[Numpy-discussion] non-uniform discrete sampling with given probabilities (w/ and w/o replacement)

josef.pktd@gmai... josef.pktd@gmai...
Wed Aug 31 15:34:17 CDT 2011


On Wed, Aug 31, 2011 at 3:22 PM, Olivier Delalleau <shish@keba.be> wrote:
> 2011/8/31 Christopher Jordan-Squire <cjordan1@uw.edu>
>>
>> On Wed, Aug 31, 2011 at 2:07 PM, Olivier Delalleau <shish@keba.be> wrote:
>> > You can use:
>> > 1 + numpy.argmax(numpy.random.multinomial(1, [0.1, 0.2, 0.7]))
>> >
>> > For your "real" application you'll probably want to use a value >1 for
>> > the
>> > first parameter (equal to your sample size), instead of calling it
>> > multiple
>> > times.
>> >
>> > -=- Olivier
>>
>> Thanks. Warren (Weckesser) mentioned this possibility to me yesterday
>> and I forgot to put it in my post. I assume you mean something like
>>
>> x = np.arange(3)
>> y = np.random.multinomial(30, [0.1,0.2,0.7])
>> z = np.repeat(x, y)
>> np.random.shuffle(z)
>>
>> That look right?
>>
>> -Chris JS
>>
>
> Yes, exactly.

Chuck's answer to the same question, when I asked on the list, used
searchsorted and is fast

cdfvalues.searchsorted(np.random.random(size))

my recent version of it for FiniteLatticeDistribution

    def rvs(self, size=1):
        '''draw random variables with shape given by size

        '''
        #w = self.pdfvalues
        #p = cumsum(w)/float(w.sum())
        #p.searchsorted(np.random.random(size))
        return self.support[self.cdfvalues.searchsorted(np.random.random(size))]

Josef


>
> -=- Olivier
>
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