Probability Distribution Monad

Makes it easy to create, manipulate and sample probability distributions.

For example, here's how you would code up the following problem: You are given either a fair coin or a biased coin with equal probability. If you flip it 5 times and it comes up heads each time, what is the probability you have the fair coin?

def bayesianCoin(flips: Int): Distribution[(Int, List[Coin])] = {
  for {
    haveFairCoin <- tf()
    c = if (haveFairCoin) coin else biasedCoin(0.9)
    results <- c.repeat(flips)
  } yield (haveFairCoin, results)
}

bayesianCoin(5).given(_._2.forall(_ == H)).pr(_._1 == true)

Or: You repeatedly roll a 6-sided and keep a running sum. What is the probability the sum reaches exactly 30?

def dieSum(rolls: Int): Distribution[List[Int]] = {
  markov(rolls, List(0))(runningSum => for {
    d <- die
  } yield (d + runningSum.head) :: runningSum)
}

dieSum(30).pr(_.contains(30))

Distribution.scala contains code for creating and manipulating probability distributions. Built-in distributions include:

• uniform continuous
• uniform discrete (including die and fair coin)
• weighted discrete (biased coin, uses the alias method)
• normal
• poisson
• cauchy
• chi2

Methods for manipulating distributions include:

• adding (convolution), subracting (cross-correlation), multiplying and dividing distributions
• producing joint distributions from single distributions
• conditional distributions (amounts to a filter)
• mapping and flatMapping values inside the distribution
• creating Markov chains
• finding the probability of arbitrary predicates, conditional probabililty
• finding expected values
• sampling, histogram

Examples.scala contains some example uses, and possibly a RISK simulator.