org.apache.commons.statistics.distribution.PoissonDistribution Maven / Gradle / Ivy
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* contributor license agreements. See the NOTICE file distributed with
* this work for additional information regarding copyright ownership.
* The ASF licenses this file to You under the Apache License, Version 2.0
* (the "License"); you may not use this file except in compliance with
* the License. You may obtain a copy of the License at
*
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
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* See the License for the specific language governing permissions and
* limitations under the License.
*/
package org.apache.commons.statistics.distribution;
import org.apache.commons.numbers.gamma.RegularizedGamma;
import org.apache.commons.rng.UniformRandomProvider;
import org.apache.commons.rng.sampling.distribution.GaussianSampler;
import org.apache.commons.rng.sampling.distribution.PoissonSampler;
import org.apache.commons.rng.sampling.distribution.SharedStateContinuousSampler;
import org.apache.commons.rng.sampling.distribution.ZigguratSampler;
/**
* Implementation of the Poisson distribution.
*
* The probability mass function of \( X \) is:
*
*
\[ f(k; \lambda) = \frac{\lambda^k e^{-k}}{k!} \]
*
*
for \( \lambda \in (0, \infty) \) the mean and
* \( k \in \{0, 1, 2, \dots\} \) the number of events.
*
* @see Poisson distribution (Wikipedia)
* @see Poisson distribution (MathWorld)
*/
public final class PoissonDistribution extends AbstractDiscreteDistribution {
/** Upper bound on the mean to use the PoissonSampler. */
private static final double MAX_MEAN = 0.5 * Integer.MAX_VALUE;
/** Mean of the distribution. */
private final double mean;
/**
* @param mean Poisson mean.
* probabilities.
*/
private PoissonDistribution(double mean) {
this.mean = mean;
}
/**
* Creates a Poisson distribution.
*
* @param mean Poisson mean.
* @return the distribution
* @throws IllegalArgumentException if {@code mean <= 0}.
*/
public static PoissonDistribution of(double mean) {
if (mean <= 0) {
throw new DistributionException(DistributionException.NOT_STRICTLY_POSITIVE, mean);
}
return new PoissonDistribution(mean);
}
/** {@inheritDoc} */
@Override
public double probability(int x) {
return Math.exp(logProbability(x));
}
/** {@inheritDoc} */
@Override
public double logProbability(int x) {
if (x < 0) {
return Double.NEGATIVE_INFINITY;
} else if (x == 0) {
return -mean;
}
return -SaddlePointExpansionUtils.getStirlingError(x) -
SaddlePointExpansionUtils.getDeviancePart(x, mean) -
Constants.HALF_LOG_TWO_PI - 0.5 * Math.log(x);
}
/** {@inheritDoc} */
@Override
public double cumulativeProbability(int x) {
if (x < 0) {
return 0;
} else if (x == 0) {
return Math.exp(-mean);
}
return RegularizedGamma.Q.value((double) x + 1, mean);
}
/** {@inheritDoc} */
@Override
public double survivalProbability(int x) {
if (x < 0) {
return 1;
} else if (x == 0) {
// 1 - exp(-mean)
return -Math.expm1(-mean);
}
return RegularizedGamma.P.value((double) x + 1, mean);
}
/** {@inheritDoc} */
@Override
public double getMean() {
return mean;
}
/**
* {@inheritDoc}
*
*
The variance is equal to the {@linkplain #getMean() mean}.
*/
@Override
public double getVariance() {
return getMean();
}
/**
* {@inheritDoc}
*
*
The lower bound of the support is always 0.
*
* @return 0.
*/
@Override
public int getSupportLowerBound() {
return 0;
}
/**
* {@inheritDoc}
*
*
The upper bound of the support is always positive infinity.
*
* @return {@link Integer#MAX_VALUE}
*/
@Override
public int getSupportUpperBound() {
return Integer.MAX_VALUE;
}
/** {@inheritDoc} */
@Override
public DiscreteDistribution.Sampler createSampler(final UniformRandomProvider rng) {
// Poisson distribution sampler.
// Large means are not supported.
// See STATISTICS-35.
final double mu = getMean();
if (mu < MAX_MEAN) {
return PoissonSampler.of(rng, mu)::sample;
}
// Switch to a Gaussian approximation.
// Use a 0.5 shift to round samples to the correct integer.
final SharedStateContinuousSampler s =
GaussianSampler.of(ZigguratSampler.NormalizedGaussian.of(rng),
mu + 0.5, Math.sqrt(mu));
return () -> {
final double x = s.sample();
return Math.max(0, (int) x);
};
}
}