ROL
ROL_Cauchy.hpp
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43
44#ifndef ROL_CAUCHY_HPP
45#define ROL_CAUCHY_HPP
46
47#include "ROL_Distribution.hpp"
48#include "ROL_ParameterList.hpp"
49
50namespace ROL {
51
52template<class Real>
53class Cauchy : public Distribution<Real> {
54private:
55 Real loc_;
56 Real scale_;
57
58public:
59 Cauchy(const Real loc = 0., const Real scale = 1.)
60 : loc_(loc), scale_((scale>0.) ? scale : 1.) {}
61
62 Cauchy(ROL::ParameterList &parlist) {
63 loc_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Location",0.);
64 scale_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Scale",1.);
65 scale_ = (scale_>0.) ? scale_ : 1.;
66 }
67
68 Real evaluatePDF(const Real input) const {
69 return 1./(ROL::ScalarTraits<Real>::pi()*scale_*(1.+std::pow((input-loc_)/scale_,2.)));
70 }
71
72 Real evaluateCDF(const Real input) const {
73 return 0.5+atan((input-loc_)/scale_)/ROL::ScalarTraits<Real>::pi();
74 }
75
76 Real integrateCDF(const Real input) const {
77 Real v = input-loc_;
78 return 0.5*input + (v*atan(v/scale_) - 0.5*scale_*std::log(v*v+scale_*scale_))/ROL::ScalarTraits<Real>::pi();
79 }
80
81 Real invertCDF(const Real input) const {
82 return loc_+scale_*tan(ROL::ScalarTraits<Real>::pi()*(input-0.5));
83 }
84
85 Real moment(const size_t m) const {
86 ROL_TEST_FOR_EXCEPTION( true, std::invalid_argument,
87 ">>> ERROR (ROL::Cauchy): Cauchy moments are undefined!");
88 }
89
90 Real lowerBound(void) const {
91 return ROL_NINF<Real>();
92 }
93
94 Real upperBound(void) const {
95 return ROL_INF<Real>();
96 }
97
98 void test(std::ostream &outStream = std::cout ) const {
99 size_t size = 1;
100 std::vector<Real> X(size,4.*(Real)rand()/(Real)RAND_MAX - 2.);
101 std::vector<int> T(size,0);
102 Distribution<Real>::test(X,T,outStream);
103 }
104};
105
106}
107
108#endif
Real evaluatePDF(const Real input) const
Definition: ROL_Cauchy.hpp:68
Real invertCDF(const Real input) const
Definition: ROL_Cauchy.hpp:81
Cauchy(const Real loc=0., const Real scale=1.)
Definition: ROL_Cauchy.hpp:59
Real upperBound(void) const
Definition: ROL_Cauchy.hpp:94
Real moment(const size_t m) const
Definition: ROL_Cauchy.hpp:85
Cauchy(ROL::ParameterList &parlist)
Definition: ROL_Cauchy.hpp:62
Real evaluateCDF(const Real input) const
Definition: ROL_Cauchy.hpp:72
void test(std::ostream &outStream=std::cout) const
Definition: ROL_Cauchy.hpp:98
Real integrateCDF(const Real input) const
Definition: ROL_Cauchy.hpp:76
Real lowerBound(void) const
Definition: ROL_Cauchy.hpp:90
virtual void test(std::ostream &outStream=std::cout) const
static constexpr Real pi() noexcept