public LogNormalDistribution(double mean, double standardDeviation)
{
normalSampler = DistributionPool.Instance.GetDistribution(Statistics.Distribution.Normal, 0, 1);
PeakX = mean;
Scale = standardDeviation;
Type = Statistics.Distribution.LogNormal;
}
public LaplaceDistribution(double location, double diversity)
{
Scale = diversity;
PeakX = location;
Type = Statistics.Distribution.Laplace;
z = new UniformDistribution();
}
public LogisticDistribution(double location, double scale)
{
Scale = scale;
PeakX = location;
Type = Statistics.Distribution.Logistic;
z = new UniformDistribution();
}
/* This runs in O(O(forPdf) + O(inverseOfPdf)).
* Call as few times as possible.
*/
public Ziggurat(MathFunction forPdf,
double mean,
double bound,
ProbabilityDistribution randomNumberGenerator,
int resolution = 1000000,
MathFunction inverseOfCdf = null,
MathFunction inverseOfPdf = null)
{
this.inverseOfCdf = inverseOfCdf;
this.bound = bound;
random = randomNumberGenerator;
this.mean = mean;
pdf = x => forPdf(x + mean);
if (inverseOfCdf == null)
{
this.inverseOfCdf = NumericalTools.Inverse(x => NumericalTools.Integrate(pdf, 0, x), 0, 1);
}
if (inverseOfPdf == null)
{
inverseOfPdf = NumericalTools.Inverse(pdf, 0, bound);
}
xLimits = new double[NUM_RECTS];
yLimits = new double[NUM_RECTS];
// Search for suitable area using numerical integration
double goal = pdf(0);
double lowerBound = pdf(bound);
double currentTailArea(double x) => NumericalTools.Integrate(pdf, x, bound);
double currentR0Area(double x) => pdf(x) * x;
double topY(double x)
{
xLimits[0] = x;
yLimits[0] = pdf(x);
double area = currentTailArea(x) + currentR0Area(x);
for (var i = 1; i < NUM_RECTS; i++)
{
yLimits[i] = yLimits[i - 1] + (area / xLimits[i - 1]);
xLimits[i] = inverseOfPdf(yLimits[i]);
}
return(yLimits[NUM_RECTS - 1]);
}
double x0 = bound;
if (topY(x0) > goal + 0.000001)
{
double top = topY(x0);
throw new ArgumentException("Bound too small");
}
while (topY(x0) < goal)
{
x0 -= bound / 100;
}
x0 += bound / 100;
while (topY(x0) < goal)
{
x0 -= bound / 1000;
}
x0 += bound / 1000;
while (topY(x0) < goal)
{
var top = topY(x0);
x0 -= bound / resolution;
}
x0 += bound / (2 * resolution);
topY(x0);
r0Area = currentR0Area(x0);
}
