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