mwc-probability

commit 883b1580a49a513eae0e01874313d67d1530d7ac
parent 0f4f58b2aa1d0e9731555645d299f0a5d93d2377
Author: Jared Tobin <jared@jtobin.io>
Date:   Fri, 26 Jan 2018 10:14:19 +1300

Merge pull request #5 from ocramz/master

Add Laplace distribution
Diffstat:
M
src/System/Random/MWC/Probability.hs
 | 
10
++++++++++

1 file changed, 10 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 +189,15 @@ 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)
+{-# INLINABLE laplace #-}  
+
+
 -- | The gamma distribution with shape parameter a and scale parameter b.
 --
 --   This is the parameterization used more traditionally in frequentist