ROL
ROL_Laplace.hpp
Go to the documentation of this file.
1// @HEADER
2// ************************************************************************
3//
4// Rapid Optimization Library (ROL) Package
5// Copyright (2014) Sandia Corporation
6//
7// Under terms of Contract DE-AC04-94AL85000, there is a non-exclusive
8// license for use of this work by or on behalf of the U.S. Government.
9//
10// Redistribution and use in source and binary forms, with or without
11// modification, are permitted provided that the following conditions are
12// met:
13//
14// 1. Redistributions of source code must retain the above copyright
15// notice, this list of conditions and the following disclaimer.
16//
17// 2. Redistributions in binary form must reproduce the above copyright
18// notice, this list of conditions and the following disclaimer in the
19// documentation and/or other materials provided with the distribution.
20//
21// 3. Neither the name of the Corporation nor the names of the
22// contributors may be used to endorse or promote products derived from
23// this software without specific prior written permission.
24//
25// THIS SOFTWARE IS PROVIDED BY SANDIA CORPORATION "AS IS" AND ANY
26// EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
27// IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
28// PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL SANDIA CORPORATION OR THE
29// CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL,
30// EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO,
31// PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR
32// PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF
33// LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING
34// NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
35// SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
36//
37// Questions? Contact lead developers:
38// Drew Kouri (dpkouri@sandia.gov) and
39// Denis Ridzal (dridzal@sandia.gov)
40//
41// ************************************************************************
42// @HEADER
43
44#ifndef ROL_LAPLACE_HPP
45#define ROL_LAPLACE_HPP
46
47#include "ROL_Distribution.hpp"
48#include "ROL_ParameterList.hpp"
49
50namespace ROL {
51
52template<class Real>
53class Laplace : public Distribution<Real> {
54private:
55 Real mean_;
56 Real scale_;
57
58 size_t compute_coeff(const size_t m, const size_t k) const {
59 if ( k == 0 || m == 0 || m == 1 ) {
60 return 1;
61 }
62 size_t val = 1;
63 for (size_t i = m-k; i < m; i++) {
64 val *= (i+1);
65 }
66 return val;
67 }
68
69public:
70 Laplace(const Real mean = 0., const Real scale = 1.)
71 : mean_(mean), scale_(scale) {}
72
73 Laplace(ROL::ParameterList &parlist) {
74 mean_ = parlist.sublist("SOL").sublist("Distribution").sublist("Laplace").get("Mean",0.);
75 scale_ = parlist.sublist("SOL").sublist("Distribution").sublist("Laplace").get("Scale",1.);
76 scale_ = (scale_ > 0.) ? scale_ : 1.;
77 }
78
79 Real evaluatePDF(const Real input) const {
80 return 0.5*std::exp(-std::abs(input-mean_)/scale_)/scale_;
81 }
82
83 Real evaluateCDF(const Real input) const {
84 return ((input < mean_) ? 0.5*std::exp((input-mean_)/scale_) :
85 1.-0.5*std::exp(-(input-mean_)/scale_));
86 }
87
88 Real integrateCDF(const Real input) const {
89 return ((input < mean_) ? 0.5*scale_*std::exp((input-mean_)/scale_) :
90 (input-mean_)+0.5*scale_*std::exp(-(input-mean_)/scale_));
91 }
92
93 Real invertCDF(const Real input) const {
94 Real sgn = ((input < 0.5) ? -1. : ((input > 0.5) ? 1. : 0.0));
95 return mean_ - scale_*sgn*std::log(1.-2.*std::abs(input-0.5));
96 }
97
98 Real moment(const size_t m) const {
99 if ( m == 1 ) {
100 return mean_;
101 }
102 if ( m == 2 ) {
103 return std::pow(mean_,2) + 2.*std::pow(scale_,2);
104 }
105 Real coeff = 0., val = 0.;
106 for (size_t k = 0; k < m+1; k++) {
107 if ( k%2 == 0 ) {
108 coeff = compute_coeff(m,k);
109 val += coeff*std::pow(scale_,k)*std::pow(mean_,m-k);
110 }
111 }
112 return val;
113 }
114
115 Real lowerBound(void) const {
116 return ROL_NINF<Real>();
117 }
118
119 Real upperBound(void) const {
120 return ROL_INF<Real>();
121 }
122
123 void test(std::ostream &outStream = std::cout ) const {
124 size_t size = 1;
125 std::vector<Real> X(size,4.*(Real)rand()/(Real)RAND_MAX - 2.);
126 std::vector<int> T(size,0);
127 Distribution<Real>::test(X,T,outStream);
128 }
129};
130
131}
132
133#endif
virtual void test(std::ostream &outStream=std::cout) const
Real moment(const size_t m) const
Definition: ROL_Laplace.hpp:98
void test(std::ostream &outStream=std::cout) const
Real upperBound(void) const
Laplace(const Real mean=0., const Real scale=1.)
Definition: ROL_Laplace.hpp:70
Real invertCDF(const Real input) const
Definition: ROL_Laplace.hpp:93
Real integrateCDF(const Real input) const
Definition: ROL_Laplace.hpp:88
Laplace(ROL::ParameterList &parlist)
Definition: ROL_Laplace.hpp:73
size_t compute_coeff(const size_t m, const size_t k) const
Definition: ROL_Laplace.hpp:58
Real evaluatePDF(const Real input) const
Definition: ROL_Laplace.hpp:79
Real evaluateCDF(const Real input) const
Definition: ROL_Laplace.hpp:83
Real lowerBound(void) const