[−][src]Crate markovian
Simulation of (sub-)stochastic processes.
Goal
Serve as an extension of the rand crate for sub-stochastic processes.
Examples
Discrete time
Construction of a random walk in the integers.
let init_state: i32 = 0; let transition = |state: &i32| raw_dist![(0.5, state + 1), (0.5, state - 1)]; let rng = thread_rng(); let mut mc = markovian::MarkovChain::new(init_state, transition, rng);
Branching process
Construction using density p(0) = 0.3, p(1) = 0.4, p(2) = 0.3.
let init_state: u32 = 1; let base_distribution = raw_dist![(0.3, 0), (0.4, 1), (0.3, 2)]; let rng = thread_rng(); let mut branching_process = markovian::BranchingProcess::new(init_state, base_distribution, rng);
Continuous time
Construction of a random walk in the integers, with expponential time for each transition.
let init_state: i32 = 0; struct MyTransition; impl markovian::Transition<i32, (f64, i32)> for MyTransition { fn sample_from<R: ?Sized>(&self, state: &i32, rng: &mut R) -> (f64, i32) where R: Rng { let time = Exp::new(2.0).unwrap().sample(rng); let step = Uniform::from(0..=1).sample(rng) * 2 - 1; (time, state + step) } } let transition = MyTransition; let rng = thread_rng(); let mut mc = markovian::TimedMarkovChain::new(init_state, transition, rng);
Remarks
All methods are inline
, by design.
Non-trivial ways to use the crate are described below, including time dependence, continuous space and non-markovian processes.
Time dependence
Include the time as part of the state of the process.
Examples
A random walk on the integers that tends to move more to the right as time goes by.
let init_state: (usize, i32) = (0, 0); let transition = |(time, state): &(usize, i32)| raw_dist![ (0.6 - 1.0 / (time + 2) as f64, (time + 1, state + 1)), (0.4 + 1.0 / (time + 2) as f64, (time + 1, state - 1)) ]; let rng = thread_rng(); let mut mc = markovian::MarkovChain::new(init_state, &transition, rng); // Take a sample of 10 elements mc.take(10).map(|(_, state)| state).collect::<Vec<i32>>();
Continuous space
Randomize the transition: return a random element together with a probability one
Examples
A random walk on the real line with variable step size.
let init_state: f64 = 0.0; struct MyTransition; impl markovian::Transition<f64, f64> for MyTransition { fn sample_from<R: ?Sized>(&self, state: &f64, rng: &mut R) -> f64 where R: Rng { let step = Exp::new(2.0).unwrap().sample(rng); state + step } } let transition = MyTransition; let rng = thread_rng(); let mut mc = markovian::MarkovChain::new(init_state, transition, rng); mc.next(); // current_state is positive assert!(mc.state().unwrap() > &0.0);
Non markovian
Include history in the state. For example, instead of i32
, use Vec<i32>
.
Examples
A random walk on the integers that is atracted to zero in a non markovian fashion.
let init_state: Vec<i32> = vec![0]; let transition = |state: &Vec<i32>| { // New possible states let mut right = state.clone(); right.push(state[state.len() - 1] + 1); let mut left = state.clone(); left.push(state[state.len() - 1] - 1); // Some non markovian transtion let path_stadistic: i32 = state.iter().sum(); if path_stadistic.is_positive() { raw_dist![ (1.0 / (path_stadistic.abs() + 1) as f64, right), (1.0 - 1.0 / (path_stadistic.abs() + 1) as f64, left) ] } else { raw_dist![ (1.0 - 1.0 / (path_stadistic.abs() + 1) as f64, right), (1.0 / (path_stadistic.abs() + 1) as f64, left) ] } }; let rng = thread_rng(); let mut mc = markovian::MarkovChain::new(init_state, transition, rng); // state has history mc.next(); assert_eq!(mc.state().unwrap().len(), 2);
Modules
distributions | Ease interoperability with rand_distr crate. |
errors | Errors of this crate. |
prelude | Ease of use of this crate in general. |
Macros
raw_dist | Creates a |
Structs
BranchingProcess | Branching process in the natural numbers NN = {0, 1, 2, ...}. |
ContFiniteMarkovChain | Finite state Markov Chain in continuous time. |
FiniteMarkovChain | Finite state Markov Chain in discrete time. |
MarkovChain | Markov Chain in discrete time, with arbitrary space. |
TimedMarkovChain | Markov Chain in continuous time, with arbitrary space. |
Traits
State | Possible public state. |
StateIterator | Iterator with an internal state that is thought as the "zero" element. |
Transition | Abstraction over transition matrix. |