normal_dist.h

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#ifndef NORMAL_DIST_H
#define NORMAL_DIST_H
 
#include "bitrl/bitrl_consts.h"
#include "bitrl/bitrl_types.h"
 
#include <cmath>
#include <numbers>
#include <random>
#include <type_traits>
#include <vector>
 
namespace bitrl
{
namespace utils::maths::stats
{
 
template <typename RealType = real_t> class NormalDist
{
 
public:
    static_assert(std::is_floating_point<RealType>::value, "Not a floating point type");
 
    typedef RealType result_type;
 
    NormalDist();
 
    explicit NormalDist(result_type mu, result_type std = 1.0);
 
    result_type pdf(result_type x) const;
 
    result_type sample() const;
 
    result_type sample(uint_t seed) const;
 
    std::vector<result_type> sample_many(uint_t size) const;
 
    std::vector<result_type> sample_many(uint_t size, uint_t seed) const;
 
    result_type mean() const { return dist_.mean(); }
 
    result_type std() const { return dist_.stddev(); }
 
private:
    mutable std::normal_distribution<RealType> dist_;
};
 
template <typename RealType>
NormalDist<RealType>::NormalDist(RealType mu, RealType std) : dist_(mu, std)
{
}
 
template <typename RealType> NormalDist<RealType>::NormalDist() : NormalDist<RealType>(0.0, 1.0) {}
 
template <typename RealType> RealType NormalDist<RealType>::sample() const
{
 
    std::random_device rd{};
    std::mt19937 gen{rd()};
    return dist_(gen);
}
 
template <typename RealType> RealType NormalDist<RealType>::sample(uint_t seed) const
{
 
    std::mt19937 gen{seed};
    return dist_(gen);
}
 
template <typename RealType>
std::vector<RealType> NormalDist<RealType>::sample_many(uint_t size) const
{
 
    std::vector<RealType> samples(size);
    std::random_device rd{};
    std::mt19937 gen{rd()};
 
    for (uint_t i = 0; i < size; ++i)
    {
        samples[i] = dist_(gen);
    }
 
    return samples;
}
 
template <typename RealType>
std::vector<RealType> NormalDist<RealType>::sample_many(uint_t size, uint_t seed) const
{
 
    std::vector<RealType> samples(size);
    std::mt19937 gen(seed);
 
    for (uint_t i = 0; i < size; ++i)
    {
        samples[i] = dist_(gen);
    }
 
    return samples;
}
 
template <typename RealType> RealType NormalDist<RealType>::pdf(RealType x) const
{
 
    auto mu = dist_.mean();
    auto std = dist_.stddev();
    auto pi = bitrl::consts::maths::PI;
    auto factor = 1.0 / (std * std::sqrt(2.0 * pi));
    auto exp = std::exp(-0.5 * std::pow((x - mu) / std, 2.0));
    return factor * exp;
}
 
}
} // namespace rlenvscpp
 
#endif