""" Simple monte carlo integration implementation. Author: Valentin Boettcher """ import numpy as np from scipy.optimize import minimize_scalar from functools import wraps def _process_interval(interval): assert len(interval) == 2, 'An interval has two endpoints' a, b = interval if b < a: a, b = b, a return interval @process_arg(1, _process_interval) def integrate(f, interval, point_density=1000, seed=None, **kwargs): """Monte-Carlo integrates the functin `f` in an interval. :param f: function of one variable, kwargs are passed to it :param tuple interval: a 2-tuple of numbers, specifiying the integration range :returns: the integration result :rtype: float """ interval = _process_interval(interval) if seed: np.random.seed(seed) interval_length = (interval[1] - interval[0]) num_points = int(interval_length * point_density) points = np.random.uniform(interval[0], interval[1], num_points) sample = f(points, **kwargs) integral = np.sum(sample)/num_points*interval_length deviation = np.std(sample)/np.sqrt(num_points - 1)*interval_length return integral, deviation def find_upper_bound(f, interval, **kwargs): """Find the upper bound of a function. :param f: function of one scalar and some kwargs that are passed on to it :param interval: interval to look in :returns: the upper bound of the function :rtype: float """ upper_bound = minimize_scalar(lambda *args: -f(*args, **kwargs), bounds=interval, method='bounded') if upper_bound.success: return -upper_bound.fun else: raise RuntimeError('Could not find an upper bound.') def sample_unweighted(f, interval, upper_bound=None, seed=None, chunk_size=100, **kwargs): """Samples a distribution proportional to f by hit and miss. Implemented as a generator. :param f: function of one scalar to sample, should be positive, superflous kwargs are passed to it :param interval: the interval to sample from :param upper_bound: an upper bound to the function, optional :param seed: the seed for the rng, if not specified, the system time is used :param chunk_size: the size of the chunks of random numbers allocated per unit interval :yields: random nubers following the distribution of f :rtype: float """ interval = _process_interval(interval) interval_length = (interval[1] - interval[0]) if not upper_bound: upper_bound = find_upper_bound(f, interval, **kwargs) def allocate_random_chunk(): return np.random.uniform([interval[0], 0], [interval[1], 1], [chunk_size*interval_length, 2]) while True: points = allocate_random_chunk() sample_points = points[:, 0] \ [np.where(f(points[:, 0]) > points[:, 1]*upper_bound)] for point in sample_points: yield point