mwc-probability

commit 5419fee6f81e897df97fb71fc5b085e66e4f4538
parent 0f4f58b2aa1d0e9731555645d299f0a5d93d2377
Author: Marco Zocca <marco.zocca@recordunion.com>
Date:   Thu, 25 Jan 2018 17:46:30 +0100

add Laplace distribution

Diffstat:
M
src/System/Random/MWC/Probability.hs
 | 
9
+++++++++

1 file changed, 9 insertions(+), 0 deletions(-)
diff --git a/src/System/Random/MWC/Probability.hs b/src/System/Random/MWC/Probability.hs
@@ -58,6 +58,7 @@ module System.Random.MWC.Probability (
   , normal
   , logNormal
   , exponential
+  , laplace
   , gamma
   , inverseGamma
   , chiSquare
@@ -188,6 +189,14 @@ exponential :: PrimMonad m => Double -> Prob m Double
 exponential r = Prob $ MWC.Dist.exponential r
 {-# INLINABLE exponential #-}
 
+-- | The Laplace distribution with provided location and scale parameters.
+laplace :: (Floating a, Variate a, PrimMonad m) => a -> a -> Prob m a
+laplace mu sigma = do
+  u <- uniformR (-0.5, 0.5)
+  let b = sigma / sqrt 2
+  return $ mu - b * signum u * log (1 - 2 * abs u)
+
+
 -- | The gamma distribution with shape parameter a and scale parameter b.
 --
 --   This is the parameterization used more traditionally in frequentist