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@ -47,27 +47,27 @@ namespace MathNet.Numerics.Distributions |
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/// <summary>
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/// The stability parameter of the distribution.
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/// </summary>
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private double _alpha; |
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double _alpha; |
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/// <summary>
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/// The skewness parameter of the distribution.
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/// </summary>
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private double _beta; |
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double _beta; |
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/// <summary>
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/// The scale parameter of the distribution.
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/// </summary>
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private double _scale; |
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double _scale; |
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/// <summary>
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/// The location parameter of the distribution.
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/// </summary>
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private double _location; |
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double _location; |
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/// <summary>
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/// The distribution's random number generator.
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/// </summary>
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private Random _random; |
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Random _random; |
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/// <summary>
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/// Initializes a new instance of the <see cref="Stable"/> class.
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@ -97,7 +97,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="beta">The skewness parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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private void SetParameters(double alpha, double beta, double scale, double location) |
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void SetParameters(double alpha, double beta, double scale, double location) |
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{ |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha, beta, scale, location)) |
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{ |
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@ -118,7 +118,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns><c>true</c> when the parameters are valid, <c>false</c> otherwise.</returns>
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private static bool IsValidParameterSet(double alpha, double beta, double scale, double location) |
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static bool IsValidParameterSet(double alpha, double beta, double scale, double location) |
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{ |
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if (alpha <= 0 || alpha > 2) |
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{ |
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@ -148,15 +148,9 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public double Alpha |
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{ |
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get |
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{ |
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return _alpha; |
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} |
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get { return _alpha; } |
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set |
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{ |
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SetParameters(value, _beta, _scale, _location); |
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} |
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set { SetParameters(value, _beta, _scale, _location); } |
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} |
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/// <summary>
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@ -164,15 +158,9 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public double Beta |
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{ |
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get |
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{ |
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return _beta; |
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} |
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get { return _beta; } |
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set |
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{ |
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SetParameters(_alpha, value, _scale, _location); |
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} |
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set { SetParameters(_alpha, value, _scale, _location); } |
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} |
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/// <summary>
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@ -180,15 +168,9 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public double Scale |
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{ |
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get |
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{ |
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return _scale; |
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} |
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get { return _scale; } |
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set |
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{ |
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SetParameters(_alpha, _beta, value, _location); |
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} |
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set { SetParameters(_alpha, _beta, value, _location); } |
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} |
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/// <summary>
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@ -196,15 +178,9 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public double Location |
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{ |
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get |
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{ |
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return _location; |
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} |
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get { return _location; } |
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set |
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{ |
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SetParameters(_alpha, _beta, _scale, value); |
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} |
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set { SetParameters(_alpha, _beta, _scale, value); } |
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} |
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/// <summary>
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@ -223,10 +199,7 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public Random RandomSource |
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{ |
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get |
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{ |
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return _random; |
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} |
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get { return _random; } |
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set |
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{ |
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@ -293,10 +266,7 @@ namespace MathNet.Numerics.Distributions |
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/// <remarks>Always throws a not supported exception.</remarks>
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public double Entropy |
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{ |
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get |
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{ |
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throw new NotSupportedException(); |
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} |
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get { throw new NotSupportedException(); } |
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} |
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/// <summary>
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@ -351,7 +321,7 @@ namespace MathNet.Numerics.Distributions |
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/// <returns>
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/// the cumulative density at <paramref name="x"/>.
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/// </returns>
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private static double LevyCumulativeDistribution(double scale, double location, double x) |
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static double LevyCumulativeDistribution(double scale, double location, double x) |
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{ |
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// The parameters scale and location must be correct
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return SpecialFunctions.Erfc(Math.Sqrt(scale / (2 * (x - location)))); |
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@ -416,10 +386,7 @@ namespace MathNet.Numerics.Distributions |
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/// </summary>
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public double Maximum |
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{ |
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get |
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{ |
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return Double.PositiveInfinity; |
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} |
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get { return Double.PositiveInfinity; } |
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} |
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/// <summary>
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@ -454,7 +421,7 @@ namespace MathNet.Numerics.Distributions |
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/// <param name="location">The location parameter of the distribution.</param>
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/// <param name="x">The location at which to compute the density.</param>
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/// <returns>the density at <paramref name="x"/>.</returns>
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private static double LevyDensity(double scale, double location, double x) |
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static double LevyDensity(double scale, double location, double x) |
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{ |
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// The parameters scale and location must be correct
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if (x < location) |
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@ -475,13 +442,51 @@ namespace MathNet.Numerics.Distributions |
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return Math.Log(Density(x)); |
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} |
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#endregion
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/// <summary>
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/// Samples the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="alpha">The stability parameter of the distribution.</param>
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/// <param name="beta">The skewness parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a random number from the distribution.</returns>
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internal static double SampleUnchecked(Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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var randTheta = ContinuousUniform.Sample(rnd, -Constants.PiOver2, Constants.PiOver2); |
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var randW = Exponential.Sample(rnd, 1.0); |
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if (!1.0.AlmostEqual(alpha)) |
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{ |
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var theta = (1.0 / alpha) * Math.Atan(beta * Math.Tan(Constants.PiOver2 * alpha)); |
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var angle = alpha * (randTheta + theta); |
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var part1 = beta * Math.Tan(Constants.PiOver2 * alpha); |
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var factor = Math.Pow(1.0 + (part1 * part1), 1.0 / (2.0 * alpha)); |
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var factor1 = Math.Sin(angle) / Math.Pow(Math.Cos(randTheta), (1.0 / alpha)); |
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var factor2 = Math.Pow(Math.Cos(randTheta - angle) / randW, (1 - alpha) / alpha); |
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return location + scale * (factor * factor1 * factor2); |
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} |
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else |
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{ |
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var part1 = Constants.PiOver2 + (beta * randTheta); |
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var summand = part1 * Math.Tan(randTheta); |
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var subtrahend = beta * Math.Log(Constants.PiOver2 * randW * Math.Cos(randTheta) / part1); |
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return location + scale * ((2.0 / Math.PI) * (summand - subtrahend)); |
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} |
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} |
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/// <summary>
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/// Draws a random sample from the distribution.
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/// </summary>
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/// <returns>A random number from this distribution.</returns>
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public double Sample() |
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{ |
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return DoSample(RandomSource, _alpha, _beta); |
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return SampleUnchecked(RandomSource, _alpha, _beta, _scale, _location); |
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} |
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/// <summary>
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@ -492,43 +497,50 @@ namespace MathNet.Numerics.Distributions |
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{ |
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while (true) |
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{ |
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yield return DoSample(RandomSource, _alpha, _beta); |
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yield return SampleUnchecked(RandomSource, _alpha, _beta, _scale, _location); |
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} |
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} |
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/// <summary>
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/// Samples the distribution.
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/// Generates a sample from the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="alpha">The stability parameter of the distribution.</param>
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/// <param name="beta">The skewness parameter of the distribution.</param>
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/// <returns>a random number from the distribution.</returns>
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private static double DoSample(Random rnd, double alpha, double beta) |
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a sample from the distribution.</returns>
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public static double Sample(Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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var randTheta = ContinuousUniform.Sample(rnd, -Constants.PiOver2, Constants.PiOver2); |
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var randW = Exponential.Sample(rnd, 1.0); |
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if (!1.0.AlmostEqual(alpha)) |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha, beta, scale, location)) |
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{ |
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var theta = (1.0 / alpha) * Math.Atan(beta * Math.Tan(Constants.PiOver2 * alpha)); |
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var angle = alpha * (randTheta + theta); |
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var part1 = beta * Math.Tan(Constants.PiOver2 * alpha); |
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throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); |
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} |
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var factor = Math.Pow(1.0 + (part1 * part1), 1.0 / (2.0 * alpha)); |
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var factor1 = Math.Sin(angle) / Math.Pow(Math.Cos(randTheta), (1.0 / alpha)); |
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var factor2 = Math.Pow(Math.Cos(randTheta - angle) / randW, (1 - alpha) / alpha); |
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return SampleUnchecked(rnd, location, scale, scale, location); |
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} |
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return factor * factor1 * factor2; |
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} |
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else |
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/// <summary>
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/// Generates a sequence of samples from the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="alpha">The stability parameter of the distribution.</param>
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/// <param name="beta">The skewness parameter of the distribution.</param>
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/// <param name="scale">The scale parameter of the distribution.</param>
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/// <param name="location">The location parameter of the distribution.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static IEnumerable<double> Samples(Random rnd, double alpha, double beta, double scale, double location) |
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{ |
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if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale, scale, location)) |
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{ |
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var part1 = Constants.PiOver2 + (beta * randTheta); |
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var summand = part1 * Math.Tan(randTheta); |
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var subtrahend = beta * Math.Log(Constants.PiOver2 * randW * Math.Cos(randTheta) / part1); |
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throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); |
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} |
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return (2.0 / Math.PI) * (summand - subtrahend); |
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while (true) |
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{ |
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yield return SampleUnchecked(rnd, location, scale, scale, location); |
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} |
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} |
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#endregion
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} |
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} |
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Christoph Ruegg
14 years ago