ROL
ROL_Gumbel.hpp
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43
44#ifndef ROL_GUMBEL_HPP
45#define ROL_GUMBEL_HPP
46
47#include "ROL_Distribution.hpp"
48#include "ROL_ParameterList.hpp"
49
50namespace ROL {
51
52template<class Real>
53class Gumbel : public Distribution<Real> {
54private:
55 Real loc_;
56 Real scale_;
57
58 void checkInputs(const Real loc, const Real scale) const {
59 if (scale <= static_cast<Real>(0)) {
60 throw Exception::NotImplemented(">>> (Gumbel::Gumbel): Scale must be greater than zero!");
61 }
62 }
63
64public:
65 Gumbel(const Real loc = 0., const Real scale = 1.)
66 : loc_(loc), scale_(scale) {
68 }
69
70 Gumbel(ROL::ParameterList &parlist) {
71 loc_ = parlist.sublist("SOL").sublist("Distribution").sublist("Gumbel").get("Location",0.);
72 scale_ = parlist.sublist("SOL").sublist("Distribution").sublist("Gumbel").get("Scale",1.);
74 }
75
76 Real evaluatePDF(const Real input) const {
77 Real z = (x-loc_)/scale_;
78 return std::exp(-(z+exp(-z)))/scale_;
79 }
80
81 Real evaluateCDF(const Real input) const {
82 Real z = (x-loc_)/scale_;
83 return std::exp(-std::exp(-z));
84 }
85
86 Real integrateCDF(const Real input) const {
87 throw Exception::NotImplemented(">>> (Gumbel::integrateCDF): Not implemented!");
88 return static_cast<Real>(0);
89 }
90
91 Real invertCDF(const Real input) const {
92 return loc_ - scale_*std::log(-std::log(input));
93 }
94
95 Real moment(const size_t m) const {
96 Real val(0), gamma(0.57721566490153286);
97 if (m==1) {
98 val = loc_+scale_*gamma;
99 }
100 else if (m==2) {
101 Real pi(M_PI), six(6);
102 val = std::pow(scale_*pi,2)/six + std::pow(loc_+scale_*gamma,2);
103 }
104 else {
105 throw Exception::NotImplemented(">>> (Gumbel::moment): Moment is only implemented for m=1,2!");
106 }
107 return val;
108 }
109
110 Real lowerBound(void) const {
111 return ROL_NINF<Real>();
112 }
113
114 Real upperBound(void) const {
115 return ROL_INF<Real>();
116 }
117
118 void test(std::ostream &outStream = std::cout ) const {
119 size_t size = 3;
120 std::vector<Real> X(size,0.);
121 std::vector<int> T(size,0);
122 X[0] = loc_-4.0*(Real)rand()/(Real)RAND_MAX;
123 T[0] = 0;
124 X[1] = loc_;
125 T[1] = 1;
126 X[2] = loc_+4.0*(Real)rand()/(Real)RAND_MAX;
127 T[2] = 0;
128 Distribution<Real>::test(X,T,outStream);
129 }
130};
131
132}
133
134#endif
virtual void test(std::ostream &outStream=std::cout) const
Real moment(const size_t m) const
Definition: ROL_Gumbel.hpp:95
Real evaluateCDF(const Real input) const
Definition: ROL_Gumbel.hpp:81
void test(std::ostream &outStream=std::cout) const
Definition: ROL_Gumbel.hpp:118
Gumbel(const Real loc=0., const Real scale=1.)
Definition: ROL_Gumbel.hpp:65
Real integrateCDF(const Real input) const
Definition: ROL_Gumbel.hpp:86
Real invertCDF(const Real input) const
Definition: ROL_Gumbel.hpp:91
void checkInputs(const Real loc, const Real scale) const
Definition: ROL_Gumbel.hpp:58
Real evaluatePDF(const Real input) const
Definition: ROL_Gumbel.hpp:76
Real upperBound(void) const
Definition: ROL_Gumbel.hpp:114
Gumbel(ROL::ParameterList &parlist)
Definition: ROL_Gumbel.hpp:70
Real lowerBound(void) const
Definition: ROL_Gumbel.hpp:110