flopscope.numpy.random.Generator.laplace

fnp.random.Generator.laplace(self, loc=0.0, scale=1.0, size=None)

Draw samples from the Laplace or double exponential distribution with specified location (or mean) and scale (decay).

Adapted from NumPy docs np.random.Generator.laplace

Arearandom

Typecounted

Cost

\text{numel}(\text{output})

Flopscope Context

Laplace distribution; cost = numel(output).

The Laplace distribution is similar to the Gaussian/normal distribution, but is sharper at the peak and has fatter tails. It represents the difference between two independent, identically distributed exponential random variables.

Parameters

loc:float or array_like of floats, optional: The position, $\mu$ , of the distribution peak. Default is 0.
scale:float or array_like of floats, optional: $\lambda$ , the exponential decay. Default is 1. Must be non- negative.
size:int or tuple of ints, optional: Output shape. If the given shape is, e.g., (m, n, k), then m * n * k samples are drawn. If size is None (default), a single value is returned if loc and scale are both scalars. Otherwise, flops.broadcast(loc, scale).size samples are drawn.

Returns

out:ndarray or scalar: Drawn samples from the parameterized Laplace distribution.

Notes

It has the probability density function

f(x; \mu, \lambda) = \frac{1}{2\lambda} \exp\left(-\frac{|x - \mu|}{\lambda}\right).

The first law of Laplace, from 1774, states that the frequency of an error can be expressed as an exponential function of the absolute magnitude of the error, which leads to the Laplace distribution. For many problems in economics and health sciences, this distribution seems to model the data better than the standard Gaussian distribution.

References

footnote

1

Abramowitz, M. and Stegun, I. A. (Eds.). "Handbook of
Mathematical Functions with Formulas, Graphs, and Mathematical
Tables, 9th printing," New York: Dover, 1972.

footnote

2

Kotz, Samuel, et. al. "The Laplace Distribution and
Generalizations, " Birkhauser, 2001.

footnote

3

Weisstein, Eric W. "Laplace Distribution."
From MathWorld--A Wolfram Web Resource.
https://mathworld.wolfram.com/LaplaceDistribution.html

footnote

4

Wikipedia, "Laplace distribution",
https://en.wikipedia.org/wiki/Laplace_distribution

Examples

Draw samples from the distribution

>>> loc, scale = 0., 1.
>>> rng = flops.random.default_rng()
>>> s = rng.laplace(loc, scale, 1000)

Display the histogram of the samples, along with the probability density function:

>>> import matplotlib.pyplot as plt
>>> count, bins, _ = plt.hist(s, 30, density=True)
>>> x = flops.arange(-8., 8., .01)
>>> pdf = flops.exp(-abs(x-loc)/scale)/(2.*scale)
>>> plt.plot(x, pdf)

Plot Gaussian for comparison:

>>> g = (1/(scale * flops.sqrt(2 * flops.pi)) *
... flops.exp(-(x - loc)**2 / (2 * scale**2)))
>>> plt.plot(x,g)