encapsulage du stratified sampling

1 files changed, 51 insertions, 0 deletions

diff --git a/stratified_sampling.hpp b/stratified_sampling.hpp
new file mode 100644
index 0000000..b63cd52
--- /dev/null
+++ b/stratified_sampling.hpp
@@ -0,0 +1,51 @@
+#include <vector>
+#include <gsl/gsl_rng.h>
+#include "rtnorm.hpp"
+
+using namespace std;
+
+template <typename T>
+struct var_alea {
+    typedef T result_type;
+    var_alea() : value(0) {};
+    var_alea(T value) : value(value) {};
+    virtual ~var_alea() {}; 
+    virtual T operator()() = 0;
+    T current() const { return value; };
+    protected: 
+    	T value;
+};
+
+typedef var_alea<double> var_alea_real;
+
+struct gaussian_truncated : public var_alea_real
+{
+  gaussian_truncated(double a, double b, double mean=0, double sigma=1)
+    :a(a), b(b), mean(mean), sigma(sigma) {
+    const gsl_rng_type* type = gsl_rng_default;
+    gen = gsl_rng_alloc(type);
+  };
+  double operator()() {
+    pair<double, double> p = rtnorm(gen, a, b, mean, sigma);
+    return value = p.first;
+  };
+  ~gaussian_truncated() { gsl_rng_free(gen); }
+private:
+  double mean, sigma, a, b;
+  gsl_rng *gen;
+};
+
+template <typename Gen>
+struct stratified_sampling {
+  stratified_sampling(vector<double> p, vector<Gen> gen)
+    :p(p), gen(gen) {};
+  void update(int N);
+  //vector<double> get_mean();
+  //double estimator();
+private:
+  vector<double> p;
+  vector<int> M;
+  vector<double> sigma;
+  vector<Gen> gen;
+ 		      
+};