1 /*
2 * Licensed to the Apache Software Foundation (ASF) under one or more
3 * contributor license agreements. See the NOTICE file distributed with
4 * this work for additional information regarding copyright ownership.
5 * The ASF licenses this file to You under the Apache License, Version 2.0
6 * (the "License"); you may not use this file except in compliance with
7 * the License. You may obtain a copy of the License at
8 *
9 * http://www.apache.org/licenses/LICENSE-2.0
10 *
11 * Unless required by applicable law or agreed to in writing, software
12 * distributed under the License is distributed on an "AS IS" BASIS,
13 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14 * See the License for the specific language governing permissions and
15 * limitations under the License.
16 */
17 package org.apache.commons.rng.sampling.distribution;
18
19 import org.apache.commons.rng.UniformRandomProvider;
20
21 import java.util.Arrays;
22
23 /**
24 * Distribution sampler that uses the <a
25 * href="https://en.wikipedia.org/wiki/Alias_method">Alias method</a>. It can be used to
26 * sample from {@code n} values each with an associated probability. If all unique items
27 * are assigned the same probability it is more efficient to use the {@link DiscreteUniformSampler}.
28 *
29 * <p>This implementation is based on the detailed explanation of the alias method by
30 * Keith Schartz and implements Vose's algorithm.</p>
31 *
32 * <ul>
33 * <li>
34 * <blockquote>
35 * Vose, M.D.,
36 * <i>A linear algorithm for generating random numbers with a given distribution,</i>
37 * IEEE Transactions on Software Engineering, 17, 972-975, 1991.
38 * </blockquote>
39 * </li>
40 * </ul>
41 *
42 * <p>The algorithm will sample values in {@code O(1)} time after a pre-processing step of
43 * {@code O(n)} time.</p>
44 *
45 * <p>The alias tables are constructed using fraction probabilities with an assumed denominator
46 * of 2<sup>53</sup>. In the generic case sampling uses {@link UniformRandomProvider#nextInt(int)}
47 * and the upper 53-bits from {@link UniformRandomProvider#nextLong()}.</p>
48 *
49 * <p>Zero padding the input probabilities can be used to make more sampling more efficient.
50 * Any zero entry will always be aliased removing the requirement to compute a {@code long}.
51 * Increased sampling speed comes at the cost of increased storage space. The algorithm requires
52 * approximately 12 bytes of storage per input probability, that is {@code n * 12} for size
53 * {@code n}. Zero-padding only requires 4 bytes of storage per padded value as the probability is
54 * known to be zero. A table can be padded to a power of 2 using the utility function
55 * {@link #of(UniformRandomProvider, double[], int)} to construct the sampler.</p>
56 *
57 * <p>An optimisation is performed for small table sizes that are a power of 2. In this case the
58 * sampling uses 1 or 2 calls from {@link UniformRandomProvider#nextInt()} to generate up to
59 * 64-bits for creation of an 11-bit index and 53-bits for the {@code long}. This optimisation
60 * requires a generator with a high cycle length for the lower order bits.</p>
61 *
62 * <p>Larger table sizes that are a power of 2 will benefit from fast algorithms for
63 * {@link UniformRandomProvider#nextInt(int)} that exploit the power of 2.</p>
64 *
65 * @see <a href="https://en.wikipedia.org/wiki/Alias_method">Alias Method</a>
66 * @see <a href="http://www.keithschwarz.com/darts-dice-coins/">Darts, Dice, and Coins:
67 * Sampling from a Discrete Distribution by Keith Schwartz</a>
68 * @see <a href="https://ieeexplore.ieee.org/document/92917">Vose (1991) IEEE Transactions
69 * on Software Engineering 17, 972-975.</a>
70 * @since 1.3
71 */
72 public class AliasMethodDiscreteSampler
73 implements SharedStateDiscreteSampler {
74 /**
75 * The default alpha factor for zero-padding an input probability table. The default
76 * value will pad the probabilities by to the next power-of-2.
77 */
78 private static final int DEFAULT_ALPHA = 0;
79 /** The value zero for a {@code double}. */
80 private static final double ZERO = 0.0;
81 /** The value 1.0 represented as the numerator of a fraction with denominator 2<sup>53</sup>. */
82 private static final long ONE_AS_NUMERATOR = 1L << 53;
83 /**
84 * The multiplier to convert a {@code double} probability in the range {@code [0, 1]}
85 * to the numerator of a fraction with denominator 2<sup>53</sup>.
86 */
87 private static final double CONVERT_TO_NUMERATOR = ONE_AS_NUMERATOR;
88 /**
89 * The maximum size of the small alias table. This is 2<sup>11</sup>.
90 */
91 private static final int MAX_SMALL_POWER_2_SIZE = 1 << 11;
92
93 /** Underlying source of randomness. */
94 protected final UniformRandomProvider rng;
95
96 /**
97 * The probability table. During sampling a random index into this table is selected.
98 * A random probability is compared to the value at this index: if lower then the sample is the
99 * index; if higher then the sample uses the corresponding entry in the alias table.
100 *
101 * <p>This has entries up to the last non-zero element since there is no need to store
102 * probabilities of zero. This is an optimisation for zero-padded input. Any zero value will
103 * always be aliased so any look-up index outside this table always uses the alias.</p>
104 *
105 * <p>Note that a uniform double in the range [0,1) can be generated using 53-bits from a long
106 * to sample all the dyadic rationals with a denominator of 2<sup>53</sup>
107 * (e.g. see org.apache.commons.rng.core.utils.NumberFactory.makeDouble(long)). To avoid
108 * computation of a double and comparison to the probability as a double the probabilities are
109 * stored as 53-bit longs to use integer arithmetic. This is the equivalent of storing the
110 * numerator of a fraction with the denominator of 2<sup>53</sup>.</p>
111 *
112 * <p>During conversion of the probability to a double it is rounded up to the next integer
113 * value. This ensures the functionality of comparing a uniform deviate distributed evenly on
114 * the interval 1/2^53 to the unevenly distributed probability is equivalent, i.e. a uniform
115 * deviate is either below the probability or above it:
116 *
117 * <pre>
118 * Uniform deviate
119 * 1/2^53 2/2^53 3/2^53 4/2^53
120 * --|---------|---------|---------|---
121 * ^
122 * |
123 * probability
124 * ^
125 * |
126 * rounded up
127 * </pre>
128 *
129 * <p>Round-up ensures a non-zero probability is always non-zero and zero probability remains
130 * zero. Thus any item with a non-zero input probability can always be sampled, and a zero
131 * input probability cannot be sampled.</p>
132 *
133 * @see <a href="https://en.wikipedia.org/wiki/Dyadic_rational">Dyadic rational</a>
134 */
135 protected final long[] probability;
136
137 /**
138 * The alias table. During sampling if the random probability is not below the entry in the
139 * probability table then the sample is the alias.
140 */
141 protected final int[] alias;
142
143 /**
144 * Sample from the computed tables exploiting the small power-of-two table size.
145 * This implements a variant of the optimised algorithm as per Vose (1991):
146 *
147 * <pre>
148 * bits = obtained required number of random bits
149 * v = (some of the bits) * constant1
150 * j = (rest of the bits) * constant2
151 * if v < prob[j] then
152 * return j
153 * else
154 * return alias[j]
155 * </pre>
156 *
157 * <p>This is a variant because the bits are not multiplied by constants. In the case of
158 * {@code v} the constant is a scale that is pre-applied to the probability table. In the
159 * case of {@code j} the constant is not used to scale a deviate to an index; the index is
160 * from a power-of-2 range and so the bits are used directly.</p>
161 *
162 * <p>This is implemented using up to 64 bits from the random generator.
163 * The index for the table is computed using a mask to extract up to 11 of the lower bits
164 * from an integer. The probability is computed using a second integer combined with the
165 * remaining bits to create 53-bits for the numerator of a fraction with denominator
166 * 2<sup>53</sup>. This is only computed on demand.</p>
167 *
168 * <p>Note: This supports a table size of up to 2^11, or 2048, exclusive. Any larger requires
169 * consuming more than 64-bits and the algorithm is not more efficient than the
170 * {@link AliasMethodDiscreteSampler}.</p>
171 *
172 * <p>Sampling uses 1 or 2 calls to {@link UniformRandomProvider#nextInt()}.</p>
173 */
174 private static final class SmallTableAliasMethodDiscreteSampler extends AliasMethodDiscreteSampler {
175 /** The mask to isolate the lower bits. */
176 private final int mask;
177
178 /**
179 * Create a new instance.
180 *
181 * @param rng Generator of uniformly distributed random numbers.
182 * @param probability Probability table.
183 * @param alias Alias table.
184 */
185 SmallTableAliasMethodDiscreteSampler(final UniformRandomProvider rng,
186 final long[] probability,
187 final int[] alias) {
188 super(rng, probability, alias);
189 // Assume the table size is a power of 2 and create the mask
190 mask = alias.length - 1;
191 }
192
193 @Override
194 public int sample() {
195 final int bits = rng.nextInt();
196 // Isolate lower bits
197 final int j = bits & mask;
198
199 // Optimisation for zero-padded input tables
200 if (j >= probability.length) {
201 // No probability must use the alias
202 return alias[j];
203 }
204
205 // Create a uniform random deviate as a long.
206 // This replicates functionality from the o.a.c.rng.core.utils.NumberFactory.makeLong
207 final long longBits = (((long) rng.nextInt()) << 32) | (bits & 0xffffffffL);
208
209 // Choose between the two. Use a 53-bit long for the probability.
210 return (longBits >>> 11) < probability[j] ? j : alias[j];
211 }
212
213 /** {@inheritDoc} */
214 @Override
215 public SharedStateDiscreteSampler withUniformRandomProvider(UniformRandomProvider rng) {
216 return new SmallTableAliasMethodDiscreteSampler(rng, probability, alias);
217 }
218 }
219
220 /**
221 * Creates a sampler.
222 *
223 * <p>The input parameters are not validated and must be correctly computed alias tables.</p>
224 *
225 * @param rng Generator of uniformly distributed random numbers.
226 * @param probability Probability table.
227 * @param alias Alias table.
228 */
229 AliasMethodDiscreteSampler(final UniformRandomProvider rng,
230 final long[] probability,
231 final int[] alias) {
232 this.rng = rng;
233 // Deliberate direct storage of input arrays
234 this.probability = probability;
235 this.alias = alias;
236 }
237
238 /** {@inheritDoc} */
239 @Override
240 public int sample() {
241 // This implements the algorithm as per Vose (1991):
242 // v = uniform() in [0, 1)
243 // j = uniform(n) in [0, n)
244 // if v < prob[j] then
245 // return j
246 // else
247 // return alias[j]
248
249 final int j = rng.nextInt(alias.length);
250
251 // Optimisation for zero-padded input tables
252 if (j >= probability.length) {
253 // No probability must use the alias
254 return alias[j];
255 }
256
257 // Note: We could check the probability before computing a deviate.
258 // p(j) == 0 => alias[j]
259 // p(j) == 1 => j
260 // However it is assumed these edge cases are rare:
261 //
262 // The probability table will be 1 for approximately 1/n samples, i.e. only the
263 // last unpaired probability. This is only worth checking for when the table size (n)
264 // is small. But in that case the user should zero-pad the table for performance.
265 //
266 // The probability table will be 0 when an input probability was zero. We
267 // will assume this is also rare if modelling a discrete distribution where
268 // all samples are possible. The edge case for zero-padded tables is handled above.
269
270 // Choose between the two. Use a 53-bit long for the probability.
271 return (rng.nextLong() >>> 11) < probability[j] ? j : alias[j];
272 }
273
274 /** {@inheritDoc} */
275 @Override
276 public String toString() {
277 return "Alias method [" + rng.toString() + "]";
278 }
279
280 /** {@inheritDoc} */
281 @Override
282 public SharedStateDiscreteSampler withUniformRandomProvider(UniformRandomProvider rng) {
283 return new AliasMethodDiscreteSampler(rng, probability, alias);
284 }
285
286 /**
287 * Creates a sampler.
288 *
289 * <p>The probabilities will be normalised using their sum. The only requirement
290 * is the sum is strictly positive.</p>
291 *
292 * <p>Where possible this method zero-pads the probabilities so the length is the next
293 * power-of-two. Padding is bounded by the upper limit on the size of an array.</p>
294 *
295 * <p>To avoid zero-padding use the
296 * {@link #of(UniformRandomProvider, double[], int)} method with a negative
297 * {@code alpha} factor.</p>
298 *
299 * @param rng Generator of uniformly distributed random numbers.
300 * @param probabilities The list of probabilities.
301 * @return the sampler
302 * @throws IllegalArgumentException if {@code probabilities} is null or empty, a
303 * probability is negative, infinite or {@code NaN}, or the sum of all
304 * probabilities is not strictly positive.
305 * @see #of(UniformRandomProvider, double[], int)
306 */
307 public static SharedStateDiscreteSampler of(final UniformRandomProvider rng,
308 final double[] probabilities) {
309 return of(rng, probabilities, DEFAULT_ALPHA);
310 }
311
312 /**
313 * Creates a sampler.
314 *
315 * <p>The probabilities will be normalised using their sum. The only requirement
316 * is the sum is strictly positive.</p>
317 *
318 * <p>Where possible this method zero-pads the probabilities to improve sampling
319 * efficiency. Padding is bounded by the upper limit on the size of an array and
320 * controlled by the {@code alpha} argument. Set to negative to disable
321 * padding.</p>
322 *
323 * <p>For each zero padded value an entry is added to the tables which is always
324 * aliased. This can be sampled with fewer bits required from the
325 * {@link UniformRandomProvider}. Increasing the padding of zeros increases the
326 * chance of using this fast path to selecting a sample. The penalty is
327 * two-fold: initialisation is bounded by {@code O(n)} time with {@code n} the
328 * size <strong>after</strong> padding; an additional memory cost of 4 bytes per
329 * padded value.</p>
330 *
331 * <p>Zero padding to any length improves performance; using a power of 2 allows
332 * the index into the tables to be more efficiently generated. The argument
333 * {@code alpha} controls the level of padding. Positive values of {@code alpha}
334 * represent a scale factor in powers of 2. The size of the input array will be
335 * increased by a factor of 2<sup>alpha</sup> and then rounded-up to the next
336 * power of 2. Padding is bounded by the upper limit on the size of an
337 * array.</p>
338 *
339 * <p>The chance of executing the slow path is upper bounded at
340 * 2<sup>-alpha</sup> when padding is enabled. Each successive doubling of
341 * padding will have diminishing performance gains.</p>
342 *
343 * @param rng Generator of uniformly distributed random numbers.
344 * @param probabilities The list of probabilities.
345 * @param alpha The alpha factor controlling the zero padding.
346 * @return the sampler
347 * @throws IllegalArgumentException if {@code probabilities} is null or empty, a
348 * probability is negative, infinite or {@code NaN}, or the sum of all
349 * probabilities is not strictly positive.
350 */
351 public static SharedStateDiscreteSampler of(final UniformRandomProvider rng,
352 final double[] probabilities,
353 int alpha) {
354 // The Alias method balances N categories with counts around the mean into N sections,
355 // each allocated 'mean' observations.
356 //
357 // Consider 4 categories with counts 6,3,2,1. The histogram can be balanced into a
358 // 2D array as 4 sections with a height of the mean:
359 //
360 // 6
361 // 6
362 // 6
363 // 63 => 6366 --
364 // 632 6326 |-- mean
365 // 6321 6321 --
366 //
367 // section abcd
368 //
369 // Each section is divided as:
370 // a: 6=1/1
371 // b: 3=1/1
372 // c: 2=2/3; 6=1/3 (6 is the alias)
373 // d: 1=1/3; 6=2/3 (6 is the alias)
374 //
375 // The sample is obtained by randomly selecting a section, then choosing which category
376 // from the pair based on a uniform random deviate.
377
378 final double sumProb = InternalUtils.validateProbabilities(probabilities);
379
380 // Allow zero-padding
381 final int n = computeSize(probabilities.length, alpha);
382
383 // Partition into small and large by splitting on the average.
384 final double mean = sumProb / n;
385 // The cardinality of smallSize + largeSize = n.
386 // So fill the same array from either end.
387 final int[] indices = new int[n];
388 int large = n;
389 int small = 0;
390 for (int i = 0; i < probabilities.length; i++) {
391 if (probabilities[i] >= mean) {
392 indices[--large] = i;
393 } else {
394 indices[small++] = i;
395 }
396 }
397
398 small = fillRemainingIndices(probabilities.length, indices, small);
399
400 // This may be smaller than the input length if the probabilities were already padded.
401 final int nonZeroIndex = findLastNonZeroIndex(probabilities);
402
403 // The probabilities are modified so use a copy.
404 // Note: probabilities are required only up to last nonZeroIndex
405 final double[] remainingProbabilities = Arrays.copyOf(probabilities, nonZeroIndex + 1);
406
407 // Allocate the final tables.
408 // Probability table may be truncated (when zero padded).
409 // The alias table is full length.
410 final long[] probability = new long[remainingProbabilities.length];
411 final int[] alias = new int[n];
412
413 // This loop uses each large in turn to fill the alias table for small probabilities that
414 // do not reach the requirement to fill an entire section alone (i.e. p < mean).
415 // Since the sum of the small should be less than the sum of the large it should use up
416 // all the small first. However floating point round-off can result in
417 // misclassification of items as small or large. The Vose algorithm handles this using
418 // a while loop conditioned on the size of both sets and a subsequent loop to use
419 // unpaired items.
420 while (large != n && small != 0) {
421 // Index of the small and the large probabilities.
422 final int j = indices[--small];
423 final int k = indices[large++];
424
425 // Optimisation for zero-padded input:
426 // p(j) = 0 above the last nonZeroIndex
427 if (j > nonZeroIndex) {
428 // The entire amount for the section is taken from the alias.
429 remainingProbabilities[k] -= mean;
430 } else {
431 final double pj = remainingProbabilities[j];
432
433 // Item j is a small probability that is below the mean.
434 // Compute the weight of the section for item j: pj / mean.
435 // This is scaled by 2^53 and the ceiling function used to round-up
436 // the probability to a numerator of a fraction in the range [1,2^53].
437 // Ceiling ensures non-zero values.
438 probability[j] = (long) Math.ceil(CONVERT_TO_NUMERATOR * (pj / mean));
439
440 // The remaining amount for the section is taken from the alias.
441 // Effectively: probabilities[k] -= (mean - pj)
442 remainingProbabilities[k] += pj - mean;
443 }
444
445 // If not j then the alias is k
446 alias[j] = k;
447
448 // Add the remaining probability from large to the appropriate list.
449 if (remainingProbabilities[k] >= mean) {
450 indices[--large] = k;
451 } else {
452 indices[small++] = k;
453 }
454 }
455
456 // Final loop conditions to consume unpaired items.
457 // Note: The large set should never be non-empty but this can occur due to round-off
458 // error so consume from both.
459 fillTable(probability, alias, indices, 0, small);
460 fillTable(probability, alias, indices, large, n);
461
462 // Change the algorithm for small power of 2 sized tables
463 return isSmallPowerOf2(n) ?
464 new SmallTableAliasMethodDiscreteSampler(rng, probability, alias) :
465 new AliasMethodDiscreteSampler(rng, probability, alias);
466 }
467
468 /**
469 * Allocate the remaining indices from zero padding as small probabilities. The
470 * number to add is from the length of the probability array to the length of
471 * the padded probability array (which is the same length as the indices array).
472 *
473 * @param length Length of probability array.
474 * @param indices Indices.
475 * @param small Number of small indices.
476 * @return the updated number of small indices
477 */
478 private static int fillRemainingIndices(final int length, final int[] indices, int small) {
479 int updatedSmall = small;
480 for (int i = length; i < indices.length; i++) {
481 indices[updatedSmall++] = i;
482 }
483 return updatedSmall;
484 }
485
486 /**
487 * Find the last non-zero index in the probabilities. This may be smaller than
488 * the input length if the probabilities were already padded.
489 *
490 * @param probabilities The list of probabilities.
491 * @return the index
492 */
493 private static int findLastNonZeroIndex(final double[] probabilities) {
494 // No bounds check is performed when decrementing as the array contains at least one
495 // value above zero.
496 int nonZeroIndex = probabilities.length - 1;
497 while (probabilities[nonZeroIndex] == ZERO) {
498 nonZeroIndex--;
499 }
500 return nonZeroIndex;
501 }
502
503 /**
504 * Compute the size after padding. A value of {@code alpha < 0} disables
505 * padding. Otherwise the length will be increased by 2<sup>alpha</sup>
506 * rounded-up to the next power of 2.
507 *
508 * @param length Length of probability array.
509 * @param alpha The alpha factor controlling the zero padding.
510 * @return the padded size
511 */
512 private static int computeSize(int length, int alpha) {
513 if (alpha < 0) {
514 // No padding
515 return length;
516 }
517 // Use the number of leading zeros function to find the next power of 2,
518 // i.e. ceil(log2(x))
519 int pow2 = 32 - Integer.numberOfLeadingZeros(length - 1);
520 // Increase by the alpha. Clip this to limit to a positive integer (2^30)
521 pow2 = Math.min(30, pow2 + alpha);
522 // Use max to handle a length above the highest possible power of 2
523 return Math.max(length, 1 << pow2);
524 }
525
526 /**
527 * Fill the tables using unpaired items that are in the range between {@code start} inclusive
528 * and {@code end} exclusive.
529 *
530 * <p>Anything left must fill the entire section so the probability table is set
531 * to 1 and there is no alias. This will occur for 1/n samples, i.e. the last
532 * remaining unpaired probability. Note: When the tables are zero-padded the
533 * remaining indices are from an input probability that is above zero so the
534 * index will be allowed in the truncated probability array and no
535 * index-out-of-bounds exception will occur.
536 *
537 * @param probability Probability table.
538 * @param alias Alias table.
539 * @param indices Unpaired indices.
540 * @param start Start position.
541 * @param end End position.
542 */
543 private static void fillTable(long[] probability, int[] alias, int[] indices, int start, int end) {
544 for (int i = start; i < end; i++) {
545 final int index = indices[i];
546 probability[index] = ONE_AS_NUMERATOR;
547 alias[index] = index;
548 }
549 }
550
551 /**
552 * Checks if the size is a small power of 2 so can be supported by the
553 * {@link SmallTableAliasMethodDiscreteSampler}.
554 *
555 * @param n Size of the alias table.
556 * @return true if supported by {@link SmallTableAliasMethodDiscreteSampler}
557 */
558 private static boolean isSmallPowerOf2(int n) {
559 return n <= MAX_SMALL_POWER_2_SIZE && (n & (n - 1)) == 0;
560 }
561 }