[SciPy-User] scipy.stats: Sampling from an arbitrary probability distribution

josef.pktd@gmai... josef.pktd@gmai...
Sun Jun 3 12:51:49 CDT 2012


On Sun, Jun 3, 2012 at 11:21 AM,  <josef.pktd@gmail.com> wrote:
> On Sun, Jun 3, 2012 at 10:07 AM,  <josef.pktd@gmail.com> wrote:
>> On Sun, Jun 3, 2012 at 7:20 AM, Daniel Sabinasz
>> <d.sabinasz@googlemail.com> wrote:
>>> Hi all,
>>>
>>> I need to sample a random number from a distribution whose probability
>>> density function I specify myself. Is that possible using scipy.stats?
>>>
>>> Here is what I have already:
>>>
>>> import scipy.stats as st
>>>
>>> class my_pdf(st.rv_continuous):
>>>     def _pdf(self,x):
>>>         return x*x/10.0
>>>
>>> my_cv = my_pdf(name='my_pdf')
>
> I didn't look at the example before
>
> x**2 makes a proper pdf only with a bounded support, so, when creating
> the instance, then the bounds .a and .b need to be given as keyword
> arguments. (or set as attributes)
>
> It also looks like ppf should have a closed form expression.
>
> (my algebra isn't good enough today to figure out bounds)

I picked [-1, 1] for the bounds of the distribution, example with
explicit ppf is much faster

https://gist.github.com/2864348

Josef

>
> Josef
>
>
>
>>>
>>> Can I now somehow sample a random number from my_cv?
>>
>> you can define your own distribution with the pdf, then the generic
>> methods will calculate the rvs
>>
>> http://stackoverflow.com/questions/10678546/creating-new-distributions-in-scipy
>>
>> It will require a large number of calls to generate random numbers,
>> numerically calculating ppf and cdf, so this won't be efficient.
>> Using a linear interpolated ppf will be faster, and might be accurate enough.
>>
>> (I still need to write an example for trying out the ppf interpolation version.)
>>
>> Josef
>>
>>>
>>> Thanks in advance!
>>>
>>> Daniel
>>> _______________________________________________
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>>> SciPy-User@scipy.org
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