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1 | /* boost random/student_t_distribution.hpp header file |
2 | * | |
3 | * Copyright Steven Watanabe 2011 | |
4 | * Distributed under the Boost Software License, Version 1.0. (See | |
5 | * accompanying file LICENSE_1_0.txt or copy at | |
6 | * http://www.boost.org/LICENSE_1_0.txt) | |
7 | * | |
8 | * See http://www.boost.org for most recent version including documentation. | |
9 | * | |
10 | * $Id$ | |
11 | */ | |
12 | ||
13 | #ifndef BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP | |
14 | #define BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP | |
15 | ||
16 | #include <boost/config/no_tr1/cmath.hpp> | |
17 | #include <iosfwd> | |
18 | #include <boost/config.hpp> | |
19 | #include <boost/limits.hpp> | |
20 | #include <boost/random/detail/operators.hpp> | |
21 | #include <boost/random/chi_squared_distribution.hpp> | |
22 | #include <boost/random/normal_distribution.hpp> | |
23 | ||
24 | namespace boost { | |
25 | namespace random { | |
26 | ||
27 | /** | |
28 | * The Student t distribution is a real valued distribution with one | |
29 | * parameter n, the number of degrees of freedom. | |
30 | * | |
31 | * It has \f$\displaystyle p(x) = | |
32 | * \frac{1}{\sqrt{n\pi}} | |
33 | * \frac{\Gamma((n+1)/2)}{\Gamma(n/2)} | |
34 | * \left(1+\frac{x^2}{n}\right)^{-(n+1)/2} | |
35 | * \f$. | |
36 | */ | |
37 | template<class RealType = double> | |
38 | class student_t_distribution { | |
39 | public: | |
40 | typedef RealType result_type; | |
41 | typedef RealType input_type; | |
42 | ||
43 | class param_type { | |
44 | public: | |
45 | typedef student_t_distribution distribution_type; | |
46 | ||
47 | /** | |
48 | * Constructs a @c param_type with "n" degrees of freedom. | |
49 | * | |
50 | * Requires: n > 0 | |
51 | */ | |
52 | explicit param_type(RealType n_arg = RealType(1.0)) | |
53 | : _n(n_arg) | |
54 | {} | |
55 | ||
56 | /** Returns the number of degrees of freedom of the distribution. */ | |
57 | RealType n() const { return _n; } | |
58 | ||
59 | /** Writes a @c param_type to a @c std::ostream. */ | |
60 | BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm) | |
61 | { os << parm._n; return os; } | |
62 | ||
63 | /** Reads a @c param_type from a @c std::istream. */ | |
64 | BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm) | |
65 | { is >> parm._n; return is; } | |
66 | ||
67 | /** Returns true if the two sets of parameters are the same. */ | |
68 | BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs) | |
69 | { return lhs._n == rhs._n; } | |
70 | ||
71 | /** Returns true if the two sets of parameters are the different. */ | |
72 | BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type) | |
73 | ||
74 | private: | |
75 | RealType _n; | |
76 | }; | |
77 | ||
78 | /** | |
79 | * Constructs an @c student_t_distribution with "n" degrees of freedom. | |
80 | * | |
81 | * Requires: n > 0 | |
82 | */ | |
83 | explicit student_t_distribution(RealType n_arg = RealType(1.0)) | |
84 | : _normal(), _chi_squared(n_arg) | |
85 | {} | |
86 | /** Constructs an @c student_t_distribution from its parameters. */ | |
87 | explicit student_t_distribution(const param_type& parm) | |
88 | : _normal(), _chi_squared(parm.n()) | |
89 | {} | |
90 | ||
91 | /** | |
92 | * Returns a random variate distributed according to the | |
93 | * Student t distribution. | |
94 | */ | |
95 | template<class URNG> | |
96 | RealType operator()(URNG& urng) | |
97 | { | |
98 | using std::sqrt; | |
99 | return _normal(urng) / sqrt(_chi_squared(urng) / n()); | |
100 | } | |
101 | ||
102 | /** | |
103 | * Returns a random variate distributed accordint to the Student | |
104 | * t distribution with parameters specified by @c param. | |
105 | */ | |
106 | template<class URNG> | |
107 | RealType operator()(URNG& urng, const param_type& parm) const | |
108 | { | |
109 | return student_t_distribution(parm)(urng); | |
110 | } | |
111 | ||
112 | /** Returns the number of degrees of freedom. */ | |
113 | RealType n() const { return _chi_squared.n(); } | |
114 | ||
115 | /** Returns the smallest value that the distribution can produce. */ | |
116 | RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const | |
117 | { return -std::numeric_limits<RealType>::infinity(); } | |
118 | /** Returns the largest value that the distribution can produce. */ | |
119 | RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const | |
120 | { return std::numeric_limits<RealType>::infinity(); } | |
121 | ||
122 | /** Returns the parameters of the distribution. */ | |
123 | param_type param() const { return param_type(n()); } | |
124 | /** Sets the parameters of the distribution. */ | |
125 | void param(const param_type& parm) | |
126 | { | |
127 | typedef chi_squared_distribution<RealType> chi_squared_type; | |
128 | typename chi_squared_type::param_type chi_squared_param(parm.n()); | |
129 | _chi_squared.param(chi_squared_param); | |
130 | } | |
131 | ||
132 | /** | |
133 | * Effects: Subsequent uses of the distribution do not depend | |
134 | * on values produced by any engine prior to invoking reset. | |
135 | */ | |
136 | void reset() | |
137 | { | |
138 | _normal.reset(); | |
139 | _chi_squared.reset(); | |
140 | } | |
141 | ||
142 | /** Writes a @c student_t_distribution to a @c std::ostream. */ | |
143 | BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, student_t_distribution, td) | |
144 | { | |
145 | os << td.param(); | |
146 | return os; | |
147 | } | |
148 | ||
149 | /** Reads a @c student_t_distribution from a @c std::istream. */ | |
150 | BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, student_t_distribution, td) | |
151 | { | |
152 | param_type parm; | |
153 | if(is >> parm) { | |
154 | td.param(parm); | |
155 | } | |
156 | return is; | |
157 | } | |
158 | ||
159 | /** | |
160 | * Returns true if the two instances of @c student_t_distribution will | |
161 | * return identical sequences of values given equal generators. | |
162 | */ | |
163 | BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(student_t_distribution, lhs, rhs) | |
164 | { return lhs._normal == rhs._normal && lhs._chi_squared == rhs._chi_squared; } | |
165 | ||
166 | /** | |
167 | * Returns true if the two instances of @c student_t_distribution will | |
168 | * return different sequences of values given equal generators. | |
169 | */ | |
170 | BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(student_t_distribution) | |
171 | ||
172 | private: | |
173 | normal_distribution<RealType> _normal; | |
174 | chi_squared_distribution<RealType> _chi_squared; | |
175 | }; | |
176 | ||
177 | } // namespace random | |
178 | } // namespace boost | |
179 | ||
180 | #endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP |