laplace_distribution.hpp

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/*
 * @file laplace.hpp
 * @author Zhihao Lou
 *
 * Laplace (double exponential) distribution used in SA.
 *
 * mlpack is free software; you may redistribute it and/or modify it under the
 * terms of the 3-clause BSD license.  You should have received a copy of the
 * 3-clause BSD license along with mlpack.  If not, see
 * http://www.opensource.org/licenses/BSD-3-Clause for more information.
 */

#ifndef MLPACK_CORE_DISTRIBUTIONS_LAPLACE_DISTRIBUTION_HPP
#define MLPACK_CORE_DISTRIBUTIONS_LAPLACE_DISTRIBUTION_HPP

namespace mlpack {
namespace distribution {

class LaplaceDistribution
{
 public:
  LaplaceDistribution() : scale(0) { }

  LaplaceDistribution(const size_t dimensionality, const double scale) :
      mean(arma::zeros<arma::vec>(dimensionality)), scale(scale) { }

  LaplaceDistribution(const arma::vec& mean, const double scale) :
      mean(mean), scale(scale) { }

  size_t Dimensionality() const { return mean.n_elem; }

  double Probability(const arma::vec& observation) const
  {
    return exp(LogProbability(observation));
  }

  double LogProbability(const arma::vec& observation) const;

  arma::vec Random() const
  {
    arma::vec result(mean.n_elem);
    result.randu();

    // Convert from uniform distribution to Laplace distribution.
    // arma::sign() does not exist in Armadillo < 3.920 so we have to do this
    // elementwise.
    for (size_t i = 0; i < result.n_elem; ++i)
    {
      if (result[i] < 0.5)
        result[i] = mean[i] + scale * std::log(1 + 2.0 * (result[i] - 0.5));
      else
        result[i] = mean[i] - scale * std::log(1 - 2.0 * (result[i] - 0.5));
    }

    return result;
  }

  void Estimate(const arma::mat& observations);

  void Estimate(const arma::mat& observations,
                const arma::vec& probabilities);

  const arma::vec& Mean() const { return mean; }
  arma::vec& Mean() { return mean; }

  double Scale() const { return scale; }
  double& Scale() { return scale; }

  template<typename Archive>
  void Serialize(Archive& ar, const unsigned int /* version */)
  {
    ar & data::CreateNVP(mean, "mean");
    ar & data::CreateNVP(scale, "scale");
  }

 private:
  arma::vec mean;
  double scale;

};

} // namespace distribution
} // namespace mlpack

#endif