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RandomVar.h

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//===========================================================================
//===========================================================================

#ifndef __RANDOMVAR_H
#define __RANDOMVAR_H

#ifdef _WIN32
// disable warning C4804: suspicious bool comparison
// occurs during instantiation of vector< bool >
#pragma warning(disable: 4804)
#endif

#include <cmath>
#include <vector>
#include "Rng/RNG.h"


//===========================================================================
template < class T >
class RandomVar
{
public:

    virtual ~RandomVar()
    { }

    virtual T operator()() = 0;


    virtual double p(const T&) const = 0;


    //========================================================================
    virtual void   seed(long s)
    {
        rng.seed(s);
    }


    //========================================================================
    RandomVar& operator = (const RandomVar& r)
    {
        rng = r.rng; return *this;
    }



    //========================================================================
    virtual double entropy()
    {
        double   t;
        unsigned i;

        for (t = 0, i = monteCarloTrials; i--;) {
            t += log(p((*this)()));
        }

        return -t / monteCarloTrials;
    }


    //========================================================================
    virtual double KullbackLeibler(const RandomVar< T >& rv)
    {
        double   t;
        unsigned i;
        T        x;

        for (t = 0, i = monteCarloTrials; i--;) {
            x  = (*this)();
            t += log(p(x) / rv.p(x));
        }

        return t / monteCarloTrials;
    }

    //========================================================================
    virtual double logLikelihood(const std::vector< T >& x) const
    {
        double l = 0;

        for (unsigned k = x.size(); k--;) {
            l += log(p(x[ k ]));
        }

        return l;
    }

    //========================================================================
    void setMonteCarlo(unsigned N = 10000)
    {
        monteCarloTrials = N;
    }

protected:

    RNG&     rng;

    unsigned monteCarloTrials;


    //========================================================================
    RandomVar(RNG& r = RNG::globalRng)
            : rng(r),
            monteCarloTrials(10000)
    {}
};

#endif  /* !__RANDOMVAR_H */