51 lines
1.1 KiB
C++
51 lines
1.1 KiB
C++
#ifndef NORMALN_H
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#define NORMALN_H
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#include <eigen3/Eigen/Dense>
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namespace Distribution {
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class NormalDistributionN {
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private:
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const Eigen::VectorXd mu;
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const Eigen::MatrixXd sigma;
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const double _a;
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const Eigen::MatrixXd _sigmaInv;
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public:
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/** ctor */
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NormalDistributionN(const Eigen::VectorXd mu, const Eigen::MatrixXd sigma) :
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mu(mu), sigma(sigma), _a( 1.0 / std::sqrt( (sigma * 2.0 * M_PI).determinant() ) ), _sigmaInv(sigma.inverse()) {
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}
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/** get probability for the given value */
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double getProbability(const Eigen::VectorXd val) const {
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const double b = ((val-mu).transpose() * _sigmaInv * (val-mu));
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return _a * std::exp(-b/2.0);
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}
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/** get the mean vector */
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const Eigen::VectorXd getMu(){
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return this->mu;
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}
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/** get covariance matrix */
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const Eigen::MatrixXd getSigma(){
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return this->sigma;
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}
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const Eigen::MatrixXd getSigmaInv(){
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return this->_sigmaInv;
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}
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};
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}
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#endif // NORMALN_H
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