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Posted to commits@commons.apache.org by ah...@apache.org on 2021/12/20 10:08:07 UTC
[commons-statistics] branch master updated: Add JMH benchmarking module
This is an automated email from the ASF dual-hosted git repository.
aherbert pushed a commit to branch master
in repository https://gitbox.apache.org/repos/asf/commons-statistics.git
The following commit(s) were added to refs/heads/master by this push:
new 3043296 Add JMH benchmarking module
3043296 is described below
commit 3043296f20bff0177cfde2ccf2cc6143e116239f
Author: Alex Herbert <ah...@apache.org>
AuthorDate: Mon Dec 20 09:55:28 2021 +0000
Add JMH benchmarking module
Add benchmark for distribution inverse probability functions.
---
commons-statistics-examples/examples-jmh/LICENSE | 201 +++++++++
commons-statistics-examples/examples-jmh/NOTICE | 5 +
commons-statistics-examples/examples-jmh/README.md | 90 ++++
commons-statistics-examples/examples-jmh/pom.xml | 213 ++++++++++
.../InverseProbabilityPerformance.java | 458 +++++++++++++++++++++
.../examples/jmh/distribution/package-info.java | 21 +
.../statistics/examples/jmh/package-info.java | 26 ++
commons-statistics-examples/pom.xml | 1 +
pom.xml | 5 +-
9 files changed, 1018 insertions(+), 2 deletions(-)
diff --git a/commons-statistics-examples/examples-jmh/LICENSE b/commons-statistics-examples/examples-jmh/LICENSE
new file mode 100644
index 0000000..261eeb9
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/LICENSE
@@ -0,0 +1,201 @@
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diff --git a/commons-statistics-examples/examples-jmh/NOTICE b/commons-statistics-examples/examples-jmh/NOTICE
new file mode 100644
index 0000000..d00085d
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/NOTICE
@@ -0,0 +1,5 @@
+Apache Commons Statistics
+Copyright 2018-2021 The Apache Software Foundation
+
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diff --git a/commons-statistics-examples/examples-jmh/README.md b/commons-statistics-examples/examples-jmh/README.md
new file mode 100644
index 0000000..4ebc951
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/README.md
@@ -0,0 +1,90 @@
+<!---
+ Licensed to the Apache Software Foundation (ASF) under one or more
+ contributor license agreements. See the NOTICE file distributed with
+ this work for additional information regarding copyright ownership.
+ The ASF licenses this file to You under the Apache License, Version 2.0
+ (the "License"); you may not use this file except in compliance with
+ the License. You may obtain a copy of the License at
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+ http://www.apache.org/licenses/LICENSE-2.0
+
+ Unless required by applicable law or agreed to in writing, software
+ distributed under the License is distributed on an "AS IS" BASIS,
+ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ See the License for the specific language governing permissions and
+ limitations under the License.
+-->
+<!---
+ +======================================================================+
+ |**** ****|
+ |**** THIS FILE IS GENERATED BY THE COMMONS BUILD PLUGIN ****|
+ |**** DO NOT EDIT DIRECTLY ****|
+ |**** ****|
+ +======================================================================+
+ | TEMPLATE FILE: readme-md-template.md |
+ | commons-build-plugin/trunk/src/main/resources/commons-xdoc-templates |
+ +======================================================================+
+ | |
+ | 1) Re-generate using: mvn commons:readme-md |
+ | |
+ | 2) Set the following properties in the component's pom: |
+ | - commons.componentid (required, alphabetic, lower case) |
+ | - commons.release.version (required) |
+ | |
+ | 3) Example Properties |
+ | |
+ | <properties> |
+ | <commons.componentid>math</commons.componentid> |
+ | <commons.release.version>1.2</commons.release.version> |
+ | </properties> |
+ | |
+ +======================================================================+
+--->
+Apache Commons Numbers JMH Benchmark
+===================
+
+Code for running JMH benchmarks that assess performance.
+Code in this module is not part of the public API.
+
+Documentation
+-------------
+
+More information can be found on the [Apache Commons Statistics homepage](https://commons.apache.org/proper/commons-statistics).
+Questions related to the usage of Apache Commons Statistics should be posted to the [user mailing list][ml].
+
+Where can I get the latest release?
+-----------------------------------
+You can download source and binaries from our [download page](https://commons.apache.org/proper/commons-statistics/download_statistics.cgi).
+
+Contributing
+------------
+
+We accept Pull Requests via GitHub. The [developer mailing list][ml] is the main channel of communication for contributors.
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+You can learn more about contributing via GitHub in our [contribution guidelines](CONTRIBUTING.md).
+
+License
+-------
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+
+See the `NOTICE` file for required notices and attributions.
+
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+---------
+You like Apache Commons Statistics? Then [donate back to the ASF](https://www.apache.org/foundation/contributing.html) to support the development.
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+--------------------
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diff --git a/commons-statistics-examples/examples-jmh/pom.xml b/commons-statistics-examples/examples-jmh/pom.xml
new file mode 100644
index 0000000..32be83e
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/pom.xml
@@ -0,0 +1,213 @@
+<?xml version="1.0"?>
+<!--
+ Licensed to the Apache Software Foundation (ASF) under one or more
+ contributor license agreements. See the NOTICE file distributed with
+ this work for additional information regarding copyright ownership.
+ The ASF licenses this file to You under the Apache License, Version 2.0
+ (the "License"); you may not use this file except in compliance with
+ the License. You may obtain a copy of the License at
+
+ http://www.apache.org/licenses/LICENSE-2.0
+
+ Unless required by applicable law or agreed to in writing, software
+ distributed under the License is distributed on an "AS IS" BASIS,
+ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ See the License for the specific language governing permissions and
+ limitations under the License.
+-->
+<project xmlns="http://maven.apache.org/POM/4.0.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
+ <modelVersion>4.0.0</modelVersion>
+
+ <parent>
+ <groupId>org.apache.commons</groupId>
+ <artifactId>commons-statistics-examples</artifactId>
+ <version>1.0-SNAPSHOT</version>
+ </parent>
+
+ <artifactId>commons-statistics-examples-jmh</artifactId>
+ <name>Apache Commons Statistics JMH Benchmark</name>
+
+ <description>Code for running JMH benchmarks that assess performance.
+ Code in this module is not part of the public API.</description>
+
+ <dependencies>
+ <dependency>
+ <groupId>org.apache.commons</groupId>
+ <artifactId>commons-statistics-distribution</artifactId>
+ </dependency>
+
+ <dependency>
+ <groupId>org.openjdk.jmh</groupId>
+ <artifactId>jmh-core</artifactId>
+ <version>${jmh.version}</version>
+ </dependency>
+
+ <dependency>
+ <groupId>org.openjdk.jmh</groupId>
+ <artifactId>jmh-generator-annprocess</artifactId>
+ <version>${jmh.version}</version>
+ </dependency>
+ </dependencies>
+
+ <properties>
+ <!-- OSGi -->
+ <commons.osgi.symbolicName>org.apache.commons.statistics.examples.jmh</commons.osgi.symbolicName>
+ <commons.osgi.export>org.apache.commons.statistics.examples.jmh</commons.osgi.export>
+ <!-- Java 9+ -->
+ <commons.automatic.module.name>org.apache.commons.statistics.examples.jmh</commons.automatic.module.name>
+ <!-- Workaround to avoid duplicating config files. -->
+ <statistics.parent.dir>${basedir}/../..</statistics.parent.dir>
+
+ <exec-maven-plugin.version>3.0.0</exec-maven-plugin.version>
+
+ <!-- JMH Benchmark related properties: version, name of the benchmarking uber jar. -->
+ <jmh.version>1.33</jmh.version>
+ <uberjar.name>examples-jmh</uberjar.name>
+ <project.mainClass>org.openjdk.jmh.Main</project.mainClass>
+ <!-- Disable analysis for benchmarking code. -->
+ <pmd.skip>true</pmd.skip>
+ <!-- Disable JDK compatibility check for benchmarking code. -->
+ <animal.sniffer.skip>true</animal.sniffer.skip>
+ </properties>
+
+ <build>
+ <plugins>
+ <plugin>
+ <!-- NOTE: javadoc config must also be set under <reporting> -->
+ <groupId>org.apache.maven.plugins</groupId>
+ <artifactId>maven-javadoc-plugin</artifactId>
+ <configuration>
+ <!-- Enable MathJax -->
+ <additionalOptions>${doclint.javadoc.qualifier} ${allowscript.javadoc.qualifier} -header '<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/${statistics.mathjax.version}/MathJax.js?config=TeX-AMS-MML_HTMLorMML"></script>'</additionalOptions>
+ </configuration>
+ </plugin>
+ </plugins>
+ </build>
+
+ <reporting>
+ <plugins>
+ <plugin>
+ <!-- NOTE: javadoc config must also be set under <build> -->
+ <groupId>org.apache.maven.plugins</groupId>
+ <artifactId>maven-javadoc-plugin</artifactId>
+ <configuration>
+ <!-- Enable MathJax -->
+ <additionalOptions>${doclint.javadoc.qualifier} ${allowscript.javadoc.qualifier} -header '<script type="text/javascript" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/${statistics.mathjax.version}/MathJax.js?config=TeX-AMS-MML_HTMLorMML"></script>'</additionalOptions>
+ </configuration>
+ </plugin>
+ </plugins>
+ </reporting>
+
+ <profiles>
+ <profile>
+ <!-- Run a named benchmark from maven. The class to run can be specified as a property
+ using -Dbenchmark=[XXX], for example:
+ mvn test -Pbenchmark -Dbenchmark=InverseProbabilityPerformance
+ -->
+ <id>benchmark</id>
+ <properties>
+ <skipTests>true</skipTests>
+ <benchmark>org.apache</benchmark>
+ <java.cmd>java</java.cmd>
+ </properties>
+
+ <build>
+ <plugins>
+ <plugin>
+ <groupId>org.apache.maven.plugins</groupId>
+ <artifactId>maven-compiler-plugin</artifactId>
+ <configuration>
+ <compilerVersion>${maven.compiler.target}</compilerVersion>
+ <source>${maven.compiler.target}</source>
+ <target>${maven.compiler.target}</target>
+ </configuration>
+ </plugin>
+ <plugin>
+ <groupId>org.codehaus.mojo</groupId>
+ <artifactId>exec-maven-plugin</artifactId>
+ <version>${exec-maven-plugin.version}</version>
+ <executions>
+ <execution>
+ <id>benchmark</id>
+ <phase>test</phase>
+ <goals>
+ <goal>exec</goal>
+ </goals>
+ <configuration>
+ <classpathScope>test</classpathScope>
+ <executable>${java.cmd}</executable>
+ <arguments>
+ <argument>-classpath</argument>
+ <classpath />
+ <argument>${project.mainClass}</argument>
+ <argument>-rf</argument>
+ <argument>json</argument>
+ <argument>-rff</argument>
+ <argument>target/jmh-result.${benchmark}.json</argument>
+ <argument>${benchmark}</argument>
+ </arguments>
+ </configuration>
+ </execution>
+ </executions>
+ </plugin>
+ </plugins>
+ </build>
+ </profile>
+
+ <profile>
+ <!-- Build an executable jar that runs JMH:
+ mvn package -Pexamples-jmh
+
+ java -jar target/examples-jmh.jar -h
+ java -jar target/examples-jmh.jar InverseProbabilityPerformance -rf json -rff out.json
+ java -jar target/examples-jmh.jar InverseProbabilityPerformance -p implementation=ChiSquared:0.5
+ -->
+ <id>examples-jmh</id>
+ <build>
+ <plugins>
+ <plugin>
+ <groupId>org.apache.maven.plugins</groupId>
+ <artifactId>maven-compiler-plugin</artifactId>
+ <configuration>
+ <compilerVersion>${maven.compiler.target}</compilerVersion>
+ <source>${maven.compiler.target}</source>
+ <target>${maven.compiler.target}</target>
+ </configuration>
+ </plugin>
+ <plugin>
+ <groupId>org.apache.maven.plugins</groupId>
+ <artifactId>maven-shade-plugin</artifactId>
+ <executions>
+ <execution>
+ <phase>package</phase>
+ <goals>
+ <goal>shade</goal>
+ </goals>
+ <configuration>
+ <finalName>${uberjar.name}</finalName>
+ <transformers>
+ <transformer implementation="org.apache.maven.plugins.shade.resource.ManifestResourceTransformer">
+ <mainClass>${project.mainClass}</mainClass>
+ </transformer>
+ </transformers>
+ <filters>
+ <filter>
+ <!-- Shading signed JARs will fail without this. http://stackoverflow.com/questions/999489/invalid-signature-file-when-attempting-to-run-a-jar -->
+ <artifact>*:*</artifact>
+ <excludes>
+ <exclude>META-INF/*.SF</exclude>
+ <exclude>META-INF/*.DSA</exclude>
+ <exclude>META-INF/*.RSA</exclude>
+ </excludes>
+ </filter>
+ </filters>
+ </configuration>
+ </execution>
+ </executions>
+ </plugin>
+ </plugins>
+ </build>
+ </profile>
+ </profiles>
+
+</project>
diff --git a/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/InverseProbabilityPerformance.java b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/InverseProbabilityPerformance.java
new file mode 100644
index 0000000..acc84ed
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/InverseProbabilityPerformance.java
@@ -0,0 +1,458 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.commons.statistics.examples.jmh.distribution;
+
+import java.util.SplittableRandom;
+import java.util.concurrent.ThreadLocalRandom;
+import java.util.concurrent.TimeUnit;
+import java.util.function.DoubleUnaryOperator;
+import org.apache.commons.numbers.rootfinder.BrentSolver;
+import org.apache.commons.statistics.distribution.BetaDistribution;
+import org.apache.commons.statistics.distribution.ChiSquaredDistribution;
+import org.apache.commons.statistics.distribution.ContinuousDistribution;
+import org.apache.commons.statistics.distribution.FDistribution;
+import org.apache.commons.statistics.distribution.GammaDistribution;
+import org.apache.commons.statistics.distribution.NakagamiDistribution;
+import org.apache.commons.statistics.distribution.TDistribution;
+import org.openjdk.jmh.annotations.Benchmark;
+import org.openjdk.jmh.annotations.BenchmarkMode;
+import org.openjdk.jmh.annotations.Fork;
+import org.openjdk.jmh.annotations.Measurement;
+import org.openjdk.jmh.annotations.Mode;
+import org.openjdk.jmh.annotations.OutputTimeUnit;
+import org.openjdk.jmh.annotations.Param;
+import org.openjdk.jmh.annotations.Scope;
+import org.openjdk.jmh.annotations.Setup;
+import org.openjdk.jmh.annotations.State;
+import org.openjdk.jmh.annotations.Warmup;
+
+/**
+ * Executes a benchmark of inverse probability function operations
+ * (inverse cumulative distribution function (CDF) and inverse survival function (SF)).
+ */
+@BenchmarkMode(Mode.AverageTime)
+@OutputTimeUnit(TimeUnit.NANOSECONDS)
+@Warmup(iterations = 5, time = 1, timeUnit = TimeUnit.SECONDS)
+@Measurement(iterations = 5, time = 1, timeUnit = TimeUnit.SECONDS)
+@State(Scope.Benchmark)
+@Fork(value = 1, jvmArgs = {"-server", "-Xms512M", "-Xmx512M"})
+public class InverseProbabilityPerformance {
+ /** No-operation for baseline. */
+ private static final String NOOP = "Noop";
+ /** Message prefix for an unknown function. */
+ private static final String UNKNOWN_FUNCTION = "unknown function: ";
+ /** Message prefix for an unknown distribution. */
+ private static final String UNKNOWN_DISTRIBUTION = "unknown distrbution: ";
+
+ /**
+ * The seed for random number generation. Ensures the same numbers are generated
+ * for each implementation of the function.
+ */
+ private static final long SEED = ThreadLocalRandom.current().nextLong();
+
+ /**
+ * Contains the inverse function to benchmark.
+ */
+ @State(Scope.Benchmark)
+ public static class InverseData {
+ /** The implementation of the function. */
+ @Param({NOOP,
+ // Worst accuracy cases from STATISTICS-36
+ "Beta:4:0.1",
+ "ChiSquared:0.1",
+ "F:5:6",
+ "Gamma:4:2",
+ "Nakagami:0.33333333333:1",
+ "T:5",
+ })
+ private String implementation;
+
+ /** The inversion relative accuracy. */
+ @Param({
+ // Default from o.a.c.math4.analysis.solvers.BaseAbstractUnivariateSolver
+ "1e-14",
+ // Lowest value so that 2 * eps * x is 1 ULP. Equal to 2^-53.
+ "1.1102230246251565E-16"})
+ private double relEps;
+
+ /** The inversion absolute accuracy. */
+ @Param({
+ // Default from o.a.c.math4.analysis.solvers.BaseAbstractUnivariateSolver
+ "1e-9",
+ // Lowest non-zero value. Equal to Double.MIN_VALUE.
+ "4.9e-324"})
+ private double absEps;
+
+ /** The function to invert. */
+ @Param({"cdf", "sf"})
+ private String invert;
+
+ /** Source of randomness for probabilities in the range [0, 1]. */
+ private SplittableRandom rng;
+
+ /** The inverse probability function. */
+ private DoubleUnaryOperator function;
+
+ /**
+ * Create the next inversion of a probability.
+ *
+ * @return the result
+ */
+ public double next() {
+ return function.applyAsDouble(rng.nextDouble());
+ }
+
+ /**
+ * Create the source of random probability values and the inverse probability function.
+ */
+ @Setup
+ public void setup() {
+ // Creation with a seed ensures the increment uses the golden ratio
+ // with its known robust statistical properties. Creating with no
+ // seed will use a random increment.
+ rng = new SplittableRandom(SEED);
+ function = createFunction(implementation, relEps, absEps, invert);
+ }
+
+ /**
+ * Creates the inverse probability function.
+ *
+ * @param implementation Function implementation
+ * @param relativeAccuracy Inversion relative accuracy
+ * @param absoluteAccuracy Inversion absolute accuracy
+ * @param invert Function to invert
+ * @return the function
+ */
+ private static DoubleUnaryOperator createFunction(String implementation,
+ double relativeAccuracy,
+ double absoluteAccuracy,
+ String invert) {
+ if (implementation.startsWith(NOOP)) {
+ return x -> x;
+ }
+
+ // Create the distribution
+ final ContinuousDistribution dist = createDistribution(implementation);
+
+ // Get the function inverter
+ final ContinuousDistributionInverter inverter =
+ new ContinuousDistributionInverter(dist, relativeAccuracy, absoluteAccuracy);
+ // Support CDF and SF
+ if ("cdf".equals(invert)) {
+ return inverter::inverseCumulativeProbability;
+ } else if ("sf".equals(invert)) {
+ return inverter::inverseSurvivalProbability;
+ }
+ throw new IllegalStateException(UNKNOWN_FUNCTION + invert);
+ }
+
+ /**
+ * Creates the distribution.
+ *
+ * @param implementation Function implementation
+ * @return the continuous distribution
+ */
+ private static ContinuousDistribution createDistribution(String implementation) {
+ // Implementation is:
+ // distribution:param1:param2:...
+ final String[] parts = implementation.split(":");
+ if ("Beta".equals(parts[0])) {
+ return BetaDistribution.of(Double.parseDouble(parts[1]), Double.parseDouble(parts[2]));
+ } else if ("ChiSquared".equals(parts[0])) {
+ return ChiSquaredDistribution.of(Double.parseDouble(parts[1]));
+ } else if ("F".equals(parts[0])) {
+ return FDistribution.of(Double.parseDouble(parts[1]), Double.parseDouble(parts[2]));
+ } else if ("Gamma".equals(parts[0])) {
+ return GammaDistribution.of(Double.parseDouble(parts[1]), Double.parseDouble(parts[2]));
+ } else if ("Nakagami".equals(parts[0])) {
+ return NakagamiDistribution.of(Double.parseDouble(parts[1]), Double.parseDouble(parts[2]));
+ } else if ("T".equals(parts[0])) {
+ return TDistribution.of(Double.parseDouble(parts[1]));
+ }
+ throw new IllegalStateException(UNKNOWN_DISTRIBUTION + implementation);
+ }
+
+ /**
+ * Class to invert the cumulative or survival probability.
+ * This is based on the implementation in the AbstractContinuousDistribution class
+ * from Commons Statistics version 1.0.
+ */
+ static class ContinuousDistributionInverter {
+ /** BrentSolver function value accuracy.
+ * Set to a very low value to search using Brent's method unless
+ * the starting point is correct. */
+ private static final double SOLVER_FUNCTION_VALUE_ACCURACY = Double.MIN_VALUE;
+
+ /** BrentSolver relative accuracy. This is used with {@code 2 * eps * abs(b)}
+ * so the minimum non-zero value with an effect is half of machine epsilon (2^-53). */
+ private final double relativeAccuracy;
+ /** BrentSolver absolute accuracy. */
+ private final double absoluteAccuracy;
+ /** The distribution. */
+ private final ContinuousDistribution dist;
+
+ /**
+ * @param dist The distribution to invert
+ * @param relativeAccuracy Solver relative accuracy
+ * @param absoluteAccuracy Solver absolute accuracy
+ */
+ ContinuousDistributionInverter(ContinuousDistribution dist,
+ double relativeAccuracy,
+ double absoluteAccuracy) {
+ this.dist = dist;
+ this.relativeAccuracy = relativeAccuracy;
+ this.absoluteAccuracy = absoluteAccuracy;
+ }
+
+ /**
+ * Checks if the value {@code x} is finite and strictly positive.
+ *
+ * @param x Value
+ * @return true if {@code x > 0} and is finite
+ */
+ private static boolean isFiniteStrictlyPositive(double x) {
+ return x > 0 && x < Double.POSITIVE_INFINITY;
+ }
+
+ /**
+ * Check the probability {@code p} is in the interval {@code [0, 1]}.
+ *
+ * @param p Probability
+ * @throws IllegalArgumentException if {@code p < 0} or {@code p > 1}
+ */
+ private static void checkProbability(double p) {
+ if (p >= 0 && p <= 1) {
+ return;
+ }
+ // Out-of-range or NaN
+ throw new IllegalArgumentException("Invalid p: " + p);
+ }
+
+ /**
+ * Compute the inverse cumulative probability.
+ *
+ * @param p Probability
+ * @return the value
+ * @throws IllegalArgumentException if {@code p < 0} or {@code p > 1}
+ */
+ public double inverseCumulativeProbability(double p) {
+ checkProbability(p);
+ return inverseProbability(p, 1 - p, false);
+ }
+
+ /**
+ * Compute the inverse survival probability.
+ *
+ * @param p Probability
+ * @return the value
+ * @throws IllegalArgumentException if {@code p < 0} or {@code p > 1}
+ */
+ public double inverseSurvivalProbability(double p) {
+ checkProbability(p);
+ return inverseProbability(1 - p, p, true);
+ }
+
+ /**
+ * Implementation for the inverse cumulative or survival probability.
+ *
+ * @param p Cumulative probability.
+ * @param q Survival probability.
+ * @param complement Set to true to compute the inverse survival probability
+ * @return the value
+ */
+ private double inverseProbability(final double p, final double q, boolean complement) {
+ /* IMPLEMENTATION NOTES
+ * --------------------
+ * Where applicable, use is made of the one-sided Chebyshev inequality
+ * to bracket the root. This inequality states that
+ * P(X - mu >= k * sig) <= 1 / (1 + k^2),
+ * mu: mean, sig: standard deviation. Equivalently
+ * 1 - P(X < mu + k * sig) <= 1 / (1 + k^2),
+ * F(mu + k * sig) >= k^2 / (1 + k^2).
+ *
+ * For k = sqrt(p / (1 - p)), we find
+ * F(mu + k * sig) >= p,
+ * and (mu + k * sig) is an upper-bound for the root.
+ *
+ * Then, introducing Y = -X, mean(Y) = -mu, sd(Y) = sig, and
+ * P(Y >= -mu + k * sig) <= 1 / (1 + k^2),
+ * P(-X >= -mu + k * sig) <= 1 / (1 + k^2),
+ * P(X <= mu - k * sig) <= 1 / (1 + k^2),
+ * F(mu - k * sig) <= 1 / (1 + k^2).
+ *
+ * For k = sqrt((1 - p) / p), we find
+ * F(mu - k * sig) <= p,
+ * and (mu - k * sig) is a lower-bound for the root.
+ *
+ * In cases where the Chebyshev inequality does not apply, geometric
+ * progressions 1, 2, 4, ... and -1, -2, -4, ... are used to bracket
+ * the root.
+ *
+ * In the case of the survival probability the bracket can be set using the same
+ * bound given that the argument p = 1 - q, with q the survival probability.
+ */
+
+ double lowerBound = dist.getSupportLowerBound();
+ if (p == 0) {
+ return lowerBound;
+ }
+ double upperBound = dist.getSupportUpperBound();
+ if (q == 0) {
+ return upperBound;
+ }
+
+ final double mu = dist.getMean();
+ final double sig = Math.sqrt(dist.getVariance());
+ final boolean chebyshevApplies = Double.isFinite(mu) &&
+ isFiniteStrictlyPositive(sig);
+
+ if (lowerBound == Double.NEGATIVE_INFINITY) {
+ lowerBound = createFiniteLowerBound(p, q, complement, upperBound, mu, sig, chebyshevApplies);
+ }
+
+ if (upperBound == Double.POSITIVE_INFINITY) {
+ upperBound = createFiniteUpperBound(p, q, complement, lowerBound, mu, sig, chebyshevApplies);
+ }
+
+ // Here the bracket [lower, upper] uses finite values. If the support
+ // is infinite the bracket can truncate the distribution and the target
+ // probability can be outside the range of [lower, upper].
+ if (upperBound == Double.MAX_VALUE) {
+ if (complement) {
+ if (dist.survivalProbability(upperBound) > q) {
+ return dist.getSupportUpperBound();
+ }
+ } else if (dist.cumulativeProbability(upperBound) < p) {
+ return dist.getSupportUpperBound();
+ }
+ }
+ if (lowerBound == -Double.MAX_VALUE) {
+ if (complement) {
+ if (dist.survivalProbability(lowerBound) < q) {
+ return dist.getSupportLowerBound();
+ }
+ } else if (dist.cumulativeProbability(lowerBound) > p) {
+ return dist.getSupportLowerBound();
+ }
+ }
+
+ final DoubleUnaryOperator fun = complement ?
+ arg -> dist.survivalProbability(arg) - q :
+ arg -> dist.cumulativeProbability(arg) - p;
+ // Note the initial value is robust to overflow.
+ // Do not use 0.5 * (lowerBound + upperBound).
+ final double x = new BrentSolver(relativeAccuracy,
+ absoluteAccuracy,
+ SOLVER_FUNCTION_VALUE_ACCURACY)
+ .findRoot(fun,
+ lowerBound,
+ lowerBound + 0.5 * (upperBound - lowerBound),
+ upperBound);
+
+ return x;
+ }
+
+ /**
+ * Create a finite lower bound. Assumes the current lower bound is negative infinity.
+ *
+ * @param p Cumulative probability.
+ * @param q Survival probability.
+ * @param complement Set to true to compute the inverse survival probability
+ * @param upperBound Current upper bound
+ * @param mu Mean
+ * @param sig Standard deviation
+ * @param chebyshevApplies True if the Chebyshev inequality applies (mean is finite and {@code sig > 0}}
+ * @return the finite lower bound
+ */
+ private double createFiniteLowerBound(final double p, final double q, boolean complement,
+ double upperBound, final double mu, final double sig, final boolean chebyshevApplies) {
+ double lowerBound;
+ if (chebyshevApplies) {
+ lowerBound = mu - sig * Math.sqrt(q / p);
+ } else {
+ lowerBound = Double.NEGATIVE_INFINITY;
+ }
+ // Bound may have been set as infinite
+ if (lowerBound == Double.NEGATIVE_INFINITY) {
+ lowerBound = Math.min(-1, upperBound);
+ if (complement) {
+ while (dist.survivalProbability(lowerBound) < q) {
+ lowerBound *= 2;
+ }
+ } else {
+ while (dist.cumulativeProbability(lowerBound) >= p) {
+ lowerBound *= 2;
+ }
+ }
+ // Ensure finite
+ lowerBound = Math.max(lowerBound, -Double.MAX_VALUE);
+ }
+ return lowerBound;
+ }
+
+ /**
+ * Create a finite upper bound. Assumes the current upper bound is positive infinity.
+ *
+ * @param p Cumulative probability.
+ * @param q Survival probability.
+ * @param complement Set to true to compute the inverse survival probability
+ * @param lowerBound Current lower bound
+ * @param mu Mean
+ * @param sig Standard deviation
+ * @param chebyshevApplies True if the Chebyshev inequality applies (mean is finite and {@code sig > 0}}
+ * @return the finite lower bound
+ */
+ private double createFiniteUpperBound(final double p, final double q, boolean complement,
+ double lowerBound, final double mu, final double sig, final boolean chebyshevApplies) {
+ double upperBound;
+ if (chebyshevApplies) {
+ upperBound = mu + sig * Math.sqrt(p / q);
+ } else {
+ upperBound = Double.POSITIVE_INFINITY;
+ }
+ // Bound may have been set as infinite
+ if (upperBound == Double.POSITIVE_INFINITY) {
+ upperBound = Math.max(1, lowerBound);
+ if (complement) {
+ while (dist.survivalProbability(upperBound) >= q) {
+ upperBound *= 2;
+ }
+ } else {
+ while (dist.cumulativeProbability(upperBound) < p) {
+ upperBound *= 2;
+ }
+ }
+ // Ensure finite
+ upperBound = Math.min(upperBound, Double.MAX_VALUE);
+ }
+ return upperBound;
+ }
+ }
+ }
+
+ /**
+ * Benchmark the inverse function.
+ *
+ * @param data Test data.
+ * @return the inverse function value
+ */
+ @Benchmark
+ public double inverse(InverseData data) {
+ return data.next();
+ }
+}
diff --git a/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/package-info.java b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/package-info.java
new file mode 100644
index 0000000..8057359
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/distribution/package-info.java
@@ -0,0 +1,21 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+/**
+ * Benchmarks for the {@code org.apache.commons.statistics.distribution} components.
+ */
+package org.apache.commons.statistics.examples.jmh.distribution;
diff --git a/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/package-info.java b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/package-info.java
new file mode 100644
index 0000000..bd8e772
--- /dev/null
+++ b/commons-statistics-examples/examples-jmh/src/main/java/org/apache/commons/statistics/examples/jmh/package-info.java
@@ -0,0 +1,26 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+/**
+ * <h3>Performance benchmarks</h3>
+ *
+ * <p>
+ * This package contains code to perform a
+ * <a href="https://openjdk.java.net/projects/code-tools/jmh">JMH</a> run.
+ * </p>
+ */
+package org.apache.commons.statistics.examples.jmh;
diff --git a/commons-statistics-examples/pom.xml b/commons-statistics-examples/pom.xml
index 07941d5..d9a26c5 100644
--- a/commons-statistics-examples/pom.xml
+++ b/commons-statistics-examples/pom.xml
@@ -91,5 +91,6 @@
<modules>
<module>examples-distribution</module>
+ <module>examples-jmh</module>
</modules>
</project>
diff --git a/pom.xml b/pom.xml
index 64d3194..f65d44d 100644
--- a/pom.xml
+++ b/pom.xml
@@ -178,7 +178,6 @@
<groupId>org.apache.commons</groupId>
<artifactId>commons-math3</artifactId>
<version>${statistics.commons.math3.version}</version>
- <scope>test</scope>
</dependency>
<dependency>
<groupId>org.junit</groupId>
@@ -257,7 +256,8 @@
<!-- Output the detected violations to the console (for checkstyle:check). -->
<logViolationsToConsole>true</logViolationsToConsole>
<failOnViolation>true</failOnViolation>
- <resourceExcludes>NOTICE,LICENSE,**/maven-archiver/pom.properties</resourceExcludes>
+ <resourceExcludes>NOTICE,LICENSE,**/pom.properties,**/resolver-status.properties,**/sha512.properties</resourceExcludes>
+ <excludes>**/**generated/**.java</excludes>
</configuration>
<executions>
<execution>
@@ -422,6 +422,7 @@
<includeTestSourceDirectory>true</includeTestSourceDirectory>
<logViolationsToConsole>false</logViolationsToConsole>
<resourceExcludes>NOTICE,LICENSE,**/maven-archiver/pom.properties</resourceExcludes>
+ <excludes>**/**generated/**.java</excludes>
</configuration>
<reportSets>
<reportSet>