Import Upstream version 0.7.0

1 files changed, 220 insertions, 0 deletions

diff --git a/elki/src/main/java/de/lmu/ifi/dbs/elki/math/statistics/distribution/LaplaceDistribution.java b/elki/src/main/java/de/lmu/ifi/dbs/elki/math/statistics/distribution/LaplaceDistribution.java
new file mode 100644
index 00000000..c3826cb3
--- /dev/null
+++ b/elki/src/main/java/de/lmu/ifi/dbs/elki/math/statistics/distribution/LaplaceDistribution.java
@@ -0,0 +1,220 @@
+package de.lmu.ifi.dbs.elki.math.statistics.distribution;
+
+/*
+ This file is part of ELKI:
+ Environment for Developing KDD-Applications Supported by Index-Structures
+
+ Copyright (C) 2015
+ Ludwig-Maximilians-Universität München
+ Lehr- und Forschungseinheit für Datenbanksysteme
+ ELKI Development Team
+
+ This program is free software: you can redistribute it and/or modify
+ it under the terms of the GNU Affero General Public License as published by
+ the Free Software Foundation, either version 3 of the License, or
+ (at your option) any later version.
+
+ This program 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 Affero General Public License for more details.
+
+ You should have received a copy of the GNU Affero General Public License
+ along with this program.  If not, see <http://www.gnu.org/licenses/>.
+ */
+
+import java.util.Random;
+
+import de.lmu.ifi.dbs.elki.math.random.RandomFactory;
+import de.lmu.ifi.dbs.elki.utilities.Alias;
+import de.lmu.ifi.dbs.elki.utilities.optionhandling.OptionID;
+import de.lmu.ifi.dbs.elki.utilities.optionhandling.parameterization.Parameterization;
+import de.lmu.ifi.dbs.elki.utilities.optionhandling.parameters.DoubleParameter;
+
+/**
+ * Laplace distribution also known as double exponential distribution
+ * 
+ * @author Erich Schubert
+ */
+@Alias("DoubleExponentialDistribution")
+public class LaplaceDistribution extends AbstractDistribution {
+  /**
+   * Rate, inverse of mean
+   */
+  double rate;
+
+  /**
+   * Location parameter.
+   */
+  double location;
+
+  /**
+   * Constructor.
+   * 
+   * @param rate Rate parameter (1/scale)
+   */
+  public LaplaceDistribution(double rate) {
+    this(rate, 0., (Random) null);
+  }
+
+  /**
+   * Constructor.
+   * 
+   * @param rate Rate parameter (1/scale)
+   * @param location Location parameter
+   */
+  public LaplaceDistribution(double rate, double location) {
+    this(rate, location, (Random) null);
+  }
+
+  /**
+   * Constructor.
+   * 
+   * @param rate Rate parameter (1/scale)
+   * @param random Random generator
+   */
+  public LaplaceDistribution(double rate, Random random) {
+    this(rate, 0., random);
+  }
+
+  /**
+   * Constructor.
+   * 
+   * @param rate Rate parameter (1/scale)
+   * @param location Location parameter
+   * @param random Random generator
+   */
+  public LaplaceDistribution(double rate, double location, Random random) {
+    super(random);
+    this.rate = rate;
+    this.location = location;
+  }
+
+  /**
+   * Constructor.
+   * 
+   * @param rate Rate parameter (1/scale)
+   * @param location Location parameter
+   * @param random Random generator
+   */
+  public LaplaceDistribution(double rate, double location, RandomFactory random) {
+    super(random);
+    this.rate = rate;
+    this.location = location;
+  }
+
+  @Override
+  public double pdf(double val) {
+    return .5 * rate * Math.exp(-rate * Math.abs(val - location));
+  }
+
+  /**
+   * PDF, static version
+   * 
+   * @param val Value to compute PDF at
+   * @param rate Rate parameter (1/scale)
+   * @return probability density
+   */
+  public static double pdf(double val, double rate) {
+    return .5 * rate * Math.exp(-rate * Math.abs(val));
+  }
+
+  @Override
+  public double cdf(double val) {
+    final double v = .5 * Math.exp(-rate * (val - location));
+    return (val < location) ? v : 1 - v;
+  }
+
+  /**
+   * Cumulative density, static version
+   * 
+   * @param val Value to compute CDF at
+   * @param rate Rate parameter (1/scale)
+   * @return cumulative density
+   */
+  public static double cdf(double val, double rate) {
+    final double v = .5 * Math.exp(-rate * val);
+    return (val < 0.) ? v : 1 - v;
+  }
+
+  @Override
+  public double quantile(double val) {
+    if (val < .5) {
+      return Math.log(2 * val) / rate + location;
+    } else {
+      return -Math.log(2. - 2. * val) / rate + location;
+    }
+  }
+
+  /**
+   * Quantile function, static version
+   * 
+   * @param val Value to compute quantile for
+   * @param rate Rate parameter
+   * @param location Location parameter
+   * @return Quantile
+   */
+  public static double quantile(double val, double rate, double location) {
+    if (val < .5) {
+      return Math.log(2 * val) / rate + location;
+    } else {
+      return -Math.log(2. - 2. * val) / rate + location;
+    }
+  }
+
+  /**
+   * This method currently uses the naive approach of returning
+   * <code>-log(uniform)</code>.
+   */
+  @Override
+  public double nextRandom() {
+    double val = random.nextDouble();
+    if (val < .5) {
+      return Math.log(2 * val) / rate + location;
+    } else {
+      return -Math.log(2. - 2. * val) / rate + location;
+    }
+  }
+
+  @Override
+  public String toString() {
+    return "LaplaceDistribution(rate=" + rate + ", location=" + location + ")";
+  }
+
+  /**
+   * Parameterization class
+   * 
+   * @author Erich Schubert
+   * 
+   * @apiviz.exclude
+   */
+  public static class Parameterizer extends AbstractDistribution.Parameterizer {
+    /**
+     * Shape parameter gamma.
+     */
+    public static final OptionID RATE_ID = new OptionID("distribution.laplace.rate", "Laplace distribution rate (lambda) parameter (inverse of scale).");
+
+    /** Parameters. */
+    double location, rate;
+
+    @Override
+    protected void makeOptions(Parameterization config) {
+      super.makeOptions(config);
+
+      DoubleParameter locP = new DoubleParameter(LOCATION_ID);
+      if (config.grab(locP)) {
+        location = locP.doubleValue();
+      }
+
+      DoubleParameter rateP = new DoubleParameter(RATE_ID);
+      if (config.grab(rateP)) {
+        rate = rateP.doubleValue();
+      }
+    }
+
+    @Override
+    protected LaplaceDistribution makeInstance() {
+      return new LaplaceDistribution(rate, location, rnd);
+    }
+  }
+}