diff --git a/src/Numerics/Distributions/Laplace.cs b/src/Numerics/Distributions/Laplace.cs index 172cb65e..225f43fb 100644 --- a/src/Numerics/Distributions/Laplace.cs +++ b/src/Numerics/Distributions/Laplace.cs @@ -95,17 +95,6 @@ namespace MathNet.Numerics.Distributions return "Laplace(μ = " + _location + ", b = " + _scale + ")"; } - /// - /// Checks whether the parameters of the distribution are valid. - /// - /// The location (μ) of the distribution. - /// The scale (b) of the distribution. Range: b > 0. - /// true when the parameters are valid, false otherwise. - static bool IsValidParameterSet(double location, double scale) - { - return scale > 0.0 && !Double.IsNaN(location); - } - /// /// Sets the parameters of the distribution after checking their validity. /// @@ -114,7 +103,7 @@ namespace MathNet.Numerics.Distributions /// When the parameters are out of range. void SetParameters(double location, double scale) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale)) + if (scale <= 0.0 || Double.IsNaN(location) || Double.IsNaN(scale)) { throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); } @@ -227,6 +216,7 @@ namespace MathNet.Numerics.Distributions /// /// The location at which to compute the density. /// the density at . + /// public double Density(double x) { return Math.Exp(-Math.Abs(x - _location)/_scale)/(2.0*_scale); @@ -237,9 +227,10 @@ namespace MathNet.Numerics.Distributions /// /// The location at which to compute the log density. /// the log density at . + /// public double DensityLn(double x) { - return Math.Log(Density(x)); + return -Math.Abs(x - _location)/_scale - Math.Log(2.0*_scale); } /// @@ -247,11 +238,33 @@ namespace MathNet.Numerics.Distributions /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . + /// public double CumulativeDistribution(double x) { return 0.5*(1.0 + (Math.Sign(x - _location)*(1.0 - Math.Exp(-Math.Abs(x - _location)/_scale)))); } + /// + /// Samples a Laplace distributed random variable. + /// + /// a sample from the distribution. + public double Sample() + { + return SampleUnchecked(_random, _location, _scale); + } + + /// + /// Generates a sample from the Laplace distribution. + /// + /// a sample from the distribution. + public IEnumerable Samples() + { + while (true) + { + yield return SampleUnchecked(_random, _location, _scale); + } + } + /// /// Samples the distribution. /// @@ -262,28 +275,52 @@ namespace MathNet.Numerics.Distributions static double SampleUnchecked(System.Random rnd, double location, double scale) { var u = rnd.NextDouble() - 0.5; - return location - (scale*Math.Sign(u)*Math.Log(1.0 - (2.0*Math.Abs(u)))); + return location - (scale * Math.Sign(u) * Math.Log(1.0 - (2.0 * Math.Abs(u)))); } /// - /// Samples a Laplace distributed random variable. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// - /// a sample from the distribution. - public double Sample() + /// The location (μ) of the distribution. + /// The scale (b) of the distribution. Range: b > 0. + /// The location at which to compute the density. + /// the density at . + /// + public static double PDF(double location, double scale, double x) { - return SampleUnchecked(_random, _location, _scale); + if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + return Math.Exp(-Math.Abs(x - location)/scale)/(2.0*scale); } /// - /// Generates a sample from the Laplace distribution. + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// - /// a sample from the distribution. - public IEnumerable Samples() + /// The location (μ) of the distribution. + /// The scale (b) of the distribution. Range: b > 0. + /// The location at which to compute the density. + /// the log density at . + /// + public static double PDFLn(double location, double scale, double x) { - while (true) - { - yield return SampleUnchecked(_random, _location, _scale); - } + if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + return -Math.Abs(x - location)/scale - Math.Log(2.0*scale); + } + + /// + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). + /// + /// The location at which to compute the cumulative distribution function. + /// The location (μ) of the distribution. + /// The scale (b) of the distribution. Range: b > 0. + /// the cumulative distribution at location . + /// + public static double CDF(double location, double scale, double x) + { + if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + return 0.5*(1.0 + (Math.Sign(x - location)*(1.0 - Math.Exp(-Math.Abs(x - location)/scale)))); } /// @@ -295,10 +332,7 @@ namespace MathNet.Numerics.Distributions /// a sample from the distribution. public static double Sample(System.Random rnd, double location, double scale) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale)) - { - throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); - } + if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); return SampleUnchecked(rnd, location, scale); } @@ -312,10 +346,7 @@ namespace MathNet.Numerics.Distributions /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double location, double scale) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale)) - { - throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); - } + if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); while (true) { diff --git a/src/UnitTests/DistributionTests/Continuous/LaplaceTests.cs b/src/UnitTests/DistributionTests/Continuous/LaplaceTests.cs index 6a06af3a..d26be734 100644 --- a/src/UnitTests/DistributionTests/Continuous/LaplaceTests.cs +++ b/src/UnitTests/DistributionTests/Continuous/LaplaceTests.cs @@ -313,7 +313,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous public void ValidateDensity(double location, double scale, double x) { var n = new Laplace(location, scale); - Assert.AreEqual(Math.Exp(-Math.Abs(x - location) / scale) / (2.0 * scale), n.Density(x)); + double expected = Math.Exp(-Math.Abs(x - location)/scale)/(2.0*scale); + Assert.AreEqual(expected, n.Density(x)); + Assert.AreEqual(expected, Laplace.PDF(location, scale, x)); } /// @@ -346,7 +348,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous public void ValidateDensityLn(double location, double scale, double x) { var n = new Laplace(location, scale); - Assert.AreEqual(-Math.Log(2.0 * scale) - (Math.Abs(x - location) / scale), n.DensityLn(x)); + double expected = -Math.Log(2.0*scale) - (Math.Abs(x - location)/scale); + Assert.AreEqual(expected, n.DensityLn(x)); + Assert.AreEqual(expected, Laplace.PDFLn(location, scale, x)); } /// @@ -400,7 +404,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous public void ValidateCumulativeDistribution(double location, double scale, double x) { var n = new Laplace(location, scale); - Assert.AreEqual(0.5 * (1.0 + (Math.Sign(x - location) * (1.0 - Math.Exp(-Math.Abs(x - location) / scale)))), n.CumulativeDistribution(x)); + double expected = 0.5*(1.0 + (Math.Sign(x - location)*(1.0 - Math.Exp(-Math.Abs(x - location)/scale)))); + Assert.AreEqual(expected, n.CumulativeDistribution(x)); + Assert.AreEqual(expected, Laplace.CDF(location, scale, x)); } } }