diff options
Diffstat (limited to 'utils/m.h')
| -rw-r--r-- | utils/m.h | 45 |
1 files changed, 45 insertions, 0 deletions
@@ -4,6 +4,10 @@ #include <cassert> #include <cmath> #include <boost/math/special_functions/digamma.hpp> +#include <boost/math/constants/constants.hpp> + +// TODO right now I sometimes assert that x is in the support of the distributions +// should be configurable to return -inf instead template <typename F> struct M { @@ -59,6 +63,47 @@ struct M { return (alpha-1)*std::log(x)+(beta-1)*std::log(1-x) - log_beta_fn(alpha, beta); } + // support x \in R + static inline F log_laplace_density(const F& x, const F& mu, const F& b) { + assert(b > 0.0); + return -std::log(2*b) - std::fabs(x - mu) / b; + } + + // support x \in R + // this is NOT the "log normal" density, it is the log of the "normal density at x" + static inline F log_gaussian_density(const F& x, const F& mu, const F& var) { + assert(var > 0.0); + return -0.5 * std::log(var * 2 * boost::math::constants::pi<F>()) - (x - mu)*(x - mu) / (2 * var); + } + + // (x1,x2) \in R^2 + // parameterized in terms of two means, a two "variances", a correlation < 1 + static inline F log_bivariate_gaussian_density(const F& x1, const F& x2, + const F& mu1, const F& mu2, + const F& var1, const F& var2, + const F& cor) { + assert(var1 > 0); + assert(var2 > 0); + assert(std::fabs(cor) < 1.0); + const F cor2 = cor*cor; + const F var1var22 = var1 * var2; + const F Z = 0.5 * std::log(var1var22 * (1 - cor2)) + std::log(2 * boost::math::constants::pi<F>()); + return -Z -1.0 / (2 * (1 - cor2)) * ((x1 - mu1)*(x1-mu1) / var1 + (x2-mu2)*(x2-mu2) / var2 - 2*cor*(x1 - mu1)*(x2-mu2) / std::sqrt(var1var22)); + } + + // support x \in [a,b] + static inline F log_triangle_density(const F& x, const F& a, const F& b, const F& c) { + assert(a < b); + assert(a <= c); + assert(c <= b); + assert(x >= a); + assert(x <= b); + if (x <= c) + return std::log(2) + std::log(x - a) - std::log(b - a) - std::log(c - a); + else + return std::log(2) + std::log(b - x) - std::log(b - a) - std::log(b - c); + } + // note: this has been adapted so that 0 is in the support of the distribution // support [0, 1, 2 ...) static inline F log_yule_simon(unsigned x, const F& rho) { |