import itertools from sympy import (Expr, Add, Mul, S, Integral, Eq, Sum, Symbol, expand as _expand, Not) from sympy.core.compatibility import default_sort_key from sympy.core.parameters import global_parameters from sympy.core.sympify import _sympify from sympy.core.relational import Relational from sympy.logic.boolalg import Boolean from sympy.stats import variance, covariance from sympy.stats.rv import (RandomSymbol, pspace, dependent, given, sampling_E, RandomIndexedSymbol, is_random, PSpace, sampling_P, random_symbols) __all__ = ['Probability', 'Expectation', 'Variance', 'Covariance'] @is_random.register(Expr) def _(x): atoms = x.free_symbols if len(atoms) == 1 and next(iter(atoms)) == x: return False return any([is_random(i) for i in atoms]) @is_random.register(RandomSymbol) # type: ignore def _(x): return True class Probability(Expr): """ Symbolic expression for the probability. Examples ======== >>> from sympy.stats import Probability, Normal >>> from sympy import Integral >>> X = Normal("X", 0, 1) >>> prob = Probability(X > 1) >>> prob Probability(X > 1) Integral representation: >>> prob.rewrite(Integral) Integral(sqrt(2)*exp(-_z**2/2)/(2*sqrt(pi)), (_z, 1, oo)) Evaluation of the integral: >>> prob.evaluate_integral() sqrt(2)*(-sqrt(2)*sqrt(pi)*erf(sqrt(2)/2) + sqrt(2)*sqrt(pi))/(4*sqrt(pi)) """ def __new__(cls, prob, condition=None, **kwargs): prob = _sympify(prob) if condition is None: obj = Expr.__new__(cls, prob) else: condition = _sympify(condition) obj = Expr.__new__(cls, prob, condition) obj._condition = condition return obj def doit(self, **hints): condition = self.args[0] given_condition = self._condition numsamples = hints.get('numsamples', False) for_rewrite = not hints.get('for_rewrite', False) if isinstance(condition, Not): return S.One - self.func(condition.args[0], given_condition, evaluate=for_rewrite).doit(**hints) if condition.has(RandomIndexedSymbol): return pspace(condition).probability(condition, given_condition, evaluate=for_rewrite) if isinstance(given_condition, RandomSymbol): condrv = random_symbols(condition) if len(condrv) == 1 and condrv[0] == given_condition: from sympy.stats.frv_types import BernoulliDistribution return BernoulliDistribution(self.func(condition).doit(**hints), 0, 1) if any([dependent(rv, given_condition) for rv in condrv]): return Probability(condition, given_condition) else: return Probability(condition).doit() if given_condition is not None and \ not isinstance(given_condition, (Relational, Boolean)): raise ValueError("%s is not a relational or combination of relationals" % (given_condition)) if given_condition == False or condition is S.false: return S.Zero if not isinstance(condition, (Relational, Boolean)): raise ValueError("%s is not a relational or combination of relationals" % (condition)) if condition is S.true: return S.One if numsamples: return sampling_P(condition, given_condition, numsamples=numsamples) if given_condition is not None: # If there is a condition # Recompute on new conditional expr return Probability(given(condition, given_condition)).doit() # Otherwise pass work off to the ProbabilitySpace if pspace(condition) == PSpace(): return Probability(condition, given_condition) result = pspace(condition).probability(condition) if hasattr(result, 'doit') and for_rewrite: return result.doit() else: return result def _eval_rewrite_as_Integral(self, arg, condition=None, **kwargs): return self.func(arg, condition=condition).doit(for_rewrite=True) _eval_rewrite_as_Sum = _eval_rewrite_as_Integral def evaluate_integral(self): return self.rewrite(Integral).doit() class Expectation(Expr): """ Symbolic expression for the expectation. Examples ======== >>> from sympy.stats import Expectation, Normal, Probability, Poisson >>> from sympy import symbols, Integral, Sum >>> mu = symbols("mu") >>> sigma = symbols("sigma", positive=True) >>> X = Normal("X", mu, sigma) >>> Expectation(X) Expectation(X) >>> Expectation(X).evaluate_integral().simplify() mu To get the integral expression of the expectation: >>> Expectation(X).rewrite(Integral) Integral(sqrt(2)*X*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)) The same integral expression, in more abstract terms: >>> Expectation(X).rewrite(Probability) Integral(x*Probability(Eq(X, x)), (x, -oo, oo)) To get the Summation expression of the expectation for discrete random variables: >>> lamda = symbols('lamda', positive=True) >>> Z = Poisson('Z', lamda) >>> Expectation(Z).rewrite(Sum) Sum(Z*lamda**Z*exp(-lamda)/factorial(Z), (Z, 0, oo)) This class is aware of some properties of the expectation: >>> from sympy.abc import a >>> Expectation(a*X) Expectation(a*X) >>> Y = Normal("Y", 1, 2) >>> Expectation(X + Y) Expectation(X + Y) To expand the ``Expectation`` into its expression, use ``expand()``: >>> Expectation(X + Y).expand() Expectation(X) + Expectation(Y) >>> Expectation(a*X + Y).expand() a*Expectation(X) + Expectation(Y) >>> Expectation(a*X + Y) Expectation(a*X + Y) >>> Expectation((X + Y)*(X - Y)).expand() Expectation(X**2) - Expectation(Y**2) To evaluate the ``Expectation``, use ``doit()``: >>> Expectation(X + Y).doit() mu + 1 >>> Expectation(X + Expectation(Y + Expectation(2*X))).doit() 3*mu + 1 To prevent evaluating nested ``Expectation``, use ``doit(deep=False)`` >>> Expectation(X + Expectation(Y)).doit(deep=False) mu + Expectation(Expectation(Y)) >>> Expectation(X + Expectation(Y + Expectation(2*X))).doit(deep=False) mu + Expectation(Expectation(Y + Expectation(2*X))) """ def __new__(cls, expr, condition=None, **kwargs): expr = _sympify(expr) if expr.is_Matrix: from sympy.stats.symbolic_multivariate_probability import ExpectationMatrix return ExpectationMatrix(expr, condition) if condition is None: if not is_random(expr): return expr obj = Expr.__new__(cls, expr) else: condition = _sympify(condition) obj = Expr.__new__(cls, expr, condition) obj._condition = condition return obj def expand(self, **hints): expr = self.args[0] condition = self._condition if not is_random(expr): return expr if isinstance(expr, Add): return Add.fromiter(Expectation(a, condition=condition).expand() for a in expr.args) expand_expr = _expand(expr) if isinstance(expand_expr, Add): return Add.fromiter(Expectation(a, condition=condition).expand() for a in expand_expr.args) elif isinstance(expr, Mul): rv = [] nonrv = [] for a in expr.args: if is_random(a): rv.append(a) else: nonrv.append(a) return Mul.fromiter(nonrv)*Expectation(Mul.fromiter(rv), condition=condition) return self def doit(self, **hints): deep = hints.get('deep', True) condition = self._condition expr = self.args[0] numsamples = hints.get('numsamples', False) for_rewrite = not hints.get('for_rewrite', False) if deep: expr = expr.doit(**hints) if not is_random(expr) or isinstance(expr, Expectation): # expr isn't random? return expr if numsamples: # Computing by monte carlo sampling? evalf = hints.get('evalf', True) return sampling_E(expr, condition, numsamples=numsamples, evalf=evalf) if expr.has(RandomIndexedSymbol): return pspace(expr).compute_expectation(expr, condition) # Create new expr and recompute E if condition is not None: # If there is a condition return self.func(given(expr, condition)).doit(**hints) # A few known statements for efficiency if expr.is_Add: # We know that E is Linear return Add(*[self.func(arg, condition).doit(**hints) if not isinstance(arg, Expectation) else self.func(arg, condition) for arg in expr.args]) if expr.is_Mul: if expr.atoms(Expectation): return expr if pspace(expr) == PSpace(): return self.func(expr) # Otherwise case is simple, pass work off to the ProbabilitySpace result = pspace(expr).compute_expectation(expr, evaluate=for_rewrite) if hasattr(result, 'doit') and for_rewrite: return result.doit(**hints) else: return result def _eval_rewrite_as_Probability(self, arg, condition=None, **kwargs): rvs = arg.atoms(RandomSymbol) if len(rvs) > 1: raise NotImplementedError() if len(rvs) == 0: return arg rv = rvs.pop() if rv.pspace is None: raise ValueError("Probability space not known") symbol = rv.symbol if symbol.name[0].isupper(): symbol = Symbol(symbol.name.lower()) else : symbol = Symbol(symbol.name + "_1") if rv.pspace.is_Continuous: return Integral(arg.replace(rv, symbol)*Probability(Eq(rv, symbol), condition), (symbol, rv.pspace.domain.set.inf, rv.pspace.domain.set.sup)) else: if rv.pspace.is_Finite: raise NotImplementedError else: return Sum(arg.replace(rv, symbol)*Probability(Eq(rv, symbol), condition), (symbol, rv.pspace.domain.set.inf, rv.pspace.set.sup)) def _eval_rewrite_as_Integral(self, arg, condition=None, **kwargs): return self.func(arg, condition=condition).doit(deep=False, for_rewrite=True) _eval_rewrite_as_Sum = _eval_rewrite_as_Integral # For discrete this will be Sum def evaluate_integral(self): return self.rewrite(Integral).doit() evaluate_sum = evaluate_integral class Variance(Expr): """ Symbolic expression for the variance. Examples ======== >>> from sympy import symbols, Integral >>> from sympy.stats import Normal, Expectation, Variance, Probability >>> mu = symbols("mu", positive=True) >>> sigma = symbols("sigma", positive=True) >>> X = Normal("X", mu, sigma) >>> Variance(X) Variance(X) >>> Variance(X).evaluate_integral() sigma**2 Integral representation of the underlying calculations: >>> Variance(X).rewrite(Integral) Integral(sqrt(2)*(X - Integral(sqrt(2)*X*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)))**2*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)) Integral representation, without expanding the PDF: >>> Variance(X).rewrite(Probability) -Integral(x*Probability(Eq(X, x)), (x, -oo, oo))**2 + Integral(x**2*Probability(Eq(X, x)), (x, -oo, oo)) Rewrite the variance in terms of the expectation >>> Variance(X).rewrite(Expectation) -Expectation(X)**2 + Expectation(X**2) Some transformations based on the properties of the variance may happen: >>> from sympy.abc import a >>> Y = Normal("Y", 0, 1) >>> Variance(a*X) Variance(a*X) To expand the variance in its expression, use ``expand()``: >>> Variance(a*X).expand() a**2*Variance(X) >>> Variance(X + Y) Variance(X + Y) >>> Variance(X + Y).expand() 2*Covariance(X, Y) + Variance(X) + Variance(Y) """ def __new__(cls, arg, condition=None, **kwargs): arg = _sympify(arg) if arg.is_Matrix: from sympy.stats.symbolic_multivariate_probability import VarianceMatrix return VarianceMatrix(arg, condition) if condition is None: obj = Expr.__new__(cls, arg) else: condition = _sympify(condition) obj = Expr.__new__(cls, arg, condition) obj._condition = condition return obj def expand(self, **hints): arg = self.args[0] condition = self._condition if not is_random(arg): return S.Zero if isinstance(arg, RandomSymbol): return self elif isinstance(arg, Add): rv = [] for a in arg.args: if is_random(a): rv.append(a) variances = Add(*map(lambda xv: Variance(xv, condition).expand(), rv)) map_to_covar = lambda x: 2*Covariance(*x, condition=condition).expand() covariances = Add(*map(map_to_covar, itertools.combinations(rv, 2))) return variances + covariances elif isinstance(arg, Mul): nonrv = [] rv = [] for a in arg.args: if is_random(a): rv.append(a) else: nonrv.append(a**2) if len(rv) == 0: return S.Zero return Mul.fromiter(nonrv)*Variance(Mul.fromiter(rv), condition) # this expression contains a RandomSymbol somehow: return self def _eval_rewrite_as_Expectation(self, arg, condition=None, **kwargs): e1 = Expectation(arg**2, condition) e2 = Expectation(arg, condition)**2 return e1 - e2 def _eval_rewrite_as_Probability(self, arg, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Probability) def _eval_rewrite_as_Integral(self, arg, condition=None, **kwargs): return variance(self.args[0], self._condition, evaluate=False) _eval_rewrite_as_Sum = _eval_rewrite_as_Integral def evaluate_integral(self): return self.rewrite(Integral).doit() class Covariance(Expr): """ Symbolic expression for the covariance. Examples ======== >>> from sympy.stats import Covariance >>> from sympy.stats import Normal >>> X = Normal("X", 3, 2) >>> Y = Normal("Y", 0, 1) >>> Z = Normal("Z", 0, 1) >>> W = Normal("W", 0, 1) >>> cexpr = Covariance(X, Y) >>> cexpr Covariance(X, Y) Evaluate the covariance, `X` and `Y` are independent, therefore zero is the result: >>> cexpr.evaluate_integral() 0 Rewrite the covariance expression in terms of expectations: >>> from sympy.stats import Expectation >>> cexpr.rewrite(Expectation) Expectation(X*Y) - Expectation(X)*Expectation(Y) In order to expand the argument, use ``expand()``: >>> from sympy.abc import a, b, c, d >>> Covariance(a*X + b*Y, c*Z + d*W) Covariance(a*X + b*Y, c*Z + d*W) >>> Covariance(a*X + b*Y, c*Z + d*W).expand() a*c*Covariance(X, Z) + a*d*Covariance(W, X) + b*c*Covariance(Y, Z) + b*d*Covariance(W, Y) This class is aware of some properties of the covariance: >>> Covariance(X, X).expand() Variance(X) >>> Covariance(a*X, b*Y).expand() a*b*Covariance(X, Y) """ def __new__(cls, arg1, arg2, condition=None, **kwargs): arg1 = _sympify(arg1) arg2 = _sympify(arg2) if arg1.is_Matrix or arg2.is_Matrix: from sympy.stats.symbolic_multivariate_probability import CrossCovarianceMatrix return CrossCovarianceMatrix(arg1, arg2, condition) if kwargs.pop('evaluate', global_parameters.evaluate): arg1, arg2 = sorted([arg1, arg2], key=default_sort_key) if condition is None: obj = Expr.__new__(cls, arg1, arg2) else: condition = _sympify(condition) obj = Expr.__new__(cls, arg1, arg2, condition) obj._condition = condition return obj def expand(self, **hints): arg1 = self.args[0] arg2 = self.args[1] condition = self._condition if arg1 == arg2: return Variance(arg1, condition).expand() if not is_random(arg1): return S.Zero if not is_random(arg2): return S.Zero arg1, arg2 = sorted([arg1, arg2], key=default_sort_key) if isinstance(arg1, RandomSymbol) and isinstance(arg2, RandomSymbol): return Covariance(arg1, arg2, condition) coeff_rv_list1 = self._expand_single_argument(arg1.expand()) coeff_rv_list2 = self._expand_single_argument(arg2.expand()) addends = [a*b*Covariance(*sorted([r1, r2], key=default_sort_key), condition=condition) for (a, r1) in coeff_rv_list1 for (b, r2) in coeff_rv_list2] return Add.fromiter(addends) @classmethod def _expand_single_argument(cls, expr): # return (coefficient, random_symbol) pairs: if isinstance(expr, RandomSymbol): return [(S.One, expr)] elif isinstance(expr, Add): outval = [] for a in expr.args: if isinstance(a, Mul): outval.append(cls._get_mul_nonrv_rv_tuple(a)) elif is_random(a): outval.append((S.One, a)) return outval elif isinstance(expr, Mul): return [cls._get_mul_nonrv_rv_tuple(expr)] elif is_random(expr): return [(S.One, expr)] @classmethod def _get_mul_nonrv_rv_tuple(cls, m): rv = [] nonrv = [] for a in m.args: if is_random(a): rv.append(a) else: nonrv.append(a) return (Mul.fromiter(nonrv), Mul.fromiter(rv)) def _eval_rewrite_as_Expectation(self, arg1, arg2, condition=None, **kwargs): e1 = Expectation(arg1*arg2, condition) e2 = Expectation(arg1, condition)*Expectation(arg2, condition) return e1 - e2 def _eval_rewrite_as_Probability(self, arg1, arg2, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Probability) def _eval_rewrite_as_Integral(self, arg1, arg2, condition=None, **kwargs): return covariance(self.args[0], self.args[1], self._condition, evaluate=False) _eval_rewrite_as_Sum = _eval_rewrite_as_Integral def evaluate_integral(self): return self.rewrite(Integral).doit() class Moment(Expr): """ Symbolic class for Moment Examples ======== >>> from sympy import Symbol, Integral >>> from sympy.stats import Normal, Expectation, Probability, Moment >>> mu = Symbol('mu', real=True) >>> sigma = Symbol('sigma', real=True, positive=True) >>> X = Normal('X', mu, sigma) >>> M = Moment(X, 3, 1) To evaluate the result of Moment use `doit`: >>> M.doit() mu**3 - 3*mu**2 + 3*mu*sigma**2 + 3*mu - 3*sigma**2 - 1 Rewrite the Moment expression in terms of Expectation: >>> M.rewrite(Expectation) Expectation((X - 1)**3) Rewrite the Moment expression in terms of Probability: >>> M.rewrite(Probability) Integral((x - 1)**3*Probability(Eq(X, x)), (x, -oo, oo)) Rewrite the Moment expression in terms of Integral: >>> M.rewrite(Integral) Integral(sqrt(2)*(X - 1)**3*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)) """ def __new__(cls, X, n, c=0, condition=None, **kwargs): X = _sympify(X) n = _sympify(n) c = _sympify(c) if condition is not None: condition = _sympify(condition) return super().__new__(cls, X, n, c, condition) else: return super().__new__(cls, X, n, c) def doit(self, **hints): return self.rewrite(Expectation).doit(**hints) def _eval_rewrite_as_Expectation(self, X, n, c=0, condition=None, **kwargs): return Expectation((X - c)**n, condition) def _eval_rewrite_as_Probability(self, X, n, c=0, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Probability) def _eval_rewrite_as_Integral(self, X, n, c=0, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Integral) class CentralMoment(Expr): """ Symbolic class Central Moment Examples ======== >>> from sympy import Symbol, Integral >>> from sympy.stats import Normal, Expectation, Probability, CentralMoment >>> mu = Symbol('mu', real=True) >>> sigma = Symbol('sigma', real=True, positive=True) >>> X = Normal('X', mu, sigma) >>> CM = CentralMoment(X, 4) To evaluate the result of CentralMoment use `doit`: >>> CM.doit().simplify() 3*sigma**4 Rewrite the CentralMoment expression in terms of Expectation: >>> CM.rewrite(Expectation) Expectation((X - Expectation(X))**4) Rewrite the CentralMoment expression in terms of Probability: >>> CM.rewrite(Probability) Integral((x - Integral(x*Probability(True), (x, -oo, oo)))**4*Probability(Eq(X, x)), (x, -oo, oo)) Rewrite the CentralMoment expression in terms of Integral: >>> CM.rewrite(Integral) Integral(sqrt(2)*(X - Integral(sqrt(2)*X*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)))**4*exp(-(X - mu)**2/(2*sigma**2))/(2*sqrt(pi)*sigma), (X, -oo, oo)) """ def __new__(cls, X, n, condition=None, **kwargs): X = _sympify(X) n = _sympify(n) if condition is not None: condition = _sympify(condition) return super().__new__(cls, X, n, condition) else: return super().__new__(cls, X, n) def doit(self, **hints): return self.rewrite(Expectation).doit(**hints) def _eval_rewrite_as_Expectation(self, X, n, condition=None, **kwargs): mu = Expectation(X, condition, **kwargs) return Moment(X, n, mu, condition, **kwargs).rewrite(Expectation) def _eval_rewrite_as_Probability(self, X, n, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Probability) def _eval_rewrite_as_Integral(self, X, n, condition=None, **kwargs): return self.rewrite(Expectation).rewrite(Integral)