scipy-yli/yli/distributions.py

#   scipy-yli: Helpful SciPy utilities and recipes
#   Copyright © 2022  Lee Yingtong Li (RunasSudo)
#
#   This program is free software: you can redistribute it and/or modify
#   it under the terms of the GNU Affero General Public License as published by
#   the Free Software Foundation, either version 3 of the License, or
#   (at your option) any later version.
#
#   This program is distributed in the hope that it will be useful,
#   but WITHOUT ANY WARRANTY; without even the implied warranty of
#   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
#   GNU Affero General Public License for more details.
#
#   You should have received a copy of the GNU Affero General Public License
#   along with this program.  If not, see <https://www.gnu.org/licenses/>.

import mpmath
import numpy as np
from scipy import integrate, optimize, stats

import collections

class betarat_gen(stats.rv_continuous):
	"""
	Ratio of 2 independent beta-distributed variables
	Ratio of Beta(a1, b1) / Beta(a2, b2)
	
	References:
	1. Pham-Gia T. Distributions of the ratios of independent beta variables and applications. Communications in Statistics: Theory and Methods. 2000;29(12):2693–715. doi: 10.1080/03610920008832632
	2. Weekend Editor. On the ratio of Beta-distributed random variables. Some Weekend Reading. 2021 Sep 13. https://www.someweekendreading.blog/beta-ratios/
	"""
	
	# TODO: _rvs based on stats.beta
	
	def from_scipy(self, beta1, beta2):
		"""Construct a new beta_ratio distribution from two SciPy beta distributions"""
		return self(*beta1.args, *beta2.args)
	
	def _do_vectorized(self, func, x, a1, b1, a2, b2):
		"""Helper function to call the implementation over potentially multiple values"""
		
		x = np.atleast_1d(x)
		result = np.zeros(x.size)
		for i, (x_, a1_, b1_, a2_, b2_) in enumerate(zip(x, np.pad(a1, x.size, 'edge'), np.pad(b1, x.size, 'edge'), np.pad(a2, x.size, 'edge'), np.pad(b2, x.size, 'edge'))):
			result[i] = func(x_, a1_, b1_, a2_, b2_)
		return result
	
	def _pdf_one(self, w, a1, b1, a2, b2):
		"""PDF for the distribution, given by Pham-Gia"""
		
		if w <= 0:
			return 0
		elif w < 1:
			term1 = mpmath.beta(a1 + a2, b2) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = mpmath.power(w, a1 - 1)
			term3 = mpmath.hyp2f1(a1 + a2, 1 - b1, a1 + a2 + b2, w)
		else:
			term1 = mpmath.beta(a1 + a2, b1) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = 1 / mpmath.power(w, a2 + 1)
			term3 = mpmath.hyp2f1(a1 + a2, 1 - b2, a1 + a2 + b1, 1/w)
		
		return float(term1 * term2 * term3)
	
	def _pdf(self, w, a1, b1, a2, b2):
		return self._do_vectorized(self._pdf_one, w, a1, b1, a2, b2)
	
	def _cdf_one(self, w, a1, b1, a2, b2):
		"""PDF for the distribution, given by Pham-Gia"""
		
		if w <= 0:
			return 0
		elif w < 1:
			term1 = mpmath.beta(a1 + a2, b2) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = mpmath.power(w, a1) / a1
			term3 = mpmath.hyper([a1, a1 + a2, 1 - b1], [a1 + 1, a1 + a2 + b2], w)
			return float(term1 * term2 * term3)
		else:
			term1 = mpmath.beta(a1 + a2, b1) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = 1 / (a2 * mpmath.power(w, a2))
			term3 = mpmath.hyper([a2, a1 + a2, 1 - b2], [a2 + 1, a1 + a2 + b1], 1/w)
			return 1 - float(term1 * term2 * term3)
	
	def _cdf(self, w, a1, b1, a2, b2):
		return self._do_vectorized(self._cdf_one, w, a1, b1, a2, b2)
	
	def _munp_one(self, k, a1, b1, a2, b2):
		"""Moments of the distribution, given by Weekend Editor"""
		
		term1 = mpmath.rf(a1, k) * mpmath.rf(a2 + b2 - k, k)
		term2 = mpmath.rf(a1 + b1, k) * mpmath.rf(a2 - k, k)
		return float(term1 / term2)
	
	def _munp(self, k, a1, b1, a2, b2):
		return self._do_vectorized(self._munp_one, k, a1, b1, a2, b2)

beta_ratio = betarat_gen(name='beta_ratio', a=0)  # a = lower bound of support

class betaoddsrat_gen(stats.rv_continuous):
	"""
	Ratio of the odds of 2 independent beta-distributed variables
	Ratio of (X/(1-X)) / (Y/(1-Y)), where X ~ Beta(a1, b1), Y ~ Beta(a2, b2)
	
	Reference:
	Hora SC, Kelley GD. Bayesian inference on the odds and risk ratios. Communications in Statistics: Theory and Methods. 1983;12(6):725–38. doi: 10.1080/03610928308828491
	"""
	
	# TODO: _rvs based on stats.beta
	
	def from_scipy(self, beta1, beta2):
		"""Construct a new beta_ratio distribution from two SciPy beta distributions"""
		return self(*beta1.args, *beta2.args)
	
	def _do_vectorized(self, func, x, a1, b1, a2, b2):
		"""Helper function to call the implementation over potentially multiple values"""
		
		x = np.atleast_1d(x)
		result = np.zeros(x.size)
		for i, (x_, a1_, b1_, a2_, b2_) in enumerate(zip(x, np.pad(np.atleast_1d(a1), x.size, 'edge'), np.pad(np.atleast_1d(b1), x.size, 'edge'), np.pad(np.atleast_1d(a2), x.size, 'edge'), np.pad(np.atleast_1d(b2), x.size, 'edge'))):
			result[i] = func(x_, a1_, b1_, a2_, b2_)
		return result
	
	def _pdf_one(self, w, a1, b1, a2, b2):
		"""PDF for the distribution, given by Hora & Kelley"""
		
		if w <= 0:
			return 0
		elif w < 1:
			term1 = mpmath.beta(a1 + a2, b1 + b2) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = mpmath.power(w, a1 - 1)
			term3 = mpmath.hyp2f1(a1 + b1, a1 + a2, a1 + a2 + b1 + b2, 1 - w)
		else:
			term1 = mpmath.beta(a1 + a2, b1 + b2) / (mpmath.beta(a1, b1) * mpmath.beta(a2, b2))
			term2 = mpmath.power(w, -a2 - 1)
			term3 = mpmath.hyp2f1(a2 + b2, a1 + a2, a1 + a2 + b1 + b2, 1 - mpmath.power(w, -1))
		
		return float(term1 * term2 * term3)
	
	def _pdf(self, w, a1, b1, a2, b2):
		return self._do_vectorized(self._pdf_one, w, a1, b1, a2, b2)
	
	def _cdf(self, w, a1, b1, a2, b2):
		"""CDF for the distribution, computed by integrating the PDF"""
		
		w = np.atleast_1d(w)
		a1 = np.atleast_1d(a1)
		b1 = np.atleast_1d(b1)
		a2 = np.atleast_1d(a2)
		b2 = np.atleast_1d(b2)
		
		if not ((a1 == a1[0]).all() and (b1 == b1[0]).all() and (a2 == a2[0]).all() and (b2 == b2[0]).all()):
			raise ValueError('Cannot compute CDF from different distributions')
		
		if w.size == 1:
			if w <= 0:
				return 0
			
			# Just compute an integral
			if w < self.mean(a1, b1, a2, b2):
				# Integrate normally
				return integrate.quad(lambda x: self._pdf_one(x, a1[0], b1[0], a2[0], b2[0]), 0, w)[0]
			else:
				# Integrate on the distribution of 1/w (much faster)
				return 1 - integrate.quad(lambda x: self._pdf_one(x, a2[0], b2[0], a1[0], b1[0]), 0, 1/w)[0]
		else:
			# Multiple points requested: use ODE solver
			solution = integrate.solve_ivp(lambda x, _: self._pdf_one(x, a1[0], b1[0], a2[0], b2[0]), (0, w.max()), [0], t_eval=w, method='LSODA', rtol=1.5e-8, atol=1.5e-8)
			return solution.y
	
	def _ppf_one(self, p, a1, b1, a2, b2):
		"""PPF for the distribution, using Newton's method"""
		
		# Default SciPy implementation uses Brent's method
		# This one is a bit faster
		
		if p <= 0:
			return 0
		
		# Initial guess based on log-normal approximation
		mean = self.mean(a1, b1, a2, b2)
		se_log = self.std(a1, b1, a2, b2)/mean
		initial_guess = np.exp(np.log(mean) + stats.norm.ppf(p) * se_log)
		
		try:
			return optimize.newton(lambda x: self.cdf(x, a1, b1, a2, b2) - p, x0=initial_guess, fprime=lambda x: self.pdf(x, a1, b1, a2, b2))
		except RuntimeError:
			# Failed to converge with Newton's method :(
			# Use Brent's method instead
			return super()._ppf(p, a1, b1, a2, b2)
	
	def _ppf(self, p, a1, b1, a2, b2):
		return self._do_vectorized(self._ppf_one, p, a1, b1, a2, b2)
	
	def _munp_one(self, k, a1, b1, a2, b2):
		"""Moments of the distribution, given by Hora & Kelley"""
		
		term1 = mpmath.rf(a1, k) * mpmath.rf(b2, k)
		term2 = mpmath.rf(b1 - k, k) * mpmath.rf(a2 - k, k)
		return float(term1 / term2)
	
	def _munp(self, k, a1, b1, a2, b2):
		return self._do_vectorized(self._munp_one, k, a1, b1, a2, b2)

beta_oddsratio = betaoddsrat_gen(name='beta_oddsratio', a=0)  # a = lower bound of support

ConfidenceInterval = collections.namedtuple('ConfidenceInterval', ['lower', 'upper'])

def hdi(distribution, level=0.95):
	"""
	Get the highest density interval for the distribution, e.g. for a Bayesian posterior, the highest posterior density interval (HPD/HDI)
	"""
	
	# For a given lower limit, we can compute the corresponding 95% interval
	def interval_width(lower):
		upper = distribution.ppf(distribution.cdf(lower) + level)
		return upper - lower
	
	# Find such interval which has the smallest width
	# Use equal-tailed interval as initial guess
	initial_guess = distribution.ppf((1-level)/2)
	optimize_result = optimize.minimize(interval_width, initial_guess)  # TODO: Allow customising parameters
	
	lower_limit = optimize_result.x[0]
	width = optimize_result.fun
	upper_limit = lower_limit + width
	
	return ConfidenceInterval(lower_limit, upper_limit)