How to random sample lognormal data in Python using the inverse CDF and specify target percentiles?

问题

I'm trying to generate random samples from a lognormal distribution in Python, the application is for simulating network traffic. I'd like to generate samples such that:

1. The modal sample result is 320 (~10^2.5)
2. 80% of the samples lie within the range 100 to 1000 (10^2 to 10^3)

My strategy is to use the inverse CDF (or Smirnov transform I believe):

1. Use the PDF for a normal distribution centred around 2.5 to calculate the PDF for 10^x where x ~ N(2.5,sigma).
2. Calculate the CDF for the above distribution.
3. Generate random uniform data along the interval 0 to 1.
4. Use the inverse CDF to transform the random uniform data into the required range.

The problem is, when I calculate the 10 and 90th percentile at the end, I have completely the wrong numbers.

Here is my code:

%matplotlib inline

import matplotlib
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import scipy.stats
from scipy.stats import norm

# find value of mu and sigma so that 80% of data lies within range 2 to 3
mu=2.505
sigma = 1/2.505
norm.ppf(0.1, loc=mu,scale=sigma),norm.ppf(0.9, loc=mu,scale=sigma)
# output: (1.9934025, 3.01659743)

# Generate normal distribution PDF
x = np.arange(16,128000, 16) # linearly spaced here, with extra range so that CDF is correctly scaled
x_log = np.log10(x)
mu=2.505
sigma = 1/2.505
y = norm.pdf(x_log,loc=mu,scale=sigma)
fig, ax = plt.subplots()
ax.plot(x_log, y, 'r-', lw=5, alpha=0.6, label='norm pdf')

x2 = (10**x_log) # x2 should be linearly spaced, so that cumsum works (later)
fig, ax = plt.subplots()
ax.plot(x2, y, 'r-', lw=5, alpha=0.6, label='norm pdf')
ax.set_xlim(0,2000)

# Calculate CDF
y_CDF = np.cumsum(y) / np.cumsum(y).max()
fig, ax = plt.subplots()
ax.plot(x2, y_CDF, 'r-', lw=2, alpha=0.6, label='norm pdf')
ax.set_xlim(0,8000)

# Generate random uniform data
input = np.random.uniform(size=10000)

# Use CDF as lookup table
traffic = x2[np.abs(np.subtract.outer(y_CDF, input)).argmin(0)]

# Discard highs and lows
traffic = traffic[(traffic >= 32) & (traffic <= 8000)]

# Check percentiles
np.percentile(traffic,10),np.percentile(traffic,90)

Which produces the output:

(223.99999999999997, 2480.0000000000009)

... and not the (100, 1000) that I would like to see. Any advice appreciated!

回答1:

First, I'm not sure about Use the PDF for a normal distribution centred around 2.5. After all, log-normal is about base e logarithm (aka natural log), which means 320 = 10^2.5 = e^5.77.

Second, I would approach problem in a different way. You need m and s to sample from Log-Normal.

If you look at wiki article above, you could see that it is two-parametric distribution. And you have exactly two conditions:

Mode = exp(m - s*s) = 320
80% samples in [100,1000] => CDF(1000,m,s) - CDF(100,m,s) = 0.8

where CDF is expressed via error function (which is pretty much common function found in any library)

So two non-linear equations for two parameters. Solve them, find m and s and put it into any standard log-normal sampling

回答2:

Severin's approach is much leaner than my original attempt using the Smirnov transform. This is the code that worked for me (using fsolve to find s, although its quite trivial to do it manually):

# Find lognormal distribution, with mode at 320 and 80% of probability mass between 100 and 1000
# Use fsolve to find the roots of the non-linear equation

%matplotlib inline

import matplotlib
import numpy as np
import matplotlib.pyplot as plt

from scipy.optimize import fsolve
from scipy.stats import lognorm
import math

target_modal_value = 320

# Define function to find roots of
def equation(s):

    # From Wikipedia: Mode = exp(m - s*s) = 320
    m = math.log(target_modal_value) + s**2

    # Get probability mass from CDF at 100 and 1000, should equal to 0.8.
    # Rearange equation so that =0, to find root (value of s)
    return (lognorm.cdf(1000,s=s, scale=math.exp(m)) - lognorm.cdf(100,s=s, scale=math.exp(m)) -0.8)

# Solve non-linear equation to find s
s_initial_guess = 1
s =  fsolve(equation, s_initial_guess)

# From s, find m
m = math.log(target_modal_value) + s**2
print('m='+str(m)+', s='+str(s)) #(m,s))

# Plot
x = np.arange(0,2000,1)
y = lognorm.pdf(x,s=s, scale=math.exp(m))
fig, ax = plt.subplots()
ax.plot(x, y, 'r-', lw=5, alpha=0.6, label='norm pdf')
plt.plot((100,100), (0,1), 'k--')
plt.plot((320,320), (0,1), 'k-.')
plt.plot((1000,1000), (0,1), 'k--')
plt.ylim(0,0.0014)
plt.savefig('lognormal_100_320_1000.png')

来源：https://stackoverflow.com/questions/42935843/how-to-random-sample-lognormal-data-in-python-using-the-inverse-cdf-and-specify