diff --git "a/env-llmeval/lib/python3.10/site-packages/scipy/stats/_qmc.py" "b/env-llmeval/lib/python3.10/site-packages/scipy/stats/_qmc.py" new file mode 100644--- /dev/null +++ "b/env-llmeval/lib/python3.10/site-packages/scipy/stats/_qmc.py" @@ -0,0 +1,2786 @@ +"""Quasi-Monte Carlo engines and helpers.""" +from __future__ import annotations + +import copy +import math +import numbers +import os +import warnings +from abc import ABC, abstractmethod +from functools import partial +from typing import ( + Callable, + ClassVar, + Literal, + overload, + TYPE_CHECKING, +) + +import numpy as np + +if TYPE_CHECKING: + import numpy.typing as npt + from scipy._lib._util import ( + DecimalNumber, GeneratorType, IntNumber, SeedType + ) + +import scipy.stats as stats +from scipy._lib._util import rng_integers, _rng_spawn +from scipy.sparse.csgraph import minimum_spanning_tree +from scipy.spatial import distance, Voronoi +from scipy.special import gammainc +from ._sobol import ( + _initialize_v, _cscramble, _fill_p_cumulative, _draw, _fast_forward, + _categorize, _MAXDIM +) +from ._qmc_cy import ( + _cy_wrapper_centered_discrepancy, + _cy_wrapper_wrap_around_discrepancy, + _cy_wrapper_mixture_discrepancy, + _cy_wrapper_l2_star_discrepancy, + _cy_wrapper_update_discrepancy, + _cy_van_der_corput_scrambled, + _cy_van_der_corput, +) + + +__all__ = ['scale', 'discrepancy', 'geometric_discrepancy', 'update_discrepancy', + 'QMCEngine', 'Sobol', 'Halton', 'LatinHypercube', 'PoissonDisk', + 'MultinomialQMC', 'MultivariateNormalQMC'] + + +@overload +def check_random_state(seed: IntNumber | None = ...) -> np.random.Generator: + ... + + +@overload +def check_random_state(seed: GeneratorType) -> GeneratorType: + ... + + +# Based on scipy._lib._util.check_random_state +def check_random_state(seed=None): + """Turn `seed` into a `numpy.random.Generator` instance. + + Parameters + ---------- + seed : {None, int, `numpy.random.Generator`, `numpy.random.RandomState`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` or ``RandomState`` instance, then + the provided instance is used. + + Returns + ------- + seed : {`numpy.random.Generator`, `numpy.random.RandomState`} + Random number generator. + + """ + if seed is None or isinstance(seed, (numbers.Integral, np.integer)): + return np.random.default_rng(seed) + elif isinstance(seed, (np.random.RandomState, np.random.Generator)): + return seed + else: + raise ValueError(f'{seed!r} cannot be used to seed a' + ' numpy.random.Generator instance') + + +def scale( + sample: npt.ArrayLike, + l_bounds: npt.ArrayLike, + u_bounds: npt.ArrayLike, + *, + reverse: bool = False +) -> np.ndarray: + r"""Sample scaling from unit hypercube to different bounds. + + To convert a sample from :math:`[0, 1)` to :math:`[a, b), b>a`, + with :math:`a` the lower bounds and :math:`b` the upper bounds. + The following transformation is used: + + .. math:: + + (b - a) \cdot \text{sample} + a + + Parameters + ---------- + sample : array_like (n, d) + Sample to scale. + l_bounds, u_bounds : array_like (d,) + Lower and upper bounds (resp. :math:`a`, :math:`b`) of transformed + data. If `reverse` is True, range of the original data to transform + to the unit hypercube. + reverse : bool, optional + Reverse the transformation from different bounds to the unit hypercube. + Default is False. + + Returns + ------- + sample : array_like (n, d) + Scaled sample. + + Examples + -------- + Transform 3 samples in the unit hypercube to bounds: + + >>> from scipy.stats import qmc + >>> l_bounds = [-2, 0] + >>> u_bounds = [6, 5] + >>> sample = [[0.5 , 0.75], + ... [0.5 , 0.5], + ... [0.75, 0.25]] + >>> sample_scaled = qmc.scale(sample, l_bounds, u_bounds) + >>> sample_scaled + array([[2. , 3.75], + [2. , 2.5 ], + [4. , 1.25]]) + + And convert back to the unit hypercube: + + >>> sample_ = qmc.scale(sample_scaled, l_bounds, u_bounds, reverse=True) + >>> sample_ + array([[0.5 , 0.75], + [0.5 , 0.5 ], + [0.75, 0.25]]) + + """ + sample = np.asarray(sample) + + # Checking bounds and sample + if not sample.ndim == 2: + raise ValueError('Sample is not a 2D array') + + lower, upper = _validate_bounds( + l_bounds=l_bounds, u_bounds=u_bounds, d=sample.shape[1] + ) + + if not reverse: + # Checking that sample is within the hypercube + if (sample.max() > 1.) or (sample.min() < 0.): + raise ValueError('Sample is not in unit hypercube') + + return sample * (upper - lower) + lower + else: + # Checking that sample is within the bounds + if not (np.all(sample >= lower) and np.all(sample <= upper)): + raise ValueError('Sample is out of bounds') + + return (sample - lower) / (upper - lower) + + +def _ensure_in_unit_hypercube(sample: npt.ArrayLike) -> np.ndarray: + """Ensure that sample is a 2D array and is within a unit hypercube + + Parameters + ---------- + sample : array_like (n, d) + A 2D array of points. + + Returns + ------- + np.ndarray + The array interpretation of the input sample + + Raises + ------ + ValueError + If the input is not a 2D array or contains points outside of + a unit hypercube. + """ + sample = np.asarray(sample, dtype=np.float64, order="C") + + if not sample.ndim == 2: + raise ValueError("Sample is not a 2D array") + + if (sample.max() > 1.) or (sample.min() < 0.): + raise ValueError("Sample is not in unit hypercube") + + return sample + + +def discrepancy( + sample: npt.ArrayLike, + *, + iterative: bool = False, + method: Literal["CD", "WD", "MD", "L2-star"] = "CD", + workers: IntNumber = 1) -> float: + """Discrepancy of a given sample. + + Parameters + ---------- + sample : array_like (n, d) + The sample to compute the discrepancy from. + iterative : bool, optional + Must be False if not using it for updating the discrepancy. + Default is False. Refer to the notes for more details. + method : str, optional + Type of discrepancy, can be ``CD``, ``WD``, ``MD`` or ``L2-star``. + Refer to the notes for more details. Default is ``CD``. + workers : int, optional + Number of workers to use for parallel processing. If -1 is given all + CPU threads are used. Default is 1. + + Returns + ------- + discrepancy : float + Discrepancy. + + See Also + -------- + geometric_discrepancy + + Notes + ----- + The discrepancy is a uniformity criterion used to assess the space filling + of a number of samples in a hypercube. A discrepancy quantifies the + distance between the continuous uniform distribution on a hypercube and the + discrete uniform distribution on :math:`n` distinct sample points. + + The lower the value is, the better the coverage of the parameter space is. + + For a collection of subsets of the hypercube, the discrepancy is the + difference between the fraction of sample points in one of those + subsets and the volume of that subset. There are different definitions of + discrepancy corresponding to different collections of subsets. Some + versions take a root mean square difference over subsets instead of + a maximum. + + A measure of uniformity is reasonable if it satisfies the following + criteria [1]_: + + 1. It is invariant under permuting factors and/or runs. + 2. It is invariant under rotation of the coordinates. + 3. It can measure not only uniformity of the sample over the hypercube, + but also the projection uniformity of the sample over non-empty + subset of lower dimension hypercubes. + 4. There is some reasonable geometric meaning. + 5. It is easy to compute. + 6. It satisfies the Koksma-Hlawka-like inequality. + 7. It is consistent with other criteria in experimental design. + + Four methods are available: + + * ``CD``: Centered Discrepancy - subspace involves a corner of the + hypercube + * ``WD``: Wrap-around Discrepancy - subspace can wrap around bounds + * ``MD``: Mixture Discrepancy - mix between CD/WD covering more criteria + * ``L2-star``: L2-star discrepancy - like CD BUT variant to rotation + + See [2]_ for precise definitions of each method. + + Lastly, using ``iterative=True``, it is possible to compute the + discrepancy as if we had :math:`n+1` samples. This is useful if we want + to add a point to a sampling and check the candidate which would give the + lowest discrepancy. Then you could just update the discrepancy with + each candidate using `update_discrepancy`. This method is faster than + computing the discrepancy for a large number of candidates. + + References + ---------- + .. [1] Fang et al. "Design and modeling for computer experiments". + Computer Science and Data Analysis Series, 2006. + .. [2] Zhou Y.-D. et al. "Mixture discrepancy for quasi-random point sets." + Journal of Complexity, 29 (3-4) , pp. 283-301, 2013. + .. [3] T. T. Warnock. "Computational investigations of low discrepancy + point sets." Applications of Number Theory to Numerical + Analysis, Academic Press, pp. 319-343, 1972. + + Examples + -------- + Calculate the quality of the sample using the discrepancy: + + >>> import numpy as np + >>> from scipy.stats import qmc + >>> space = np.array([[1, 3], [2, 6], [3, 2], [4, 5], [5, 1], [6, 4]]) + >>> l_bounds = [0.5, 0.5] + >>> u_bounds = [6.5, 6.5] + >>> space = qmc.scale(space, l_bounds, u_bounds, reverse=True) + >>> space + array([[0.08333333, 0.41666667], + [0.25 , 0.91666667], + [0.41666667, 0.25 ], + [0.58333333, 0.75 ], + [0.75 , 0.08333333], + [0.91666667, 0.58333333]]) + >>> qmc.discrepancy(space) + 0.008142039609053464 + + We can also compute iteratively the ``CD`` discrepancy by using + ``iterative=True``. + + >>> disc_init = qmc.discrepancy(space[:-1], iterative=True) + >>> disc_init + 0.04769081147119336 + >>> qmc.update_discrepancy(space[-1], space[:-1], disc_init) + 0.008142039609053513 + + """ + sample = _ensure_in_unit_hypercube(sample) + + workers = _validate_workers(workers) + + methods = { + "CD": _cy_wrapper_centered_discrepancy, + "WD": _cy_wrapper_wrap_around_discrepancy, + "MD": _cy_wrapper_mixture_discrepancy, + "L2-star": _cy_wrapper_l2_star_discrepancy, + } + + if method in methods: + return methods[method](sample, iterative, workers=workers) + else: + raise ValueError(f"{method!r} is not a valid method. It must be one of" + f" {set(methods)!r}") + + +def geometric_discrepancy( + sample: npt.ArrayLike, + method: Literal["mindist", "mst"] = "mindist", + metric: str = "euclidean") -> float: + """Discrepancy of a given sample based on its geometric properties. + + Parameters + ---------- + sample : array_like (n, d) + The sample to compute the discrepancy from. + method : {"mindist", "mst"}, optional + The method to use. One of ``mindist`` for minimum distance (default) + or ``mst`` for minimum spanning tree. + metric : str or callable, optional + The distance metric to use. See the documentation + for `scipy.spatial.distance.pdist` for the available metrics and + the default. + + Returns + ------- + discrepancy : float + Discrepancy (higher values correspond to greater sample uniformity). + + See Also + -------- + discrepancy + + Notes + ----- + The discrepancy can serve as a simple measure of quality of a random sample. + This measure is based on the geometric properties of the distribution of points + in the sample, such as the minimum distance between any pair of points, or + the mean edge length in a minimum spanning tree. + + The higher the value is, the better the coverage of the parameter space is. + Note that this is different from `scipy.stats.qmc.discrepancy`, where lower + values correspond to higher quality of the sample. + + Also note that when comparing different sampling strategies using this function, + the sample size must be kept constant. + + It is possible to calculate two metrics from the minimum spanning tree: + the mean edge length and the standard deviation of edges lengths. Using + both metrics offers a better picture of uniformity than either metric alone, + with higher mean and lower standard deviation being preferable (see [1]_ + for a brief discussion). This function currently only calculates the mean + edge length. + + References + ---------- + .. [1] Franco J. et al. "Minimum Spanning Tree: A new approach to assess the quality + of the design of computer experiments." Chemometrics and Intelligent Laboratory + Systems, 97 (2), pp. 164-169, 2009. + + Examples + -------- + Calculate the quality of the sample using the minimum euclidean distance + (the defaults): + + >>> import numpy as np + >>> from scipy.stats import qmc + >>> rng = np.random.default_rng(191468432622931918890291693003068437394) + >>> sample = qmc.LatinHypercube(d=2, seed=rng).random(50) + >>> qmc.geometric_discrepancy(sample) + 0.03708161435687876 + + Calculate the quality using the mean edge length in the minimum + spanning tree: + + >>> qmc.geometric_discrepancy(sample, method='mst') + 0.1105149978798376 + + Display the minimum spanning tree and the points with + the smallest distance: + + >>> import matplotlib.pyplot as plt + >>> from matplotlib.lines import Line2D + >>> from scipy.sparse.csgraph import minimum_spanning_tree + >>> from scipy.spatial.distance import pdist, squareform + >>> dist = pdist(sample) + >>> mst = minimum_spanning_tree(squareform(dist)) + >>> edges = np.where(mst.toarray() > 0) + >>> edges = np.asarray(edges).T + >>> min_dist = np.min(dist) + >>> min_idx = np.argwhere(squareform(dist) == min_dist)[0] + >>> fig, ax = plt.subplots(figsize=(10, 5)) + >>> _ = ax.set(aspect='equal', xlabel=r'$x_1$', ylabel=r'$x_2$', + ... xlim=[0, 1], ylim=[0, 1]) + >>> for edge in edges: + ... ax.plot(sample[edge, 0], sample[edge, 1], c='k') + >>> ax.scatter(sample[:, 0], sample[:, 1]) + >>> ax.add_patch(plt.Circle(sample[min_idx[0]], min_dist, color='red', fill=False)) + >>> markers = [ + ... Line2D([0], [0], marker='o', lw=0, label='Sample points'), + ... Line2D([0], [0], color='k', label='Minimum spanning tree'), + ... Line2D([0], [0], marker='o', lw=0, markerfacecolor='w', markeredgecolor='r', + ... label='Minimum point-to-point distance'), + ... ] + >>> ax.legend(handles=markers, loc='center left', bbox_to_anchor=(1, 0.5)); + >>> plt.show() + + """ + sample = _ensure_in_unit_hypercube(sample) + if sample.shape[0] < 2: + raise ValueError("Sample must contain at least two points") + + distances = distance.pdist(sample, metric=metric) # type: ignore[call-overload] + + if np.any(distances == 0.0): + warnings.warn("Sample contains duplicate points.", stacklevel=2) + + if method == "mindist": + return np.min(distances[distances.nonzero()]) + elif method == "mst": + fully_connected_graph = distance.squareform(distances) + mst = minimum_spanning_tree(fully_connected_graph) + distances = mst[mst.nonzero()] + # TODO consider returning both the mean and the standard deviation + # see [1] for a discussion + return np.mean(distances) + else: + raise ValueError(f"{method!r} is not a valid method. " + f"It must be one of {{'mindist', 'mst'}}") + + +def update_discrepancy( + x_new: npt.ArrayLike, + sample: npt.ArrayLike, + initial_disc: DecimalNumber) -> float: + """Update the centered discrepancy with a new sample. + + Parameters + ---------- + x_new : array_like (1, d) + The new sample to add in `sample`. + sample : array_like (n, d) + The initial sample. + initial_disc : float + Centered discrepancy of the `sample`. + + Returns + ------- + discrepancy : float + Centered discrepancy of the sample composed of `x_new` and `sample`. + + Examples + -------- + We can also compute iteratively the discrepancy by using + ``iterative=True``. + + >>> import numpy as np + >>> from scipy.stats import qmc + >>> space = np.array([[1, 3], [2, 6], [3, 2], [4, 5], [5, 1], [6, 4]]) + >>> l_bounds = [0.5, 0.5] + >>> u_bounds = [6.5, 6.5] + >>> space = qmc.scale(space, l_bounds, u_bounds, reverse=True) + >>> disc_init = qmc.discrepancy(space[:-1], iterative=True) + >>> disc_init + 0.04769081147119336 + >>> qmc.update_discrepancy(space[-1], space[:-1], disc_init) + 0.008142039609053513 + + """ + sample = np.asarray(sample, dtype=np.float64, order="C") + x_new = np.asarray(x_new, dtype=np.float64, order="C") + + # Checking that sample is within the hypercube and 2D + if not sample.ndim == 2: + raise ValueError('Sample is not a 2D array') + + if (sample.max() > 1.) or (sample.min() < 0.): + raise ValueError('Sample is not in unit hypercube') + + # Checking that x_new is within the hypercube and 1D + if not x_new.ndim == 1: + raise ValueError('x_new is not a 1D array') + + if not (np.all(x_new >= 0) and np.all(x_new <= 1)): + raise ValueError('x_new is not in unit hypercube') + + if x_new.shape[0] != sample.shape[1]: + raise ValueError("x_new and sample must be broadcastable") + + return _cy_wrapper_update_discrepancy(x_new, sample, initial_disc) + + +def _perturb_discrepancy(sample: np.ndarray, i1: int, i2: int, k: int, + disc: float): + """Centered discrepancy after an elementary perturbation of a LHS. + + An elementary perturbation consists of an exchange of coordinates between + two points: ``sample[i1, k] <-> sample[i2, k]``. By construction, + this operation conserves the LHS properties. + + Parameters + ---------- + sample : array_like (n, d) + The sample (before permutation) to compute the discrepancy from. + i1 : int + The first line of the elementary permutation. + i2 : int + The second line of the elementary permutation. + k : int + The column of the elementary permutation. + disc : float + Centered discrepancy of the design before permutation. + + Returns + ------- + discrepancy : float + Centered discrepancy of the design after permutation. + + References + ---------- + .. [1] Jin et al. "An efficient algorithm for constructing optimal design + of computer experiments", Journal of Statistical Planning and + Inference, 2005. + + """ + n = sample.shape[0] + + z_ij = sample - 0.5 + + # Eq (19) + c_i1j = (1. / n ** 2. + * np.prod(0.5 * (2. + abs(z_ij[i1, :]) + + abs(z_ij) - abs(z_ij[i1, :] - z_ij)), axis=1)) + c_i2j = (1. / n ** 2. + * np.prod(0.5 * (2. + abs(z_ij[i2, :]) + + abs(z_ij) - abs(z_ij[i2, :] - z_ij)), axis=1)) + + # Eq (20) + c_i1i1 = (1. / n ** 2 * np.prod(1 + abs(z_ij[i1, :])) + - 2. / n * np.prod(1. + 0.5 * abs(z_ij[i1, :]) + - 0.5 * z_ij[i1, :] ** 2)) + c_i2i2 = (1. / n ** 2 * np.prod(1 + abs(z_ij[i2, :])) + - 2. / n * np.prod(1. + 0.5 * abs(z_ij[i2, :]) + - 0.5 * z_ij[i2, :] ** 2)) + + # Eq (22), typo in the article in the denominator i2 -> i1 + num = (2 + abs(z_ij[i2, k]) + abs(z_ij[:, k]) + - abs(z_ij[i2, k] - z_ij[:, k])) + denum = (2 + abs(z_ij[i1, k]) + abs(z_ij[:, k]) + - abs(z_ij[i1, k] - z_ij[:, k])) + gamma = num / denum + + # Eq (23) + c_p_i1j = gamma * c_i1j + # Eq (24) + c_p_i2j = c_i2j / gamma + + alpha = (1 + abs(z_ij[i2, k])) / (1 + abs(z_ij[i1, k])) + beta = (2 - abs(z_ij[i2, k])) / (2 - abs(z_ij[i1, k])) + + g_i1 = np.prod(1. + abs(z_ij[i1, :])) + g_i2 = np.prod(1. + abs(z_ij[i2, :])) + h_i1 = np.prod(1. + 0.5 * abs(z_ij[i1, :]) - 0.5 * (z_ij[i1, :] ** 2)) + h_i2 = np.prod(1. + 0.5 * abs(z_ij[i2, :]) - 0.5 * (z_ij[i2, :] ** 2)) + + # Eq (25), typo in the article g is missing + c_p_i1i1 = ((g_i1 * alpha) / (n ** 2) - 2. * alpha * beta * h_i1 / n) + # Eq (26), typo in the article n ** 2 + c_p_i2i2 = ((g_i2 / ((n ** 2) * alpha)) - (2. * h_i2 / (n * alpha * beta))) + + # Eq (26) + sum_ = c_p_i1j - c_i1j + c_p_i2j - c_i2j + + mask = np.ones(n, dtype=bool) + mask[[i1, i2]] = False + sum_ = sum(sum_[mask]) + + disc_ep = (disc + c_p_i1i1 - c_i1i1 + c_p_i2i2 - c_i2i2 + 2 * sum_) + + return disc_ep + + +def primes_from_2_to(n: int) -> np.ndarray: + """Prime numbers from 2 to *n*. + + Parameters + ---------- + n : int + Sup bound with ``n >= 6``. + + Returns + ------- + primes : list(int) + Primes in ``2 <= p < n``. + + Notes + ----- + Taken from [1]_ by P.T. Roy, written consent given on 23.04.2021 + by the original author, Bruno Astrolino, for free use in SciPy under + the 3-clause BSD. + + References + ---------- + .. [1] `StackOverflow `_. + + """ + sieve = np.ones(n // 3 + (n % 6 == 2), dtype=bool) + for i in range(1, int(n ** 0.5) // 3 + 1): + k = 3 * i + 1 | 1 + sieve[k * k // 3::2 * k] = False + sieve[k * (k - 2 * (i & 1) + 4) // 3::2 * k] = False + return np.r_[2, 3, ((3 * np.nonzero(sieve)[0][1:] + 1) | 1)] + + +def n_primes(n: IntNumber) -> list[int]: + """List of the n-first prime numbers. + + Parameters + ---------- + n : int + Number of prime numbers wanted. + + Returns + ------- + primes : list(int) + List of primes. + + """ + primes = [2, 3, 5, 7, 11, 13, 17, 19, 23, 29, 31, 37, 41, 43, 47, 53, 59, + 61, 67, 71, 73, 79, 83, 89, 97, 101, 103, 107, 109, 113, 127, + 131, 137, 139, 149, 151, 157, 163, 167, 173, 179, 181, 191, 193, + 197, 199, 211, 223, 227, 229, 233, 239, 241, 251, 257, 263, 269, + 271, 277, 281, 283, 293, 307, 311, 313, 317, 331, 337, 347, 349, + 353, 359, 367, 373, 379, 383, 389, 397, 401, 409, 419, 421, 431, + 433, 439, 443, 449, 457, 461, 463, 467, 479, 487, 491, 499, 503, + 509, 521, 523, 541, 547, 557, 563, 569, 571, 577, 587, 593, 599, + 601, 607, 613, 617, 619, 631, 641, 643, 647, 653, 659, 661, 673, + 677, 683, 691, 701, 709, 719, 727, 733, 739, 743, 751, 757, 761, + 769, 773, 787, 797, 809, 811, 821, 823, 827, 829, 839, 853, 857, + 859, 863, 877, 881, 883, 887, 907, 911, 919, 929, 937, 941, 947, + 953, 967, 971, 977, 983, 991, 997][:n] # type: ignore[misc] + + if len(primes) < n: + big_number = 2000 + while 'Not enough primes': + primes = primes_from_2_to(big_number)[:n] # type: ignore + if len(primes) == n: + break + big_number += 1000 + + return primes + + +def _van_der_corput_permutations( + base: IntNumber, *, random_state: SeedType = None +) -> np.ndarray: + """Permutations for scrambling a Van der Corput sequence. + + Parameters + ---------- + base : int + Base of the sequence. + random_state : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Returns + ------- + permutations : array_like + Permutation indices. + + Notes + ----- + In Algorithm 1 of Owen 2017, a permutation of `np.arange(base)` is + created for each positive integer `k` such that `1 - base**-k < 1` + using floating-point arithmetic. For double precision floats, the + condition `1 - base**-k < 1` can also be written as `base**-k > + 2**-54`, which makes it more apparent how many permutations we need + to create. + """ + rng = check_random_state(random_state) + count = math.ceil(54 / math.log2(base)) - 1 + permutations = np.repeat(np.arange(base)[None], count, axis=0) + for perm in permutations: + rng.shuffle(perm) + + return permutations + + +def van_der_corput( + n: IntNumber, + base: IntNumber = 2, + *, + start_index: IntNumber = 0, + scramble: bool = False, + permutations: npt.ArrayLike | None = None, + seed: SeedType = None, + workers: IntNumber = 1) -> np.ndarray: + """Van der Corput sequence. + + Pseudo-random number generator based on a b-adic expansion. + + Scrambling uses permutations of the remainders (see [1]_). Multiple + permutations are applied to construct a point. The sequence of + permutations has to be the same for all points of the sequence. + + Parameters + ---------- + n : int + Number of element of the sequence. + base : int, optional + Base of the sequence. Default is 2. + start_index : int, optional + Index to start the sequence from. Default is 0. + scramble : bool, optional + If True, use Owen scrambling. Otherwise no scrambling is done. + Default is True. + permutations : array_like, optional + Permutations used for scrambling. + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + workers : int, optional + Number of workers to use for parallel processing. If -1 is + given all CPU threads are used. Default is 1. + + Returns + ------- + sequence : list (n,) + Sequence of Van der Corput. + + References + ---------- + .. [1] A. B. Owen. "A randomized Halton algorithm in R", + :arxiv:`1706.02808`, 2017. + + """ + if base < 2: + raise ValueError("'base' must be at least 2") + + if scramble: + if permutations is None: + permutations = _van_der_corput_permutations( + base=base, random_state=seed + ) + else: + permutations = np.asarray(permutations) + + permutations = permutations.astype(np.int64) + return _cy_van_der_corput_scrambled(n, base, start_index, + permutations, workers) + + else: + return _cy_van_der_corput(n, base, start_index, workers) + + +class QMCEngine(ABC): + """A generic Quasi-Monte Carlo sampler class meant for subclassing. + + QMCEngine is a base class to construct a specific Quasi-Monte Carlo + sampler. It cannot be used directly as a sampler. + + Parameters + ---------- + d : int + Dimension of the parameter space. + optimization : {None, "random-cd", "lloyd"}, optional + Whether to use an optimization scheme to improve the quality after + sampling. Note that this is a post-processing step that does not + guarantee that all properties of the sample will be conserved. + Default is None. + + * ``random-cd``: random permutations of coordinates to lower the + centered discrepancy. The best sample based on the centered + discrepancy is constantly updated. Centered discrepancy-based + sampling shows better space-filling robustness toward 2D and 3D + subprojections compared to using other discrepancy measures. + * ``lloyd``: Perturb samples using a modified Lloyd-Max algorithm. + The process converges to equally spaced samples. + + .. versionadded:: 1.10.0 + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Notes + ----- + By convention samples are distributed over the half-open interval + ``[0, 1)``. Instances of the class can access the attributes: ``d`` for + the dimension; and ``rng`` for the random number generator (used for the + ``seed``). + + **Subclassing** + + When subclassing `QMCEngine` to create a new sampler, ``__init__`` and + ``random`` must be redefined. + + * ``__init__(d, seed=None)``: at least fix the dimension. If the sampler + does not take advantage of a ``seed`` (deterministic methods like + Halton), this parameter can be omitted. + * ``_random(n, *, workers=1)``: draw ``n`` from the engine. ``workers`` + is used for parallelism. See `Halton` for example. + + Optionally, two other methods can be overwritten by subclasses: + + * ``reset``: Reset the engine to its original state. + * ``fast_forward``: If the sequence is deterministic (like Halton + sequence), then ``fast_forward(n)`` is skipping the ``n`` first draw. + + Examples + -------- + To create a random sampler based on ``np.random.random``, we would do the + following: + + >>> from scipy.stats import qmc + >>> class RandomEngine(qmc.QMCEngine): + ... def __init__(self, d, seed=None): + ... super().__init__(d=d, seed=seed) + ... + ... + ... def _random(self, n=1, *, workers=1): + ... return self.rng.random((n, self.d)) + ... + ... + ... def reset(self): + ... super().__init__(d=self.d, seed=self.rng_seed) + ... return self + ... + ... + ... def fast_forward(self, n): + ... self.random(n) + ... return self + + After subclassing `QMCEngine` to define the sampling strategy we want to + use, we can create an instance to sample from. + + >>> engine = RandomEngine(2) + >>> engine.random(5) + array([[0.22733602, 0.31675834], # random + [0.79736546, 0.67625467], + [0.39110955, 0.33281393], + [0.59830875, 0.18673419], + [0.67275604, 0.94180287]]) + + We can also reset the state of the generator and resample again. + + >>> _ = engine.reset() + >>> engine.random(5) + array([[0.22733602, 0.31675834], # random + [0.79736546, 0.67625467], + [0.39110955, 0.33281393], + [0.59830875, 0.18673419], + [0.67275604, 0.94180287]]) + + """ + + @abstractmethod + def __init__( + self, + d: IntNumber, + *, + optimization: Literal["random-cd", "lloyd"] | None = None, + seed: SeedType = None + ) -> None: + if not np.issubdtype(type(d), np.integer) or d < 0: + raise ValueError('d must be a non-negative integer value') + + self.d = d + + if isinstance(seed, np.random.Generator): + # Spawn a Generator that we can own and reset. + self.rng = _rng_spawn(seed, 1)[0] + else: + # Create our instance of Generator, does not need spawning + # Also catch RandomState which cannot be spawned + self.rng = check_random_state(seed) + self.rng_seed = copy.deepcopy(self.rng) + + self.num_generated = 0 + + config = { + # random-cd + "n_nochange": 100, + "n_iters": 10_000, + "rng": self.rng, + + # lloyd + "tol": 1e-5, + "maxiter": 10, + "qhull_options": None, + } + self.optimization_method = _select_optimizer(optimization, config) + + @abstractmethod + def _random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + ... + + def random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + """Draw `n` in the half-open interval ``[0, 1)``. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. + Default is 1. + workers : int, optional + Only supported with `Halton`. + Number of workers to use for parallel processing. If -1 is + given all CPU threads are used. Default is 1. It becomes faster + than one worker for `n` greater than :math:`10^3`. + + Returns + ------- + sample : array_like (n, d) + QMC sample. + + """ + sample = self._random(n, workers=workers) + if self.optimization_method is not None: + sample = self.optimization_method(sample) + + self.num_generated += n + return sample + + def integers( + self, + l_bounds: npt.ArrayLike, + *, + u_bounds: npt.ArrayLike | None = None, + n: IntNumber = 1, + endpoint: bool = False, + workers: IntNumber = 1 + ) -> np.ndarray: + r""" + Draw `n` integers from `l_bounds` (inclusive) to `u_bounds` + (exclusive), or if endpoint=True, `l_bounds` (inclusive) to + `u_bounds` (inclusive). + + Parameters + ---------- + l_bounds : int or array-like of ints + Lowest (signed) integers to be drawn (unless ``u_bounds=None``, + in which case this parameter is 0 and this value is used for + `u_bounds`). + u_bounds : int or array-like of ints, optional + If provided, one above the largest (signed) integer to be drawn + (see above for behavior if ``u_bounds=None``). + If array-like, must contain integer values. + n : int, optional + Number of samples to generate in the parameter space. + Default is 1. + endpoint : bool, optional + If true, sample from the interval ``[l_bounds, u_bounds]`` instead + of the default ``[l_bounds, u_bounds)``. Defaults is False. + workers : int, optional + Number of workers to use for parallel processing. If -1 is + given all CPU threads are used. Only supported when using `Halton` + Default is 1. + + Returns + ------- + sample : array_like (n, d) + QMC sample. + + Notes + ----- + It is safe to just use the same ``[0, 1)`` to integer mapping + with QMC that you would use with MC. You still get unbiasedness, + a strong law of large numbers, an asymptotically infinite variance + reduction and a finite sample variance bound. + + To convert a sample from :math:`[0, 1)` to :math:`[a, b), b>a`, + with :math:`a` the lower bounds and :math:`b` the upper bounds, + the following transformation is used: + + .. math:: + + \text{floor}((b - a) \cdot \text{sample} + a) + + """ + if u_bounds is None: + u_bounds = l_bounds + l_bounds = 0 + + u_bounds = np.atleast_1d(u_bounds) + l_bounds = np.atleast_1d(l_bounds) + + if endpoint: + u_bounds = u_bounds + 1 + + if (not np.issubdtype(l_bounds.dtype, np.integer) or + not np.issubdtype(u_bounds.dtype, np.integer)): + message = ("'u_bounds' and 'l_bounds' must be integers or" + " array-like of integers") + raise ValueError(message) + + if isinstance(self, Halton): + sample = self.random(n=n, workers=workers) + else: + sample = self.random(n=n) + + sample = scale(sample, l_bounds=l_bounds, u_bounds=u_bounds) + sample = np.floor(sample).astype(np.int64) + + return sample + + def reset(self) -> QMCEngine: + """Reset the engine to base state. + + Returns + ------- + engine : QMCEngine + Engine reset to its base state. + + """ + seed = copy.deepcopy(self.rng_seed) + self.rng = check_random_state(seed) + self.num_generated = 0 + return self + + def fast_forward(self, n: IntNumber) -> QMCEngine: + """Fast-forward the sequence by `n` positions. + + Parameters + ---------- + n : int + Number of points to skip in the sequence. + + Returns + ------- + engine : QMCEngine + Engine reset to its base state. + + """ + self.random(n=n) + return self + + +class Halton(QMCEngine): + """Halton sequence. + + Pseudo-random number generator that generalize the Van der Corput sequence + for multiple dimensions. The Halton sequence uses the base-two Van der + Corput sequence for the first dimension, base-three for its second and + base-:math:`n` for its n-dimension. + + Parameters + ---------- + d : int + Dimension of the parameter space. + scramble : bool, optional + If True, use Owen scrambling. Otherwise no scrambling is done. + Default is True. + optimization : {None, "random-cd", "lloyd"}, optional + Whether to use an optimization scheme to improve the quality after + sampling. Note that this is a post-processing step that does not + guarantee that all properties of the sample will be conserved. + Default is None. + + * ``random-cd``: random permutations of coordinates to lower the + centered discrepancy. The best sample based on the centered + discrepancy is constantly updated. Centered discrepancy-based + sampling shows better space-filling robustness toward 2D and 3D + subprojections compared to using other discrepancy measures. + * ``lloyd``: Perturb samples using a modified Lloyd-Max algorithm. + The process converges to equally spaced samples. + + .. versionadded:: 1.10.0 + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Notes + ----- + The Halton sequence has severe striping artifacts for even modestly + large dimensions. These can be ameliorated by scrambling. Scrambling + also supports replication-based error estimates and extends + applicabiltiy to unbounded integrands. + + References + ---------- + .. [1] Halton, "On the efficiency of certain quasi-random sequences of + points in evaluating multi-dimensional integrals", Numerische + Mathematik, 1960. + .. [2] A. B. Owen. "A randomized Halton algorithm in R", + :arxiv:`1706.02808`, 2017. + + Examples + -------- + Generate samples from a low discrepancy sequence of Halton. + + >>> from scipy.stats import qmc + >>> sampler = qmc.Halton(d=2, scramble=False) + >>> sample = sampler.random(n=5) + >>> sample + array([[0. , 0. ], + [0.5 , 0.33333333], + [0.25 , 0.66666667], + [0.75 , 0.11111111], + [0.125 , 0.44444444]]) + + Compute the quality of the sample using the discrepancy criterion. + + >>> qmc.discrepancy(sample) + 0.088893711419753 + + If some wants to continue an existing design, extra points can be obtained + by calling again `random`. Alternatively, you can skip some points like: + + >>> _ = sampler.fast_forward(5) + >>> sample_continued = sampler.random(n=5) + >>> sample_continued + array([[0.3125 , 0.37037037], + [0.8125 , 0.7037037 ], + [0.1875 , 0.14814815], + [0.6875 , 0.48148148], + [0.4375 , 0.81481481]]) + + Finally, samples can be scaled to bounds. + + >>> l_bounds = [0, 2] + >>> u_bounds = [10, 5] + >>> qmc.scale(sample_continued, l_bounds, u_bounds) + array([[3.125 , 3.11111111], + [8.125 , 4.11111111], + [1.875 , 2.44444444], + [6.875 , 3.44444444], + [4.375 , 4.44444444]]) + + """ + + def __init__( + self, d: IntNumber, *, scramble: bool = True, + optimization: Literal["random-cd", "lloyd"] | None = None, + seed: SeedType = None + ) -> None: + # Used in `scipy.integrate.qmc_quad` + self._init_quad = {'d': d, 'scramble': True, + 'optimization': optimization} + super().__init__(d=d, optimization=optimization, seed=seed) + self.seed = seed + + # important to have ``type(bdim) == int`` for performance reason + self.base = [int(bdim) for bdim in n_primes(d)] + self.scramble = scramble + + self._initialize_permutations() + + def _initialize_permutations(self) -> None: + """Initialize permutations for all Van der Corput sequences. + + Permutations are only needed for scrambling. + """ + self._permutations: list = [None] * len(self.base) + if self.scramble: + for i, bdim in enumerate(self.base): + permutations = _van_der_corput_permutations( + base=bdim, random_state=self.rng + ) + + self._permutations[i] = permutations + + def _random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + """Draw `n` in the half-open interval ``[0, 1)``. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + workers : int, optional + Number of workers to use for parallel processing. If -1 is + given all CPU threads are used. Default is 1. It becomes faster + than one worker for `n` greater than :math:`10^3`. + + Returns + ------- + sample : array_like (n, d) + QMC sample. + + """ + workers = _validate_workers(workers) + # Generate a sample using a Van der Corput sequence per dimension. + sample = [van_der_corput(n, bdim, start_index=self.num_generated, + scramble=self.scramble, + permutations=self._permutations[i], + workers=workers) + for i, bdim in enumerate(self.base)] + + return np.array(sample).T.reshape(n, self.d) + + +class LatinHypercube(QMCEngine): + r"""Latin hypercube sampling (LHS). + + A Latin hypercube sample [1]_ generates :math:`n` points in + :math:`[0,1)^{d}`. Each univariate marginal distribution is stratified, + placing exactly one point in :math:`[j/n, (j+1)/n)` for + :math:`j=0,1,...,n-1`. They are still applicable when :math:`n << d`. + + Parameters + ---------- + d : int + Dimension of the parameter space. + scramble : bool, optional + When False, center samples within cells of a multi-dimensional grid. + Otherwise, samples are randomly placed within cells of the grid. + + .. note:: + Setting ``scramble=False`` does not ensure deterministic output. + For that, use the `seed` parameter. + + Default is True. + + .. versionadded:: 1.10.0 + + optimization : {None, "random-cd", "lloyd"}, optional + Whether to use an optimization scheme to improve the quality after + sampling. Note that this is a post-processing step that does not + guarantee that all properties of the sample will be conserved. + Default is None. + + * ``random-cd``: random permutations of coordinates to lower the + centered discrepancy. The best sample based on the centered + discrepancy is constantly updated. Centered discrepancy-based + sampling shows better space-filling robustness toward 2D and 3D + subprojections compared to using other discrepancy measures. + * ``lloyd``: Perturb samples using a modified Lloyd-Max algorithm. + The process converges to equally spaced samples. + + .. versionadded:: 1.8.0 + .. versionchanged:: 1.10.0 + Add ``lloyd``. + + strength : {1, 2}, optional + Strength of the LHS. ``strength=1`` produces a plain LHS while + ``strength=2`` produces an orthogonal array based LHS of strength 2 + [7]_, [8]_. In that case, only ``n=p**2`` points can be sampled, + with ``p`` a prime number. It also constrains ``d <= p + 1``. + Default is 1. + + .. versionadded:: 1.8.0 + + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Notes + ----- + + When LHS is used for integrating a function :math:`f` over :math:`n`, + LHS is extremely effective on integrands that are nearly additive [2]_. + With a LHS of :math:`n` points, the variance of the integral is always + lower than plain MC on :math:`n-1` points [3]_. There is a central limit + theorem for LHS on the mean and variance of the integral [4]_, but not + necessarily for optimized LHS due to the randomization. + + :math:`A` is called an orthogonal array of strength :math:`t` if in each + n-row-by-t-column submatrix of :math:`A`: all :math:`p^t` possible + distinct rows occur the same number of times. The elements of :math:`A` + are in the set :math:`\{0, 1, ..., p-1\}`, also called symbols. + The constraint that :math:`p` must be a prime number is to allow modular + arithmetic. Increasing strength adds some symmetry to the sub-projections + of a sample. With strength 2, samples are symmetric along the diagonals of + 2D sub-projections. This may be undesirable, but on the other hand, the + sample dispersion is improved. + + Strength 1 (plain LHS) brings an advantage over strength 0 (MC) and + strength 2 is a useful increment over strength 1. Going to strength 3 is + a smaller increment and scrambled QMC like Sobol', Halton are more + performant [7]_. + + To create a LHS of strength 2, the orthogonal array :math:`A` is + randomized by applying a random, bijective map of the set of symbols onto + itself. For example, in column 0, all 0s might become 2; in column 1, + all 0s might become 1, etc. + Then, for each column :math:`i` and symbol :math:`j`, we add a plain, + one-dimensional LHS of size :math:`p` to the subarray where + :math:`A^i = j`. The resulting matrix is finally divided by :math:`p`. + + References + ---------- + .. [1] Mckay et al., "A Comparison of Three Methods for Selecting Values + of Input Variables in the Analysis of Output from a Computer Code." + Technometrics, 1979. + .. [2] M. Stein, "Large sample properties of simulations using Latin + hypercube sampling." Technometrics 29, no. 2: 143-151, 1987. + .. [3] A. B. Owen, "Monte Carlo variance of scrambled net quadrature." + SIAM Journal on Numerical Analysis 34, no. 5: 1884-1910, 1997 + .. [4] Loh, W.-L. "On Latin hypercube sampling." The annals of statistics + 24, no. 5: 2058-2080, 1996. + .. [5] Fang et al. "Design and modeling for computer experiments". + Computer Science and Data Analysis Series, 2006. + .. [6] Damblin et al., "Numerical studies of space filling designs: + optimization of Latin Hypercube Samples and subprojection properties." + Journal of Simulation, 2013. + .. [7] A. B. Owen , "Orthogonal arrays for computer experiments, + integration and visualization." Statistica Sinica, 1992. + .. [8] B. Tang, "Orthogonal Array-Based Latin Hypercubes." + Journal of the American Statistical Association, 1993. + .. [9] Susan K. Seaholm et al. "Latin hypercube sampling and the + sensitivity analysis of a Monte Carlo epidemic model". + Int J Biomed Comput, 23(1-2), 97-112, + :doi:`10.1016/0020-7101(88)90067-0`, 1988. + + Examples + -------- + In [9]_, a Latin Hypercube sampling strategy was used to sample a + parameter space to study the importance of each parameter of an epidemic + model. Such analysis is also called a sensitivity analysis. + + Since the dimensionality of the problem is high (6), it is computationally + expensive to cover the space. When numerical experiments are costly, + QMC enables analysis that may not be possible if using a grid. + + The six parameters of the model represented the probability of illness, + the probability of withdrawal, and four contact probabilities, + The authors assumed uniform distributions for all parameters and generated + 50 samples. + + Using `scipy.stats.qmc.LatinHypercube` to replicate the protocol, the + first step is to create a sample in the unit hypercube: + + >>> from scipy.stats import qmc + >>> sampler = qmc.LatinHypercube(d=6) + >>> sample = sampler.random(n=50) + + Then the sample can be scaled to the appropriate bounds: + + >>> l_bounds = [0.000125, 0.01, 0.0025, 0.05, 0.47, 0.7] + >>> u_bounds = [0.000375, 0.03, 0.0075, 0.15, 0.87, 0.9] + >>> sample_scaled = qmc.scale(sample, l_bounds, u_bounds) + + Such a sample was used to run the model 50 times, and a polynomial + response surface was constructed. This allowed the authors to study the + relative importance of each parameter across the range of + possibilities of every other parameter. + In this computer experiment, they showed a 14-fold reduction in the number + of samples required to maintain an error below 2% on their response surface + when compared to a grid sampling. + + Below are other examples showing alternative ways to construct LHS + with even better coverage of the space. + + Using a base LHS as a baseline. + + >>> sampler = qmc.LatinHypercube(d=2) + >>> sample = sampler.random(n=5) + >>> qmc.discrepancy(sample) + 0.0196... # random + + Use the `optimization` keyword argument to produce a LHS with + lower discrepancy at higher computational cost. + + >>> sampler = qmc.LatinHypercube(d=2, optimization="random-cd") + >>> sample = sampler.random(n=5) + >>> qmc.discrepancy(sample) + 0.0176... # random + + Use the `strength` keyword argument to produce an orthogonal array based + LHS of strength 2. In this case, the number of sample points must be the + square of a prime number. + + >>> sampler = qmc.LatinHypercube(d=2, strength=2) + >>> sample = sampler.random(n=9) + >>> qmc.discrepancy(sample) + 0.00526... # random + + Options could be combined to produce an optimized centered + orthogonal array based LHS. After optimization, the result would not + be guaranteed to be of strength 2. + + """ + + def __init__( + self, d: IntNumber, *, + scramble: bool = True, + strength: int = 1, + optimization: Literal["random-cd", "lloyd"] | None = None, + seed: SeedType = None + ) -> None: + # Used in `scipy.integrate.qmc_quad` + self._init_quad = {'d': d, 'scramble': True, 'strength': strength, + 'optimization': optimization} + super().__init__(d=d, seed=seed, optimization=optimization) + self.scramble = scramble + + lhs_method_strength = { + 1: self._random_lhs, + 2: self._random_oa_lhs + } + + try: + self.lhs_method: Callable = lhs_method_strength[strength] + except KeyError as exc: + message = (f"{strength!r} is not a valid strength. It must be one" + f" of {set(lhs_method_strength)!r}") + raise ValueError(message) from exc + + def _random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + lhs = self.lhs_method(n) + return lhs + + def _random_lhs(self, n: IntNumber = 1) -> np.ndarray: + """Base LHS algorithm.""" + if not self.scramble: + samples: np.ndarray | float = 0.5 + else: + samples = self.rng.uniform(size=(n, self.d)) + + perms = np.tile(np.arange(1, n + 1), + (self.d, 1)) # type: ignore[arg-type] + for i in range(self.d): + self.rng.shuffle(perms[i, :]) + perms = perms.T + + samples = (perms - samples) / n + return samples + + def _random_oa_lhs(self, n: IntNumber = 4) -> np.ndarray: + """Orthogonal array based LHS of strength 2.""" + p = np.sqrt(n).astype(int) + n_row = p**2 + n_col = p + 1 + + primes = primes_from_2_to(p + 1) + if p not in primes or n != n_row: + raise ValueError( + "n is not the square of a prime number. Close" + f" values are {primes[-2:]**2}" + ) + if self.d > p + 1: + raise ValueError("n is too small for d. Must be n > (d-1)**2") + + oa_sample = np.zeros(shape=(n_row, n_col), dtype=int) + + # OA of strength 2 + arrays = np.tile(np.arange(p), (2, 1)) + oa_sample[:, :2] = np.stack(np.meshgrid(*arrays), + axis=-1).reshape(-1, 2) + for p_ in range(1, p): + oa_sample[:, 2+p_-1] = np.mod(oa_sample[:, 0] + + p_*oa_sample[:, 1], p) + + # scramble the OA + oa_sample_ = np.empty(shape=(n_row, n_col), dtype=int) + for j in range(n_col): + perms = self.rng.permutation(p) + oa_sample_[:, j] = perms[oa_sample[:, j]] + + # following is making a scrambled OA into an OA-LHS + oa_lhs_sample = np.zeros(shape=(n_row, n_col)) + lhs_engine = LatinHypercube(d=1, scramble=self.scramble, strength=1, + seed=self.rng) # type: QMCEngine + for j in range(n_col): + for k in range(p): + idx = oa_sample[:, j] == k + lhs = lhs_engine.random(p).flatten() + oa_lhs_sample[:, j][idx] = lhs + oa_sample[:, j][idx] + + lhs_engine = lhs_engine.reset() + + oa_lhs_sample /= p + + return oa_lhs_sample[:, :self.d] # type: ignore + + +class Sobol(QMCEngine): + """Engine for generating (scrambled) Sobol' sequences. + + Sobol' sequences are low-discrepancy, quasi-random numbers. Points + can be drawn using two methods: + + * `random_base2`: safely draw :math:`n=2^m` points. This method + guarantees the balance properties of the sequence. + * `random`: draw an arbitrary number of points from the + sequence. See warning below. + + Parameters + ---------- + d : int + Dimensionality of the sequence. Max dimensionality is 21201. + scramble : bool, optional + If True, use LMS+shift scrambling. Otherwise, no scrambling is done. + Default is True. + bits : int, optional + Number of bits of the generator. Control the maximum number of points + that can be generated, which is ``2**bits``. Maximal value is 64. + It does not correspond to the return type, which is always + ``np.float64`` to prevent points from repeating themselves. + Default is None, which for backward compatibility, corresponds to 30. + + .. versionadded:: 1.9.0 + optimization : {None, "random-cd", "lloyd"}, optional + Whether to use an optimization scheme to improve the quality after + sampling. Note that this is a post-processing step that does not + guarantee that all properties of the sample will be conserved. + Default is None. + + * ``random-cd``: random permutations of coordinates to lower the + centered discrepancy. The best sample based on the centered + discrepancy is constantly updated. Centered discrepancy-based + sampling shows better space-filling robustness toward 2D and 3D + subprojections compared to using other discrepancy measures. + * ``lloyd``: Perturb samples using a modified Lloyd-Max algorithm. + The process converges to equally spaced samples. + + .. versionadded:: 1.10.0 + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Notes + ----- + Sobol' sequences [1]_ provide :math:`n=2^m` low discrepancy points in + :math:`[0,1)^{d}`. Scrambling them [3]_ makes them suitable for singular + integrands, provides a means of error estimation, and can improve their + rate of convergence. The scrambling strategy which is implemented is a + (left) linear matrix scramble (LMS) followed by a digital random shift + (LMS+shift) [2]_. + + There are many versions of Sobol' sequences depending on their + 'direction numbers'. This code uses direction numbers from [4]_. Hence, + the maximum number of dimension is 21201. The direction numbers have been + precomputed with search criterion 6 and can be retrieved at + https://web.maths.unsw.edu.au/~fkuo/sobol/. + + .. warning:: + + Sobol' sequences are a quadrature rule and they lose their balance + properties if one uses a sample size that is not a power of 2, or skips + the first point, or thins the sequence [5]_. + + If :math:`n=2^m` points are not enough then one should take :math:`2^M` + points for :math:`M>m`. When scrambling, the number R of independent + replicates does not have to be a power of 2. + + Sobol' sequences are generated to some number :math:`B` of bits. + After :math:`2^B` points have been generated, the sequence would + repeat. Hence, an error is raised. + The number of bits can be controlled with the parameter `bits`. + + References + ---------- + .. [1] I. M. Sobol', "The distribution of points in a cube and the accurate + evaluation of integrals." Zh. Vychisl. Mat. i Mat. Phys., 7:784-802, + 1967. + .. [2] J. Matousek, "On the L2-discrepancy for anchored boxes." + J. of Complexity 14, 527-556, 1998. + .. [3] Art B. Owen, "Scrambling Sobol and Niederreiter-Xing points." + Journal of Complexity, 14(4):466-489, December 1998. + .. [4] S. Joe and F. Y. Kuo, "Constructing sobol sequences with better + two-dimensional projections." SIAM Journal on Scientific Computing, + 30(5):2635-2654, 2008. + .. [5] Art B. Owen, "On dropping the first Sobol' point." + :arxiv:`2008.08051`, 2020. + + Examples + -------- + Generate samples from a low discrepancy sequence of Sobol'. + + >>> from scipy.stats import qmc + >>> sampler = qmc.Sobol(d=2, scramble=False) + >>> sample = sampler.random_base2(m=3) + >>> sample + array([[0. , 0. ], + [0.5 , 0.5 ], + [0.75 , 0.25 ], + [0.25 , 0.75 ], + [0.375, 0.375], + [0.875, 0.875], + [0.625, 0.125], + [0.125, 0.625]]) + + Compute the quality of the sample using the discrepancy criterion. + + >>> qmc.discrepancy(sample) + 0.013882107204860938 + + To continue an existing design, extra points can be obtained + by calling again `random_base2`. Alternatively, you can skip some + points like: + + >>> _ = sampler.reset() + >>> _ = sampler.fast_forward(4) + >>> sample_continued = sampler.random_base2(m=2) + >>> sample_continued + array([[0.375, 0.375], + [0.875, 0.875], + [0.625, 0.125], + [0.125, 0.625]]) + + Finally, samples can be scaled to bounds. + + >>> l_bounds = [0, 2] + >>> u_bounds = [10, 5] + >>> qmc.scale(sample_continued, l_bounds, u_bounds) + array([[3.75 , 3.125], + [8.75 , 4.625], + [6.25 , 2.375], + [1.25 , 3.875]]) + + """ + + MAXDIM: ClassVar[int] = _MAXDIM + + def __init__( + self, d: IntNumber, *, scramble: bool = True, + bits: IntNumber | None = None, seed: SeedType = None, + optimization: Literal["random-cd", "lloyd"] | None = None + ) -> None: + # Used in `scipy.integrate.qmc_quad` + self._init_quad = {'d': d, 'scramble': True, 'bits': bits, + 'optimization': optimization} + + super().__init__(d=d, optimization=optimization, seed=seed) + if d > self.MAXDIM: + raise ValueError( + f"Maximum supported dimensionality is {self.MAXDIM}." + ) + + self.bits = bits + self.dtype_i: type + + if self.bits is None: + self.bits = 30 + + if self.bits <= 32: + self.dtype_i = np.uint32 + elif 32 < self.bits <= 64: + self.dtype_i = np.uint64 + else: + raise ValueError("Maximum supported 'bits' is 64") + + self.maxn = 2**self.bits + + # v is d x maxbit matrix + self._sv: np.ndarray = np.zeros((d, self.bits), dtype=self.dtype_i) + _initialize_v(self._sv, dim=d, bits=self.bits) + + if not scramble: + self._shift: np.ndarray = np.zeros(d, dtype=self.dtype_i) + else: + # scramble self._shift and self._sv + self._scramble() + + self._quasi = self._shift.copy() + + # normalization constant with the largest possible number + # calculate in Python to not overflow int with 2**64 + self._scale = 1.0 / 2 ** self.bits + + self._first_point = (self._quasi * self._scale).reshape(1, -1) + # explicit casting to float64 + self._first_point = self._first_point.astype(np.float64) + + def _scramble(self) -> None: + """Scramble the sequence using LMS+shift.""" + # Generate shift vector + self._shift = np.dot( + rng_integers(self.rng, 2, size=(self.d, self.bits), + dtype=self.dtype_i), + 2 ** np.arange(self.bits, dtype=self.dtype_i), + ) + # Generate lower triangular matrices (stacked across dimensions) + ltm = np.tril(rng_integers(self.rng, 2, + size=(self.d, self.bits, self.bits), + dtype=self.dtype_i)) + _cscramble( + dim=self.d, bits=self.bits, # type: ignore[arg-type] + ltm=ltm, sv=self._sv + ) + + def _random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + """Draw next point(s) in the Sobol' sequence. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + + Returns + ------- + sample : array_like (n, d) + Sobol' sample. + + """ + sample: np.ndarray = np.empty((n, self.d), dtype=np.float64) + + if n == 0: + return sample + + total_n = self.num_generated + n + if total_n > self.maxn: + msg = ( + f"At most 2**{self.bits}={self.maxn} distinct points can be " + f"generated. {self.num_generated} points have been previously " + f"generated, then: n={self.num_generated}+{n}={total_n}. " + ) + if self.bits != 64: + msg += "Consider increasing `bits`." + raise ValueError(msg) + + if self.num_generated == 0: + # verify n is 2**n + if not (n & (n - 1) == 0): + warnings.warn("The balance properties of Sobol' points require" + " n to be a power of 2.", stacklevel=2) + + if n == 1: + sample = self._first_point + else: + _draw( + n=n - 1, num_gen=self.num_generated, dim=self.d, + scale=self._scale, sv=self._sv, quasi=self._quasi, + sample=sample + ) + sample = np.concatenate( + [self._first_point, sample] + )[:n] # type: ignore[misc] + else: + _draw( + n=n, num_gen=self.num_generated - 1, dim=self.d, + scale=self._scale, sv=self._sv, quasi=self._quasi, + sample=sample + ) + + return sample + + def random_base2(self, m: IntNumber) -> np.ndarray: + """Draw point(s) from the Sobol' sequence. + + This function draws :math:`n=2^m` points in the parameter space + ensuring the balance properties of the sequence. + + Parameters + ---------- + m : int + Logarithm in base 2 of the number of samples; i.e., n = 2^m. + + Returns + ------- + sample : array_like (n, d) + Sobol' sample. + + """ + n = 2 ** m + + total_n = self.num_generated + n + if not (total_n & (total_n - 1) == 0): + raise ValueError("The balance properties of Sobol' points require " + "n to be a power of 2. {0} points have been " + "previously generated, then: n={0}+2**{1}={2}. " + "If you still want to do this, the function " + "'Sobol.random()' can be used." + .format(self.num_generated, m, total_n)) + + return self.random(n) + + def reset(self) -> Sobol: + """Reset the engine to base state. + + Returns + ------- + engine : Sobol + Engine reset to its base state. + + """ + super().reset() + self._quasi = self._shift.copy() + return self + + def fast_forward(self, n: IntNumber) -> Sobol: + """Fast-forward the sequence by `n` positions. + + Parameters + ---------- + n : int + Number of points to skip in the sequence. + + Returns + ------- + engine : Sobol + The fast-forwarded engine. + + """ + if self.num_generated == 0: + _fast_forward( + n=n - 1, num_gen=self.num_generated, dim=self.d, + sv=self._sv, quasi=self._quasi + ) + else: + _fast_forward( + n=n, num_gen=self.num_generated - 1, dim=self.d, + sv=self._sv, quasi=self._quasi + ) + self.num_generated += n + return self + + +class PoissonDisk(QMCEngine): + """Poisson disk sampling. + + Parameters + ---------- + d : int + Dimension of the parameter space. + radius : float + Minimal distance to keep between points when sampling new candidates. + hypersphere : {"volume", "surface"}, optional + Sampling strategy to generate potential candidates to be added in the + final sample. Default is "volume". + + * ``volume``: original Bridson algorithm as described in [1]_. + New candidates are sampled *within* the hypersphere. + * ``surface``: only sample the surface of the hypersphere. + ncandidates : int + Number of candidates to sample per iteration. More candidates result + in a denser sampling as more candidates can be accepted per iteration. + optimization : {None, "random-cd", "lloyd"}, optional + Whether to use an optimization scheme to improve the quality after + sampling. Note that this is a post-processing step that does not + guarantee that all properties of the sample will be conserved. + Default is None. + + * ``random-cd``: random permutations of coordinates to lower the + centered discrepancy. The best sample based on the centered + discrepancy is constantly updated. Centered discrepancy-based + sampling shows better space-filling robustness toward 2D and 3D + subprojections compared to using other discrepancy measures. + * ``lloyd``: Perturb samples using a modified Lloyd-Max algorithm. + The process converges to equally spaced samples. + + .. versionadded:: 1.10.0 + seed : {None, int, `numpy.random.Generator`}, optional + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Notes + ----- + Poisson disk sampling is an iterative sampling strategy. Starting from + a seed sample, `ncandidates` are sampled in the hypersphere + surrounding the seed. Candidates below a certain `radius` or outside the + domain are rejected. New samples are added in a pool of sample seed. The + process stops when the pool is empty or when the number of required + samples is reached. + + The maximum number of point that a sample can contain is directly linked + to the `radius`. As the dimension of the space increases, a higher radius + spreads the points further and help overcome the curse of dimensionality. + See the :ref:`quasi monte carlo tutorial ` for more + details. + + .. warning:: + + The algorithm is more suitable for low dimensions and sampling size + due to its iterative nature and memory requirements. + Selecting a small radius with a high dimension would + mean that the space could contain more samples than using lower + dimension or a bigger radius. + + Some code taken from [2]_, written consent given on 31.03.2021 + by the original author, Shamis, for free use in SciPy under + the 3-clause BSD. + + References + ---------- + .. [1] Robert Bridson, "Fast Poisson Disk Sampling in Arbitrary + Dimensions." SIGGRAPH, 2007. + .. [2] `StackOverflow `__. + + Examples + -------- + Generate a 2D sample using a `radius` of 0.2. + + >>> import numpy as np + >>> import matplotlib.pyplot as plt + >>> from matplotlib.collections import PatchCollection + >>> from scipy.stats import qmc + >>> + >>> rng = np.random.default_rng() + >>> radius = 0.2 + >>> engine = qmc.PoissonDisk(d=2, radius=radius, seed=rng) + >>> sample = engine.random(20) + + Visualizing the 2D sample and showing that no points are closer than + `radius`. ``radius/2`` is used to visualize non-intersecting circles. + If two samples are exactly at `radius` from each other, then their circle + of radius ``radius/2`` will touch. + + >>> fig, ax = plt.subplots() + >>> _ = ax.scatter(sample[:, 0], sample[:, 1]) + >>> circles = [plt.Circle((xi, yi), radius=radius/2, fill=False) + ... for xi, yi in sample] + >>> collection = PatchCollection(circles, match_original=True) + >>> ax.add_collection(collection) + >>> _ = ax.set(aspect='equal', xlabel=r'$x_1$', ylabel=r'$x_2$', + ... xlim=[0, 1], ylim=[0, 1]) + >>> plt.show() + + Such visualization can be seen as circle packing: how many circle can + we put in the space. It is a np-hard problem. The method `fill_space` + can be used to add samples until no more samples can be added. This is + a hard problem and parameters may need to be adjusted manually. Beware of + the dimension: as the dimensionality increases, the number of samples + required to fill the space increases exponentially + (curse-of-dimensionality). + + """ + + def __init__( + self, + d: IntNumber, + *, + radius: DecimalNumber = 0.05, + hypersphere: Literal["volume", "surface"] = "volume", + ncandidates: IntNumber = 30, + optimization: Literal["random-cd", "lloyd"] | None = None, + seed: SeedType = None + ) -> None: + # Used in `scipy.integrate.qmc_quad` + self._init_quad = {'d': d, 'radius': radius, + 'hypersphere': hypersphere, + 'ncandidates': ncandidates, + 'optimization': optimization} + super().__init__(d=d, optimization=optimization, seed=seed) + + hypersphere_sample = { + "volume": self._hypersphere_volume_sample, + "surface": self._hypersphere_surface_sample + } + + try: + self.hypersphere_method = hypersphere_sample[hypersphere] + except KeyError as exc: + message = ( + f"{hypersphere!r} is not a valid hypersphere sampling" + f" method. It must be one of {set(hypersphere_sample)!r}") + raise ValueError(message) from exc + + # size of the sphere from which the samples are drawn relative to the + # size of a disk (radius) + # for the surface sampler, all new points are almost exactly 1 radius + # away from at least one existing sample +eps to avoid rejection + self.radius_factor = 2 if hypersphere == "volume" else 1.001 + self.radius = radius + self.radius_squared = self.radius**2 + + # sample to generate per iteration in the hypersphere around center + self.ncandidates = ncandidates + + with np.errstate(divide='ignore'): + self.cell_size = self.radius / np.sqrt(self.d) + self.grid_size = ( + np.ceil(np.ones(self.d) / self.cell_size) + ).astype(int) + + self._initialize_grid_pool() + + def _initialize_grid_pool(self): + """Sampling pool and sample grid.""" + self.sample_pool = [] + # Positions of cells + # n-dim value for each grid cell + self.sample_grid = np.empty( + np.append(self.grid_size, self.d), + dtype=np.float32 + ) + # Initialise empty cells with NaNs + self.sample_grid.fill(np.nan) + + def _random( + self, n: IntNumber = 1, *, workers: IntNumber = 1 + ) -> np.ndarray: + """Draw `n` in the interval ``[0, 1]``. + + Note that it can return fewer samples if the space is full. + See the note section of the class. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + + Returns + ------- + sample : array_like (n, d) + QMC sample. + + """ + if n == 0 or self.d == 0: + return np.empty((n, self.d)) + + def in_limits(sample: np.ndarray) -> bool: + return (sample.max() <= 1.) and (sample.min() >= 0.) + + def in_neighborhood(candidate: np.ndarray, n: int = 2) -> bool: + """ + Check if there are samples closer than ``radius_squared`` to the + `candidate` sample. + """ + indices = (candidate / self.cell_size).astype(int) + ind_min = np.maximum(indices - n, np.zeros(self.d, dtype=int)) + ind_max = np.minimum(indices + n + 1, self.grid_size) + + # Check if the center cell is empty + if not np.isnan(self.sample_grid[tuple(indices)][0]): + return True + + a = [slice(ind_min[i], ind_max[i]) for i in range(self.d)] + + # guards against: invalid value encountered in less as we are + # comparing with nan and returns False. Which is wanted. + with np.errstate(invalid='ignore'): + if np.any( + np.sum( + np.square(candidate - self.sample_grid[tuple(a)]), + axis=self.d + ) < self.radius_squared + ): + return True + + return False + + def add_sample(candidate: np.ndarray) -> None: + self.sample_pool.append(candidate) + indices = (candidate / self.cell_size).astype(int) + self.sample_grid[tuple(indices)] = candidate + curr_sample.append(candidate) + + curr_sample: list[np.ndarray] = [] + + if len(self.sample_pool) == 0: + # the pool is being initialized with a single random sample + add_sample(self.rng.random(self.d)) + num_drawn = 1 + else: + num_drawn = 0 + + # exhaust sample pool to have up to n sample + while len(self.sample_pool) and num_drawn < n: + # select a sample from the available pool + idx_center = rng_integers(self.rng, len(self.sample_pool)) + center = self.sample_pool[idx_center] + del self.sample_pool[idx_center] + + # generate candidates around the center sample + candidates = self.hypersphere_method( + center, self.radius * self.radius_factor, self.ncandidates + ) + + # keep candidates that satisfy some conditions + for candidate in candidates: + if in_limits(candidate) and not in_neighborhood(candidate): + add_sample(candidate) + + num_drawn += 1 + if num_drawn >= n: + break + + self.num_generated += num_drawn + return np.array(curr_sample) + + def fill_space(self) -> np.ndarray: + """Draw ``n`` samples in the interval ``[0, 1]``. + + Unlike `random`, this method will try to add points until + the space is full. Depending on ``candidates`` (and to a lesser extent + other parameters), some empty areas can still be present in the sample. + + .. warning:: + + This can be extremely slow in high dimensions or if the + ``radius`` is very small-with respect to the dimensionality. + + Returns + ------- + sample : array_like (n, d) + QMC sample. + + """ + return self.random(np.inf) # type: ignore[arg-type] + + def reset(self) -> PoissonDisk: + """Reset the engine to base state. + + Returns + ------- + engine : PoissonDisk + Engine reset to its base state. + + """ + super().reset() + self._initialize_grid_pool() + return self + + def _hypersphere_volume_sample( + self, center: np.ndarray, radius: DecimalNumber, + candidates: IntNumber = 1 + ) -> np.ndarray: + """Uniform sampling within hypersphere.""" + # should remove samples within r/2 + x = self.rng.standard_normal(size=(candidates, self.d)) + ssq = np.sum(x**2, axis=1) + fr = radius * gammainc(self.d/2, ssq/2)**(1/self.d) / np.sqrt(ssq) + fr_tiled = np.tile( + fr.reshape(-1, 1), (1, self.d) # type: ignore[arg-type] + ) + p = center + np.multiply(x, fr_tiled) + return p + + def _hypersphere_surface_sample( + self, center: np.ndarray, radius: DecimalNumber, + candidates: IntNumber = 1 + ) -> np.ndarray: + """Uniform sampling on the hypersphere's surface.""" + vec = self.rng.standard_normal(size=(candidates, self.d)) + vec /= np.linalg.norm(vec, axis=1)[:, None] + p = center + np.multiply(vec, radius) + return p + + +class MultivariateNormalQMC: + r"""QMC sampling from a multivariate Normal :math:`N(\mu, \Sigma)`. + + Parameters + ---------- + mean : array_like (d,) + The mean vector. Where ``d`` is the dimension. + cov : array_like (d, d), optional + The covariance matrix. If omitted, use `cov_root` instead. + If both `cov` and `cov_root` are omitted, use the identity matrix. + cov_root : array_like (d, d'), optional + A root decomposition of the covariance matrix, where ``d'`` may be less + than ``d`` if the covariance is not full rank. If omitted, use `cov`. + inv_transform : bool, optional + If True, use inverse transform instead of Box-Muller. Default is True. + engine : QMCEngine, optional + Quasi-Monte Carlo engine sampler. If None, `Sobol` is used. + seed : {None, int, `numpy.random.Generator`}, optional + Used only if `engine` is None. + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Examples + -------- + >>> import matplotlib.pyplot as plt + >>> from scipy.stats import qmc + >>> dist = qmc.MultivariateNormalQMC(mean=[0, 5], cov=[[1, 0], [0, 1]]) + >>> sample = dist.random(512) + >>> _ = plt.scatter(sample[:, 0], sample[:, 1]) + >>> plt.show() + + """ + + def __init__( + self, mean: npt.ArrayLike, cov: npt.ArrayLike | None = None, *, + cov_root: npt.ArrayLike | None = None, + inv_transform: bool = True, + engine: QMCEngine | None = None, + seed: SeedType = None + ) -> None: + mean = np.asarray(np.atleast_1d(mean)) + d = mean.shape[0] + if cov is not None: + # covariance matrix provided + cov = np.asarray(np.atleast_2d(cov)) + # check for square/symmetric cov matrix and mean vector has the + # same d + if not mean.shape[0] == cov.shape[0]: + raise ValueError("Dimension mismatch between mean and " + "covariance.") + if not np.allclose(cov, cov.transpose()): + raise ValueError("Covariance matrix is not symmetric.") + # compute Cholesky decomp; if it fails, do the eigen decomposition + try: + cov_root = np.linalg.cholesky(cov).transpose() + except np.linalg.LinAlgError: + eigval, eigvec = np.linalg.eigh(cov) + if not np.all(eigval >= -1.0e-8): + raise ValueError("Covariance matrix not PSD.") + eigval = np.clip(eigval, 0.0, None) + cov_root = (eigvec * np.sqrt(eigval)).transpose() + elif cov_root is not None: + # root decomposition provided + cov_root = np.atleast_2d(cov_root) + if not mean.shape[0] == cov_root.shape[0]: + raise ValueError("Dimension mismatch between mean and " + "covariance.") + else: + # corresponds to identity covariance matrix + cov_root = None + + self._inv_transform = inv_transform + + if not inv_transform: + # to apply Box-Muller, we need an even number of dimensions + engine_dim = 2 * math.ceil(d / 2) + else: + engine_dim = d + if engine is None: + self.engine = Sobol( + d=engine_dim, scramble=True, bits=30, seed=seed + ) # type: QMCEngine + elif isinstance(engine, QMCEngine): + if engine.d != engine_dim: + raise ValueError("Dimension of `engine` must be consistent" + " with dimensions of mean and covariance." + " If `inv_transform` is False, it must be" + " an even number.") + self.engine = engine + else: + raise ValueError("`engine` must be an instance of " + "`scipy.stats.qmc.QMCEngine` or `None`.") + + self._mean = mean + self._corr_matrix = cov_root + + self._d = d + + def random(self, n: IntNumber = 1) -> np.ndarray: + """Draw `n` QMC samples from the multivariate Normal. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + + Returns + ------- + sample : array_like (n, d) + Sample. + + """ + base_samples = self._standard_normal_samples(n) + return self._correlate(base_samples) + + def _correlate(self, base_samples: np.ndarray) -> np.ndarray: + if self._corr_matrix is not None: + return base_samples @ self._corr_matrix + self._mean + else: + # avoid multiplying with identity here + return base_samples + self._mean + + def _standard_normal_samples(self, n: IntNumber = 1) -> np.ndarray: + """Draw `n` QMC samples from the standard Normal :math:`N(0, I_d)`. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + + Returns + ------- + sample : array_like (n, d) + Sample. + + """ + # get base samples + samples = self.engine.random(n) + if self._inv_transform: + # apply inverse transform + # (values to close to 0/1 result in inf values) + return stats.norm.ppf(0.5 + (1 - 1e-10) * (samples - 0.5)) # type: ignore[attr-defined] # noqa: E501 + else: + # apply Box-Muller transform (note: indexes starting from 1) + even = np.arange(0, samples.shape[-1], 2) + Rs = np.sqrt(-2 * np.log(samples[:, even])) + thetas = 2 * math.pi * samples[:, 1 + even] + cos = np.cos(thetas) + sin = np.sin(thetas) + transf_samples = np.stack([Rs * cos, Rs * sin], + -1).reshape(n, -1) + # make sure we only return the number of dimension requested + return transf_samples[:, : self._d] + + +class MultinomialQMC: + r"""QMC sampling from a multinomial distribution. + + Parameters + ---------- + pvals : array_like (k,) + Vector of probabilities of size ``k``, where ``k`` is the number + of categories. Elements must be non-negative and sum to 1. + n_trials : int + Number of trials. + engine : QMCEngine, optional + Quasi-Monte Carlo engine sampler. If None, `Sobol` is used. + seed : {None, int, `numpy.random.Generator`}, optional + Used only if `engine` is None. + If `seed` is an int or None, a new `numpy.random.Generator` is + created using ``np.random.default_rng(seed)``. + If `seed` is already a ``Generator`` instance, then the provided + instance is used. + + Examples + -------- + Let's define 3 categories and for a given sample, the sum of the trials + of each category is 8. The number of trials per category is determined + by the `pvals` associated to each category. + Then, we sample this distribution 64 times. + + >>> import matplotlib.pyplot as plt + >>> from scipy.stats import qmc + >>> dist = qmc.MultinomialQMC( + ... pvals=[0.2, 0.4, 0.4], n_trials=10, engine=qmc.Halton(d=1) + ... ) + >>> sample = dist.random(64) + + We can plot the sample and verify that the median of number of trials + for each category is following the `pvals`. That would be + ``pvals * n_trials = [2, 4, 4]``. + + >>> fig, ax = plt.subplots() + >>> ax.yaxis.get_major_locator().set_params(integer=True) + >>> _ = ax.boxplot(sample) + >>> ax.set(xlabel="Categories", ylabel="Trials") + >>> plt.show() + + """ + + def __init__( + self, pvals: npt.ArrayLike, n_trials: IntNumber, + *, engine: QMCEngine | None = None, + seed: SeedType = None + ) -> None: + self.pvals = np.atleast_1d(np.asarray(pvals)) + if np.min(pvals) < 0: + raise ValueError('Elements of pvals must be non-negative.') + if not np.isclose(np.sum(pvals), 1): + raise ValueError('Elements of pvals must sum to 1.') + self.n_trials = n_trials + if engine is None: + self.engine = Sobol( + d=1, scramble=True, bits=30, seed=seed + ) # type: QMCEngine + elif isinstance(engine, QMCEngine): + if engine.d != 1: + raise ValueError("Dimension of `engine` must be 1.") + self.engine = engine + else: + raise ValueError("`engine` must be an instance of " + "`scipy.stats.qmc.QMCEngine` or `None`.") + + def random(self, n: IntNumber = 1) -> np.ndarray: + """Draw `n` QMC samples from the multinomial distribution. + + Parameters + ---------- + n : int, optional + Number of samples to generate in the parameter space. Default is 1. + + Returns + ------- + samples : array_like (n, pvals) + Sample. + + """ + sample = np.empty((n, len(self.pvals))) + for i in range(n): + base_draws = self.engine.random(self.n_trials).ravel() + p_cumulative = np.empty_like(self.pvals, dtype=float) + _fill_p_cumulative(np.array(self.pvals, dtype=float), p_cumulative) + sample_ = np.zeros_like(self.pvals, dtype=np.intp) + _categorize(base_draws, p_cumulative, sample_) + sample[i] = sample_ + return sample + + +def _select_optimizer( + optimization: Literal["random-cd", "lloyd"] | None, config: dict +) -> Callable | None: + """A factory for optimization methods.""" + optimization_method: dict[str, Callable] = { + "random-cd": _random_cd, + "lloyd": _lloyd_centroidal_voronoi_tessellation + } + + optimizer: partial | None + if optimization is not None: + try: + optimization = optimization.lower() # type: ignore[assignment] + optimizer_ = optimization_method[optimization] + except KeyError as exc: + message = (f"{optimization!r} is not a valid optimization" + f" method. It must be one of" + f" {set(optimization_method)!r}") + raise ValueError(message) from exc + + # config + optimizer = partial(optimizer_, **config) + else: + optimizer = None + + return optimizer + + +def _random_cd( + best_sample: np.ndarray, n_iters: int, n_nochange: int, rng: GeneratorType, + **kwargs: dict +) -> np.ndarray: + """Optimal LHS on CD. + + Create a base LHS and do random permutations of coordinates to + lower the centered discrepancy. + Because it starts with a normal LHS, it also works with the + `scramble` keyword argument. + + Two stopping criterion are used to stop the algorithm: at most, + `n_iters` iterations are performed; or if there is no improvement + for `n_nochange` consecutive iterations. + """ + del kwargs # only use keywords which are defined, needed by factory + + n, d = best_sample.shape + + if d == 0 or n == 0: + return np.empty((n, d)) + + if d == 1 or n == 1: + # discrepancy measures are invariant under permuting factors and runs + return best_sample + + best_disc = discrepancy(best_sample) + + bounds = ([0, d - 1], + [0, n - 1], + [0, n - 1]) + + n_nochange_ = 0 + n_iters_ = 0 + while n_nochange_ < n_nochange and n_iters_ < n_iters: + n_iters_ += 1 + + col = rng_integers(rng, *bounds[0], endpoint=True) # type: ignore[misc] + row_1 = rng_integers(rng, *bounds[1], endpoint=True) # type: ignore[misc] + row_2 = rng_integers(rng, *bounds[2], endpoint=True) # type: ignore[misc] + disc = _perturb_discrepancy(best_sample, + row_1, row_2, col, + best_disc) + if disc < best_disc: + best_sample[row_1, col], best_sample[row_2, col] = ( + best_sample[row_2, col], best_sample[row_1, col]) + + best_disc = disc + n_nochange_ = 0 + else: + n_nochange_ += 1 + + return best_sample + + +def _l1_norm(sample: np.ndarray) -> float: + return distance.pdist(sample, 'cityblock').min() + + +def _lloyd_iteration( + sample: np.ndarray, + decay: float, + qhull_options: str +) -> np.ndarray: + """Lloyd-Max algorithm iteration. + + Based on the implementation of Stéfan van der Walt: + + https://github.com/stefanv/lloyd + + which is: + + Copyright (c) 2021-04-21 Stéfan van der Walt + https://github.com/stefanv/lloyd + MIT License + + Parameters + ---------- + sample : array_like (n, d) + The sample to iterate on. + decay : float + Relaxation decay. A positive value would move the samples toward + their centroid, and negative value would move them away. + 1 would move the samples to their centroid. + qhull_options : str + Additional options to pass to Qhull. See Qhull manual + for details. (Default: "Qbb Qc Qz Qj Qx" for ndim > 4 and + "Qbb Qc Qz Qj" otherwise.) + + Returns + ------- + sample : array_like (n, d) + The sample after an iteration of Lloyd's algorithm. + + """ + new_sample = np.empty_like(sample) + + voronoi = Voronoi(sample, qhull_options=qhull_options) + + for ii, idx in enumerate(voronoi.point_region): + # the region is a series of indices into self.voronoi.vertices + # remove samples at infinity, designated by index -1 + region = [i for i in voronoi.regions[idx] if i != -1] + + # get the vertices for this region + verts = voronoi.vertices[region] + + # clipping would be wrong, we need to intersect + # verts = np.clip(verts, 0, 1) + + # move samples towards centroids: + # Centroid in n-D is the mean for uniformly distributed nodes + # of a geometry. + centroid = np.mean(verts, axis=0) + new_sample[ii] = sample[ii] + (centroid - sample[ii]) * decay + + # only update sample to centroid within the region + is_valid = np.all(np.logical_and(new_sample >= 0, new_sample <= 1), axis=1) + sample[is_valid] = new_sample[is_valid] + + return sample + + +def _lloyd_centroidal_voronoi_tessellation( + sample: npt.ArrayLike, + *, + tol: DecimalNumber = 1e-5, + maxiter: IntNumber = 10, + qhull_options: str | None = None, + **kwargs: dict +) -> np.ndarray: + """Approximate Centroidal Voronoi Tessellation. + + Perturb samples in N-dimensions using Lloyd-Max algorithm. + + Parameters + ---------- + sample : array_like (n, d) + The sample to iterate on. With ``n`` the number of samples and ``d`` + the dimension. Samples must be in :math:`[0, 1]^d`, with ``d>=2``. + tol : float, optional + Tolerance for termination. If the min of the L1-norm over the samples + changes less than `tol`, it stops the algorithm. Default is 1e-5. + maxiter : int, optional + Maximum number of iterations. It will stop the algorithm even if + `tol` is above the threshold. + Too many iterations tend to cluster the samples as a hypersphere. + Default is 10. + qhull_options : str, optional + Additional options to pass to Qhull. See Qhull manual + for details. (Default: "Qbb Qc Qz Qj Qx" for ndim > 4 and + "Qbb Qc Qz Qj" otherwise.) + + Returns + ------- + sample : array_like (n, d) + The sample after being processed by Lloyd-Max algorithm. + + Notes + ----- + Lloyd-Max algorithm is an iterative process with the purpose of improving + the dispersion of samples. For given sample: (i) compute a Voronoi + Tessellation; (ii) find the centroid of each Voronoi cell; (iii) move the + samples toward the centroid of their respective cell. See [1]_, [2]_. + + A relaxation factor is used to control how fast samples can move at each + iteration. This factor is starting at 2 and ending at 1 after `maxiter` + following an exponential decay. + + The process converges to equally spaced samples. It implies that measures + like the discrepancy could suffer from too many iterations. On the other + hand, L1 and L2 distances should improve. This is especially true with + QMC methods which tend to favor the discrepancy over other criteria. + + .. note:: + + The current implementation does not intersect the Voronoi Tessellation + with the boundaries. This implies that for a low number of samples, + empirically below 20, no Voronoi cell is touching the boundaries. + Hence, samples cannot be moved close to the boundaries. + + Further improvements could consider the samples at infinity so that + all boundaries are segments of some Voronoi cells. This would fix + the computation of the centroid position. + + .. warning:: + + The Voronoi Tessellation step is expensive and quickly becomes + intractable with dimensions as low as 10 even for a sample + of size as low as 1000. + + .. versionadded:: 1.9.0 + + References + ---------- + .. [1] Lloyd. "Least Squares Quantization in PCM". + IEEE Transactions on Information Theory, 1982. + .. [2] Max J. "Quantizing for minimum distortion". + IEEE Transactions on Information Theory, 1960. + + Examples + -------- + >>> import numpy as np + >>> from scipy.spatial import distance + >>> from scipy.stats._qmc import _lloyd_centroidal_voronoi_tessellation + >>> rng = np.random.default_rng() + >>> sample = rng.random((128, 2)) + + .. note:: + + The samples need to be in :math:`[0, 1]^d`. `scipy.stats.qmc.scale` + can be used to scale the samples from their + original bounds to :math:`[0, 1]^d`. And back to their original bounds. + + Compute the quality of the sample using the L1 criterion. + + >>> def l1_norm(sample): + ... return distance.pdist(sample, 'cityblock').min() + + >>> l1_norm(sample) + 0.00161... # random + + Now process the sample using Lloyd's algorithm and check the improvement + on the L1. The value should increase. + + >>> sample = _lloyd_centroidal_voronoi_tessellation(sample) + >>> l1_norm(sample) + 0.0278... # random + + """ + del kwargs # only use keywords which are defined, needed by factory + + sample = np.asarray(sample).copy() + + if not sample.ndim == 2: + raise ValueError('`sample` is not a 2D array') + + if not sample.shape[1] >= 2: + raise ValueError('`sample` dimension is not >= 2') + + # Checking that sample is within the hypercube + if (sample.max() > 1.) or (sample.min() < 0.): + raise ValueError('`sample` is not in unit hypercube') + + if qhull_options is None: + qhull_options = 'Qbb Qc Qz QJ' + + if sample.shape[1] >= 5: + qhull_options += ' Qx' + + # Fit an exponential to be 2 at 0 and 1 at `maxiter`. + # The decay is used for relaxation. + # analytical solution for y=exp(-maxiter/x) - 0.1 + root = -maxiter / np.log(0.1) + decay = [np.exp(-x / root)+0.9 for x in range(maxiter)] + + l1_old = _l1_norm(sample=sample) + for i in range(maxiter): + sample = _lloyd_iteration( + sample=sample, decay=decay[i], + qhull_options=qhull_options, + ) + + l1_new = _l1_norm(sample=sample) + + if abs(l1_new - l1_old) < tol: + break + else: + l1_old = l1_new + + return sample + + +def _validate_workers(workers: IntNumber = 1) -> IntNumber: + """Validate `workers` based on platform and value. + + Parameters + ---------- + workers : int, optional + Number of workers to use for parallel processing. If -1 is + given all CPU threads are used. Default is 1. + + Returns + ------- + Workers : int + Number of CPU used by the algorithm + + """ + workers = int(workers) + if workers == -1: + workers = os.cpu_count() # type: ignore[assignment] + if workers is None: + raise NotImplementedError( + "Cannot determine the number of cpus using os.cpu_count(), " + "cannot use -1 for the number of workers" + ) + elif workers <= 0: + raise ValueError(f"Invalid number of workers: {workers}, must be -1 " + "or > 0") + + return workers + + +def _validate_bounds( + l_bounds: npt.ArrayLike, u_bounds: npt.ArrayLike, d: int +) -> tuple[np.ndarray, ...]: + """Bounds input validation. + + Parameters + ---------- + l_bounds, u_bounds : array_like (d,) + Lower and upper bounds. + d : int + Dimension to use for broadcasting. + + Returns + ------- + l_bounds, u_bounds : array_like (d,) + Lower and upper bounds. + + """ + try: + lower = np.broadcast_to(l_bounds, d) + upper = np.broadcast_to(u_bounds, d) + except ValueError as exc: + msg = ("'l_bounds' and 'u_bounds' must be broadcastable and respect" + " the sample dimension") + raise ValueError(msg) from exc + + if not np.all(lower < upper): + raise ValueError("Bounds are not consistent 'l_bounds' < 'u_bounds'") + + return lower, upper