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 |
181 | |