Chris@16: /* boost random/student_t_distribution.hpp header file
Chris@16:  *
Chris@16:  * Copyright Steven Watanabe 2011
Chris@16:  * Distributed under the Boost Software License, Version 1.0. (See
Chris@16:  * accompanying file LICENSE_1_0.txt or copy at
Chris@16:  * http://www.boost.org/LICENSE_1_0.txt)
Chris@16:  *
Chris@16:  * See http://www.boost.org for most recent version including documentation.
Chris@16:  *
Chris@101:  * $Id$
Chris@16:  */
Chris@16: 
Chris@16: #ifndef BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP
Chris@16: #define BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP
Chris@16: 
Chris@16: #include <boost/config/no_tr1/cmath.hpp>
Chris@16: #include <iosfwd>
Chris@16: #include <boost/config.hpp>
Chris@16: #include <boost/limits.hpp>
Chris@16: #include <boost/random/detail/operators.hpp>
Chris@16: #include <boost/random/chi_squared_distribution.hpp>
Chris@16: #include <boost/random/normal_distribution.hpp>
Chris@16: 
Chris@16: namespace boost {
Chris@16: namespace random {
Chris@16: 
Chris@16: /**
Chris@16:  * The Student t distribution is a real valued distribution with one
Chris@16:  * parameter n, the number of degrees of freedom.
Chris@16:  *
Chris@16:  * It has \f$\displaystyle p(x) =
Chris@16:  *   \frac{1}{\sqrt{n\pi}}
Chris@16:  *   \frac{\Gamma((n+1)/2)}{\Gamma(n/2)}
Chris@16:  *   \left(1+\frac{x^2}{n}\right)^{-(n+1)/2}
Chris@16:  * \f$.
Chris@16:  */
Chris@16: template<class RealType = double>
Chris@16: class student_t_distribution {
Chris@16: public:
Chris@16:     typedef RealType result_type;
Chris@16:     typedef RealType input_type;
Chris@16: 
Chris@16:     class param_type {
Chris@16:     public:
Chris@16:         typedef student_t_distribution distribution_type;
Chris@16: 
Chris@16:         /**
Chris@16:          * Constructs a @c param_type with "n" degrees of freedom.
Chris@16:          *
Chris@16:          * Requires: n > 0
Chris@16:          */
Chris@16:         explicit param_type(RealType n_arg = RealType(1.0))
Chris@16:           : _n(n_arg)
Chris@16:         {}
Chris@16: 
Chris@16:         /** Returns the number of degrees of freedom of the distribution. */
Chris@16:         RealType n() const { return _n; }
Chris@16: 
Chris@16:         /** Writes a @c param_type to a @c std::ostream. */
Chris@16:         BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm)
Chris@16:         { os << parm._n; return os; }
Chris@16: 
Chris@16:         /** Reads a @c param_type from a @c std::istream. */
Chris@16:         BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm)
Chris@16:         { is >> parm._n; return is; }
Chris@16: 
Chris@16:         /** Returns true if the two sets of parameters are the same. */
Chris@16:         BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs)
Chris@16:         { return lhs._n == rhs._n; }
Chris@16:         
Chris@16:         /** Returns true if the two sets of parameters are the different. */
Chris@16:         BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type)
Chris@16: 
Chris@16:     private:
Chris@16:         RealType _n;
Chris@16:     };
Chris@16: 
Chris@16:     /**
Chris@16:      * Constructs an @c student_t_distribution with "n" degrees of freedom.
Chris@16:      *
Chris@16:      * Requires: n > 0
Chris@16:      */
Chris@16:     explicit student_t_distribution(RealType n_arg = RealType(1.0))
Chris@16:       : _normal(), _chi_squared(n_arg)
Chris@16:     {}
Chris@16:     /** Constructs an @c student_t_distribution from its parameters. */
Chris@16:     explicit student_t_distribution(const param_type& parm)
Chris@16:       : _normal(), _chi_squared(parm.n())
Chris@16:     {}
Chris@16: 
Chris@16:     /**
Chris@16:      * Returns a random variate distributed according to the
Chris@16:      * Student t distribution.
Chris@16:      */
Chris@16:     template<class URNG>
Chris@16:     RealType operator()(URNG& urng)
Chris@16:     {
Chris@16:         using std::sqrt;
Chris@16:         return _normal(urng) / sqrt(_chi_squared(urng) / n());
Chris@16:     }
Chris@16: 
Chris@16:     /**
Chris@16:      * Returns a random variate distributed accordint to the Student
Chris@16:      * t distribution with parameters specified by @c param.
Chris@16:      */
Chris@16:     template<class URNG>
Chris@16:     RealType operator()(URNG& urng, const param_type& parm) const
Chris@16:     {
Chris@16:         return student_t_distribution(parm)(urng);
Chris@16:     }
Chris@16: 
Chris@16:     /** Returns the number of degrees of freedom. */
Chris@16:     RealType n() const { return _chi_squared.n(); }
Chris@16: 
Chris@16:     /** Returns the smallest value that the distribution can produce. */
Chris@16:     RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const
Chris@16:     { return -std::numeric_limits<RealType>::infinity(); }
Chris@16:     /** Returns the largest value that the distribution can produce. */
Chris@16:     RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const
Chris@16:     { return std::numeric_limits<RealType>::infinity(); }
Chris@16: 
Chris@16:     /** Returns the parameters of the distribution. */
Chris@16:     param_type param() const { return param_type(n()); }
Chris@16:     /** Sets the parameters of the distribution. */
Chris@16:     void param(const param_type& parm)
Chris@16:     {
Chris@16:         typedef chi_squared_distribution<RealType> chi_squared_type;
Chris@16:         typename chi_squared_type::param_type chi_squared_param(parm.n());
Chris@16:         _chi_squared.param(chi_squared_param);
Chris@16:     }
Chris@16: 
Chris@16:     /**
Chris@16:      * Effects: Subsequent uses of the distribution do not depend
Chris@16:      * on values produced by any engine prior to invoking reset.
Chris@16:      */
Chris@16:     void reset()
Chris@16:     {
Chris@16:         _normal.reset();
Chris@16:         _chi_squared.reset();
Chris@16:     }
Chris@16: 
Chris@16:     /** Writes a @c student_t_distribution to a @c std::ostream. */
Chris@16:     BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, student_t_distribution, td)
Chris@16:     {
Chris@16:         os << td.param();
Chris@16:         return os;
Chris@16:     }
Chris@16: 
Chris@16:     /** Reads a @c student_t_distribution from a @c std::istream. */
Chris@16:     BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, student_t_distribution, td)
Chris@16:     {
Chris@16:         param_type parm;
Chris@16:         if(is >> parm) {
Chris@16:             td.param(parm);
Chris@16:         }
Chris@16:         return is;
Chris@16:     }
Chris@16: 
Chris@16:     /**
Chris@16:      * Returns true if the two instances of @c student_t_distribution will
Chris@16:      * return identical sequences of values given equal generators.
Chris@16:      */
Chris@16:     BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(student_t_distribution, lhs, rhs)
Chris@16:     { return lhs._normal == rhs._normal && lhs._chi_squared == rhs._chi_squared; }
Chris@16:     
Chris@16:     /**
Chris@16:      * Returns true if the two instances of @c student_t_distribution will
Chris@16:      * return different sequences of values given equal generators.
Chris@16:      */
Chris@16:     BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(student_t_distribution)
Chris@16: 
Chris@16: private:
Chris@16:     normal_distribution<RealType> _normal;
Chris@16:     chi_squared_distribution<RealType> _chi_squared;
Chris@16: };
Chris@16: 
Chris@16: } // namespace random
Chris@16: } // namespace boost
Chris@16: 
Chris@16: #endif // BOOST_RANDOM_STUDENT_T_DISTRIBUTION_HPP