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/*
* File: NormalInverseGammaDistribution.java
* Authors: Kevin R. Dixon
* Company: Sandia National Laboratories
* Project: Cognitive Foundry
*
* Copyright Mar 16, 2010, Sandia Corporation.
* Under the terms of Contract DE-AC04-94AL85000, there is a non-exclusive
* license for use of this work by or on behalf of the U.S. Government.
* Export of this program may require a license from the United States
* Government. See CopyrightHistory.txt for complete details.
*
*/
package gov.sandia.cognition.statistics.distribution;
import gov.sandia.cognition.annotation.PublicationReference;
import gov.sandia.cognition.annotation.PublicationReferences;
import gov.sandia.cognition.annotation.PublicationType;
import gov.sandia.cognition.math.matrix.Vector;
import gov.sandia.cognition.math.matrix.VectorFactory;
import gov.sandia.cognition.math.matrix.VectorInputEvaluator;
import gov.sandia.cognition.statistics.AbstractDistribution;
import gov.sandia.cognition.statistics.ClosedFormComputableDistribution;
import gov.sandia.cognition.statistics.ProbabilityDensityFunction;
import java.util.ArrayList;
import java.util.Collection;
import java.util.Random;
/**
* The normal inverse-gamma distribution is the product of a univariate
* Gaussian distribution with an inverse-gamma distribution. It is the
* conjugate prior of a univariate Gaussian with unknown mean and unknown
* variance. (As far as I know, it has no other purpose.)
* @author Kevin R. Dixon
* @since 3.0
*/
@PublicationReferences(
references={
@PublicationReference(
author="Christopher M. Bishop",
title="Pattern Recognition and Machine Learning",
type=PublicationType.Book,
year=2006,
pages={101}
)
,
@PublicationReference(
author="Wikipedia",
title="Normal-scaled inverse gamma distribution",
type=PublicationType.WebPage,
year=2010,
url="http://en.wikipedia.org/wiki/Normal-scaled_inverse_gamma_distribution"
)
}
)
public class NormalInverseGammaDistribution
extends AbstractDistribution
implements ClosedFormComputableDistribution
{
/**
* Default location, {@value}.
*/
public static final double DEFAULT_LOCATION = 0.0;
/**
* Default precision, {@value}.
*/
public static final double DEFAULT_PRECISION = 1.0;
/**
* Default shape, {@value}.
*/
public static final double DEFAULT_SHAPE = InverseGammaDistribution.DEFAULT_SHAPE;
/**
* Default scale, {@value}.
*/
public static final double DEFAULT_SCALE = InverseGammaDistribution.DEFAULT_SCALE;
/**
* Location of the Gaussian kernel.
*/
private double location;
/**
* Precision of the Gaussian kernel, must be greater than zero.
*/
private double precision;
/**
* Shape parameter of the Inverse Gamma kernel, must be greater than zero.
*/
private double shape;
/**
* Scale parameter of the Inverse Gamma kernel, must be greater than zero.
*/
private double scale;
/**
* Creates a new instance of NormalInverseGammaDistribution
*/
public NormalInverseGammaDistribution()
{
this( DEFAULT_LOCATION, DEFAULT_PRECISION, DEFAULT_SHAPE, DEFAULT_SCALE );
}
/**
* Creates a new instance of NormalInverseGammaDistribution
* @param location
* Location of the Gaussian kernel.
* @param precision
* Precision of the Gaussian kernel, must be greater than zero.
* @param shape
* Shape parameter of the Inverse Gamma kernel, must be greater than zero.
* @param scale
* Scale parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public NormalInverseGammaDistribution(
double location,
double precision,
double shape,
double scale)
{
this.setLocation(location);
this.setPrecision(precision);
this.setShape(shape);
this.setScale(scale);
}
/**
* Copy constructor
* @param other
* NormalInverseGammaDistribution to copy
*/
public NormalInverseGammaDistribution(
NormalInverseGammaDistribution other )
{
this( other.getLocation(), other.getPrecision(),
other.getShape(), other.getScale() );
}
@Override
public NormalInverseGammaDistribution clone()
{
return (NormalInverseGammaDistribution) super.clone();
}
public Vector getMean()
{
if( this.shape > 1.0 )
{
return VectorFactory.getDefault().copyValues(
this.location, this.scale/(this.shape-1.0) );
}
else
{
throw new IllegalArgumentException(
"Shape must be > 1.0 for a mean" );
}
}
@Override
public void sampleInto(
final Random random,
final int sampleCount,
final Collection output)
{
InverseGammaDistribution.CDF inverseGamma =
new InverseGammaDistribution.CDF(this.shape, this.scale);
UnivariateGaussian.CDF gaussian =
new UnivariateGaussian.CDF(this.location, 1.0 / this.precision);
final double[] variances = inverseGamma.sampleAsDoubles(random, sampleCount);
for (double variance : variances)
{
gaussian.setVariance(variance / this.precision);
double mean = gaussian.sample(random);
output.add(VectorFactory.getDefault().copyValues(mean, variance));
}
}
public Vector convertToVector()
{
return VectorFactory.getDefault().copyValues(
this.getLocation(), this.getPrecision(),
this.getShape(), this.getScale() );
}
public void convertFromVector(
Vector parameters)
{
parameters.assertDimensionalityEquals(4);
this.setLocation( parameters.getElement(0) );
this.setPrecision( parameters.getElement(1) );
this.setShape( parameters.getElement(2) );
this.setScale( parameters.getElement(3) );
}
public NormalInverseGammaDistribution.PDF getProbabilityFunction()
{
return new NormalInverseGammaDistribution.PDF( this );
}
/**
* Getter for location.
* @return
* Location of the Gaussian kernel.
*/
public double getLocation()
{
return this.location;
}
/**
* Setter for location.
* @param location
* Location of the Gaussian kernel.
*/
public void setLocation(
double location)
{
this.location = location;
}
/**
* Getter for precision
* @return
* Precision of the Gaussian kernel, must be greater than zero.
*/
public double getPrecision()
{
return this.precision;
}
/**
* Setter for precision.
* @param precision
* Precision of the Gaussian kernel, must be greater than zero.
*/
public void setPrecision(
double precision)
{
if( precision <= 0.0 )
{
throw new IllegalArgumentException( "Precision must be > 0.0" );
}
this.precision = precision;
}
/**
* Getter for shape
* @return
* Shape parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public double getShape()
{
return this.shape;
}
/**
* Setter for shape
* @param shape
* Shape parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public void setShape(
double shape)
{
if( shape <= 0.0 )
{
throw new IllegalArgumentException( "Shape must be > 0.0" );
}
this.shape = shape;
}
/**
* Getter for scale
* @return
* Scale parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public double getScale()
{
return this.scale;
}
/**
* Setter for scale
* @param scale
* Scale parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public void setScale(
double scale)
{
if( scale <= 0.0 )
{
throw new IllegalArgumentException( "Scale must be > 0.0" );
}
this.scale = scale;
}
@Override
public String toString()
{
return "Location: " + this.getLocation() + ", Precision: " + this.getPrecision()
+ ", Shape: " + this.getShape() + ", Scale: " + this.getScale();
}
/**
* PDF of the NormalInverseGammaDistribution
*/
public static class PDF
extends NormalInverseGammaDistribution
implements ProbabilityDensityFunction,
VectorInputEvaluator
{
/**
* Creates a new instance of NormalInverseGammaDistribution
*/
public PDF()
{
super();
}
/**
* Creates a new instance of NormalInverseGammaDistribution
* @param location
* Location of the Gaussian kernel.
* @param precision
* Precision of the Gaussian kernel, must be greater than zero.
* @param shape
* Shape parameter of the Inverse Gamma kernel, must be greater than zero.
* @param scale
* Scale parameter of the Inverse Gamma kernel, must be greater than zero.
*/
public PDF(
double location,
double precision,
double shape,
double scale)
{
super( location, precision, shape, scale);
}
/**
* Copy constructor
* @param other
* NormalInverseGammaDistribution to copy
*/
public PDF(
NormalInverseGammaDistribution other )
{
super( other );
}
@Override
public NormalInverseGammaDistribution.PDF getProbabilityFunction()
{
return this;
}
public double logEvaluate(
Vector input)
{
input.assertDimensionalityEquals(2);
double mean = input.getElement(0);
double variance = input.getElement(1);
InverseGammaDistribution.PDF inverseGamma =
new InverseGammaDistribution.PDF( this.getShape(), this.getScale() );
UnivariateGaussian.PDF gaussian = new UnivariateGaussian.PDF(
this.getLocation(), variance / this.getPrecision() );
double logInverseGamma = inverseGamma.logEvaluate(variance);
double logGaussian = gaussian.logEvaluate(mean);
return logGaussian + logInverseGamma;
}
public Double evaluate(
Vector input)
{
return Math.exp( this.logEvaluate(input) );
}
public int getInputDimensionality()
{
return 2;
}
}
}