ruby-erv

Easy/elegant random variable library

Description

ruby-erv is a library that enables to create objects representing random variables with a given probability distribution (gaussian, uniform, etc.) and to sample from them. ruby-erv was built from code that I extracted out of several scientific software I wrote for my research projects.

Installation

You can get the stable version of ruby-erv by installing the erv gem from RubyGems:

gem install erv

Examples

Here is a rather self-explanatory example demonstrating how to create random variables using ruby-erv, and how to sample from them:

require 'erv'

# Gaussian random variable with mean 10 and standard deviation 2
gaussian_rv = ERV::RandomVariable.new(distribution: :gaussian,
                                      mean: 10, sd: 2)
s1 = gaussian_rv.sample

# Geometric random variable with probability of success 0.3
geometric_rv = ERV::RandomVariable.new(distribution: :geometric,
                                       probability_of_success: 0.3)
s2 = geometric_rv.sample

Starting from version 0.2.0, ruby-erv also supports mixture models. Here is a simple example of how to create a random variable with an exponential mixture distribution:

require 'erv'

emd = ERV::MixtureDistribution.new([ { distribution: :exponential, rate: 1.0, weight: 100.0 },
                                     { distribution: :exponential, rate: 2.0, weight: 200.0 },
                                     { distribution: :exponential, rate: 3.0, weight: 300.0 } ])
s3 = emd.sample

Implementation notes

Starting from version 0.2.0, ruby-erv makes use of the standard (Pseudo) Random Number Generator provided by Ruby VMs, which is a variant of the Mersenne-Twister algorithm modified to have a period of 2¹⁹⁹³⁷-1. The randomness provided by Ruby's PRNG, whose adoption significantly improved ruby-erv's portability to different Ruby VMs (MRI, JRuby, etc.), should be more than enough for most purposes.

License

MIT