ROL
ROL_Cauchy.hpp
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43 
44 #ifndef ROL_CAUCHY_HPP
45 #define ROL_CAUCHY_HPP
46 
47 #include "ROL_Distribution.hpp"
48 #include "ROL_ParameterList.hpp"
49 
50 namespace ROL {
51 
52 template<class Real>
53 class Cauchy : public Distribution<Real> {
54 private:
55  Real loc_;
56  Real scale_;
57 
58 public:
59  Cauchy(const Real loc = 0., const Real scale = 1.)
60  : loc_(loc), scale_((scale>0.) ? scale : 1.) {}
61 
62  Cauchy(ROL::ParameterList &parlist) {
63  loc_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Location",0.);
64  scale_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Scale",1.);
65  scale_ = (scale_>0.) ? scale_ : 1.;
66  }
67 
68  Real evaluatePDF(const Real input) const {
69  return 1./(ROL::ScalarTraits<Real>::pi()*scale_*(1.+std::pow((input-loc_)/scale_,2.)));
70  }
71 
72  Real evaluateCDF(const Real input) const {
73  return 0.5+atan((input-loc_)/scale_)/ROL::ScalarTraits<Real>::pi();
74  }
75 
76  Real integrateCDF(const Real input) const {
77  Real v = input-loc_;
78  return 0.5*input + (v*atan(v/scale_) - 0.5*scale_*std::log(v*v+scale_*scale_))/ROL::ScalarTraits<Real>::pi();
79  }
80 
81  Real invertCDF(const Real input) const {
82  return loc_+scale_*tan(ROL::ScalarTraits<Real>::pi()*(input-0.5));
83  }
84 
85  Real moment(const size_t m) const {
86  ROL_TEST_FOR_EXCEPTION( true, std::invalid_argument,
87  ">>> ERROR (ROL::Cauchy): Cauchy moments are undefined!");
88  return 0.;
89  }
90 
91  Real lowerBound(void) const {
92  return ROL_NINF<Real>();
93  }
94 
95  Real upperBound(void) const {
96  return ROL_INF<Real>();
97  }
98 
99  void test(std::ostream &outStream = std::cout ) const {
100  size_t size = 1;
101  std::vector<Real> X(size,4.*(Real)rand()/(Real)RAND_MAX - 2.);
102  std::vector<int> T(size,0);
103  Distribution<Real>::test(X,T,outStream);
104  }
105 };
106 
107 }
108 
109 #endif
Cauchy(const Real loc=0., const Real scale=1.)
Definition: ROL_Cauchy.hpp:59
Real evaluatePDF(const Real input) const
Definition: ROL_Cauchy.hpp:68
Real lowerBound(void) const
Definition: ROL_Cauchy.hpp:91
Cauchy(ROL::ParameterList &parlist)
Definition: ROL_Cauchy.hpp:62
Real integrateCDF(const Real input) const
Definition: ROL_Cauchy.hpp:76
static constexpr Real pi() noexcept
Real upperBound(void) const
Definition: ROL_Cauchy.hpp:95
Real invertCDF(const Real input) const
Definition: ROL_Cauchy.hpp:81
virtual void test(std::ostream &outStream=std::cout) const
Real evaluateCDF(const Real input) const
Definition: ROL_Cauchy.hpp:72
void test(std::ostream &outStream=std::cout) const
Definition: ROL_Cauchy.hpp:99
Real moment(const size_t m) const
Definition: ROL_Cauchy.hpp:85