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use crate::{Distribution, Standard, StandardNormal};
use num_traits::Float;
use rand::Rng;
#[derive(Debug, PartialEq)]
pub enum Error {
MeanNegativeOrNull,
ShapeNegativeOrNull,
}
#[derive(Debug)]
pub struct InverseGaussian<F>
where
F: Float,
StandardNormal: Distribution<F>,
Standard: Distribution<F>,
{
mean: F,
shape: F,
}
impl<F> InverseGaussian<F>
where
F: Float,
StandardNormal: Distribution<F>,
Standard: Distribution<F>,
{
pub fn new(mean: F, shape: F) -> Result<InverseGaussian<F>, Error> {
let zero = F::zero();
if !(mean > zero) {
return Err(Error::MeanNegativeOrNull);
}
if !(shape > zero) {
return Err(Error::ShapeNegativeOrNull);
}
Ok(Self { mean, shape })
}
}
impl<F> Distribution<F> for InverseGaussian<F>
where
F: Float,
StandardNormal: Distribution<F>,
Standard: Distribution<F>,
{
fn sample<R>(&self, rng: &mut R) -> F
where R: Rng + ?Sized {
let mu = self.mean;
let l = self.shape;
let v: F = rng.sample(StandardNormal);
let y = mu * v * v;
let mu_2l = mu / (F::from(2.).unwrap() * l);
let x = mu + mu_2l * (y - (F::from(4.).unwrap() * l * y + y * y).sqrt());
let u: F = rng.gen();
if u <= mu / (mu + x) {
return x;
}
mu * mu / x
}
}
#[cfg(test)]
mod tests {
use super::*;
#[test]
fn test_inverse_gaussian() {
let inv_gauss = InverseGaussian::new(1.0, 1.0).unwrap();
let mut rng = crate::test::rng(210);
for _ in 0..1000 {
inv_gauss.sample(&mut rng);
}
}
#[test]
fn test_inverse_gaussian_invalid_param() {
assert!(InverseGaussian::new(-1.0, 1.0).is_err());
assert!(InverseGaussian::new(-1.0, -1.0).is_err());
assert!(InverseGaussian::new(1.0, -1.0).is_err());
assert!(InverseGaussian::new(1.0, 1.0).is_ok());
}
}