student_t_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 __STUDENT_T_DISTRIBUTION_HPP__
#define __STUDENT_T_DISTRIBUTION_HPP__

// for student t distribution
#include <boost/math/distributions/students_t.hpp> 
#include "prob_distribution.hpp"

namespace bayesopt
{

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

    void setMeanAndStd(double mean, double std)
    { mean_ = mean; std_ = std; };

    void setDof(size_t dof)
    { 
      dof_ = dof; 
      boost::math::students_t new_d(dof);
      d_ = new_d;
    };

    double pdf(double x) 
    {
      x = (x - mean_) / std_;
      return boost::math::pdf(d_,x); 
    };

    double negativeExpectedImprovement(double min, size_t g);

    double lowerConfidenceBound(double beta);

    double negativeProbabilityOfImprovement(double min,
                        double epsilon);

    double sample_query();

    double getMean() { return mean_; };
    double getStd()  { return std_; };

  private:
    boost::math::students_t d_;
    double mean_;
    double std_;
    size_t dof_;
  };

} //namespace bayesopt

#endif