplest one I know (from writing videogames games back on old machines) worked like this:
seed=seed*5+1;
You do that every time random is called and then you use however many low bits you want. *5+1 has the nice property (IIRC) of hitting every possibility before repeating, no matter how many bits you are looking at.
The downside, of course, is its predictability. But that didn't matter in the games. We were grabbing random numbers like crazy for all sorts of things, and you'd never know what number was coming next.
Do a couple things like this in parallel, and combine the results. This is a linear congruential generator.
http://en.wikipedia.org/wiki/Random_number_generator
Describes the different types of random number generators and how they are created.
Aloha!
By manually do you mean "not using computer" or "write my own code"?
IF it is not using computer you can use things like dice, numbers in a bag and all those methods seen on telly when they select teams, winning Bingo series etc. Las Vegas is filled with these kinds of method used in processes (games) aimed at giving you bad odds and ROI. You can also get the great RAND book and turn to a randomly selected page:
http://www.amazon.com/Million-Random-Digits-Normal-Deviates/dp/0833030477
(Also, for some amusement, read the reviews)
For writing your own code you need to consider why not using the system provided RNG is not good enough. If you are using a modern OS it will have a RNG available for user programs that should be good enough for your application.
If you really need to implement your own there are a huge bunch of generators available. For non security usage you can look at LFSR chains, Congruential generators etc. Whatever the distribution you need (uniform, normal, exponential etc) you should be able to find algorithm descriptions and libraries with implementations.
For security usage you should look at things like Yarrow/Fortuna the NIST SP 800-89 specified PRNGs and RFC 4086 for good entropy sources needed to feed the PRNG. Or even better, use the one in the OS that should meet security RNG requirements.
Implementation of RNGs can be a fun exercise, but is very rarely needed. And don't invent your own algorithm unless it is for toy applications. Do NOT, repeat NOT invent RNGs for security applications (generating cryptographic keys for example), at least unless you do some seripus reading and investigation. You will thank me for it (I hope).
hopefuly im not redundant because i havent read all the links, but i believe you can get pretty close to true random generator. nowadays systems are often so complex that even the best geeks around need a lot of time to understand whats happening inside :) just open your mind and think if you can monitor some global system property, use it to seed to ... pick a network packet (not intended for you?) and compute "something" out of its content and use it to seed to ... etc. you can design the best for your needs with all those hints around ;)
The Mersenne twister has a very long period (2^19937-1).
Here's a very basic implementation in C++:
struct MT{
unsigned int *mt, k, g;
~MT(){ delete mt; }
MT(unsigned int seed) : mt(new unsigned int[624]), k(0), g(0){
for (int i=0; i<624; i++)
mt[i]=!i?seed:(1812433253U*(mt[i-1]^(mt[i-1]>>30))+i);
}
unsigned int operator()(){
unsigned int q=(mt[k]&0x80000000U)|(mt[(k+1)%624]&0x7fffffffU);
mt[k]=mt[(k+397)%624]^(q>>1)^((q&1)?0x9908b0dfU:0);
unsigned int y = mt[k];
y ^= (y >> 11);
y ^= (y << 7) & 0x9d2c5680U;
y ^= (y << 15) & 0xefc60000U;
y ^= (y >> 18);
k = (k+1)%624;
return y;
}
};
One good way to get random numbers is to monitor the ambient level of noise coming through your computer's microphone. If you can get a driver (or language that supports mic input) and convert this to a number, you're well on your way!
It has also been researched in how to get "true randomness" - since computers are nothing more than binary machines, they can't give us "true randomness". After a while, the sequence will begin to repeat itself. The quest for better random number generation is still going, but they say monitoring ambient noise levels in a room is one good way to prevent pattern forming in your random generation.
You can look up this wiki article for more information on the science behind random number generation.
If you are looking for a theoretical treatment on random numbers, probably you can have a look at Volume 2 of the The art of computer programming. It has a chapter dedicated to random numbers. See if it helps you out.
If you are wanting to manually, hard code, your own random generator I can't give you efficiency, however, I can give you reliability. I actually decided to write some code using time to test a computer's processing speed by counting in time and that turned into me writing my own random number generator using the counting algorithm for modulo (the count is random). Please, try it for yourselves and test on number distributions within a large test-set. By the way, this is written in python.
def count_in_time(n):
import time
count = 0
start_time = time.clock()
end_time = start_time + n
while start_time < end_time:
count += 1
start_time += (time.clock() - start_time)
return count
def generate_random(time_to_count, range_nums, rand_lst_size):
randoms = []
iterables = range(range_nums)
count = 0
for i in range(rand_lst_size):
count += count_in_time(time_to_count)
randoms.append(iterables[count%len(iterables)])
return randoms
This document is a very nice write up of pseudo-random number generation and has a number of routines included (in C). It also discusses the need for appropriate seeding of the random number generators (see rule 3). Particularly useful for this is the use of /dev/randon/ (if you are on a linux machine).
Note: the routines included in this document are alot simpler to code up than the Mersenne Twister. See also the WELLRNG generator, which is supposed to have better theoretical properties, as an alternative to the MT.
Read the rands book of random numbers (monte carlo book of random numbers) the numbers in it are randomly generated for you!!! My grandfather worked for rand.
Most RNGs(random number generators) will require a small bit of initialization. This is usually to perform a seeding operation and store the results of the seeded values for later use. Here is an example of a seeding method from a randomizer I wrote for a game engine:
/// <summary>
/// Initializes the number array from a seed provided by <paramref name="seed">seed</paramref>.
/// </summary>
/// <param name="seed">Unsigned integer value used to seed the number array.</param>
private void Initialize(uint seed)
{
this.randBuf[0] = seed;
for (uint i = 1; i < 100; i++)
{
this.randBuf[i] = (uint)(this.randBuf[i - 1] >> 1) + i;
}
}
This is called from the constructor of the randomizing class. Now the real random numbers can be rolled/calculated using the aforementioned seeded values. This is usually where the actual randomizing algorithm is applied. Here is another example:
/// <summary>
/// Refreshes the list of values in the random number array.
/// </summary>
private void Roll()
{
for (uint i = 0; i < 99; i++)
{
uint y = this.randBuf[i + 1] * 3794U;
this.randBuf[i] = (((y >> 10) + this.randBuf[i]) ^ this.randBuf[(i + 399) % 100]) + i;
if ((this.randBuf[i] % 2) == 1)
{
this.randBuf[i] = (this.randBuf[i + 1] << 21) ^ (this.randBuf[i + 1] * (this.randBuf[i + 1] & 30));
}
}
}
Now the rolled values are stored for later use in this example, but those numbers can also be calculated on the fly. The upside to precalculating is a slight performance increase. Depending on the algorithm used, the rolled values could be directly returned or go through some last minute calculations when requested by the code. Here is an example that takes from the prerolled values and spits out a very good looking pseudo random number:
/// <summary>
/// Retrieves a value from the random number array.
/// </summary>
/// <returns>A randomly generated unsigned integer</returns>
private uint Random()
{
if (this.index == 0)
{
this.Roll();
}
uint y = this.randBuf[this.index];
y = y ^ (y >> 11);
y = y ^ ((y << 7) + 3794);
y = y ^ ((y << 15) + 815);
y = y ^ (y >> 18);
this.index = (this.index + 1) % 100;
return y;
}
I have a value type that represents a gaussian distribution:
struct Gauss {
double mean;
double variance;
}
I would like to perform an integral over a series of these values:
Gauss eulerIntegrate(double dt, Gauss iv, Gauss[] values) {
Gauss r = iv;
foreach (Gauss v in values) {
r += v*dt;
}
return r;
}
My question is how to implement addition for these normal distributions.
The multiplication by a scalar (dt) seemed simple enough. But it wasn't simple! Thanks FOOSHNICK for the help:
public static Gauss operator * (Gauss g, double d) {
return new Gauss(g.mean * d, g.variance * d * d);
}
However, addition eludes me. I assume I can just add the means; it's the variance that's causing me trouble. Either of these definitions seems "logical" to me.
public static Gauss operator + (Gauss a, Gauss b) {
double mean = a.mean + b.mean;
// Is it this? (Yes, it is!)
return new Gauss(mean, a.variance + b.variance);
// Or this? (nope)
//return new Gauss(mean, Math.Max(a.variance, b.variance));
// Or how about this? (nope)
//return new Gauss(mean, (a.variance + b.variance)/2);
}
Can anyone help define a statistically correct - or at least "reasonable" - version of the + operator?
I suppose I could switch the code to use interval arithmetic instead, but I was hoping to stay in the world of prob and stats.
The sum of two normal distributions is itself a normal distribution:
N(mean1, variance1) + N(mean2, variance2) ~ N(mean1 + mean2, variance1 + variance2)
This is all on wikipedia page.
Be careful that these really are variances and not standard deviations.
// X + Y
public static Gauss operator + (Gauss a, Gauss b) {
//NOTE: this is valid if X,Y are independent normal random variables
return new Gauss(a.mean + b.mean, a.variance + b.variance);
}
// X*b
public static Gauss operator * (Gauss a, double b) {
return new Gauss(a.mean*b, a.variance*b*b);
}
To be more precise:
If a random variable Z is defined as the linear combination of two uncorrelated Gaussian random variables X and Y, then Z is itself a Gaussian random variable, e.g.:
if Z = aX + bY,
then mean(Z) = a * mean(X) + b * mean(Y), and variance(Z) = a2 * variance(X) + b2 * variance(Y).
If the random variables are correlated, then you have to account for that. Variance(X) is defined by the expected value E([X-mean(X)]2). Working this through for Z = aX + bY, we get:
variance(Z) = a2 * variance(X) + b2 * variance(Y) + 2ab * covariance(X,Y)
If you are summing two uncorrelated random variables which do not have Gaussian distributions, then the distribution of the sum is the convolution of the two component distributions.
If you are summing two correlated non-Gaussian random variables, you have to work through the appropriate integrals yourself.
Well, your multiplication by scalar is wrong - you should multiply variance by the square of d. If you're adding a constant, then just add it to the mean, the variance stays the same. If you're adding two distributions, then add the means and add the variances.
Can anyone help define a statistically correct - or at least "reasonable" - version of the + operator?
Arguably not, as adding two distributions means different things - having worked in reliability and maintainablity my first reaction from the title would be the distribution of a system's mtbf, if the mtbf of each part is normally distributed and the system had no redundancy. You are talking about the distribution of the sum of two normally distributed independent variates, not the (logical) sum of two normal distributions' effect. Very often, operator overloading has surprising semantics. I'd leave it as a function and call it 'normalSumDistribution' unless your code has a very specific target audience.
Hah, I thought you couldn't add gaussian distributions together, but you can!
http://mathworld.wolfram.com/NormalSumDistribution.html
In fact, the mean is the sum of the individual distributions, and the variance is the sum of the individual distributions.
I'm not sure that I like what you're calling "integration" over a series of values. Do you mean that word in a calculus sense? Are you trying to do numerical integration? There are other, better ways to do that. Yours doesn't look right to me, let alone optimal.
The Gaussian distribution is a nice, smooth function. I think a nice quadrature approach or Runge-Kutta would be a much better idea.
I would have thought it depends on what type of addition you are doing. If you just want to get a normal distribution with properties (mean, standard deviation etc.) equal to the sum of two distributions then the addition of the properties as given in the other answers is fine. This is the assumption used in something like PERT where if a large number of normal probability distributions are added up then the resulting probability distribution is another normal probability distribution.
The problem comes when the two distributions being added are not similar. Take for instance adding a probability distribution with a mean of 2 and standard deviation of 1 and a probability distribution of 10 with a standard deviation of 2. If you add these two distributions up, you get a probability distribution with two peaks, one at 2ish and one at 10ish. The result is therefore not a normal distibution. The assumption about adding distributions is only really valid if the original distributions are either very similar or you have a lot of original distributions so that the peaks and troughs can be evened out.