prob_distribution.hpp

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/*
-------------------------------------------------------------------------
   This file is part of BayesOpt, an efficient C++ library for 
   Bayesian optimization.

   Copyright (C) 2011-2015 Ruben Martinez-Cantin <rmcantin@unizar.es>
 
   BayesOpt 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.

   BayesOpt 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 BayesOpt.  If not, see <http://www.gnu.org/licenses/>.
------------------------------------------------------------------------
*/


#ifndef __PROB_DISTRIBUTION_HPP__
#define __PROB_DISTRIBUTION_HPP__

#include "randgen.hpp"

namespace bayesopt
{

  class ProbabilityDistribution
  {
  public:
    ProbabilityDistribution(randEngine& eng): mtRandom(eng) {};
    virtual ~ProbabilityDistribution(){};

    virtual double pdf(double x) = 0;


    virtual double negativeExpectedImprovement(double min, size_t g) = 0;

    virtual double lowerConfidenceBound(double beta = 1) = 0;

    virtual double negativeProbabilityOfImprovement(double yMin,
                            double epsilon) = 0;

    virtual double sample_query() = 0;

    virtual double getMean() = 0;
    virtual double getStd() = 0;

  protected:
    randEngine& mtRandom;
  };

} //namespace bayesopt

#endif