{-# LANGUAGE BangPatterns, GeneralizedNewtypeDeriving #-} ----------------------------------------------------------------------------- -- | -- Module : Numeric.Probability.Distribution -- Copyright : (c) William Yager 2015 -- License : MIT -- Maintainer : will (dot) yager (at) gmail (dot) com -- Stability : provisional -- Portability : portable -- -- This module provides a data structure and associated functions for -- representing discrete probability distributions. -- -- All time and space complexity metrics are given in terms of @n@. In this -- case, @n@ refers to the number of unique outcomes inserted into the tree. -- If one were to construct a tree by inserting a billion of the same -- outcome, @n@ would still be 1. -- -- The data structure is optimized for fast sampling from the distribution. -- Sampling ranges from @O(1)@ to @O(log(n))@ depending on the distribution. -- -- Under the hood, the distribution is represented by a perfectly balanced -- binary tree. The tree enforces a heap property, where more likely outcomes -- are closer to the top than less likely outcomes. Because we're more -- likely to sample from those outcomes, we minimize the amount of time -- spent traversing the tree. -- -- When a duplicate outcome is inserted into the tree, the tree's "dups" -- counter is incremented. When more than half the tree is duplicate entries, -- the entire tree is rebuilt from scratch. Using amortized complexity -- analysis, we can show that insertion is, at worst, @log(n)@ amortized -- complexity. This prevents the size of tree from increasing to more than -- @O(n)@, even with many duplicate outcomes inserted. ----------------------------------------------------------------------------- module Numeric.Probability.Distribution ( -- * The distribution type Distribution, -- * Probability operations sample, cumulate, normalize, -- * Building empty, insert, fromList, -- * Modifying reweight, -- * Reducing toList, foldrWithP, -- * Combining joint, sum, -- * Debugging invariants ) where import Prelude hiding (product, sum) import Control.Monad.Random (MonadRandom, Random, getRandomRs) import Data.Word (Word) import Data.Set (Set, member) import qualified Data.Set as Set import qualified Data.Map.Strict as Map import Data.List (foldl') -- | A probability distribution with probabilities of type @p@ and -- outcomes/events of type @o@. data Distribution p o = Distribution !(DTree p o) !(Set o) !Word data DTree p o = Leaf | DTree !o !p !p !Word !(DTree p o) !(DTree p o) outcomeOf (DTree o _ _ _ _ _) = o probOf Leaf = 0 probOf (DTree _ p _ _ _ _) = p sumOf Leaf = 0 sumOf (DTree _ _ s _ _ _) = s countOf Leaf = 0 countOf (DTree _ _ _ c _ _) = c leftOf (DTree _ _ _ _ l _) = l rightOf (DTree _ _ _ _ _ r) = r instance (Num p, Show p, Ord o, Show o) => Show (Distribution p o) where show dist = "fromList " ++ show (toList dist) -- | Reweights the probabilities in the distribution based on -- the given function. @n*log(n)@ reweight :: (Ord o, Num p, Ord p) => ((o,p) -> p) -> Distribution p o -> Distribution p o reweight f dist = fromUniqList . map update . toList $ dist where update (o,p) = (o, f (o,p)) -- | The sum of all probabilities in the distribution. @O(1)@ cumulate :: (Num p) => Distribution p o -> p cumulate (Distribution tree _ _) = sumOf tree -- | Normalizes the distribution. -- After normalizing, @'cumulate' distribution@ is 1. @O(n)@ normalize :: (Fractional p) => Distribution p o -> Distribution p o normalize (Distribution Leaf _ _) = error "Can't normalize empty distribution" normalize (Distribution tree@(DTree _ _ sum _ _ _) members dups) = Distribution (normalize' sum tree) members dups normalize' sum Leaf = Leaf normalize' sum (DTree e p s c l r) = DTree e (p/sum) (s/sum) c l' r' where l' = normalize' sum l r' = normalize' sum r -- | Insert an outcome into the distribution. -- Inserting @(o,p1)@ and @(o,p2)@ results in the same sampled distribution as -- inserting @(o,p1+p2)@. @O(log(n))@ amortized. insert :: (Ord o, Num p, Ord p) => (o,p) -> Distribution p o -> Distribution p o insert (_, 0) dist = dist insert (o',p') (Distribution tree outcomes dups) = if dups' * 2 <= countOf tree then Distribution tree' outcomes' dups' -- Not too many repeated elements else fromUniqList . toList $ Distribution tree' outcomes 0 where dups' = if o' `member` outcomes then dups + 1 else dups outcomes' = Set.insert o' outcomes tree' = insertTree (o',p') tree -- | The empty distribution. @O(1)@ empty :: (Num p) => Distribution p o empty = Distribution Leaf Set.empty 0 reduce :: (Ord o, Num p) => [(o,p)] -> Map.Map o p reduce = foldl' (\map (o,p) -> Map.insertWith (+) o p map) Map.empty -- | @O(n*log(n))@ amortized. fromList :: (Ord o, Num p, Ord p) => [(o,p)] -> Distribution p o fromList xs = fromUniqList . Map.toList . reduce $ xs -- | @O(n*log(n))@. toList :: (Ord o, Num p) => Distribution p o -> [(o,p)] toList dist = Map.toList . reduce . toRepeatList $ dist -- | Assumes there are no repeated items in the list. @O(n*log(n))@ amortized. fromUniqList :: (Ord o, Num p, Ord p) => [(o,p)] -> Distribution p o fromUniqList xs = foldl' (\dist pair -> insert pair dist) empty xs -- | Doesn't bother to eliminate repeats. @O(n)@ toRepeatList :: Distribution p o -> [(o,p)] toRepeatList = foldrWithP (:) [] -- | A right-associative fold on the tree structure, including the -- probabilities. Note that outcomes may be repeated within the data structure. -- If you want identical outcomes to be lumped together, fold on the list -- produced by @'toList'@. @O(n)@. foldrWithP :: ((o,p) -> b -> b) -> b -> Distribution p o -> b foldrWithP f b (Distribution tree _ _) = foldrTreeWithP f b tree foldrTreeWithP :: ((o,p) -> b -> b) -> b -> DTree p o -> b foldrTreeWithP f b Leaf = b foldrTreeWithP f b (DTree o p _ _ l r) = foldrTreeWithP f (f (o,p) (foldrTreeWithP f b r)) l insertTree :: (Num p, Ord p) => (o,p) -> DTree p o -> DTree p o insertTree (o',p') Leaf = DTree o' p' p' 1 Leaf Leaf insertTree (o',p') (DTree o p s c l r) | p' <= p = if countOf l < countOf r then DTree o p s' c' (insertTree (o',p') l) r else DTree o p s' c' l (insertTree (o',p') r) | p' > p = if countOf l < countOf r then DTree o' p' s' c' (insertTree (o,p) l) r else DTree o' p' s' c' l (insertTree (o,p) r) where s' = s + p' c' = c + 1 -- | Creates a new distribution that's the joint distribution of the two provided. -- @O(nm*log(nm))@ amortized. joint :: (Ord o1, Ord o2, Num p, Ord p) => Distribution p o1 -> Distribution p o2 -> Distribution p (o1, o2) joint da db = fromList $ [((a,b), pa * pb) | (a,pa) <- toList da, (b,pb) <- toList db] -- | Creates a new distribution by summing the probabilities of the outcomes -- in the two provided. @O((n+m)log(n+m))@ amortized. sum :: (Ord o, Num p, Ord p) => Distribution p o -> Distribution p o -> Distribution p o sum da db = fromList $ toRepeatList da ++ toRepeatList db -- Returns random value in range (0,n] randomPositiveUpto :: (Eq n, Num n, Random n, MonadRandom m) => n -> m n randomPositiveUpto n = do randoms <- getRandomRs (0,n) return . head . dropWhile (==0) $ randoms -- | Take a sample from the distribution. Can be used with e.g. @evalRand@ -- or @evalRandIO@ from @Control.Monad.Random@. @O(log(n))@ for a uniform -- distribution (worst case), but approaches @O(1)@ with less balanced -- distributions. sample :: (Ord p, Num p, Random p, MonadRandom m) => Distribution p o -> m o sample (Distribution tree _ _) = sampleTree tree sampleTree :: (Ord p, Num p, Random p, MonadRandom m) => DTree p o -> m o sampleTree Leaf = error "Error: Can't sample an empty distribution" sampleTree (DTree event prob sum count l r) = do index <- randomPositiveUpto sum let result | index > sumOf l + prob = sampleTree r | index > sumOf l = return event | index > 0 = sampleTree l result sizeInvariant :: (Num p, Eq p) => DTree p o -> Either String () sizeInvariant Leaf = Right () sizeInvariant (DTree e p s c l r) | (c /= countOf l + countOf r + 1) = Left $ "Count mismatch" | (countOf l > countOf r + 1) = Left $ "Left is too heavy" | (countOf r > countOf l + 1) = Left $ "Right is too heavy" | otherwise = sizeInvariant l >> sizeInvariant r sumInvariant :: (Show p, Num p, Eq p) => DTree p e -> Either String () sumInvariant Leaf = Right () sumInvariant _ = Right () -- Fails with floating point numbers, due to very small errors --sumInvariant (DTree e p s c l r) -- | (s /= p + sumOf l + sumOf r) = Left $ "Sum mismatch:" ++ show [s,p,sumOf l,sumOf r] -- | otherwise = (sumInvariant l) >> (sumInvariant r) heapInvariant :: (Ord p, Num p) => DTree p e -> Either String () heapInvariant Leaf = Right () heapInvariant (DTree e p s c l r) | (p < probOf l) = Left $ "Heap violation on left" | (p < probOf r) = Left $ "Heap violation on right" | otherwise = heapInvariant l >> heapInvariant r zeroInvariant :: (Ord p, Num p) => DTree p e -> Either String () zeroInvariant Leaf = Right () zeroInvariant (DTree _ p _ c l r) | (p == 0) = Left $ "Zero value in tree" | otherwise = zeroInvariant l >> zeroInvariant r -- | A series of tests on the internal structure of the distribution. -- For debugging purposes. invariants :: (Num p, Ord p, Show p, Ord e, Show e) => Distribution p e -> Either String () invariants (Distribution tree members dups) = do sizeInvariant tree sumInvariant tree heapInvariant tree zeroInvariant tree