Distributions: adapt Laplace

src/Numerics/Distributions/Laplace.cs

@@ -95,17 +95,6 @@ namespace MathNet.Numerics.Distributions
             return "Laplace(μ = " + _location + ", b = " + _scale + ")";
         }
 
-        /// <summary>
-        /// Checks whether the parameters of the distribution are valid. 
-        /// </summary>
-        /// <param name="location">The location (μ) of the distribution.</param>
-        /// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
-        /// <returns><c>true</c> when the parameters are valid, <c>false</c> otherwise.</returns>
-        static bool IsValidParameterSet(double location, double scale)
-        {
-            return scale > 0.0 && !Double.IsNaN(location);
-        }
-
         /// <summary>
         /// Sets the parameters of the distribution after checking their validity.
         /// </summary>
@@ -114,7 +103,7 @@ namespace MathNet.Numerics.Distributions
         /// <exception cref="ArgumentOutOfRangeException">When the parameters are out of range.</exception>
         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
         /// </summary>
         /// <param name="x">The location at which to compute the density.</param>
         /// <returns>the density at <paramref name="x"/>.</returns>
+        /// <seealso cref="PDF"/>
         public double Density(double x)
         {
             return Math.Exp(-Math.Abs(x - _location)/_scale)/(2.0*_scale);
@@ -237,9 +227,10 @@ namespace MathNet.Numerics.Distributions
         /// </summary>
         /// <param name="x">The location at which to compute the log density.</param>
         /// <returns>the log density at <paramref name="x"/>.</returns>
+        /// <seealso cref="PDFLn"/>
         public double DensityLn(double x)
         {
-            return Math.Log(Density(x));
+            return -Math.Abs(x - _location)/_scale - Math.Log(2.0*_scale);
         }
 
         /// <summary>
@@ -247,11 +238,33 @@ namespace MathNet.Numerics.Distributions
         /// </summary>
         /// <param name="x">The location at which to compute the cumulative distribution function.</param>
         /// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
+        /// <seealso cref="CDF"/>
         public double CumulativeDistribution(double x)
         {
             return 0.5*(1.0 + (Math.Sign(x - _location)*(1.0 - Math.Exp(-Math.Abs(x - _location)/_scale))));
         }
 
+        /// <summary>
+        /// Samples a Laplace distributed random variable.
+        /// </summary>
+        /// <returns>a sample from the distribution.</returns>
+        public double Sample()
+        {
+            return SampleUnchecked(_random, _location, _scale);
+        }
+
+        /// <summary>
+        /// Generates a sample from the Laplace distribution.
+        /// </summary>
+        /// <returns>a sample from the distribution.</returns>
+        public IEnumerable<double> Samples()
+        {
+            while (true)
+            {
+                yield return SampleUnchecked(_random, _location, _scale);
+            }
+        }
+
         /// <summary>
         /// Samples the distribution.
         /// </summary>
@@ -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))));
         }
 
         /// <summary>
-        /// Samples a Laplace distributed random variable.
+        /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x.
         /// </summary>
-        /// <returns>a sample from the distribution.</returns>
+        /// <param name="location">The location (μ) of the distribution.</param>
-        public double Sample()
+        /// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
+        /// <param name="x">The location at which to compute the density.</param>
+        /// <returns>the density at <paramref name="x"/>.</returns>
+        /// <seealso cref="Density"/>
+        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);
         }
 
         /// <summary>
-        /// 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).
         /// </summary>
-        /// <returns>a sample from the distribution.</returns>
+        /// <param name="location">The location (μ) of the distribution.</param>
-        public IEnumerable<double> Samples()
+        /// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
+        /// <param name="x">The location at which to compute the density.</param>
+        /// <returns>the log density at <paramref name="x"/>.</returns>
+        /// <seealso cref="DensityLn"/>
+        public static double PDFLn(double location, double scale, double x)
         {
-            while (true)
+            if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
-            {
+
-                yield return SampleUnchecked(_random, _location, _scale);
+            return -Math.Abs(x - location)/scale - Math.Log(2.0*scale);
-            }
+        }
+
+        /// <summary>
+        /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
+        /// </summary>
+        /// <param name="x">The location at which to compute the cumulative distribution function.</param>
+        /// <param name="location">The location (μ) of the distribution.</param>
+        /// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
+        /// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
+        /// <seealso cref="CumulativeDistribution"/>
+        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))));
         }
 
         /// <summary>
@@ -295,10 +332,7 @@ namespace MathNet.Numerics.Distributions
         /// <returns>a sample from the distribution.</returns>
         public static double Sample(System.Random rnd, double location, double scale)
         {
-            if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale))
+            if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
-            {
-                throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
-            }
 
             return SampleUnchecked(rnd, location, scale);
         }
@@ -312,10 +346,7 @@ namespace MathNet.Numerics.Distributions
         /// <returns>a sequence of samples from the distribution.</returns>
         public static IEnumerable<double> Samples(System.Random rnd, double location, double scale)
         {
-            if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale))
+            if (scale <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
-            {
-                throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
-            }
 
             while (true)
             {

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));
         }
 
         /// <summary>
@@ -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));
         }
 
         /// <summary>
@@ -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));
         }
     }
 }