[SciPy-User] vectorized version of 'multinomial' sampling function
Tue Oct 13 18:59:41 CDT 2009
On 13-Oct-09, at 5:01 PM, per freem wrote:
> hi all,
> i have a series of probability vector that i'd like to feed into
> multinomial to get an array of vector outcomes back. for example,
> p = array([[ 0.9 , 0.05, 0.05],
> [ 0.05, 0.05, 0.9 ]])
> i'd like to call multinomial like this:
> multinomial(1, p)
> to get a vector of multinomial samplers, each using the nth list in
> 'p'. something like:
> array([[1, 0, 0], [0, 0 1]]) in this case. is this possible? it seems
> like 'multinomial' takes only a one dimensional array. i could write
> this as a "for" loop of course but i prefer a vectorized version since
> speed is crucial for me here.
> thanks very much.
Your best bet is probably to copy the pyrex/Cython code for
multinomial in numpy/random/mtrand/mtrand.pyx, and add the
functionality you want there. If you do it right (i.e. type your loop
indices) then it should be fast.
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