Authors

Ilya Yaroshenko

Copyright

© 2014-2015 Ilya Yaroshenko

License

MIT

Example

import core.time;
import std.random;
import std.range;
import std.algorithm;
import std.stdio;
import atmosphere;

alias F = double;

final class ProperGeneralizedInverseGaussianQuantile(T) : NumericQuantile!T {
	this(T lambda, T eta, T omega) {
		auto cdf = new ProperGeneralizedInverseGaussianCDF!T(lambda, eta, omega);
		super(cdf, -1000, 1000);	
	}
}

nothrow @nogc bool findRootTolerance(F a, F b) { return b/a < 1.001;}

immutable quantileL  = 0.01;
immutable quantileR  = 0.99;
immutable gridSize   = 100;
immutable dur        = TickDuration.from!"msecs"(100);
immutable lambda     = 2;
immutable eta        = 1; 
immutable omega      = 2.3;
immutable beta       = 0.5;
immutable sampleSize = 1000;
// GIG quantile function
auto qf              = new ProperGeneralizedInverseGaussianQuantile!F(lambda, eta, omega);
// GHyp random number generator
auto rng             = new ProperGeneralizedHyperbolicRNG!F(rndGen, lambda, eta, omega, beta);
// left GIG bound
immutable begin      = qf(quantileL);
// right GIG bound
immutable end        = qf(quantileR);
// grid's step
immutable step       = (end-begin)/gridSize;
// GIG grid
immutable grid       = iota(begin, end+step/2, step).array;
// Normal PDFs for common algorithms
auto pdfs            = grid.map!(u => NvmmLikelihoodAscentEM!F.CorePDF(beta, u)).array;
// GHyp sample
immutable sample     = cast(immutable) rng.take(sampleSize).array;
// Mixture optimizer
auto optimizer       = new LikelihoodAscentEM!F(pdfs.length, sample.length);
// Puts sample
optimizer.put(pdfs, sample);
// Tuple of time and iterations count
immutable result     = optimizer.evaluate(dur, &findRootTolerance);