wehub-resource-sync
30 lines
778 B
Python
Executable File
30 lines
778 B
Python
Executable File
import numpy as np
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def sir(func, rv, n):
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"""
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sampling-importance-resampling
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Parameters
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----------
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func : callable
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(un)normalized distribution to be sampled from
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rv : RandomVariable
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distribution to generate sample
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n : int
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number of samples to draw
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Returns
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-------
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sample : (n, ndim) ndarray
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generated sample
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"""
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assert hasattr(rv, "draw"), "the distribution has no method to draw random samples"
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sample_candidate = rv.draw(n * 10)
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weight = np.squeeze(func(sample_candidate) / rv.pdf(sample_candidate))
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assert weight.shape == (n * 10,), weight.shape
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weight /= np.sum(weight)
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index = np.random.choice(n * 10, n, p=weight)
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sample = sample_candidate[index]
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return sample
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