{ "cells": [ { "cell_type": "markdown", "id": "5f1c207a-8774-41f6-8e39-f5040b249374", "metadata": {}, "source": [ "# Random number generation {#sec-random-number-generation}\n", "\n", "
" ] }, { "cell_type": "markdown", "id": "10b26d6d-ec8f-420c-af1b-bd37cd057558", "metadata": {}, "source": [ "**Random number generation** (RNG) is the process by which a sequence of random numbers may be drawn. When using a computer to draw the random numbers, the numbers are not completely random. The notion of \"completely random\" is nonsensical because of the infinitude of numbers. Random numbers must be drawn from some probability distribution. Furthermore, in most computer applications, the random numbers are actually pseudorandom. They depend entirely on an input **seed** and are then generated by a deterministic algorithm from that seed.\n", "\n", "So what do (pseudo)random number generators do? RNGs are capable of (approximately) drawing integers from a Discrete Uniform distribution. For example, NumPy's default built-in generator, the [PCG64 generator](https://en.wikipedia.org/wiki/Permuted_congruential_generator), generates 128 bit numbers, allowing for $2^{128}$, or about $10^{38}$, possible integers. Importantly, each draw of of a random integer is (approximately) independent of all others.\n", "\n", "In practice, the drawn integers are converted to floating-point numbers (since a double floating-point number has far less than 128 bits) on the interval [0, 1) by dividing a generated random integer by $2^{138}$. Effectively, then, the random number generators provide draws out of a Uniform distribution on the interval [0, 1).\n", "\n", "To convert from random numbers on a Uniform distribution to random numbers from a nonuniform distribution, we need a transform. For many named distributions convenient transforms exist. For example, the [Box-Muller transform](https://en.wikipedia.org/wiki/Box–Muller_transform) is often used to get random draws from a Normal distribution. In the absence of a clever transform, we can use a distribution's [quantile function](https://en.wikipedia.org/wiki/Quantile_function), also known as a **percent-point function**, which is the inverse CDF, $F^{-1}(y)$. For example, the quantile function for the Exponential distribution is\n", "\n", "$$\n", "\\begin{aligned}\n", "F^{-1}(p) = -\\beta^{-1}\\,\\ln(1-p),\n", "\\end{aligned}$${#eq-exponential-ppf}\n", "\n", "where $p$ is the value of the CDF, ranging from zero to one. We first draw $p$ out of a Uniform distribution on [0, 1), and then compute $F^{-1}(p)$ to get a draw from an Exponential distribution. A graphical illustration of using a quantile function to draw 50 random numbers out of Gamma(5, 2) is shown below." ] }, { "cell_type": "code", "execution_count": 1, "id": "dac5ac85-08ca-4ad5-9278-27ede267fbd4", "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "'use strict';\n", "(function(root) {\n", " function now() {\n", " return new Date();\n", " }\n", "\n", " const force = true;\n", "\n", " if (typeof root._bokeh_onload_callbacks === \"undefined\" || force === true) {\n", " root._bokeh_onload_callbacks = [];\n", " root._bokeh_is_loading = undefined;\n", " }\n", "\n", "const JS_MIME_TYPE = 'application/javascript';\n", " const HTML_MIME_TYPE = 'text/html';\n", " const EXEC_MIME_TYPE = 'application/vnd.bokehjs_exec.v0+json';\n", " const CLASS_NAME = 'output_bokeh rendered_html';\n", "\n", " /**\n", " * Render data to the DOM node\n", " */\n", " function render(props, node) {\n", " const script = document.createElement(\"script\");\n", " node.appendChild(script);\n", " }\n", "\n", " /**\n", " * Handle when an output is cleared or removed\n", " */\n", " function handleClearOutput(event, handle) {\n", " function drop(id) {\n", " const view = Bokeh.index.get_by_id(id)\n", " if (view != null) {\n", " view.model.document.clear()\n", " Bokeh.index.delete(view)\n", " }\n", " }\n", "\n", " const cell = handle.cell;\n", "\n", " const id = cell.output_area._bokeh_element_id;\n", " const server_id = cell.output_area._bokeh_server_id;\n", "\n", " // Clean up Bokeh references\n", " if (id != null) {\n", " drop(id)\n", " }\n", "\n", " if (server_id !== undefined) {\n", " // Clean up Bokeh references\n", " const cmd_clean = \"from bokeh.io.state import curstate; print(curstate().uuid_to_server['\" + server_id + \"'].get_sessions()[0].document.roots[0]._id)\";\n", " cell.notebook.kernel.execute(cmd_clean, {\n", " iopub: {\n", " output: function(msg) {\n", " const id = msg.content.text.trim()\n", " drop(id)\n", " }\n", " }\n", " });\n", " // Destroy server and session\n", " const cmd_destroy = \"import bokeh.io.notebook as ion; ion.destroy_server('\" + server_id + \"')\";\n", " cell.notebook.kernel.execute(cmd_destroy);\n", " }\n", " }\n", "\n", " /**\n", " * Handle when a new output is added\n", " */\n", " function handleAddOutput(event, handle) {\n", " const output_area = handle.output_area;\n", " const output = handle.output;\n", "\n", " // limit handleAddOutput to display_data with EXEC_MIME_TYPE content only\n", " if ((output.output_type != \"display_data\") || (!Object.prototype.hasOwnProperty.call(output.data, EXEC_MIME_TYPE))) {\n", " return\n", " }\n", "\n", " const toinsert = output_area.element.find(\".\" + CLASS_NAME.split(' ')[0]);\n", "\n", " if (output.metadata[EXEC_MIME_TYPE][\"id\"] !== undefined) {\n", " toinsert[toinsert.length - 1].firstChild.textContent = output.data[JS_MIME_TYPE];\n", " // store reference to embed id on output_area\n", " output_area._bokeh_element_id = output.metadata[EXEC_MIME_TYPE][\"id\"];\n", " }\n", " if (output.metadata[EXEC_MIME_TYPE][\"server_id\"] !== undefined) {\n", " const bk_div = document.createElement(\"div\");\n", " bk_div.innerHTML = output.data[HTML_MIME_TYPE];\n", " const script_attrs = bk_div.children[0].attributes;\n", " for (let i = 0; i < script_attrs.length; i++) {\n", " toinsert[toinsert.length - 1].firstChild.setAttribute(script_attrs[i].name, script_attrs[i].value);\n", " toinsert[toinsert.length - 1].firstChild.textContent = bk_div.children[0].textContent\n", " }\n", " // store reference to server id on output_area\n", " output_area._bokeh_server_id = output.metadata[EXEC_MIME_TYPE][\"server_id\"];\n", " }\n", " }\n", "\n", " function register_renderer(events, OutputArea) {\n", "\n", " function append_mime(data, metadata, element) {\n", " // create a DOM node to render to\n", " const toinsert = this.create_output_subarea(\n", " metadata,\n", " CLASS_NAME,\n", " EXEC_MIME_TYPE\n", " );\n", " this.keyboard_manager.register_events(toinsert);\n", " // Render to node\n", " const props = {data: data, metadata: metadata[EXEC_MIME_TYPE]};\n", " render(props, toinsert[toinsert.length - 1]);\n", " element.append(toinsert);\n", " return toinsert\n", " }\n", "\n", " /* Handle when an output is cleared or removed */\n", " events.on('clear_output.CodeCell', handleClearOutput);\n", " events.on('delete.Cell', handleClearOutput);\n", "\n", " /* Handle when a new output is added */\n", " events.on('output_added.OutputArea', handleAddOutput);\n", "\n", " /**\n", " * Register the mime type and append_mime function with output_area\n", " */\n", " OutputArea.prototype.register_mime_type(EXEC_MIME_TYPE, append_mime, {\n", " /* Is output safe? */\n", " safe: true,\n", " /* Index of renderer in `output_area.display_order` */\n", " index: 0\n", " });\n", " }\n", "\n", " // register the mime type if in Jupyter Notebook environment and previously unregistered\n", " if (root.Jupyter !== undefined) {\n", " const events = require('base/js/events');\n", " const OutputArea = require('notebook/js/outputarea').OutputArea;\n", "\n", " if (OutputArea.prototype.mime_types().indexOf(EXEC_MIME_TYPE) == -1) {\n", " register_renderer(events, OutputArea);\n", " }\n", " }\n", " if (typeof (root._bokeh_timeout) === \"undefined\" || force === true) {\n", " root._bokeh_timeout = Date.now() + 5000;\n", " root._bokeh_failed_load = false;\n", " }\n", "\n", " const NB_LOAD_WARNING = {'data': {'text/html':\n", " \"
\\n\"+\n", " \"

\\n\"+\n", " \"BokehJS does not appear to have successfully loaded. If loading BokehJS from CDN, this \\n\"+\n", " \"may be due to a slow or bad network connection. Possible fixes:\\n\"+\n", " \"

\\n\"+\n", " \"\\n\"+\n", " \"\\n\"+\n", " \"from bokeh.resources import INLINE\\n\"+\n", " \"output_notebook(resources=INLINE)\\n\"+\n", " \"\\n\"+\n", " \"
\"}};\n", "\n", " function display_loaded(error = null) {\n", " const el = document.getElementById(null);\n", " if (el != null) {\n", " const html = (() => {\n", " if (typeof root.Bokeh === \"undefined\") {\n", " if (error == null) {\n", " return \"BokehJS is loading ...\";\n", " } else {\n", " return \"BokehJS failed to load.\";\n", " }\n", " } else {\n", " const prefix = `BokehJS ${root.Bokeh.version}`;\n", " if (error == null) {\n", " return `${prefix} successfully loaded.`;\n", " } else {\n", " return `${prefix} encountered errors while loading and may not function as expected.`;\n", " }\n", " }\n", " })();\n", " el.innerHTML = html;\n", "\n", " if (error != null) {\n", " const wrapper = document.createElement(\"div\");\n", " wrapper.style.overflow = \"auto\";\n", " wrapper.style.height = \"5em\";\n", " wrapper.style.resize = \"vertical\";\n", " const content = document.createElement(\"div\");\n", " content.style.fontFamily = \"monospace\";\n", " content.style.whiteSpace = \"pre-wrap\";\n", " content.style.backgroundColor = \"rgb(255, 221, 221)\";\n", " content.textContent = error.stack ?? error.toString();\n", " wrapper.append(content);\n", " el.append(wrapper);\n", " }\n", " } else if (Date.now() < root._bokeh_timeout) {\n", " setTimeout(() => display_loaded(error), 100);\n", " }\n", " }\n", "\n", " function run_callbacks() {\n", " try {\n", " root._bokeh_onload_callbacks.forEach(function(callback) {\n", " if (callback != null)\n", " callback();\n", " });\n", " } finally {\n", " delete root._bokeh_onload_callbacks\n", " }\n", " console.debug(\"Bokeh: all callbacks have finished\");\n", " }\n", "\n", " function load_libs(css_urls, js_urls, callback) {\n", " if (css_urls == null) css_urls = [];\n", " if (js_urls == null) js_urls = [];\n", "\n", " root._bokeh_onload_callbacks.push(callback);\n", " if (root._bokeh_is_loading > 0) {\n", " console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n", " return null;\n", " }\n", " if (js_urls == null || js_urls.length === 0) {\n", " run_callbacks();\n", " return null;\n", " }\n", " console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n", " root._bokeh_is_loading = css_urls.length + js_urls.length;\n", "\n", " function on_load() {\n", " root._bokeh_is_loading--;\n", " if (root._bokeh_is_loading === 0) {\n", " console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n", " run_callbacks()\n", " }\n", " }\n", "\n", " function on_error(url) {\n", " console.error(\"failed to load \" + url);\n", " }\n", "\n", " for (let i = 0; i < css_urls.length; i++) {\n", " const url = css_urls[i];\n", " const element = document.createElement(\"link\");\n", " element.onload = on_load;\n", " element.onerror = on_error.bind(null, url);\n", " element.rel = \"stylesheet\";\n", " element.type = \"text/css\";\n", " element.href = url;\n", " console.debug(\"Bokeh: injecting link tag for BokehJS stylesheet: \", url);\n", " document.body.appendChild(element);\n", " }\n", "\n", " for (let i = 0; i < js_urls.length; i++) {\n", " const url = js_urls[i];\n", " const element = document.createElement('script');\n", " element.onload = on_load;\n", " element.onerror = on_error.bind(null, url);\n", " element.async = false;\n", " element.src = url;\n", " console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n", " document.head.appendChild(element);\n", " }\n", " };\n", "\n", " function inject_raw_css(css) {\n", " const element = document.createElement(\"style\");\n", " element.appendChild(document.createTextNode(css));\n", " document.body.appendChild(element);\n", " }\n", "\n", " const js_urls = [\"https://cdn.bokeh.org/bokeh/release/bokeh-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-gl-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-widgets-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-tables-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-mathjax-3.6.2.min.js\"];\n", " const css_urls = [];\n", "\n", " const inline_js = [ function(Bokeh) {\n", " Bokeh.set_log_level(\"info\");\n", " },\n", "function(Bokeh) {\n", " }\n", " ];\n", "\n", " function run_inline_js() {\n", " if (root.Bokeh !== undefined || force === true) {\n", " try {\n", " for (let i = 0; i < inline_js.length; i++) {\n", " inline_js[i].call(root, root.Bokeh);\n", " }\n", "\n", " } catch (error) {throw error;\n", " }} else if (Date.now() < root._bokeh_timeout) {\n", " setTimeout(run_inline_js, 100);\n", " } else if (!root._bokeh_failed_load) {\n", " console.log(\"Bokeh: BokehJS failed to load within specified timeout.\");\n", " root._bokeh_failed_load = true;\n", " } else if (force !== true) {\n", " const cell = $(document.getElementById(null)).parents('.cell').data().cell;\n", " cell.output_area.append_execute_result(NB_LOAD_WARNING)\n", " }\n", " }\n", "\n", " if (root._bokeh_is_loading === 0) {\n", " console.debug(\"Bokeh: BokehJS loaded, going straight to plotting\");\n", " run_inline_js();\n", " } else {\n", " load_libs(css_urls, js_urls, function() {\n", " console.debug(\"Bokeh: BokehJS plotting callback run at\", now());\n", " run_inline_js();\n", " });\n", " }\n", "}(window));" ], "application/vnd.bokehjs_load.v0+json": "'use strict';\n(function(root) {\n function now() {\n return new Date();\n }\n\n const force = true;\n\n if (typeof root._bokeh_onload_callbacks === \"undefined\" || force === true) {\n root._bokeh_onload_callbacks = [];\n root._bokeh_is_loading = undefined;\n }\n\n\n if (typeof (root._bokeh_timeout) === \"undefined\" || force === true) {\n root._bokeh_timeout = Date.now() + 5000;\n root._bokeh_failed_load = false;\n }\n\n const NB_LOAD_WARNING = {'data': {'text/html':\n \"
\\n\"+\n \"

\\n\"+\n \"BokehJS does not appear to have successfully loaded. If loading BokehJS from CDN, this \\n\"+\n \"may be due to a slow or bad network connection. Possible fixes:\\n\"+\n \"

\\n\"+\n \"\\n\"+\n \"\\n\"+\n \"from bokeh.resources import INLINE\\n\"+\n \"output_notebook(resources=INLINE)\\n\"+\n \"\\n\"+\n \"
\"}};\n\n function display_loaded(error = null) {\n const el = document.getElementById(null);\n if (el != null) {\n const html = (() => {\n if (typeof root.Bokeh === \"undefined\") {\n if (error == null) {\n return \"BokehJS is loading ...\";\n } else {\n return \"BokehJS failed to load.\";\n }\n } else {\n const prefix = `BokehJS ${root.Bokeh.version}`;\n if (error == null) {\n return `${prefix} successfully loaded.`;\n } else {\n return `${prefix} encountered errors while loading and may not function as expected.`;\n }\n }\n })();\n el.innerHTML = html;\n\n if (error != null) {\n const wrapper = document.createElement(\"div\");\n wrapper.style.overflow = \"auto\";\n wrapper.style.height = \"5em\";\n wrapper.style.resize = \"vertical\";\n const content = document.createElement(\"div\");\n content.style.fontFamily = \"monospace\";\n content.style.whiteSpace = \"pre-wrap\";\n content.style.backgroundColor = \"rgb(255, 221, 221)\";\n content.textContent = error.stack ?? error.toString();\n wrapper.append(content);\n el.append(wrapper);\n }\n } else if (Date.now() < root._bokeh_timeout) {\n setTimeout(() => display_loaded(error), 100);\n }\n }\n\n function run_callbacks() {\n try {\n root._bokeh_onload_callbacks.forEach(function(callback) {\n if (callback != null)\n callback();\n });\n } finally {\n delete root._bokeh_onload_callbacks\n }\n console.debug(\"Bokeh: all callbacks have finished\");\n }\n\n function load_libs(css_urls, js_urls, callback) {\n if (css_urls == null) css_urls = [];\n if (js_urls == null) js_urls = [];\n\n root._bokeh_onload_callbacks.push(callback);\n if (root._bokeh_is_loading > 0) {\n console.debug(\"Bokeh: BokehJS is being loaded, scheduling callback at\", now());\n return null;\n }\n if (js_urls == null || js_urls.length === 0) {\n run_callbacks();\n return null;\n }\n console.debug(\"Bokeh: BokehJS not loaded, scheduling load and callback at\", now());\n root._bokeh_is_loading = css_urls.length + js_urls.length;\n\n function on_load() {\n root._bokeh_is_loading--;\n if (root._bokeh_is_loading === 0) {\n console.debug(\"Bokeh: all BokehJS libraries/stylesheets loaded\");\n run_callbacks()\n }\n }\n\n function on_error(url) {\n console.error(\"failed to load \" + url);\n }\n\n for (let i = 0; i < css_urls.length; i++) {\n const url = css_urls[i];\n const element = document.createElement(\"link\");\n element.onload = on_load;\n element.onerror = on_error.bind(null, url);\n element.rel = \"stylesheet\";\n element.type = \"text/css\";\n element.href = url;\n console.debug(\"Bokeh: injecting link tag for BokehJS stylesheet: \", url);\n document.body.appendChild(element);\n }\n\n for (let i = 0; i < js_urls.length; i++) {\n const url = js_urls[i];\n const element = document.createElement('script');\n element.onload = on_load;\n element.onerror = on_error.bind(null, url);\n element.async = false;\n element.src = url;\n console.debug(\"Bokeh: injecting script tag for BokehJS library: \", url);\n document.head.appendChild(element);\n }\n };\n\n function inject_raw_css(css) {\n const element = document.createElement(\"style\");\n element.appendChild(document.createTextNode(css));\n document.body.appendChild(element);\n }\n\n const js_urls = [\"https://cdn.bokeh.org/bokeh/release/bokeh-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-gl-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-widgets-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-tables-3.6.2.min.js\", \"https://cdn.bokeh.org/bokeh/release/bokeh-mathjax-3.6.2.min.js\"];\n const css_urls = [];\n\n const inline_js = [ function(Bokeh) {\n Bokeh.set_log_level(\"info\");\n },\nfunction(Bokeh) {\n }\n ];\n\n function run_inline_js() {\n if (root.Bokeh !== undefined || force === true) {\n try {\n for (let i = 0; i < inline_js.length; i++) {\n inline_js[i].call(root, root.Bokeh);\n }\n\n } catch (error) {throw error;\n }} else if (Date.now() < root._bokeh_timeout) {\n setTimeout(run_inline_js, 100);\n } else if (!root._bokeh_failed_load) {\n console.log(\"Bokeh: BokehJS failed to load within specified timeout.\");\n root._bokeh_failed_load = true;\n } else if (force !== true) {\n const cell = $(document.getElementById(null)).parents('.cell').data().cell;\n cell.output_area.append_execute_result(NB_LOAD_WARNING)\n }\n }\n\n if (root._bokeh_is_loading === 0) {\n console.debug(\"Bokeh: BokehJS loaded, going straight to plotting\");\n run_inline_js();\n } else {\n load_libs(css_urls, js_urls, function() {\n console.debug(\"Bokeh: BokehJS plotting callback run at\", now());\n run_inline_js();\n });\n }\n}(window));" }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "\n", "
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root.Bokeh.embed.embed_items_notebook(docs_json, render_items);\n", " }\n", " if (root.Bokeh !== undefined) {\n", " embed_document(root);\n", " } else {\n", " let attempts = 0;\n", " const timer = setInterval(function(root) {\n", " if (root.Bokeh !== undefined) {\n", " clearInterval(timer);\n", " embed_document(root);\n", " } else {\n", " attempts++;\n", " if (attempts > 100) {\n", " clearInterval(timer);\n", " console.log(\"Bokeh: ERROR: Unable to run BokehJS code because BokehJS library is missing\");\n", " }\n", " }\n", " }, 10, root)\n", " }\n", "})(window);" ], "application/vnd.bokehjs_exec.v0+json": "" }, "metadata": { "application/vnd.bokehjs_exec.v0+json": { "id": "p1001" } }, "output_type": "display_data" } ], "source": [ "#| code-fold: true\n", "\n", "import numpy as np\n", "import scipy.stats as st\n", "\n", "import bokeh.io\n", "import bokeh.plotting\n", "bokeh.io.output_notebook(hide_banner=True)\n", "\n", "rng = np.random.default_rng(seed=12341234)\n", "alpha = 5\n", "beta = 2\n", "y = np.linspace(0, 8, 400)\n", "cdf = st.gamma.cdf(y, alpha, loc=0, scale=1 / beta)\n", "\n", "udraws = rng.uniform(size=50)\n", "\n", "p = bokeh.plotting.figure(\n", " width=300,\n", " height=200,\n", " x_axis_label=\"y\",\n", " y_axis_label=\"F(y; 2, 5)\",\n", " x_range=[0, 8],\n", " y_range=[0, 1],\n", ")\n", "p.xgrid.grid_line_color = None\n", "p.ygrid.grid_line_color = None\n", "\n", "p.line(y, cdf, line_width=2)\n", "\n", "for u in udraws:\n", " x_vals = [0] + [st.gamma.ppf(u, alpha, loc=0, scale=1 / beta)] * 2\n", " y_vals = [u, u, 0]\n", " p.line(x_vals, y_vals, color=\"gray\", line_width=0.5)\n", "\n", "p.scatter(np.zeros_like(udraws), udraws, marker=\"x\", color=\"black\", line_width=0.5, size=7)\n", "p.scatter(\n", " st.gamma.ppf(udraws, alpha, loc=0, scale=1 / beta),\n", " np.zeros_like(udraws),\n", " line_width=0.5,\n", " fill_color=None,\n", " line_color=\"black\",\n", ")\n", "\n", "p.renderers[0].level = \"overlay\"\n", "p.renderers[-1].level = \"overlay\"\n", "p.renderers[-2].level = \"overlay\"\n", "\n", "bokeh.io.show(p)" ] }, { "cell_type": "markdown", "id": "41b90147-01d6-4693-bc82-e2d0af4b0d37", "metadata": {}, "source": [ "Each draw from a Uniform distribution, marked by an × on the vertical axis, is converted to a draw from a Gamma distribution, marked by ○ on the horizontal axis, by computing the inverse CDF. Because the draws of the random integers from which the draws from a Uniform distribution on $[0, 1)$ are independent, we get independent draws from the Gamma distribution." ] } ], "metadata": { "kernelspec": { "display_name": "Python 3 (ipykernel)", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.12.9" } }, "nbformat": 4, "nbformat_minor": 5 }