.. _non-uniform-random-number-sampling:

=====================================================
Universal Non-Uniform Random Number Sampling in SciPy
=====================================================

.. currentmodule:: scipy.stats.sampling

SciPy provides an interface to many universal non-uniform random number
generators to sample random variates from a wide variety of univariate
continuous and discrete distributions. Implementations of a fast C library
called `UNU.RAN <http://statmath.wu.ac.at/software/unuran/>`__ are used
for speed and performance. Please look at
`UNU.RAN's documentation <http://statmath.wu.ac.at/software/unuran/doc/unuran.html>`__
for an in-depth explanation of these methods. It is heavily referred to
for writing this tutorial and the documentation of all the generators.


Introduction
------------

Random variate generation is the small field of research that deals with
algorithms to generate random variates from various distributions. It is
common to assume that a uniform random number generator is available.
This is a program that produces a sequence of independent and identically
distributed continuous U(0,1) random variates (i.e. uniform random variates
on the interval (0,1)). Of course, real-world computers can never generate
ideal random numbers and they cannot produce numbers of arbitrary precision
but state-of-the-art uniform random number generators come close to this
aim. Thus random variate generation deals with the problem of transforming
such a sequence of U(0,1) random numbers into non-uniform random variates.
These methods are universal and work in a black-box fashion.

Some methods to do that are:

* The Inversion method: When the inverse :math:`F^{-1}` of the cumulative
  distribution function is known, then random variate generation is easy.
  We just generate a uniformly U(0,1) distributed random number U and
  return :math:`X = F^{-1}(U)`. As closed form solutions for the inverse
  are rarely available, one usually needs to rely on approximations of
  the inverse (e.g. :class:`~scipy.special.ndtri`,
  :class:`~scipy.special.stdtrit`). In general, the implementation of special
  functions is quite slow compared to the inversion methods in UNU.RAN.
* The Rejection Method: The rejection method, often called
  acceptance-rejection method, has been suggested by John von Neumann in
  1951 [1]_. It involves computing an upper bound to the PDF (also called the
  hat function) and using the inversion method to generate a random
  variate, say Y, from this bound. Then a uniform random number can be
  drawn between 0 to the value of the upper bound at Y. If this number
  is less than the PDF at Y, return the sample otherwise reject it. See
  :class:`~TransformedDensityRejection`.
* The Ratio-of-Uniforms Method: This is a type of acceptance-rejection
  method which is uses minimal bounding rectangles to construct the hat
  function. See `scipy.stats.rvs_ratio_uniforms`.
* Inversion for Discrete Distributions: The difference compared to the
  continuous case is that :math:`F` is now a step-function. To realize
  this in a computer, a search algorithm is used, the simplest of which
  is *sequential search*. A uniform random number is generated from
  U(0, 1) and probabilities are summed until the cumulative probability
  exceeds the uniform random number. The index at which this happens is
  the required random variate and is returned.


More details on these algorithms can be found in the `appendix of the UNU.RAN
user manual <http://statmath.wu.ac.at/software/unuran/doc/unuran.html#RVG>`__.

When generating random variates of a distribution, two factors are important
to determine the speed of a generator: the setup step and the actual sampling.
Depending on the situation, different generators can be optimal. For example,
if one repeatedly needs to draw large samples from a given distribution with
a fixed shape parameter, a slow setup is acceptable if the sampling is fast.
This is called the fixed parameter case. If one aims to generate samples of
a distribution for different shape parameters (the varying parameter case),
an expensive setup that needs to be repeated for each parameter would lead
to very poor performance. In such a situation, a fast setup is crucial to
achieve good performance. An overview of the setup and sampling speed of the
different methods is shown in the table below.

.. _unuran-methods-summary:

=====================================  ===============  ===============  ===========  ==============
Methods for continuous distributions   Required Inputs  Optional Inputs  Setup Speed  Sampling Speed
=====================================  ===============  ===============  ===========  ==============
:class:`~TransformedDensityRejection`  pdf, dpdf        none             slow         fast
:class:`~NumericalInverseHermite`      cdf              pdf, dpdf        (very) slow  (very) fast
:class:`~NumericalInversePolynomial`   pdf              cdf              (very) slow  (very) fast
:class:`~SimpleRatioUniforms`          pdf              none             fast         slow
=====================================  ===============  ===============  ===========  ==============

where

* pdf: probability density function
* dpdf: derivative of the pdf
* cdf: cumulative distribution function

To apply the numerical inversion method NumericalInversePolynomial to a large
number of continuous distributions in SciPy with minimal effort, take a look
at `scipy.stats.sampling.FastGeneratorInversion`.

=====================================  ===============  ===============  ===========  ==============
Methods for discrete distributions     Required Inputs  Optional Inputs  Setup Speed  Sampling Speed
=====================================  ===============  ===============  ===========  ==============
:class:`~DiscreteAliasUrn`             pv               pmf              slow         very fast
:class:`~DiscreteGuideTable`           pv               pmf              slow         very fast
=====================================  ===============  ===============  ===========  ==============

where

* pv: probability vector
* pmf: probability mass function


For more details on the generators implemented in UNU.RAN, please refer to [2]_ and [3]_.

Basic concepts of the Interface
-------------------------------

Every generator needs to be set up before one can start sampling from it.
This can be done by instantiating an object of that class. Most of the
generators take a distribution object as input which contains the implementation
of required methods like PDF, CDF, etc. In addition to the distribution
object, one can also pass parameters used to set up the generator. It is also
possible to truncate the distributions using a ``domain`` parameter.  All
generators need a stream of uniform random numbers that are transformed into
random variates of the given distribution. This is done by passing a ``random_state``
parameter with a NumPy BitGenerator as the uniform random number generator.
``random_state`` can either be a integer, `numpy.random.Generator`,
or `numpy.random.RandomState`.

.. warning:: Use of NumPy < 1.19.0 is discouraged as it doesn't have a fast
             Cython API for generating uniform random numbers and might be
             too slow for practical use.

All the generators have a common ``rvs`` method that can be used to draw
samples from the given distribution.

An example of this interface is shown below:

    >>> from scipy.stats.sampling import TransformedDensityRejection
    >>> from math import exp
    >>> 
    >>> class StandardNormal:
    ...     def pdf(self, x: float) -> float:
    ...         # note that the normalization constant isn't required
    ...         return exp(-0.5 * x*x)
    ...     def dpdf(self, x: float) -> float:
    ...         return -x * exp(-0.5 * x*x)
    ... 
    >>> dist = StandardNormal()
    >>> 
    >>> urng = np.random.default_rng()
    >>> rng = TransformedDensityRejection(dist, random_state=urng)

As shown in the example, we first initialize a distribution object that
contains an implementation of the methods required by the generator. In
our case, we use the :class:`~TransformedDensityRejection` (TDR) method
which requires a PDF and its derivative w.r.t. ``x`` (i.e. the variate).

.. note:: Note that the methods of the distribution (i.e. ``pdf``,
          ``dpdf``, etc) need not be vectorized. They should
          accept and return floats.

.. note:: One can also pass the SciPy distributions as arguments. However,
          note that the object doesn't always have all the information
          required by some generators like the derivative of PDF for the
          TDR method. Relying on SciPy distributions might also reduce
          performance due to the vectorization of the methods like
          ``pdf`` and ``cdf``. In both cases, one can implement a
          custom distribution object that contains all the required
          methods and that is not vectorized as shown in the example
          above. If one wants to apply a numerical inversion method to
          a distribution defined in SciPy, please also take a look at
          `scipy.stats.sampling.FastGeneratorInversion`.

In the above example, we have set up an object of the
:class:`~TransformedDensityRejection` method to sample from a
standard normal distribution. Now, we can start sampling from our
distribution by calling the ``rvs`` method:

    >>> rng.rvs()
    -1.526829048388144
    >>> rng.rvs((5, 3))
    array([[ 2.06206883,  0.15205036,  1.11587367],
           [-0.30775562,  0.29879802, -0.61858268],
           [-1.01049115,  0.78853694, -0.23060766],
           [-0.60954752,  0.29071797, -0.57167182],
           [ 0.9331694 , -0.95605208,  1.72195199]])

We can also check that the samples are drawn from the correct distribution
by visualizing the histogram of the samples:

.. plot::
    :alt: "This code generates an X-Y plot with the probability distribution function of X on the Y axis and values of X on the X axis. A red trace showing the true distribution is a typical normal distribution with tails near zero at the edges and a smooth peak around the center near 0.4. A blue bar graph of random variates is shown below the red trace with a distribution similar to the truth, but with clear imperfections."

    >>> import matplotlib.pyplot as plt
    >>> from scipy.stats import norm
    >>> from scipy.stats.sampling import TransformedDensityRejection
    >>> from math import exp
    >>> 
    >>> class StandardNormal:
    ...     def pdf(self, x: float) -> float:
    ...         # note that the normalization constant isn't required
    ...         return exp(-0.5 * x*x)
    ...     def dpdf(self, x: float) -> float:
    ...         return -x * exp(-0.5 * x*x)
    ... 
    >>> 
    >>> dist = StandardNormal()
    >>> urng = np.random.default_rng()
    >>> rng = TransformedDensityRejection(dist, random_state=urng)
    >>> rvs = rng.rvs(size=1000)
    >>> x = np.linspace(rvs.min()-0.1, rvs.max()+0.1, num=1000)
    >>> fx = norm.pdf(x)
    >>> plt.plot(x, fx, 'r-', lw=2, label='true distribution')
    >>> plt.hist(rvs, bins=20, density=True, alpha=0.8, label='random variates')
    >>> plt.xlabel('x')
    >>> plt.ylabel('PDF(x)')
    >>> plt.title('Transformed Density Rejection Samples')
    >>> plt.legend()
    >>> plt.show()

.. note:: Please note the difference between the `rvs` method of the
          distributions present in :mod:`scipy.stats` and the one provided
          by these generators. UNU.RAN generators must be considered
          independent in a sense that they will generally produce a different
          stream of random numbers than the one produced by the equivalent
          distribution in :mod:`scipy.stats` for any seed. The implementation
          of `rvs` in `scipy.stats.rv_continuous` usually relies on the NumPy
          module `numpy.random` for well-known distributions (e.g., for the normal
          distribution, the beta distribution) and transformations of other
          distributions (e.g., normal inverse Gaussian `scipy.stats.norminvgauss` and the
          lognormal `scipy.stats.lognorm` distribution). If no specific method is implemented,
          `scipy.stats.rv_continuous` defaults to a numerical inversion method of the CDF
          that is very slow. As UNU.RAN transforms uniform random numbers
          differently than SciPy or NumPy, the resulting stream of RVs is
          different even for the same stream of uniform random numbers. For
          example, the random number stream of SciPy's ``scipy.stats.norm`` and UNU.RAN's
          :class:`~TransformedDensityRejection` would not be the same even for
          the same ``random_state``:

          >>> from scipy.stats.sampling import norm, TransformedDensityRejection
          >>> from copy import copy
          >>> dist = StandardNormal()
          >>> urng1 = np.random.default_rng()
          >>> urng1_copy = copy(urng1)
          >>> rng = TransformedDensityRejection(dist, random_state=urng1)
          >>> rng.rvs()
          -1.526829048388144
          >>> norm.rvs(random_state=urng1_copy)
          1.3194816698862635

We can pass a ``domain`` parameter to truncate the distribution:

    >>> rng = TransformedDensityRejection(dist, domain=(-1, 1), random_state=urng)
    >>> rng.rvs((5, 3))
    array([[-0.99865691,  0.38104014,  0.31633526],
           [ 0.88433909, -0.45181849,  0.78574461],
           [ 0.3337244 ,  0.12924307,  0.40499404],
           [-0.51865761,  0.43252222, -0.6514866 ],
           [-0.82666174,  0.71525582,  0.49006743]])

Invalid and bad arguments are handled either by SciPy or by UNU.RAN. The
latter throws a :class:`~UNURANError` that follows a common format:

``UNURANError: [objid: <object id>] <error code>: <reason> => <type of error>``

where:

* ``<object id>`` is the ID of the object given by UNU.RAN
* ``<error code>`` is an error code representing a type of error.
* ``<reason>`` is the reason why the error occurred.
* ``<type of error>`` is a short description of the type of error.

The ``<reason>`` shows what caused the error. This, by itself, should contain
enough information to help debug the error. In addition, ``<error id>`` and
``<type of error>`` can be used to investigate different classes of error in
UNU.RAN. A complete list of all the error codes and their descriptions can be
found in the `Section 8.4 of the UNU.RAN user manual
<http://statmath.wu.ac.at/software/unuran/doc/unuran.html#Errno>`__.

An example of an error generated by UNU.RAN is shown below:

``UNURANError: [objid: TDR.003] 50 : PDF(x) < 0.! => (generator) (possible) invalid data``

This shows that UNU.RAN failed to initialize an object with ID ``TDR.003``
because the PDF was < 0. i.e. negative. This falls under the type
"possible invalid data for the generator" and has error code 50.

Warnings thrown by UNU.RAN also follow the same format.


Generators in :mod:`scipy.stats.sampling`
-----------------------------------------
.. toctree::
   :maxdepth: 1

   sampling_tdr
   sampling_dau
   sampling_pinv
   sampling_dgt
   sampling_hinv
   sampling_srou


References
~~~~~~~~~~

.. [1] Von Neumann, John. "13. various techniques used in connection with
       random digits." Appl. Math Ser 12.36-38 (1951): 3.

.. [2] UNU.RAN User Manual, https://statmath.wu.ac.at/unuran/doc/unuran.html

.. [3] Leydold, Josef, Wolfgang Hörmann, and Halis Sak. "An R Interface to
       the UNU.RAN Library for Universal Random Variate Generators.",
       https://cran.r-project.org/web/packages/Runuran/vignettes/Runuran.pdf
