NormalDistribution.h
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00001 /***************************************************************************** 00002 * Copyright (C) 2011 by Benjamin Hadorn (b_hadorn@bluewin.ch) 00003 ***************************************************************************** 00004 * Project : Zeus Math Library 00005 * Module : NormalDistribution 00006 * Package : Zeus.ZeusMath.Stochastic 00007 * Author : Benjamin Hadorn 00008 * Date : 27.12.2011 00009 * System : Zeus-Framework 00010 ***************************************************************************** 00011 * Licence: * 00012 * This library is free software; you can redistribute it and/or modify * 00013 * it under the terms of the GNU Lesser General Public License as * 00014 * published by the Free Software Foundation; either version * 00015 * 2.1 of the License, or (at your option) any later version. * 00016 * * 00017 * This library is distributed in the hope that it will be useful, * 00018 * but WITHOUT ANY WARRANTY; without even the implied warranty of * 00019 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * 00020 * GNU Lesser General Public License for more details. * 00021 * * 00022 * You should have received a copy of the GNU Lesser General Public * 00023 * License along with this library; if not, write to the Free Software * 00024 * Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110, USA * 00025 *****************************************************************************/ 00026 00027 /***************************************************************************** 00028 * Changes: 00029 * 27.12.2011 bha: created zeus 2.0 00030 *****************************************************************************/ 00031 00032 #ifndef NormalDistributionH 00033 #define NormalDistributionH 00034 00035 #include <zeusmath/Stochastic/Interfaces/IDistribution.hpp> 00036 #include <zeusmath/Stochastic/Distribution.h> 00037 #include <zeusmath/System/Constants.h> 00038 #include <math.h> 00039 00040 BEGIN_NAMESPACE_Zeus 00041 00042 /****************************************************************************/ 00046 /****************************************************************************/ 00047 zeusmath_class TNormalDistribution : public IDistribution 00048 { 00049 public: 00050 /*************************************************************************/ 00055 /*************************************************************************/ 00056 inline TNormalDistribution(const Float& rfMean, const Float& rfStdDeviation) 00057 { 00058 m_fMean = rfMean; 00059 m_fStdDeviation = rfStdDeviation; 00060 if (m_fStdDeviation == 0) 00061 { 00062 m_fStdDeviation = 1; 00063 } 00064 } 00065 00066 /*************************************************************************/ 00069 /*************************************************************************/ 00070 virtual inline ~TNormalDistribution() {} 00071 00072 //sampling methods 00073 TDistribution sample(Int iSamples) const; 00074 TDistribution sample(Int iSamples, Float fStart, Float fEnd) const; 00075 00076 //static methods 00077 static void sampleDistribution(const Float& rfMean, 00078 const Float& rfStdDeviation, 00079 Int iSamples, 00080 const Float& rfStart, 00081 const Float& rfEnd, 00082 TArrayList<TMappedValue>& rlstData); 00083 00084 static TDistribution sampleDistribution(const Float& rfMean, 00085 const Float& rfStdDeviation, 00086 Int iSamples, 00087 const Float& rfStart, 00088 const Float& rfEnd); 00089 00090 static Float getProbability(const Float& rfMean, const Float& rfStdDeviation, const Float& rfX); 00091 00092 00093 //methods of IDistribution 00094 virtual Float MQUALIFIER getEntropy() const; 00095 virtual Float MQUALIFIER getExpectedValue() const; 00096 virtual Float MQUALIFIER getMean() const; 00097 virtual Float MQUALIFIER getMedian() const; 00098 virtual Float MQUALIFIER getVariance() const; 00099 virtual Float MQUALIFIER getStdDeviation() const; 00100 virtual Float MQUALIFIER getMode() const; 00101 virtual Float MQUALIFIER getSkewness() const; 00102 virtual Float MQUALIFIER getCumulativeProb(const Float& rfStart, const Float& rfEnd) const; 00103 virtual Float MQUALIFIER getProb(const Float& rfX) const; 00104 virtual Float MQUALIFIER getSampleProb(Int iSample) const; 00105 00106 private: 00108 Float m_fStdDeviation; 00110 Float m_fMean; 00111 00112 static Float getCumulativeProb_internal(const Float& rfEnd); 00113 }; 00114 00115 //INLINE METHODS 00116 00117 /****************************************************************************/ 00124 /****************************************************************************/ 00125 inline TDistribution TNormalDistribution::sample(Int iSamples) const 00126 { 00127 return TNormalDistribution::sampleDistribution(m_fMean, 00128 m_fStdDeviation, 00129 iSamples, 00130 m_fMean - 3.0*m_fStdDeviation, 00131 m_fMean + 3.0*m_fStdDeviation); 00132 } 00133 00134 /****************************************************************************/ 00142 /****************************************************************************/ 00143 inline TDistribution TNormalDistribution::sample(Int iSamples, Float fStart, Float fEnd) const 00144 { 00145 return TNormalDistribution::sampleDistribution(m_fMean, 00146 m_fStdDeviation, 00147 iSamples, 00148 fStart, 00149 fEnd); 00150 } 00151 00152 /****************************************************************************/ 00155 /****************************************************************************/ 00156 inline Float MQUALIFIER TNormalDistribution::getEntropy() const 00157 { 00158 return TMath::ln(m_fStdDeviation * TMath::sqrt(2 * TConstants::Pi * TMath::exp(1))); 00159 } 00160 00161 /****************************************************************************/ 00164 /****************************************************************************/ 00165 inline Float MQUALIFIER TNormalDistribution::getExpectedValue() const 00166 { 00167 return m_fMean; 00168 } 00169 00170 /****************************************************************************/ 00173 /****************************************************************************/ 00174 inline Float MQUALIFIER TNormalDistribution::getMean() const 00175 { 00176 return m_fMean; 00177 } 00178 00179 /****************************************************************************/ 00182 /****************************************************************************/ 00183 inline Float MQUALIFIER TNormalDistribution::getMedian() const 00184 { 00185 return m_fMean; 00186 } 00187 00188 /****************************************************************************/ 00191 /****************************************************************************/ 00192 inline Float MQUALIFIER TNormalDistribution::getVariance() const 00193 { 00194 return m_fStdDeviation*m_fStdDeviation; 00195 } 00196 00197 /****************************************************************************/ 00200 /****************************************************************************/ 00201 inline Float MQUALIFIER TNormalDistribution::getStdDeviation() const 00202 { 00203 return m_fStdDeviation; 00204 } 00205 00206 /****************************************************************************/ 00209 /****************************************************************************/ 00210 inline Float MQUALIFIER TNormalDistribution::getMode() const 00211 { 00212 return m_fMean; 00213 } 00214 00215 /****************************************************************************/ 00218 /****************************************************************************/ 00219 inline Float MQUALIFIER TNormalDistribution::getSkewness() const 00220 { 00221 return 0.0; 00222 } 00223 00224 /****************************************************************************/ 00227 /****************************************************************************/ 00228 inline Float MQUALIFIER TNormalDistribution::getProb(const Float& rfX) const 00229 { 00230 return TNormalDistribution::getProbability(m_fMean, m_fStdDeviation, rfX); 00231 } 00232 00233 /****************************************************************************/ 00236 /****************************************************************************/ 00237 inline Float MQUALIFIER TNormalDistribution::getSampleProb(Int iSample) const 00238 { 00239 return TNormalDistribution::getProbability(m_fMean, m_fStdDeviation, iSample); 00240 } 00241 00242 /****************************************************************************/ 00246 /****************************************************************************/ 00247 /*static*/ inline Float TNormalDistribution::getProbability(const Float& rfMean, const Float& rfStdDeviation, const Float& rfX) 00248 { 00249 Float fVal1 = (rfX - rfMean)/ rfStdDeviation; 00250 return 1.0 / (TMath::sqrt(2.0 * TConstants::Pi) * rfStdDeviation) * TMath::exp(-0.5 * fVal1 * fVal1); 00251 } 00252 00253 END_NAMESPACE_Zeus 00254 00255 #endif