Skip to content

Instantly share code, notes, and snippets.

Last active April 15, 2020 14:37
  • Star 2 You must be signed in to star a gist
  • Fork 2 You must be signed in to fork a gist
Star You must be signed in to star a gist
What would you like to do?
Weighted sampling with replacement using Walker's alias method - NumPy version
#!/usr/bin/env python
from numpy import arange, array, bincount, ndarray, ones, where
from numpy.random import seed, random, randint
__author__ = "Tamas Nepusz, Denis Bzowy"
__version__ = "27jul2011"
class WalkerRandomSampling(object):
"""Walker's alias method for random objects with different probablities.
Based on the implementation of Denis Bzowy at the following URL:
def __init__(self, weights, keys=None):
"""Builds the Walker tables ``prob`` and ``inx`` for calls to `random()`.
The weights (a list or tuple or iterable) can be in any order and they
do not even have to sum to 1."""
n = self.n = len(weights)
if keys is None:
self.keys = keys
self.keys = array(keys)
if isinstance(weights, (list, tuple)):
weights = array(weights, dtype=float)
elif isinstance(weights, ndarray):
if weights.dtype != float:
weights = weights.astype(float)
weights = array(list(weights), dtype=float)
if weights.ndim != 1:
raise ValueError("weights must be a vector")
weights = weights * n / weights.sum()
inx = -ones(n, dtype=int)
short = where(weights < 1)[0].tolist()
long = where(weights > 1)[0].tolist()
while short and long:
j = short.pop()
k = long[-1]
inx[j] = k
weights[k] -= (1 - weights[j])
if weights[k] < 1:
short.append( k )
self.prob = weights
self.inx = inx
def random(self, count=None):
"""Returns a given number of random integers or keys, with probabilities
being proportional to the weights supplied in the constructor.
When `count` is ``None``, returns a single integer or key, otherwise
returns a NumPy array with a length given in `count`.
if count is None:
u = random()
j = randint(self.n)
k = j if u <= self.prob[j] else self.inx[j]
return self.keys[k] if self.keys is not None else k
u = random(count)
j = randint(self.n, size=count)
k = where(u <= self.prob[j], j, self.inx[j])
return self.keys[k] if self.keys is not None else k
if __name__ == "__main__":
# little examples, self-contained --
N = 5
Nrand = 1000
randomseed = 1
if randomseed:
print Nrand, "Walker random sampling with weights .1 .2 .3 .4:"
wrand = WalkerRandomSampling(arange(1, N))
nrand = bincount(wrand.random(Nrand)).tolist()
s = str(nrand)
print s
if N==5 and Nrand==1000 and randomseed==1:
assert s == "[97, 207, 316, 380]"
print Nrand, "Walker random sampling, strings with weights .1 .2 .3 .4:"
abcd = dict(A=1, D=4, C=3, B=2)
wrand = WalkerRandomSampling(abcd.values(), abcd.keys())
nrand = defaultdict(int)
for sample in wrand.random(Nrand):
nrand[sample] += 1
s = str(sorted(nrand.iteritems()))
print s
if N==5 and Nrand==1000 and randomseed==1:
assert s == "[('A', 85), ('B', 199), ('C', 343), ('D', 373)]"
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment