/usr/include/openturns/ProductDistribution.hxx is in libopenturns-dev 1.7-3.
This file is owned by root:root, with mode 0o644.
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/**
* @brief The ProductDistribution distribution
*
* Copyright 2005-2015 Airbus-EDF-IMACS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
*/
#ifndef OPENTURNS_PRODUCTDISTRIBUTION_HXX
#define OPENTURNS_PRODUCTDISTRIBUTION_HXX
#include "ContinuousDistribution.hxx"
#include "Distribution.hxx"
#include "SpecFunc.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class ProductDistribution
*
* The ProductDistribution distribution.
*/
class OT_API ProductDistribution
: public ContinuousDistribution
{
CLASSNAME;
public:
/** Default constructor */
ProductDistribution();
/** Parameters constructor to use when the two bounds are finite */
ProductDistribution(const Distribution & left,
const Distribution & right);
/** Comparison operator */
Bool operator ==(const ProductDistribution & other) const;
/** String converter */
String __repr__() const;
String __str__(const String & offset = "") const;
/* Interface inherited from Distribution */
/** Virtual constructor */
virtual ProductDistribution * clone() const;
/** Get one realization of the distribution */
NumericalPoint getRealization() const;
/** Get the PDF of the distribution */
using ContinuousDistribution::computePDF;
NumericalScalar computePDF(const NumericalPoint & point) const;
private:
NumericalScalar computePDFQ1(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computePDFQ2(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computePDFQ3(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computePDFQ4(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
public:
/** Get the CDF of the distribution */
using ContinuousDistribution::computeCDF;
NumericalScalar computeCDF(const NumericalPoint & point) const;
private:
NumericalScalar computeCDFQ1(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computeCDFQ2(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computeCDFQ3(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
NumericalScalar computeCDFQ4(const NumericalScalar x,
const NumericalScalar a,
const NumericalScalar b,
const NumericalScalar c,
const NumericalScalar d) const;
public:
/** Get the probability content of an interval */
NumericalScalar computeProbability(const Interval & interval) const;
/** Get the characteristic function of the distribution, i.e. phi(u) = E(exp(I*u*X)) */
NumericalComplex computeCharacteristicFunction(const NumericalScalar x) const;
/** Parameters value accessors */
void setParameter(const NumericalPoint & parameter);
NumericalPoint getParameter() const;
/** Parameters description accessor */
Description getParameterDescription() const;
/* Interface specific to ProductDistribution */
/** Distribution accessor */
void setLeft(const Distribution & left);
Distribution getLeft() const;
/** Distribution accessor */
void setRight(const Distribution & right);
Distribution getRight() const;
/** Tell if the distribution is continuous */
Bool isContinuous() const;
/** Check if the distribution is discrete */
Bool isDiscrete() const;
/** Tell if the distribution is integer valued */
Bool isIntegral() const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
protected:
private:
// Structure used to wrap the kernel of the integral defining the PDF of the product
struct PDFKernelWrapper
{
const Distribution left_;
const Distribution right_;
const NumericalScalar x_;
const Bool isZero_;
const NumericalScalar pdf0_;
PDFKernelWrapper(const Distribution & left,
const Distribution & right,
const NumericalScalar x):
left_(left), right_(right), x_(x), isZero_(std::abs(x) < ResourceMap::GetAsNumericalScalar("DistributionImplementation-DefaultQuantileEpsilon")), pdf0_(isZero_ ? right.computePDF(0.0) : 0.0) {};
NumericalPoint eval(const NumericalPoint & point) const
{
const NumericalScalar value(left_.computePDF(point));
if (value == 0.0) return NumericalPoint(1, 0.0);
const NumericalScalar u(point[0]);
const NumericalScalar absU(std::abs(u));
// x_ == 0
if (isZero_)
{
if (pdf0_ == 0.0) return NumericalPoint(1, 0.0);
if (absU == 0.0) return NumericalPoint(1, SpecFunc::MaxNumericalScalar);
return NumericalPoint(1, value * pdf0_ / absU);
}
// x_ != 0
if (absU == 0.0)
{
const NumericalScalar epsilon(1e-7);
return NumericalPoint(1, value * 0.5 * (right_.computePDF(x_ / epsilon) + right_.computePDF(-x_ / epsilon)) / epsilon);
}
return NumericalPoint(1, value * right_.computePDF(x_ / u) / absU);
};
}; // struct PDFKernelWrapper
// Structure used to wrap the kernel of the integral defining the CDF of the product
struct CDFKernelWrapper
{
const Distribution left_;
const Distribution right_;
const NumericalScalar x_;
const Bool isZero_;
const NumericalScalar cdf0_;
const NumericalScalar ccdf0_;
CDFKernelWrapper(const Distribution & left,
const Distribution & right,
const NumericalScalar x):
left_(left), right_(right), x_(x), isZero_(std::abs(x) == 0.0), cdf0_(isZero_ ? right.computeCDF(0.0) : 0.0), ccdf0_(isZero_ ? right.computeComplementaryCDF(0.0) : 0.0) {};
NumericalPoint eval(const NumericalPoint & point) const
{
const NumericalScalar value(left_.computePDF(point));
if (value == 0.0) return NumericalPoint(1, 0.0);
// x_ == 0
if (isZero_) return NumericalPoint(1, value * cdf0_);
const NumericalScalar u(point[0]);
if (u == 0.0) return NumericalPoint(1, x_ < 0.0 ? 0.0 : value);
return NumericalPoint(1, value * right_.computeCDF(x_ / u));
};
NumericalPoint evalComplementary(const NumericalPoint & point) const
{
const NumericalScalar value(left_.computePDF(point));
if (value == 0.0) return NumericalPoint(1, 0.0);
// x_ == 0
if (isZero_) return NumericalPoint(1, value * ccdf0_);
const NumericalScalar u(point[0]);
if (u == 0.0) return NumericalPoint(1, x_ < 0.0 ? 0.0 : value);
return NumericalPoint(1, value * right_.computeComplementaryCDF(x_ / u));
};
}; // struct CDFKernelWrapper
// Structure used to wrap the kernel of the integral defining the product
struct CFKernelWrapper
{
const Distribution left_;
const Distribution right_;
const NumericalScalar x_;
CFKernelWrapper(const Distribution & left,
const Distribution & right,
const NumericalScalar x):
left_(left), right_(right), x_(x) {};
NumericalPoint eval(const NumericalPoint & point) const
{
NumericalPoint value(2);
const NumericalScalar u(point[0]);
const NumericalComplex phi(right_.computeCharacteristicFunction(u * x_));
const NumericalScalar pdf(left_.computePDF(point));
value[0] = pdf * phi.real();
value[1] = pdf * phi.imag();
return value;
};
}; // struct CFKernelWrapper
/** Compute the mean of the distribution */
void computeMean() const;
/** Compute the covariance of the distribution */
void computeCovariance() const;
/** Compute the numerical range of the distribution given the parameters values */
void computeRange();
/** The main parameter set of the distribution */
Distribution left_;
Distribution right_;
}; /* class ProductDistribution */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_PRODUCTDISTRIBUTION_HXX */
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