ROL
ROL_TruncatedGaussian.hpp
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43
44#ifndef ROL_TRUNCATEDGAUSSIAN_HPP
45#define ROL_TRUNCATEDGAUSSIAN_HPP
46
47#include "ROL_Distribution.hpp"
48#include "ROL_Gaussian.hpp"
49#include "ROL_Ptr.hpp"
50#include "ROL_ParameterList.hpp"
51
52namespace ROL {
53
54template<class Real>
55class TruncatedGaussian : public Distribution<Real> {
56private:
57 Real a_;
58 Real b_;
59 Real mean_;
60 Real sdev_;
61
62 ROL::Ptr<Gaussian<Real> > gauss_;
63
64 Real alpha_;
65 Real beta_;
66 Real phi_;
67 Real Z_;
68
69public:
70
71 TruncatedGaussian(const Real lo = -1., const Real up = 1.,
72 const Real mean = 0., const Real sdev = 1.)
73 : a_((lo < up) ? lo : up), b_((up > lo) ? up : lo),
74 mean_(mean), sdev_((sdev>0) ? sdev : 1) {
75 //Real var = sdev_*sdev_;
76 gauss_ = ROL::makePtr<Gaussian<Real>>();
77 alpha_ = (a_-mean_)/sdev_;
78 beta_ = (b_-mean_)/sdev_;
79 phi_ = gauss_->evaluateCDF(alpha_);
80 Z_ = gauss_->evaluateCDF(beta_)-gauss_->evaluateCDF(alpha_);
81 }
82
83 TruncatedGaussian(ROL::ParameterList &parlist) {
84 const Real zero(0), one(1);
85 ROL::ParameterList TGlist
86 = parlist.sublist("SOL").sublist("Distribution").sublist("Truncated Gaussian");
87 a_ = TGlist.get("Lower Bound",-one);
88 b_ = TGlist.get("Upper Bound", one);
89 Real tmp = a_;
90 a_ = std::min(a_,b_);
91 b_ = std::max(b_,tmp);
92
93 mean_ = TGlist.get("Mean",zero);
94 sdev_ = TGlist.get("Standard Deviation",one);
95 sdev_ = (sdev_ > zero) ? sdev_ : one;
96
97 //Real var = sdev_*sdev_;
98 gauss_ = ROL::makePtr<Gaussian<Real>>();
99 alpha_ = (a_-mean_)/sdev_;
100 beta_ = (b_-mean_)/sdev_;
101 phi_ = gauss_->evaluateCDF(alpha_);
102 Z_ = gauss_->evaluateCDF(beta_)-gauss_->evaluateCDF(alpha_);
103 }
104
105 Real evaluatePDF(const Real input) const {
106 const Real zero(0), xi = (input-mean_)/sdev_;
107 return ((input <= a_) ? zero : ((input >= b_) ? zero :
108 gauss_->evaluatePDF(xi)/(sdev_*Z_)));
109 }
110
111 Real evaluateCDF(const Real input) const {
112 const Real zero(0), one(1), xi = (input-mean_)/sdev_;
113 return ((input <= a_) ? zero : ((input >= b_) ? one :
114 (gauss_->evaluateCDF(xi)-phi_)/Z_));
115 }
116
117 Real integrateCDF(const Real input) const {
118 ROL_TEST_FOR_EXCEPTION( true, std::invalid_argument,
119 ">>> ERROR (ROL::TruncatedGaussian): Truncated Gaussian integrateCDF not implemented!");
120 //return ((input < 0.5*(a_+b_)) ? 0.0 : input - 0.5*(a_+b_));
121 }
122
123 Real invertCDF(const Real input) const {
124 const Real x = gauss_->invertCDF(Z_*input+phi_);
125 return sdev_*x + mean_;
126 }
127
128 Real moment(const size_t m) const {
129 const Real phiA = gauss_->evaluatePDF(alpha_);
130 const Real phiB = gauss_->evaluatePDF(beta_);
131 const Real mean = mean_ + sdev_*(phiA-phiB)/Z_;
132 const Real var = sdev_*sdev_;
133 const Real one(1);
134 Real val(0);
135 switch(m) {
136 case 1: val = mean; break;
137 case 2: val = var*(one+(alpha_*phiA-beta_*phiB)/Z_-std::pow((phiA-phiB)/Z_,2))+mean*mean; break;
138 default:
139 ROL_TEST_FOR_EXCEPTION( true, std::invalid_argument,
140 ">>> ERROR (ROL::TruncatedGaussian): Truncated Gaussian moment not implemented for m > 2!");
141 }
142 return val;
143 }
144
145 Real lowerBound(void) const {
146 return a_;
147 }
148
149 Real upperBound(void) const {
150 return b_;
151 }
152
153 void test(std::ostream &outStream = std::cout ) const {
154 size_t size = 5;
155 std::vector<Real> X(size,0);
156 std::vector<int> T(size,0);
157 const Real four(4);
158 X[0] = a_-four*(Real)rand()/(Real)RAND_MAX;
159 T[0] = 0;
160 X[1] = a_;
161 T[1] = 1;
162 X[2] = (b_-a_)*(Real)rand()/(Real)RAND_MAX + a_;
163 T[2] = 0;
164 X[3] = b_;
165 T[3] = 1;
166 X[4] = b_+four*(Real)rand()/(Real)RAND_MAX;
167 T[4] = 0;
168 Distribution<Real>::test(X,T,outStream);
169 }
170};
171
172}
173
174#endif
Objective_SerialSimOpt(const Ptr< Obj > &obj, const V &ui) z0 zero)()
virtual void test(std::ostream &outStream=std::cout) const
TruncatedGaussian(ROL::ParameterList &parlist)
Real evaluateCDF(const Real input) const
ROL::Ptr< Gaussian< Real > > gauss_
Real moment(const size_t m) const
void test(std::ostream &outStream=std::cout) const
Real evaluatePDF(const Real input) const
Real invertCDF(const Real input) const
Real integrateCDF(const Real input) const
TruncatedGaussian(const Real lo=-1., const Real up=1., const Real mean=0., const Real sdev=1.)