MultiNomialDistribution.h

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/*!
 *
 *
 * \brief       Implements a multinomial distribution
 * 
 * 
 *
 * \author    O.Krause
 * \date        2016
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <https://shark-ml.github.io/Shark/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with Shark.  If not, see <http://www.gnu.org/licenses/>.
 *
 */
#ifndef SHARK_STATISTICS_MULTINOMIALDISTRIBUTION_H
#define SHARK_STATISTICS_MULTINOMIALDISTRIBUTION_H
 
#include <shark/LinAlg/Base.h>
#include <shark/Core/Random.h>
 
namespace shark {
 
/// \brief Implements a multinomial distribution.
///
/// A multinomial distribution is a discrete distribution with states 0,...,N-1
/// and probabilities p_i for state i with sum_i p_i = 1. This implementation uses
/// the fast alias method (Kronmal and Peterson,1979) to draw the numbers in 
/// constant time. Setup is O(N) and also quite fast. It is advisable 
/// to use this method to draw many numbers in succession.
///
/// The idea of the alias method is to pair a state with high probability with a state with low
/// probability. A high probability state can in this case be included in several pairs. To draw,
/// first one of the states is selected and afterwards a coin toss decides which element of the pair 
/// is taken.
class MultiNomialDistribution{
public:
    typedef std::size_t result_type;
 
    MultiNomialDistribution(){}
 
    /// \brief Constructor
    /// \param [in] probabilities Probability vector
    MultiNomialDistribution(RealVector const& probabilities ) 
    : m_probabilities(probabilities){
        update();
    }
    
    /// \brief Stores/Restores the distribution from the supplied archive.
    /// \param [in,out] ar The archive to read from/write to.
    /// \param [in] version Currently unused.
    template<typename Archive>
    void serialize( Archive & ar, const unsigned int version ) {
        ar & BOOST_SERIALIZATION_NVP( m_probabilities );
        ar & BOOST_SERIALIZATION_NVP( m_q );
        ar & BOOST_SERIALIZATION_NVP( m_J );
    }
 
    /// \brief Accesses the probabilityvector defining the distribution.
    RealVector const& probabilities() const {
        return m_probabilities;
    }
    
    /// \brief Accesses a mutable reference to the probability vector
    /// defining the distribution. Allows for l-value semantics.
    /// 
    /// ATTENTION: If the reference is altered, update needs to be called manually.
    RealVector& probabilities() {
        return m_probabilities;
    }
 
    /// \brief Samples the distribution.
    template<class randomType>
    result_type operator()(randomType& rng) const {
        std::size_t numStates = m_probabilities.size();
 
        std::size_t index = random::discrete(rng,std::size_t(0),numStates-1);
 
        if(random::coinToss(rng, m_q[index]))
            return index;
        else
            return m_J[index];
    }       
 
 
    void update() {
        std::size_t numStates = m_probabilities.size();
        m_q.resize(numStates);
        m_J.resize(numStates);
        m_probabilities/=sum(m_probabilities);
 
        // Sort the data into the outcomes with probabilities
        // that are larger and smaller than 1/K.
        std::deque<std::size_t> smaller;
        std::deque<std::size_t> larger;
        for(std::size_t i = 0;i != numStates; ++i){
            m_q(i) = numStates*m_probabilities(i);
            if(m_q(i) < 1.0)
                smaller.push_back(i);
            else
                larger.push_back(i);
        }
        // Loop though and create little binary mixtures that
        // appropriately allocate the larger outcomes over the
        // overall uniform mixture.
        while(!smaller.empty() && !larger.empty()){
            std::size_t smallIndex = smaller.front();
            std::size_t largeIndex = larger.front();
            smaller.pop_front();
            larger.pop_front();
 
            m_J[smallIndex] = largeIndex;
            m_q[largeIndex]  -= 1.0 - m_q[smallIndex];
 
            if(m_q[largeIndex] < 1.0)
                smaller.push_back(largeIndex);
            else
                larger.push_back(largeIndex);
        }
        for(std::size_t i = 0; i != larger.size(); ++i){
            m_q[larger[i]]=std::min(m_q[larger[i]],1.0);
        }
    }
 
private:
    RealVector m_probabilities; ///< probability of every state.
    RealVector m_q; ///< probability of the pair (i,J[i]) to draw an.
    blas::vector<std::size_t> m_J; ///< defines the second element of the pair (i,J[i])
};
}
 
#endif