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Diffstat (limited to 'src/third_party/boost-1.69.0/boost/random/student_t_distribution.hpp')
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diff --git a/src/third_party/boost-1.69.0/boost/random/student_t_distribution.hpp b/src/third_party/boost-1.69.0/boost/random/student_t_distribution.hpp new file mode 100644 index 00000000000..e28b0e3bfb3 --- /dev/null +++ b/src/third_party/boost-1.69.0/boost/random/student_t_distribution.hpp @@ -0,0 +1,180 @@ +/* boost random/student_t_distribution.hpp header file + * + * Copyright Steven Watanabe 2011 + * Distributed under the Boost Software License, Version 1.0. (See + * accompanying file LICENSE_1_0.txt or copy at + * http://www.boost.org/LICENSE_1_0.txt) + * + * See http://www.boost.org for most recent version including documentation. + * + * $Id$ + */ + +#ifndef BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP +#define BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP + +#include <boost/config/no_tr1/cmath.hpp> +#include <iosfwd> +#include <boost/config.hpp> +#include <boost/limits.hpp> +#include <boost/random/detail/operators.hpp> +#include <boost/random/chi_squared_distribution.hpp> +#include <boost/random/normal_distribution.hpp> + +namespace boost { +namespace random { + +/** + * The Student t distribution is a real valued distribution with one + * parameter n, the number of degrees of freedom. + * + * It has \f$\displaystyle p(x) = + * \frac{1}{\sqrt{n\pi}} + * \frac{\Gamma((n+1)/2)}{\Gamma(n/2)} + * \left(1+\frac{x^2}{n}\right)^{-(n+1)/2} + * \f$. + */ +template<class RealType = double> +class student_t_distribution { +public: + typedef RealType result_type; + typedef RealType input_type; + + class param_type { + public: + typedef student_t_distribution distribution_type; + + /** + * Constructs a @c param_type with "n" degrees of freedom. + * + * Requires: n > 0 + */ + explicit param_type(RealType n_arg = RealType(1.0)) + : _n(n_arg) + {} + + /** Returns the number of degrees of freedom of the distribution. */ + RealType n() const { return _n; } + + /** Writes a @c param_type to a @c std::ostream. */ + BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm) + { os << parm._n; return os; } + + /** Reads a @c param_type from a @c std::istream. */ + BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm) + { is >> parm._n; return is; } + + /** Returns true if the two sets of parameters are the same. */ + BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs) + { return lhs._n == rhs._n; } + + /** Returns true if the two sets of parameters are the different. */ + BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type) + + private: + RealType _n; + }; + + /** + * Constructs an @c student_t_distribution with "n" degrees of freedom. + * + * Requires: n > 0 + */ + explicit student_t_distribution(RealType n_arg = RealType(1.0)) + : _normal(), _chi_squared(n_arg) + {} + /** Constructs an @c student_t_distribution from its parameters. */ + explicit student_t_distribution(const param_type& parm) + : _normal(), _chi_squared(parm.n()) + {} + + /** + * Returns a random variate distributed according to the + * Student t distribution. + */ + template<class URNG> + RealType operator()(URNG& urng) + { + using std::sqrt; + return _normal(urng) / sqrt(_chi_squared(urng) / n()); + } + + /** + * Returns a random variate distributed accordint to the Student + * t distribution with parameters specified by @c param. + */ + template<class URNG> + RealType operator()(URNG& urng, const param_type& parm) const + { + return student_t_distribution(parm)(urng); + } + + /** Returns the number of degrees of freedom. */ + RealType n() const { return _chi_squared.n(); } + + /** Returns the smallest value that the distribution can produce. */ + RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const + { return -std::numeric_limits<RealType>::infinity(); } + /** Returns the largest value that the distribution can produce. */ + RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const + { return std::numeric_limits<RealType>::infinity(); } + + /** Returns the parameters of the distribution. */ + param_type param() const { return param_type(n()); } + /** Sets the parameters of the distribution. */ + void param(const param_type& parm) + { + typedef chi_squared_distribution<RealType> chi_squared_type; + typename chi_squared_type::param_type chi_squared_param(parm.n()); + _chi_squared.param(chi_squared_param); + } + + /** + * Effects: Subsequent uses of the distribution do not depend + * on values produced by any engine prior to invoking reset. + */ + void reset() + { + _normal.reset(); + _chi_squared.reset(); + } + + /** Writes a @c student_t_distribution to a @c std::ostream. */ + BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, student_t_distribution, td) + { + os << td.param(); + return os; + } + + /** Reads a @c student_t_distribution from a @c std::istream. */ + BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, student_t_distribution, td) + { + param_type parm; + if(is >> parm) { + td.param(parm); + } + return is; + } + + /** + * Returns true if the two instances of @c student_t_distribution will + * return identical sequences of values given equal generators. + */ + BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(student_t_distribution, lhs, rhs) + { return lhs._normal == rhs._normal && lhs._chi_squared == rhs._chi_squared; } + + /** + * Returns true if the two instances of @c student_t_distribution will + * return different sequences of values given equal generators. + */ + BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(student_t_distribution) + +private: + normal_distribution<RealType> _normal; + chi_squared_distribution<RealType> _chi_squared; +}; + +} // namespace random +} // namespace boost + +#endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP |