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// Rapid Optimization Library (ROL) Package
// Copyright (2014) Sandia Corporation
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#ifndef ROL_CAUCHY_HPP
#define ROL_CAUCHY_HPP
#include "ROL_Distribution.hpp"
#include "Teuchos_ParameterList.hpp"
namespace ROL {
template<class Real>
class Cauchy : public Distribution<Real> {
private:
Real loc_;
Real scale_;
public:
Cauchy(const Real loc = 0., const Real scale = 1.)
: loc_(loc), scale_((scale>0.) ? scale : 1.) {}
Cauchy(Teuchos::ParameterList &parlist) {
loc_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Location",0.);
scale_ = parlist.sublist("SOL").sublist("Distribution").sublist("Cauchy").get("Scale",1.);
scale_ = (scale_>0.) ? scale_ : 1.;
}
Real evaluatePDF(const Real input) const {
return 1./(M_PI*scale_*(1.+std::pow((input-loc_)/scale_,2.)));
}
Real evaluateCDF(const Real input) const {
return 0.5+atan((input-loc_)/scale_)/M_PI;
}
Real integrateCDF(const Real input) const {
Real v = input-loc_;
return 0.5*input + (v*atan(v/scale_) - 0.5*scale_*std::log(v*v+scale_*scale_))/M_PI;
}
Real invertCDF(const Real input) const {
return loc_+scale_*tan(M_PI*(input-0.5));
}
Real moment(const size_t m) const {
TEUCHOS_TEST_FOR_EXCEPTION( true, std::invalid_argument,
">>> ERROR (ROL::Cauchy): Cauchy moments are undefined!");
return 0.;
}
Real lowerBound(void) const {
return ROL_NINF<Real>();
}
Real upperBound(void) const {
return ROL_INF<Real>();
}
void test(std::ostream &outStream = std::cout ) const {
size_t size = 1;
std::vector<Real> X(size,4.*(Real)rand()/(Real)RAND_MAX - 2.);
std::vector<int> T(size,0);
Distribution<Real>::test(X,T,outStream);
}
};
}
#endif
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