Random walks
Independent walkers on the integers that step at random times, a continuous-time random walk.
- Name:
random_walk - Field:
mathematics/stochastic_processes - Formalism: jump process
- References: Pearson 1905; Argun et al. 2021; Charbonneau 2017; Jensen 2023
Factory
@register_model(
field='mathematics/stochastic_processes',
tags=('random walk', 'jump process', 'diffusion'),
references=('Pearson 1905', 'Argun et al. 2021', 'Charbonneau 2017', 'Jensen 2023'),
defaults={'until': 100.0, 'dt': 1.0},
)
def random_walk(n_walkers: int = 100, *, rate: float = 1.0, bias: float = 0.5) -> System:
"""Return independent walkers on the integers that step at random times, a continuous-time random walk.
Every walker steps up at rate `rate * bias` and down at rate `rate * (1 - bias)`, so its mean moves with velocity
`rate (2 bias - 1)` and its variance grows as `4 rate bias (1 - bias) t`.
Args:
n_walkers:
The number of walkers.
rate:
The rate of steps of a walker.
bias:
The probability that a step goes up.
Returns:
system:
The model, with the positions `walkers.x`.
Examples:
>>> from skcomplex.models.mathematics.stochastic_processes import random_walk
>>> random_walk(20).elements[0].check().prepare().size_
20
"""
walkers = GroupElement('walkers', element=RandomWalkerElement, size=n_walkers, values={'rate': rate, 'bias': bias})
up = JumpInteraction('up', target='walkers', changes={'x': 1}, rate=lambda s: s.target.rate * s.target.bias)
down = JumpInteraction(
'down',
target='walkers',
changes={'x': -1},
rate=lambda s: s.target.rate * (1 - s.target.bias),
)
return System(elements=[walkers], interactions=[up, down])
Components
class RandomWalkerElement(Element):
"""Walker on the integers that steps at the rate `rate`, up with the probability `bias`.
Args:
label:
The label of the walker or the group.
visual:
How the element is drawn, or `None` for `default_visual_`.
x:
The initial position.
rate:
The rate of steps.
bias:
The probability that a step goes up.
Examples:
>>> from skcomplex.models.mathematics.stochastic_processes import RandomWalkerElement
>>> RandomWalkerElement('walker', bias=0.7).bias
0.7
"""
def __init__(
self,
label: str,
visual: VisualSpec | None = None,
*,
x: Annotated[float, StateSpec(domain=ZZ, role='position')] = 0.0,
rate: Annotated[float, ParameterSpec(domain=RealSet.closed_open(0, oo))] = 1.0,
bias: Annotated[float, ParameterSpec(domain=RealSet.closed_open(0, oo))] = 0.5,
) -> None:
super().__init__(label, visual=visual)
self.x = x
self.rate = rate
self.bias = bias
class JumpInteraction(Interaction):
"""Random event that changes states of the target by signed amounts, at a rate, by a probability, or after a wait.
With a `rate`, the event fires at the times of a Poisson process of that propensity in continuous time. With a
`probability`, it fires in a step of discrete time with that probability. With a `waiting` time, usually a draw from
a distribution with nonnegative support, it fires after a time drawn anew at every firing, as in renewal processes,
and every member of a bound group fires on its own clock. When the event fires it adds the `changes` to the states
and, with a waiting time, sets the states of `reset` to their new values. Every function reads `namespace.target`,
the states and parameters of the target, and the time `namespace.t`.
Args:
label:
The label of the interaction, unique among the parts of its system.
target:
The path of the element or group whose states the event changes.
changes:
A mapping from the name of a state of the target to the signed amount the event adds to it.
rate:
The function `rate(namespace)` of the propensity of the event, or `None`.
probability:
The function `probability(namespace)` of the probability that the event fires in a step, or `None`.
waiting:
The function `waiting(namespace)` of the time until the next firing, or `None`.
reset:
With a waiting time, a mapping from the name of a state of the target to the function `f(namespace)` of its
new value, one value per component of a vector state, or `None`.
Raises:
ValidationError:
The event has not exactly one clock, changes nothing, or resets states without a waiting time, or a
function is not callable.
Examples:
>>> from skcomplex.core.elements import CompartmentElement
>>> from skcomplex.core.interactions import JumpInteraction
>>> from skcomplex.core.system import System
>>> from skcomplex.engine.runtime import Simulation
>>> arrivals = JumpInteraction('arrivals', target='queue', changes={'n': 1}, rate=lambda s: 2.0)
>>> system = System(elements=[CompartmentElement('queue')], interactions=[arrivals])
>>> simulation = Simulation(system, dt=1.0, random_state=0).check().prepare()
>>> counts = simulation.run(until=5).trajectory_.values('queue.n')
>>> bool(all(count == round(count) for count in counts))
True
"""
def __init__(
self,
label: str,
*,
target: Annotated[str, RoleSpec()],
changes: Mapping[str, float] | None = None,
rate: Callable[[SimpleNamespace], object] | None = None,
probability: Callable[[SimpleNamespace], object] | None = None,
waiting: Callable[[SimpleNamespace], object] | None = None,
reset: Mapping[str, Callable[[SimpleNamespace], object]] | None = None,
) -> None:
super().__init__(label)
self.target: str | None = target
self.changes = changes
self.rate = rate
self.probability = probability
self.waiting = waiting
self.reset = reset
def _get_clocks(self) -> list[str]:
"""Return the names of the clocks the event is given."""
return [clock for clock in CLOCKS if getattr(self, clock) is not None]
def _check_jump(self) -> None:
"""Raise an error for an event without exactly one clock, without changes, or with a reset of no waiting time.
Raises:
ValidationError:
The event has not exactly one clock, changes nothing, or resets states without a waiting time, or a
function is not callable.
"""
clocks = self._get_clocks()
if len(clocks) != 1:
error_msg = f'The jump {self.label!r} has the clocks {clocks}. Give exactly one of {", ".join(CLOCKS)}.'
raise ValidationError(error_msg)
if not callable(getattr(self, clocks[0])):
error_msg = f'The {clocks[0]} of the jump {self.label!r} must be a function of the namespace.'
raise ValidationError(error_msg)
if self.reset is not None and self.waiting is None:
error_msg = f'The jump {self.label!r} resets states, which only a waiting time does. Give `waiting`.'
raise ValidationError(error_msg)
if not self.changes and not self.reset:
error_msg = f'The jump {self.label!r} changes no state. Give `changes`, or `reset` with a waiting time.'
raise ValidationError(error_msg)
if not all(callable(function) for function in (self.reset or {}).values()):
error_msg = f'The reset of the jump {self.label!r} maps states to {self.reset!r}. Give functions.'
raise ValidationError(error_msg)
def _check(self) -> None:
"""Raise an error for an event without exactly one clock, without changes, or with a reset of no waiting time.
Raises:
ValidationError:
The event has not exactly one clock, changes nothing, or resets states without a waiting time, or a
function is not callable.
"""
super()._check()
self._check_jump()
def _get_changes(self, namespace: SimpleNamespace) -> dict[Expression, float]:
"""Return the amount the event adds to every state it changes."""
return {
getattr(self._get_member(namespace, 'target'), name): amount
for name, amount in (self.changes or {}).items()
}
def _get_rate(self, namespace: SimpleNamespace) -> Expression:
"""Return the propensity of the event."""
return SR(self.rate(namespace)) if self.rate is not None else SR(0)
def _get_steps(self, namespace: SimpleNamespace, changes: dict[Expression, float]) -> list[BaseLaw]:
"""Return the updates of the states by their amounts in a step, when one draw falls below the probability."""
probability = SR(self.probability(namespace)) if self.probability is not None else SR(0)
name = re.sub(r'\W', '_', f'jump_{self.label}')
fired = where(uniform(name) < probability, 1, 0)
return [UpdateLaw(state, state + amount * fired) for state, amount in changes.items()]
def _get_reset(self, state: object, value: object) -> dict[Expression, Expression]:
"""Return the new value of every component of a state, one per component of a vector state.
Args:
state:
The symbol of a scalar state or the vector of a vector state.
value:
The new value, one expression for every component or a sequence of one per component.
Returns:
reset:
The new value of every component of the state.
Raises:
ValidationError:
The new value of a vector state has not one component per component of the state.
"""
if not isinstance(state, FreeModuleElement):
return {SR(state): SR(value)}
components = list(value) if isinstance(value, FreeModuleElement | list | tuple) else [value] * len(state)
if len(components) != len(state):
error_msg = f'The jump {self.label!r} resets {len(state)} components with {len(components)} values.'
raise ValidationError(error_msg)
return {SR(item): SR(component) for item, component in zip(state, components, strict=True)}
def _get_renewal(self, namespace: SimpleNamespace, changes: dict[Expression, float]) -> JumpLaw:
"""Return the renewal of the event, which adds the changes and sets the reset states after every wait."""
reset: dict[Expression, object] = {state: state + amount for state, amount in changes.items()}
for name, function in (self.reset or {}).items():
reset.update(self._get_reset(getattr(self._get_member(namespace, 'target'), name), function(namespace)))
waiting = SR(self.waiting(namespace)) if self.waiting is not None else SR(0)
return JumpLaw(waiting=waiting, reset=reset, label=self.label)
def _get_laws(self, namespace: SimpleNamespace) -> list[BaseLaw]:
"""Return the jump law of the event at a rate or after a wait, or the updates of a step with a probability.
Args:
namespace:
The namespace of the symbols the laws can use, with `namespace.target`.
Returns:
laws:
The laws of the event.
"""
changes = self._get_changes(namespace)
if self.waiting is not None:
return [self._get_renewal(namespace, changes)]
if self.probability is not None:
return self._get_steps(namespace, changes)
return [JumpLaw(self._get_rate(namespace), changes)]