added kernel density wrapper

added general kld solution
fixed minor bugs
added tests

math/distribution/KernelDensity.h

@@ -0,0 +1,35 @@
+#ifndef KERNELDENSITY_H
+#define KERNELDENSITY_H
+
+#include <cmath>
+#include <random>
+#include <functional>
+
+#include <eigen3/Eigen/Dense>
+
+#include "../../Assertions.h"
+#include "../Random.h"
+
+
+namespace Distribution {
+
+    template <typename T, typename Sample> class KernelDensity{
+
+    private:
+        const std::function<T(Sample)> probabilityFunction;
+
+
+    public:
+        KernelDensity(const std::function<T(Sample)> probabilityFunction) : probabilityFunction(probabilityFunction){
+
+        }
+
+        T getProbability(Sample sample){
+            return probabilityFunction(sample);
+        }
+
+    };
+
+}
+
+#endif // KERNELDENSITY_H

math/distribution/NormalN.h

@@ -15,8 +15,8 @@ namespace Distribution {
 
     private:
 
-        const Eigen::VectorXd mu;
-        const Eigen::MatrixXd sigma;
+        Eigen::VectorXd mu;
+        Eigen::MatrixXd sigma;
 
         const double _a;
         const Eigen::MatrixXd _sigmaInv;
@@ -61,6 +61,14 @@ namespace Distribution {
             return this->_sigmaInv;
         }
 
+        void setSigma(Eigen::MatrixXd sigma){
+            this->sigma = sigma;
+        }
+
+        void setMu(Eigen::VectorXd mu){
+            this->mu = mu;
+        }
+
         /** return a NormalN based on given data */
         static NormalDistributionN getNormalNFromSamples(const Eigen::MatrixXd& data) {