public void rtest()
{
// pweibull((0:20)/10, 1.52, 0.6)
var n = new WeibullDistribution(1.52, 0.6);
Assert.AreEqual(0.00000000, n.DistributionFunction(0.0), 1e-6);
Assert.AreEqual(0.06353795, n.DistributionFunction(0.1), 1e-6);
Assert.AreEqual(0.17160704, n.DistributionFunction(0.2), 1e-6);
Assert.AreEqual(0.29438528, n.DistributionFunction(0.3), 1e-6);
Assert.AreEqual(0.41721373, n.DistributionFunction(0.4), 1e-6);
Assert.AreEqual(0.53137710, n.DistributionFunction(0.5), 1e-6);
Assert.AreEqual(0.63212056, n.DistributionFunction(0.6), 1e-6);
Assert.AreEqual(0.71748823, n.DistributionFunction(0.7), 1e-6);
Assert.AreEqual(0.78743013, n.DistributionFunction(0.8), 1e-6);
Assert.AreEqual(0.84308886, n.DistributionFunction(0.9), 1e-6);
Assert.AreEqual(0.88625003, n.DistributionFunction(1.0), 1e-6);
Assert.AreEqual(0.9999903, n.DistributionFunction(3.0), 1e-6);
Assert.AreEqual(0.00000000, n.ProbabilityDensityFunction(0.0), 1e-6);
Assert.AreEqual(0.934423757, n.ProbabilityDensityFunction(0.1), 1e-6);
Assert.AreEqual(1.185292906, n.ProbabilityDensityFunction(0.2), 1e-6);
Assert.AreEqual(1.246592100, n.ProbabilityDensityFunction(0.3), 1e-6);
Assert.AreEqual(1.195732949, n.ProbabilityDensityFunction(0.4), 1e-6);
Assert.AreEqual(1.079795701, n.ProbabilityDensityFunction(0.5), 1e-6);
Assert.AreEqual(0.931961251, n.ProbabilityDensityFunction(0.6), 1e-6);
Assert.AreEqual(0.775427531, n.ProbabilityDensityFunction(0.7), 1e-6);
Assert.AreEqual(0.625406197, n.ProbabilityDensityFunction(0.8), 1e-6);
Assert.AreEqual(0.490810192, n.ProbabilityDensityFunction(0.9), 1e-6);
Assert.AreEqual(0.375841697, n.ProbabilityDensityFunction(1.0), 1e-6);
}
static void Main(string[] args)
{
//
// Prueba de Kolmogorov-Smirnov
//
Console.WriteLine("\nPrueba de Kolmogorov-Smirnov");
// Muestra de 25 numeros aleatorios
LognormalDistribution logNormal = new LognormalDistribution(0, 1);
WeibullDistribution weibull = new WeibullDistribution(2, 1);
// Generamos las muestras
var logNormalSample = logNormal.Sample(25);
// Construimos la prueba de Kolmogorov smirnov:
var ksTest = new OneSampleKolmogorovSmirnovTest(logNormalSample, weibull);
Console.WriteLine(logNormalSample);
Console.WriteLine("\n");
Console.WriteLine(ksTest + "\n");
// Podemos obtener el valor del estadístico de prueba a través de la propiedad Statistic
// el valor P correspondiente a través de la propiedad Probability:
Console.WriteLine("Test statistic: {0:F4}", ksTest.Statistic);
Console.WriteLine("P-value: {0:F4}", ksTest.PValue);
// Ahora podemos imprimir los resultados de la prueba:
Console.WriteLine("Rechazar la Hipotesis nula? {0}",
ksTest.Reject() ? "si" : "no");
Console.ReadLine();
}
protected override void EndProcessing()
{
var dist = new WeibullDistribution(Shape, Scale);
var obj = DistributionHelper.AddConvinienceMethods(dist);
WriteObject(obj);
}
public void ProbabilityDistributionTest()
{
WeibullDistribution n = new WeibullDistribution(0.80, 12.5);
double[] expected =
{
Double.PositiveInfinity, // checked against R
0.09289322,
0.07330050,
0.06186956,
0.05377820,
0.04754570,
0.04251180,
0.03832077,
0.03475727,
0.03168016,
0.02899143
};
double[] actual = new double[expected.Length];
for (int i = 0; i < actual.Length; i++)
{
actual[i] = n.ProbabilityDensityFunction(i);
}
for (int i = 0; i < actual.Length; i++)
{
Assert.AreEqual(expected[i], actual[i], 1e-5);
}
}
public void Bug7213()
{
Sample s = new Sample();
s.Add(0.00590056, 0.00654598, 0.0066506, 0.00679065, 0.008826);
WeibullFitResult r = WeibullDistribution.FitToSample(s);
}
//End of ui.cs file Contents
//-------------------------------------------------------------------------
//Begin of Random.cs file contents
/// <summary>
/// Initializes the random-number generator with a specific seed.
/// </summary>
public void Initialize(uint seed)
{
RandomNumberGenerator = new MT19937Generator(seed);
betaDist = new BetaDistribution(RandomNumberGenerator);
betaPrimeDist = new BetaPrimeDistribution(RandomNumberGenerator);
cauchyDist = new CauchyDistribution(RandomNumberGenerator);
chiDist = new ChiDistribution(RandomNumberGenerator);
chiSquareDist = new ChiSquareDistribution(RandomNumberGenerator);
continuousUniformDist = new ContinuousUniformDistribution(RandomNumberGenerator);
erlangDist = new ErlangDistribution(RandomNumberGenerator);
exponentialDist = new ExponentialDistribution(RandomNumberGenerator);
fisherSnedecorDist = new FisherSnedecorDistribution(RandomNumberGenerator);
fisherTippettDist = new FisherTippettDistribution(RandomNumberGenerator);
gammaDist = new GammaDistribution(RandomNumberGenerator);
laplaceDist = new LaplaceDistribution(RandomNumberGenerator);
lognormalDist = new LognormalDistribution(RandomNumberGenerator);
normalDist = new NormalDistribution(RandomNumberGenerator);
paretoDist = new ParetoDistribution(RandomNumberGenerator);
powerDist = new PowerDistribution(RandomNumberGenerator);
rayleighDist = new RayleighDistribution(RandomNumberGenerator);
studentsTDist = new StudentsTDistribution(RandomNumberGenerator);
triangularDist = new TriangularDistribution(RandomNumberGenerator);
weibullDist = new WeibullDistribution(RandomNumberGenerator);
poissonDist = new PoissonDistribution(RandomNumberGenerator);
// generator.randomGenerator = new MT19937Generator(seed);
}
public void CumulativeDistributionTest()
{
WeibullDistribution n = new WeibullDistribution(0.80, 12.5);
double[] expected =
{
0.0,
0.1241655,
0.2061272,
0.2733265,
0.3309536,
0.3814949,
};
double[] actual = new double[expected.Length];
for (int i = 0; i < actual.Length; i++)
{
actual[i] = n.DistributionFunction(i);
}
for (int i = 0; i < actual.Length; i++)
{
Assert.AreEqual(expected[i], actual[i], 1e-6);
Assert.IsFalse(double.IsNaN(actual[i]));
}
}
public void ProbabilityDistributionTest()
{
WeibullDistribution n = new WeibullDistribution(0.80, 12.5);
double[] expected =
{
0.0,
0.09289322,
0.0733005,
0.06186956,
0.0537782,
0.0475457
};
double[] actual = new double[expected.Length];
for (int i = 0; i < actual.Length; i++)
{
actual[i] = n.ProbabilityDensityFunction(i);
}
for (int i = 0; i < actual.Length; i++)
{
Assert.AreEqual(expected[i], actual[i], 1e-5);
Assert.IsFalse(double.IsNaN(actual[i]));
}
}
public void WeibullDistributionTest1()
{
var weibull = new WeibullDistribution(1);
AssertEqual("Shape", 1, weibull.Shape);
AssertEqual("Scale", 1, weibull.Scale);
AssertEqual("Mean", 1, weibull.Mean);
AssertEqual("Median", 0.6931471805599453, weibull.Median);
AssertEqual("Variance", 1, weibull.Variance);
var x = new[] { 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9 };
var expectedPdf = new[]
{
0.90483741803596, 0.818730753077982, 0.740818220681718, 0.670320046035639, 0.606530659712633, 0.548811636094026,
0.496585303791409, 0.449328964117222, 0.406569659740599
};
var expectedCdf = new[]
{
0.0951625819640404, 0.181269246922018, 0.259181779318282, 0.329679953964361, 0.393469340287367, 0.451188363905974,
0.503414696208591, 0.550671035882778, 0.593430340259401
};
var expectedQuantile = new[]
{
0.105360515657826, 0.22314355131421, 0.356674943938732, 0.510825623765991, 0.693147180559945, 0.916290731874155,
1.20397280432594, 1.6094379124341, 2.30258509299405
};
Check(weibull, x, expectedPdf, expectedCdf, expectedQuantile);
}
public void WeibullDistributionTest2()
{
var weibull = new WeibullDistribution(2, 1.5);
AssertEqual("Shape", 2, weibull.Shape);
AssertEqual("Scale", 1.5, weibull.Scale);
AssertEqual("Mean", 1.3293403902848553, weibull.Mean);
AssertEqual("Median", 1.2488319167365465, weibull.Median);
AssertEqual("Variance", 0.482854144940259, weibull.Variance);
var x = new[] { 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9 };
var expectedPdf = new[]
{
0.0884947037762749, 0.174645211487676, 0.256210517107286, 0.331149654084036, 0.397706363028609, 0.454476687448646,
0.500455919329689, 0.535062866552393, 0.558141060856825
};
var expectedCdf = new[]
{
0.00443458251690719, 0.0176206853818224, 0.0392105608476768, 0.068641597888648, 0.10516068318563, 0.147856211033789,
0.195695843934428, 0.247567843910697, 0.302323673928969
};
var expectedQuantile = new[]
{
0.486889268961752, 0.708571090616158, 0.895834038124333, 1.07208099203068, 1.24883191673655, 1.43584614312149,
1.64588541816657, 1.90295436176928, 2.27614069407772
};
Check(weibull, x, expectedPdf, expectedCdf, expectedQuantile);
}
public static void FitToDistribution()
{
Random rng = new Random(7);
WeibullDistribution distribution = new WeibullDistribution(3.0, 1.5);
List <double> sample = distribution.GetRandomValues(rng, 500).ToList();
WeibullFitResult weibull = sample.FitToWeibull();
Console.WriteLine($"Best fit scale: {weibull.Scale}");
Console.WriteLine($"Best fit shape: {weibull.Shape}");
Console.WriteLine($"Probability of fit: {weibull.GoodnessOfFit.Probability}");
LognormalFitResult lognormal = sample.FitToLognormal();
Console.WriteLine($"Best fit mu: {lognormal.Mu}");
Console.WriteLine($"Best fit sigma: {lognormal.Sigma}");
Console.WriteLine($"Probability of fit: {lognormal.GoodnessOfFit.Probability}");
var result = sample.MaximumLikelihoodFit(parameters => {
return(new WeibullDistribution(parameters["Scale"], parameters["Shape"]));
},
new Dictionary <string, double>()
{
{ "Scale", 1.0 }, { "Shape", 1.0 }
}
);
foreach (Parameter parameter in result.Parameters)
{
Console.WriteLine($"{parameter.Name} = {parameter.Estimate}");
}
}
public void WeibullDistributionChiSquareTest(double k, double lambda)
{
var weibullDistribution = new WeibullDistribution(k, lambda);
var test = ChiSquareTest.Test(weibullDistribution);
Assert.IsTrue(test);
}
public void ConstructorTest()
{
WeibullDistribution n = new WeibullDistribution(0.807602, 12.5);
Assert.AreEqual(14.067993598321863, n.Mean);
Assert.AreEqual(17.552908226174811, n.StandardDeviation);
Assert.IsFalse(Double.IsNaN(n.Mean));
Assert.IsFalse(Double.IsNaN(n.Variance));
}
public void ConstructorTest()
{
WeibullDistribution n = new WeibullDistribution(0.807602, 12.5);
Assert.AreEqual(14.067993598321863, n.Mean);
Assert.AreEqual(17.552908226174811, n.StandardDeviation);
Assert.AreEqual(12.5, n.Scale);
Assert.AreEqual(0.807602, n.Shape);
}
public FuncionWeibull3(double[] eventos) : base(eventos)
{
try
{
DistribucionContinua = new WeibullDistribution(shape, scale);
Resultado = new ResultadoAjuste(StringFDP, StringInversa, DistribucionContinua.StandardDeviation, DistribucionContinua.Mean, DistribucionContinua.Variance, this);
}
catch (Exception)
{
Resultado = null;
}
}
public void ConstructorTest2()
{
var weilbull = new WeibullDistribution(scale: 0.42, shape: 1.2);
double mean = weilbull.Mean; // 0.39507546046784414
double median = weilbull.Median; // 0.30945951550913292
double var = weilbull.Variance; // 0.10932249666369542
double mode = weilbull.Mode; // 0.094360430821809421
double cdf = weilbull.DistributionFunction(x: 1.4); // 0.98560487188700052
double pdf = weilbull.ProbabilityDensityFunction(x: 1.4); // 0.052326687031379278
double lpdf = weilbull.LogProbabilityDensityFunction(x: 1.4); // -2.9502487697674415
double ccdf = weilbull.ComplementaryDistributionFunction(x: 1.4); // 0.22369885565908001
double icdf = weilbull.InverseDistributionFunction(p: cdf); // 1.400000001051205
double hf = weilbull.HazardFunction(x: 1.4); // 1.1093328057258516
double chf = weilbull.CumulativeHazardFunction(x: 1.4); // 1.4974545260150962
string str = weilbull.ToString(CultureInfo.InvariantCulture); // Weibull(x; λ = 0.42, k = 1.2)
double imedian = weilbull.InverseDistributionFunction(p: 0.5);
Assert.AreEqual(0.39507546046784414, mean);
Assert.AreEqual(0.30945951550913292, median);
Assert.AreEqual(0.094360430821809421, mode, 1e-10);
Assert.AreEqual(0.3094595, imedian, 1e-5);
Assert.AreEqual(0.10932249666369542, var);
Assert.AreEqual(1.4974545260150962, chf);
Assert.AreEqual(0.98560487188700052, cdf);
Assert.AreEqual(0.052326687031379278, pdf);
Assert.AreEqual(-2.9502487697674415, lpdf);
Assert.AreEqual(1.1093328057258516, hf);
Assert.AreEqual(0.22369885565908001, ccdf);
Assert.AreEqual(1.40, icdf, 1e-6);
Assert.AreEqual("Weibull(x; λ = 0.42, k = 1.2)", str);
var range1 = weilbull.GetRange(0.95);
var range2 = weilbull.GetRange(0.99);
var range3 = weilbull.GetRange(0.01);
Assert.AreEqual(0.035342687605397792, range1.Min);
Assert.AreEqual(1.0479366931850318, range1.Max);
Assert.AreEqual(0.0090865355213001313, range2.Min);
Assert.AreEqual(1.4995260942223139, range2.Max);
Assert.AreEqual(0.0090865355213001677, range3.Min);
Assert.AreEqual(1.4995260942223139, range3.Max);
}
public void Bug7953()
{
// Fitting this sample to a Weibull caused a NonconvergenceException in the root finder that was used inside the fit method.
// The underlying problem was that our equation to solve involved x^k and k ~ 2000 and (~12)^(~2000) overflows double
// so all the quantities became Infinity and the root-finder never converged. We changed the algorithm to operate on
// w = log x - <log x> which keeps quantities much smaller.
Sample sample = new Sample(
12.824, 12.855, 12.861, 12.862, 12.863,
12.864, 12.865, 12.866, 12.866, 12.866,
12.867, 12.867, 12.868, 12.868, 12.870,
12.871, 12.871, 12.871, 12.871, 12.872,
12.876, 12.878, 12.879, 12.879, 12.881
);
WeibullFitResult result = WeibullDistribution.FitToSample(sample);
Console.WriteLine("{0} {1}", result.Scale, result.Shape);
Console.WriteLine(result.GoodnessOfFit.Probability);
}
public void TestDistributionWeibull()
{
IDoubleDistribution dist = new WeibullDistribution(m_model, "WeibullDistribution", Guid.NewGuid(), 2, 0, 2.0);
Assert.IsTrue(dist.GetValueWithCumulativeProbability(0.50) == 1.6651092223153954);
dist.SetCDFInterval(0.5, 0.5);
Assert.IsTrue(dist.GetNext() == 1.6651092223153954);
dist.SetCDFInterval(0.0, 1.0);
System.IO.StreamWriter tw = new System.IO.StreamWriter(Environment.GetEnvironmentVariable("TEMP") + "\\DistributionWeibull.csv");
Debug.WriteLine("Generating raw data.");
int DATASETSIZE = 1500000;
double[] rawData = new double[DATASETSIZE];
for (int x = 0; x < DATASETSIZE; x++)
{
rawData[x] = dist.GetNext();
//tw.WriteLine(rawData[x]);
}
Debug.WriteLine("Performing histogram analysis.");
Histogram1D_Double hist = new Histogram1D_Double(rawData, 0, 7.5, 100, "distribution");
hist.LabelProvider = new LabelProvider(((Histogram1D_Double)hist).DefaultLabelProvider);
hist.Recalculate();
Debug.WriteLine("Writing data dump file.");
int[] bins = (int[])hist.Bins;
for (int i = 0; i < bins.Length; i++)
{
//Debug.WriteLine(hist.GetLabel(new int[]{i}) + ", " + bins[i]);
tw.WriteLine(hist.GetLabel(new int[] { i }) + ", " + bins[i]);
}
tw.Flush();
tw.Close();
if (m_visuallyVerify)
{
System.Diagnostics.Process.Start("excel.exe", Environment.GetEnvironmentVariable("TEMP") + "\\DistributionWeibull.csv");
}
}
public void TestWeibullDistribution()
{
double[][] para =
{
new double[] { 1.5, 1.75, 0.762628880480291575561159, 0.424377229596168368465272, 3.63669361568547473062272, 0.061781371833876567930871 }
};
for (int i = 0; i < para.Length; i++)
{
var tester = new ContDistTester(para[i], delegate(double a, double b)
{
var ret = new WeibullDistribution
{
Alpha = a,
Lambda = b
};
return(ret);
}
);
tester.Test(1E-14);
}
}
/// <summary>
/// Sets the distribution for operations using the current genrator
/// </summary>
/// <param name="distx">Distx.</param>
public void setDistribution(distributions distx, Dictionary <string, double> args)
{
//TODO check arguments to ensure they are making a change to the distribution
//otherwise throw an exception see laplace as a example of implementing this
switch (distx)
{
case distributions.Bernoili:
BernoulliDistribution x0 = new BernoulliDistribution(gen);
if (args.ContainsKey("alpha"))
{
x0.Alpha = args["alpha"];
}
else
{
throw new System.Exception("for Bernoili distribution you must provide an alpha");
}
dist = x0;
break;
case distributions.Beta:
BetaDistribution x1 = new BetaDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x1.Alpha = args["alpha"];
x1.Beta = args["beta"];
}
else
{
throw new System.Exception(" for beta distribution you must provide alpha and beta");
}
dist = x1;
break;
case distributions.BetaPrime:
BetaPrimeDistribution x2 = new BetaPrimeDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x2.Alpha = args["alpha"];
x2.Beta = args["beta"];
}
else
{
throw new System.Exception(" for betaPrime distribution you must provide alpha and beta");
}
dist = x2;
break;
case distributions.Cauchy:
CauchyDistribution x3 = new CauchyDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("gamma"))
{
x3.Alpha = args["alpha"];
x3.Gamma = args["gamma"];
}
else
{
throw new System.Exception("for cauchy dist you must provide alpha and gamma");
}
dist = x3;
break;
case distributions.Chi:
ChiDistribution x4 = new ChiDistribution(gen);
if (args.ContainsKey("alpha"))
{
x4.Alpha = (int)args["alpha"];
}
else
{
throw new System.Exception("for chi you must provide alpha");
}
dist = x4;
break;
case distributions.ChiSquared:
ChiSquareDistribution x5 = new ChiSquareDistribution(gen);
if (args.ContainsKey("alpha"))
{
x5.Alpha = (int)args["alpha"];
}
else
{
throw new System.Exception("for chiSquared you must provide alpha");
}
dist = x5;
break;
case distributions.ContinuousUniform:
ContinuousUniformDistribution x6 = new ContinuousUniformDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x6.Alpha = args["alpha"];
x6.Beta = args["beta"];
}
else
{
throw new System.Exception("for ContinuousUniform you must provide alpha and beta");
}
dist = x6;
break;
case distributions.DiscreteUniform:
DiscreteUniformDistribution x7 = new DiscreteUniformDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x7.Alpha = (int)args["alpha"];
x7.Beta = (int)args["beta"];
}
else
{
throw new System.Exception("for discrete uniform distribution you must provide alpha and beta");
}
dist = x7;
break;
case distributions.Erlang:
ErlangDistribution x8 = new ErlangDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("lambda"))
{
x8.Alpha = (int)args["alpha"];
x8.Lambda = (int)args["lambda"];
}
else
{
throw new System.Exception("for Erlang dist you must provide alpha and lambda");
}
dist = x8;
break;
case distributions.Exponential:
ExponentialDistribution x9 = new ExponentialDistribution(gen);
if (args.ContainsKey("lambda"))
{
x9.Lambda = args["lambda"];
}
else
{
throw new System.Exception("for exponential dist you must provide lambda");
}
dist = x9;
break;
case distributions.FisherSnedecor:
FisherSnedecorDistribution x10 = new FisherSnedecorDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x10.Alpha = (int)args["alpha"];
x10.Beta = (int)args["beta"];
}
else
{
throw new System.Exception("for FisherSnedecor you must provide alpha and beta");
}
dist = x10;
break;
case distributions.FisherTippett:
FisherTippettDistribution x11 = new FisherTippettDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("mu"))
{
x11.Alpha = args["alpha"];
x11.Mu = args["mu"];
}
else
{
throw new System.Exception("for FisherTippets you must provide alpha and mu");
}
dist = x11;
break;
case distributions.Gamma:
GammaDistribution x12 = new GammaDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("theta"))
{
x12.Alpha = args["alpha"];
x12.Theta = args["theta"];
}
else
{
throw new System.Exception("for Gamma dist you must provide alpha and theta");
}
dist = x12;
break;
case distributions.Geometric:
GeometricDistribution x13 = new GeometricDistribution(gen);
if (args.ContainsKey("alpha"))
{
x13.Alpha = args["alpha"];
}
else
{
throw new System.Exception("Geometric distribution requires alpha value");
}
dist = x13;
break;
case distributions.Binomial:
BinomialDistribution x14 = new BinomialDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x14.Alpha = args["alpha"];
x14.Beta = (int)args["beta"];
}
else
{
throw new System.Exception("binomial distribution requires alpha and beta");
}
dist = x14;
break;
case distributions.None:
break;
case distributions.Laplace:
LaplaceDistribution x15 = new LaplaceDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("mu"))
{
if (x15.IsValidAlpha(args["alpha"]) && x15.IsValidMu(args["mu"]))
{
x15.Alpha = args["alpha"];
x15.Mu = args["mu"];
}
else
{
throw new ArgumentException("alpha must be greater than zero");
}
}
else
{
throw new System.Exception("Laplace dist requires alpha and mu");
}
dist = x15;
break;
case distributions.LogNormal:
LognormalDistribution x16 = new LognormalDistribution(gen);
if (args.ContainsKey("mu") && args.ContainsKey("sigma"))
{
x16.Mu = args["mu"];
x16.Sigma = args["sigma"];
}
else
{
throw new System.Exception("lognormal distribution requires mu and sigma");
}
dist = x16;
break;
case distributions.Normal:
NormalDistribution x17 = new NormalDistribution(gen);
if (args.ContainsKey("mu") && args.ContainsKey("sigma"))
{
x17.Mu = args["mu"];
x17.Sigma = args["sigma"];
}
else
{
throw new System.Exception("normal distribution requires mu and sigma");
}
dist = x17;
break;
case distributions.Pareto:
ParetoDistribution x18 = new ParetoDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x18.Alpha = args["alpha"];
x18.Beta = args["beta"];
}
else
{
throw new System.Exception("pareto distribution requires alpha and beta");
}
dist = x18;
break;
case distributions.Poisson:
PoissonDistribution x19 = new PoissonDistribution(gen);
if (args.ContainsKey("lambda"))
{
x19.Lambda = args["lambda"];
}
else
{
throw new System.Exception("Poisson distribution requires lambda");
}
dist = x19;
break;
case distributions.Power:
PowerDistribution x20 = new PowerDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta"))
{
x20.Alpha = args["alpha"];
x20.Beta = args["beta"];
}
else
{
throw new System.Exception("Power dist requires alpha and beta");
}
dist = x20;
break;
case distributions.RayLeigh:
RayleighDistribution x21 = new RayleighDistribution(gen);
if (args.ContainsKey("sigma"))
{
x21.Sigma = args["sigma"];
}
else
{
throw new System.Exception("Rayleigh dist requires sigma");
}
dist = x21;
break;
case distributions.StudentsT:
StudentsTDistribution x22 = new StudentsTDistribution(gen);
if (args.ContainsKey("nu"))
{
x22.Nu = (int)args["nu"];
}
else
{
throw new System.Exception("StudentsT dist requirres nu");
}
dist = x22;
break;
case distributions.Triangular:
TriangularDistribution x23 = new TriangularDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("beta") && args.ContainsKey("gamma"))
{
x23.Alpha = args["alpha"];
x23.Beta = args["beta"];
x23.Gamma = args["gamma"];
}
else
{
throw new System.Exception("Triangular distribution requires alpha, beta and gamma");
}
dist = x23;
break;
case distributions.WeiBull:
WeibullDistribution x24 = new WeibullDistribution(gen);
if (args.ContainsKey("alpha") && args.ContainsKey("lambda"))
{
x24.Alpha = args["alpha"];
x24.Lambda = args["lambda"];
}
else
{
throw new System.Exception("WeiBull dist requires alpha and lambda");
}
dist = x24;
break;
default:
throw new NotImplementedException("the distribution you want has not yet been implemented " +
"you could help everyone out by going and implementing it");
}
}
/// <summary>
/// Finds the Weibull distribution that best fits the given sample.
/// </summary>
/// <param name="sample">The sample to fit.</param>
/// <returns>The best fit parameters.</returns>
/// <exception cref="ArgumentNullException"><paramref name="sample"/> is null.</exception>
/// <exception cref="InvalidOperationException"><paramref name="sample"/> contains non-positive values.</exception>
/// <exception cref="InsufficientDataException"><paramref name="sample"/> contains fewer than three values.</exception>
public static WeibullFitResult FitToWeibull(this IReadOnlyList <double> sample)
{
if (sample == null)
{
throw new ArgumentNullException(nameof(sample));
}
if (sample.Count < 3)
{
throw new InsufficientDataException();
}
foreach (double value in sample)
{
if (value <= 0.0)
{
throw new InvalidOperationException();
}
}
// The log likelihood function is
// \log L = N \log k + (k-1) \sum_i \log x_i - N K \log \lambda - \sum_i \left(\frac{x_i}{\lambda}\right)^k
// Taking derivatives, we get
// \frac{\partial \log L}{\partial \lambda} = - \frac{N k}{\lambda} + \sum_i \frac{k}{\lambda} \left(\frac{x_i}{\lambda}\right)^k
// \frac{\partial \log L}{\partial k} =\frac{N}{k} + \sum_i \left[ 1 - \left(\frac{x_i}{\lambda}\right)^k \right] \log \left(\frac{x_i}{\lambda}\right)
// Setting the first expression to zero and solving for \lambda gives
// \lambda = \left( N^{-1} \sum_i x_i^k \right)^{1/k} = ( < x^k > )^{1/k}
// which allows us to reduce the problem from 2D to 1D.
// By the way, using the expression for the moment < x^k > of the Weibull distribution, you can show there is
// no bias to this result even for finite samples.
// Setting the second expression to zero gives
// \frac{1}{k} = \frac{1}{N} \sum_i \left[ \left( \frac{x_i}{\lambda} \right)^k - 1 \right] \log \left(\frac{x_i}{\lambda}\right)
// which, given the equation for \lambda as a function of k derived from the first expression, is an implicit equation for k.
// It cannot be solved in closed form, but we have now reduced our problem to finding a root in one-dimension.
// We need a starting guess for k.
// The method of moments equations are not solvable for the parameters in closed form
// but the scale parameter drops out of the ratio of the 1/3 and 2/3 quantile points
// and the result is easily solved for the shape parameter
// k = \frac{\log 2}{\log\left(\frac{x_{2/3}}{x_{1/3}}\right)}
double x1 = sample.InverseLeftProbability(1.0 / 3.0);
double x2 = sample.InverseLeftProbability(2.0 / 3.0);
double k0 = Global.LogTwo / Math.Log(x2 / x1);
// Given the shape paramter, we could invert the expression for the mean to get
// the scale parameter, but since we have an expression for \lambda from k, we
// don't need it.
//double s0 = sample.Mean / AdvancedMath.Gamma(1.0 + 1.0 / k0);
// Simply handing our 1D function to a root-finder works fine until we start to encounter large k. For large k,
// even just computing \lambda goes wrong because we are taking x_i^k which overflows. Horst Rinne, "The Weibull
// Distribution: A Handbook" describes a way out. Basically, we first move to variables z_i = \log(x_i) and
// then w_i = z_i - \bar{z}. Then lots of factors of e^{k \bar{z}} cancel out and, even though we still do
// have some e^{k w_i}, the w_i are small and centered around 0 instead of large and centered around \lambda.
//Sample transformedSample = sample.Copy();
//transformedSample.Transform(x => Math.Log(x));
double[] transformedSample = new double[sample.Count];
for (int j = 0; j < sample.Count; j++)
{
transformedSample[j] = Math.Log(sample[j]);
}
double zbar = transformedSample.Mean();
for (int j = 0; j < transformedSample.Length; j++)
{
transformedSample[j] -= zbar;
}
// After this change of variable the 1D function to zero becomes
// g(k) = \sum_i ( 1 - k w_i ) e^{k w_i}
// It's easy to show that g(0) = n and g(\infinity) = -\infinity, so it must cross zero. It's also easy to take
// a derivative
// g'(k) = - k \sum_i w_i^2 e^{k w_i}
// so we can apply Newton's method.
int i = 0;
double k1 = k0;
while (true)
{
i++;
double g = 0.0;
double gp = 0.0;
foreach (double w in transformedSample)
{
double e = Math.Exp(k1 * w);
g += (1.0 - k1 * w) * e;
gp -= k1 * w * w * e;
}
double dk = -g / gp;
k1 += dk;
if (Math.Abs(dk) <= Global.Accuracy * Math.Abs(k1))
{
break;
}
if (i >= Global.SeriesMax)
{
throw new NonconvergenceException();
}
}
// The corresponding lambda can also be expressed in terms of zbar and w's.
double t = 0.0;
foreach (double w in transformedSample)
{
t += Math.Exp(k1 * w);
}
t /= transformedSample.Length;
double lambda1 = Math.Exp(zbar) * Math.Pow(t, 1.0 / k1);
// We need the curvature matrix at the minimum of our log likelihood function
// to determine the covariance matrix. Taking more derivatives...
// \frac{\partial^2 \log L} = \frac{N k}{\lambda^2} - \sum_i \frac{k(k+1) x_i^k}{\lambda^{k+2}}
// = - \frac{N k^2}{\lambda^2}
// The second expression follows by inserting the first-derivative-equal-zero relation into the first.
// For k=1, this agrees with the variance formula for the mean of the best-fit exponential.
// Derivatives involving k are less simple.
// We end up needing the means < (x/lambda)^k log(x/lambda) > and < (x/lambda)^k log^2(x/lambda) >
double mpl = 0.0; double mpl2 = 0.0;
foreach (double x in sample)
{
double r = x / lambda1;
double p = Math.Pow(r, k1);
double l = Math.Log(r);
double pl = p * l;
double pl2 = pl * l;
mpl += pl;
mpl2 += pl2;
}
mpl = mpl / sample.Count;
mpl2 = mpl2 / sample.Count;
// See if we can't do any better here. Transforming to zbar and w's looked ugly, but perhaps it
// can be simplified? One interesting observation: if we take expectation values (which gives
// the Fisher information matrix) the entries become simple:
// B_{\lambda \lambda} = \frac{N k^2}{\lambda^2}
// B_{\lambda k} = -\Gamma'(2) \frac{N}{\lambda}
// B_{k k } = [1 + \Gamma''(2)] \frac{N}{k^2}
// Would it be bad to just use these directly?
// Construct the curvature matrix and invert it.
SymmetricMatrix C = new SymmetricMatrix(2);
C[0, 0] = sample.Count * MoreMath.Sqr(k1 / lambda1);
C[0, 1] = -sample.Count * k1 / lambda1 * mpl;
C[1, 1] = sample.Count * (1.0 / MoreMath.Sqr(k1) + mpl2);
CholeskyDecomposition CD = C.CholeskyDecomposition();
if (CD == null)
{
throw new DivideByZeroException();
}
C = C.Inverse();
// Do a KS test to compare sample to best-fit distribution
WeibullDistribution distribution = new WeibullDistribution(lambda1, k1);
TestResult test = sample.KolmogorovSmirnovTest(distribution);
// return the result
return(new WeibullFitResult(lambda1, k1, C, distribution, test));
}
/// <summary>
/// Returns a new line chart plotting the specified function of the given distribution for 0.0001 <= p <= 0.9999.
/// </summary>
/// <param name="dist">The distribution.</param>
/// <param name="function">The distribution function to plot.</param>
/// <param name="numInterpolatedValues">The number of interpolated values.</param>
/// <returns>A new chart.</returns>
public static ChartControl ToChart( WeibullDistribution dist, DistributionFunction function = DistributionFunction.PDF, int numInterpolatedValues = 100 )
{
ChartControl chart = GetDefaultChart();
Update( ref chart, dist, function, numInterpolatedValues );
return chart;
}
public void MedianTest()
{
WeibullDistribution target = new WeibullDistribution(1.52, 0.6);
Assert.AreEqual(target.Median, target.InverseDistributionFunction(0.5), 1e-8);
}
/// <summary>
/// Updates the given chart with the specified distribution.
/// </summary>
/// <param name="chart">A chart.</param>
/// <param name="dist">The distribution.</param>
/// <param name="function">The distribution function to plot.</param>
/// <param name="numInterpolatedValues">The number of interpolated values.</param>
/// <returns>A new chart.</returns>
/// <remarks>
/// Plots the specified function of the given distribution for 0.0001 <= p <= 0.9999.
/// <br/>
/// Titles are added only if chart does not currently contain any titles.
/// <br/>
/// chart.Series[0] is replaced, or added if necessary.
/// </remarks>
public static void Update( ref ChartControl chart, WeibullDistribution dist, DistributionFunction function = DistributionFunction.PDF, int numInterpolatedValues = 100 )
{
List<string> titles = new List<string>()
{
"WeibullDistribution",
String.Format("scale={0}, shape={1}", dist.Scale, dist.Shape)
};
UpdateContinuousDistribution( ref chart, dist, titles, function, numInterpolatedValues );
}
/// <summary>
/// Shows a new chart in a default form.
/// </summary>
/// <param name="dist">The distribution.</param>
/// <param name="function">The distribution function to plot.</param>
/// <param name="numInterpolatedValues">The number of interpolated values.</param>
/// <remarks>
/// Equivalent to:
/// <code>
/// NMathStatsChart.Show( ToChart( dist, function, numInterpolatedValues ) );
/// </code>
/// </remarks>
public static void Show( WeibullDistribution dist, DistributionFunction function = DistributionFunction.PDF, int numInterpolatedValues = 100 )
{
Show( ToChart( dist, function, numInterpolatedValues ) );
}
//---------------------------------------------------------------------
private static double GenerateRandomNum(Distribution dist, double parameter1, double parameter2)
{
double randomNum = 0.0;
if(dist == Distribution.normal)
{
NormalDistribution randVar = new NormalDistribution(RandomNumberGenerator.Singleton);
randVar.Mu = parameter1; // mean
randVar.Sigma = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == Distribution.lognormal)
{
LognormalDistribution randVar = new LognormalDistribution(RandomNumberGenerator.Singleton);
randVar.Mu = parameter1; // mean
randVar.Sigma = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == Distribution.gamma)
{
GammaDistribution randVar = new GammaDistribution(RandomNumberGenerator.Singleton);
randVar.Alpha = parameter1; // mean
randVar.Theta = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == Distribution.Weibull)
{
WeibullDistribution randVar = new WeibullDistribution(RandomNumberGenerator.Singleton);
randVar.Alpha = parameter1; // mean
randVar.Lambda = parameter2; // std dev
randomNum = randVar.NextDouble();
}
return randomNum;
}
/* public Distribution(
DistributionType name,
double value1,
double value2
)
{
this.name = name;
this.value1 = value1;
this.value2 = value2;
}*/
//---------------------------------------------------------------------
public static double GenerateRandomNum(DistributionType dist, double parameter1, double parameter2)
{
double randomNum = 0.0;
/*if(dist == DistributionType.Normal)
{
NormalDistribution randVar = new NormalDistribution(RandomNumberGenerator.Singleton);
randVar.Mu = parameter1; // mean
randVar.Sigma = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == DistributionType.Lognormal)
{
LognormalDistribution randVar = new LognormalDistribution(RandomNumberGenerator.Singleton);
randVar.Mu = parameter1; // mean
randVar.Sigma = parameter2; // std dev
randomNum = randVar.NextDouble();
}*/
if(dist == DistributionType.Weibull)
{
WeibullDistribution randVar = new WeibullDistribution(RandomNumberGenerator.Singleton);
randVar.Alpha = parameter1; // mean
randVar.Lambda = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == DistributionType.Gamma)
{
GammaDistribution randVar = new GammaDistribution(RandomNumberGenerator.Singleton);
randVar.Alpha = parameter1; // mean
randVar.Theta = parameter2; // std dev
randomNum = randVar.NextDouble();
}
if(dist == DistributionType.Beta)
{
BetaDistribution randVar = new BetaDistribution(RandomNumberGenerator.Singleton);
randVar.Alpha = parameter1; // mean
randVar.Beta = parameter2; // std dev
randomNum = randVar.NextDouble();
}
return randomNum;
}
