summaryrefslogtreecommitdiff
path: root/boost/random/lognormal_distribution.hpp
blob: bc7ddfeff28339d7f74ad116769413a723e4dd40 (plain)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
/* boost random/lognormal_distribution.hpp header file
 *
 * Copyright Jens Maurer 2000-2001
 * Copyright Steven Watanabe 2011
 * Distributed under the Boost Software License, Version 1.0. (See
 * accompanying file LICENSE_1_0.txt or copy at
 * http://www.boost.org/LICENSE_1_0.txt)
 *
 * See http://www.boost.org for most recent version including documentation.
 *
 * $Id: lognormal_distribution.hpp 71018 2011-04-05 21:27:52Z steven_watanabe $
 *
 * Revision history
 *  2001-02-18  moved to individual header files
 */

#ifndef BOOST_RANDOM_LOGNORMAL_DISTRIBUTION_HPP
#define BOOST_RANDOM_LOGNORMAL_DISTRIBUTION_HPP

#include <boost/config/no_tr1/cmath.hpp>      // std::exp, std::sqrt
#include <cassert>
#include <iosfwd>
#include <istream>
#include <boost/limits.hpp>
#include <boost/random/detail/config.hpp>
#include <boost/random/detail/operators.hpp>
#include <boost/random/normal_distribution.hpp>

namespace boost {
namespace random {

/**
 * Instantiations of class template lognormal_distribution model a
 * \random_distribution. Such a distribution produces random numbers
 * with \f$\displaystyle p(x) = \frac{1}{x s \sqrt{2\pi}} e^{\frac{-\left(\log(x)-m\right)^2}{2s^2}}\f$
 * for x > 0.
 *
 * @xmlwarning
 * This distribution has been updated to match the C++ standard.
 * Its behavior has changed from the original
 * boost::lognormal_distribution.  A backwards compatible
 * version is provided in namespace boost.
 * @endxmlwarning
 */
template<class RealType = double>
class lognormal_distribution
{
public:
    typedef typename normal_distribution<RealType>::input_type input_type;
    typedef RealType result_type;

    class param_type
    {
    public:

        typedef lognormal_distribution distribution_type;

        /** Constructs the parameters of a lognormal_distribution. */
        explicit param_type(RealType m_arg = RealType(0.0),
                            RealType s_arg = RealType(1.0))
          : _m(m_arg), _s(s_arg) {}

        /** Returns the "m" parameter of the distribution. */
        RealType m() const { return _m; }

        /** Returns the "s" parameter of the distribution. */
        RealType s() const { return _s; }

        /** Writes the parameters to a std::ostream. */
        BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, param_type, parm)
        {
            os << parm._m << " " << parm._s;
            return os;
        }

        /** Reads the parameters from a std::istream. */
        BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, param_type, parm)
        {
            is >> parm._m >> std::ws >> parm._s;
            return is;
        }

        /** Returns true if the two sets of parameters are equal. */
        BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(param_type, lhs, rhs)
        { return lhs._m == rhs._m && lhs._s == rhs._s; }

        /** Returns true if the two sets of parameters are different. */
        BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(param_type)

    private:
        RealType _m;
        RealType _s;
    };

    /**
     * Constructs a lognormal_distribution. @c m and @c s are the
     * parameters of the distribution.
     */
    explicit lognormal_distribution(RealType m_arg = RealType(0.0),
                                    RealType s_arg = RealType(1.0))
      : _normal(m_arg, s_arg) {}

    /**
     * Constructs a lognormal_distribution from its parameters.
     */
    explicit lognormal_distribution(const param_type& parm)
      : _normal(parm.m(), parm.s()) {}

    // compiler-generated copy ctor and assignment operator are fine

    /** Returns the m parameter of the distribution. */
    RealType m() const { return _normal.mean(); }
    /** Returns the s parameter of the distribution. */
    RealType s() const { return _normal.sigma(); }

    /** Returns the smallest value that the distribution can produce. */
    RealType min BOOST_PREVENT_MACRO_SUBSTITUTION () const
    { return RealType(0); }
    /** Returns the largest value that the distribution can produce. */
    RealType max BOOST_PREVENT_MACRO_SUBSTITUTION () const
    { return (std::numeric_limits<RealType>::infinity)(); }

    /** Returns the parameters of the distribution. */
    param_type param() const { return param_type(m(), s()); }
    /** Sets the parameters of the distribution. */
    void param(const param_type& parm)
    {
        typedef normal_distribution<RealType> normal_type;
        typename normal_type::param_type normal_param(parm.m(), parm.s());
        _normal.param(normal_param);
    }
    
    /**
     * Effects: Subsequent uses of the distribution do not depend
     * on values produced by any engine prior to invoking reset.
     */
    void reset() { _normal.reset(); }

    /**
     * Returns a random variate distributed according to the
     * lognormal distribution.
     */
    template<class Engine>
    result_type operator()(Engine& eng)
    {
        using std::exp;
        return exp(_normal(eng));
    }

    /**
     * Returns a random variate distributed according to the
     * lognormal distribution with parameters specified by param.
     */
    template<class Engine>
    result_type operator()(Engine& eng, const param_type& parm)
    { return lognormal_distribution(parm)(eng); }

    /** Writes the distribution to a @c std::ostream. */
    BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, lognormal_distribution, ld)
    {
        os << ld._normal;
        return os;
    }

    /** Reads the distribution from a @c std::istream. */
    BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, lognormal_distribution, ld)
    {
        is >> ld._normal;
        return is;
    }

    /**
     * Returns true if the two distributions will produce identical
     * sequences of values given equal generators.
     */
    BOOST_RANDOM_DETAIL_EQUALITY_OPERATOR(lognormal_distribution, lhs, rhs)
    { return lhs._normal == rhs._normal; }

    /**
     * Returns true if the two distributions may produce different
     * sequences of values given equal generators.
     */
    BOOST_RANDOM_DETAIL_INEQUALITY_OPERATOR(lognormal_distribution)

private:
    normal_distribution<result_type> _normal;
};

} // namespace random

/// \cond show_deprecated

/**
 * Provided for backwards compatibility.  This class is
 * deprecated.  It provides the old behavior of lognormal_distribution with
 * \f$\displaystyle p(x) = \frac{1}{x \sigma_N \sqrt{2\pi}} e^{\frac{-\left(\log(x)-\mu_N\right)^2}{2\sigma_N^2}}\f$
 * for x > 0, where \f$\displaystyle \mu_N = \log\left(\frac{\mu^2}{\sqrt{\sigma^2 + \mu^2}}\right)\f$ and
 * \f$\displaystyle \sigma_N = \sqrt{\log\left(1 + \frac{\sigma^2}{\mu^2}\right)}\f$.
 */
template<class RealType = double>
class lognormal_distribution
{
public:
    typedef typename normal_distribution<RealType>::input_type input_type;
    typedef RealType result_type;

    lognormal_distribution(RealType mean_arg = RealType(1.0),
                           RealType sigma_arg = RealType(1.0))
      : _mean(mean_arg), _sigma(sigma_arg)
    {
        init();
    }
    RealType mean() const { return _mean; }
    RealType sigma() const { return _sigma; }
    void reset() { _normal.reset(); }
    template<class Engine>
    RealType operator()(Engine& eng)
    {
        using std::exp;
        return exp(_normal(eng) * _nsigma + _nmean);
    }
    BOOST_RANDOM_DETAIL_OSTREAM_OPERATOR(os, lognormal_distribution, ld)
    {
        os << ld._normal << " " << ld._mean << " " << ld._sigma;
        return os;
    }
    BOOST_RANDOM_DETAIL_ISTREAM_OPERATOR(is, lognormal_distribution, ld)
    {
        is >> ld._normal >> std::ws >> ld._mean >> std::ws >> ld._sigma;
        ld.init();
        return is;
    }
private:
    /// \cond show_private
    void init()
    {
        using std::log;
        using std::sqrt;
        _nmean = log(_mean*_mean/sqrt(_sigma*_sigma + _mean*_mean));
        _nsigma = sqrt(log(_sigma*_sigma/_mean/_mean+result_type(1)));
    }
    RealType _mean;
    RealType _sigma;
    RealType _nmean;
    RealType _nsigma;
    normal_distribution<RealType> _normal;
    /// \endcond
};

/// \endcond

} // namespace boost

#endif // BOOST_RANDOM_LOGNORMAL_DISTRIBUTION_HPP