TruncatedExponential.h

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/*!
 * 
 *
 * \brief       Implements a truncated exponential.
 * 
 * 
 *
 * \author      O. Krause
 * \date        2010-01-01
 *
 *
 * \par Copyright 1995-2017 Shark Development Team
 * 
 * <BR><HR>
 * This file is part of Shark.
 * <http://shark-ml.org/>
 * 
 * Shark is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Lesser General Public License as published 
 * by the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 * 
 * Shark is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Lesser General Public License for more details.
 * 
 * You should have received a copy of the GNU Lesser General Public License
 * along with Shark.  If not, see <http://www.gnu.org/licenses/>.
 *
 */
#ifndef SHARK_RNG_TRUNCATED_EXPONENTIAL_H
#define SHARK_RNG_TRUNCATED_EXPONENTIAL_H

#include <shark/Rng/Rng.h>
#include <boost/random.hpp>
#include <boost/random/uniform_01.hpp>

#include <cmath>
#include <istream>

namespace shark{

    /**
     * \brief boost random suitable distribution for an truncated exponential. See TruncatedExponential for more details.
     */
    template<class RealType = double>
    class TruncatedExponential_distribution {
    public:
    typedef RealType input_type;
        typedef RealType result_type;

        explicit TruncatedExponential_distribution( RealType lambda, RealType max)
            :m_max(max),m_lambda(lambda),m_integral(1-std::exp(-lambda*max))
        {}
        explicit TruncatedExponential_distribution( RealType lambda, RealType max, RealType integral)
            :m_max(max),m_lambda(lambda),m_integral(integral)
        {}

        RealType max() const
        {
            return m_max;
        }
        RealType lambda()const
        {
            return m_lambda;
        }
        RealType integral()const
        {
            return m_integral;
        }
        void reset() { }

        template<class Engine>
        result_type operator()(Engine& eng)
        {
            if(m_lambda == 0){
                return boost::uniform_01<RealType>()(eng);
            }
            double y = m_max * boost::uniform_01<RealType>()(eng);
            return - std::log(1. - y*m_integral)/m_lambda;
        }

        template<class CharT, class Traits,class T>
        friend std::basic_ostream<CharT,Traits>&
        operator<<(std::basic_ostream<CharT,Traits>& os, const TruncatedExponential_distribution<T>& d){
            os << d.m_max;
            os << d.m_lambda;
            return os;
        }

        template<class CharT, class Traits,class T>
        friend std::basic_istream<CharT,Traits>&
        operator>>(std::basic_istream<CharT,Traits>& is, TruncatedExponential_distribution<T>& d){
            double max = 0;
            double lambda = 0;
            is >> max;
            is >> lambda;
            d = TruncatedExponential_distribution<T>(lambda,max);
            return is;
        }
    private:
        RealType m_max;
        RealType m_lambda;
        RealType m_integral;
    };

    /**
     * \brief Implements a generator for the truncated exponential function
     *
     * Often, not the full range of an exponential distribution is needed. instead only an interval between [0,b]
     * is required. In this case, the TruncatedExponential can be used. The propability function is
     * \f$ p(x)=\frac{\lambda e^{-\lambda x}}{1-e^{-\lambda b}} \f$
     * as default, the maximum value for x is 1
     */
        template<typename RngType = DefaultRngType>
        class TruncatedExponential:public boost::variate_generator<RngType*,TruncatedExponential_distribution<> > {
        private:
            typedef boost::variate_generator<RngType*,TruncatedExponential_distribution<> > Base;
        public:
        
            TruncatedExponential(RngType& rng, double lambda = 1, double max = 1.0 )
                :Base(&rng,TruncatedExponential_distribution<>(lambda,max))
            {}
        
        ///\brief special version, when the integral of the truncated exponential is allready known 
        TruncatedExponential(double integral, RngType& rng, double lambda = 1, double max = 1.0 )
                :Base(&rng,TruncatedExponential_distribution<>(lambda,max, integral))
            {}
     
            using Base::operator();
     
            double operator()(double lambda,double max = 1.0){
                TruncatedExponential_distribution<> dist(lambda,max);
            return dist(Base::engine());
        }

        double lambda()const{
            return Base::distribution().lambda();
        }
        double max()const{
            return Base::distribution().max();
        }
        void setLambda(double newLambda){
            Base::distribution() = TruncatedExponential_distribution<>(newLambda, max());
        }
        void setMax(double newMax){
            Base::distribution() = TruncatedExponential_distribution<>(lambda(), newMax);
        }

        double p(double x)
        {
            if(x >= 0 && x<=max()) {
                return std::exp(-lambda()*x)/Base::distribution().integral();
            }
            return 0.;
        }

    };
}
#endif