0012f2ef93
* Correct all clang-tidy errors. * Upgrade clang-tidy to 10 on CI. Co-authored-by: Hyunsu Cho <chohyu01@cs.washington.edu>
96 lines
3.0 KiB
C++
96 lines
3.0 KiB
C++
/*!
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* Copyright 2020 by Contributors
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* \file probability_distribution.h
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* \brief Implementation of a few useful probability distributions
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* \author Avinash Barnwal and Hyunsu Cho
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*/
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#ifndef XGBOOST_COMMON_PROBABILITY_DISTRIBUTION_H_
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#define XGBOOST_COMMON_PROBABILITY_DISTRIBUTION_H_
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namespace xgboost {
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namespace common {
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namespace probability_constant {
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/*! \brief Constant PI */
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const double kPI = 3.14159265358979323846;
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/*! \brief The Euler-Mascheroni_constant */
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const double kEulerMascheroni = 0.57721566490153286060651209008240243104215933593992;
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} // namespace probability_constant
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/*! \brief Enum encoding possible choices of probability distribution */
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enum class ProbabilityDistributionType : int {
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kNormal = 0, kLogistic = 1, kExtreme = 2
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};
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/*! \brief Interface for a probability distribution */
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class ProbabilityDistribution {
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public:
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/*!
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* \brief Evaluate Probability Density Function (PDF) at a particular point
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* \param z point at which to evaluate PDF
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* \return Value of PDF evaluated
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*/
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virtual double PDF(double z) = 0;
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/*!
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* \brief Evaluate Cumulative Distribution Function (CDF) at a particular point
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* \param z point at which to evaluate CDF
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* \return Value of CDF evaluated
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*/
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virtual double CDF(double z) = 0;
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/*!
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* \brief Evaluate first derivative of PDF at a particular point
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* \param z point at which to evaluate first derivative of PDF
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* \return Value of first derivative of PDF evaluated
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*/
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virtual double GradPDF(double z) = 0;
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/*!
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* \brief Evaluate second derivative of PDF at a particular point
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* \param z point at which to evaluate second derivative of PDF
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* \return Value of second derivative of PDF evaluated
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*/
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virtual double HessPDF(double z) = 0;
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/*!
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* \brief Factory function to instantiate a new probability distribution object
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* \param dist kind of probability distribution
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* \return Reference to the newly created probability distribution object
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*/
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static ProbabilityDistribution* Create(ProbabilityDistributionType dist);
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virtual ~ProbabilityDistribution() = default;
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};
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/*! \brief The (standard) normal distribution */
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class NormalDist : public ProbabilityDistribution {
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public:
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double PDF(double z) override;
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double CDF(double z) override;
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double GradPDF(double z) override;
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double HessPDF(double z) override;
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};
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/*! \brief The (standard) logistic distribution */
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class LogisticDist : public ProbabilityDistribution {
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public:
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double PDF(double z) override;
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double CDF(double z) override;
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double GradPDF(double z) override;
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double HessPDF(double z) override;
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};
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/*! \brief The extreme distribution, also known as the Gumbel (minimum) distribution */
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class ExtremeDist : public ProbabilityDistribution {
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public:
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double PDF(double z) override;
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double CDF(double z) override;
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double GradPDF(double z) override;
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double HessPDF(double z) override;
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};
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} // namespace common
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} // namespace xgboost
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#endif // XGBOOST_COMMON_PROBABILITY_DISTRIBUTION_H_
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