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added dependency from Distributions #2

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added dependency from Distributions #2

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33 changes: 6 additions & 27 deletions src/priors.jl
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Original file line number Diff line number Diff line change
@@ -1,4 +1,5 @@
using FastGaussQuadrature, ForwardDiff
import Distributions: TruncatedNormal, mean, var

Φ(x) = 0.5*(1+erf(x/sqrt(2.0)))
ϕ(x) = exp(-x.^2/2)/sqrt(2π)
Expand Down Expand Up @@ -45,35 +46,13 @@ struct IntervalPrior{T<:Real} <: Prior
u::T
end

function moments(p0::IntervalPrior,μ,σ)
xl = (p0.l - μ)/σ
xu = (p0.u - μ)/σ
minval = min(abs(xl), abs(xu))

if xu - xl < 1e-10
return 0.5 * (xu + xl), -1
end

if minval <= 6.0 || xl * xu <= 0
ϕu, Φu, ϕl, Φl = ϕ(xu), Φ(xu), ϕ(xl), Φ(xl)
av = (ϕl - ϕu) / (Φu - Φl)
mom2 = (xl * ϕl - xu * ϕu) / (Φu - Φl)
else
Δ = (xu^2 - xl^2) * 0.5
if Δ > 40.0
av = xl^5 / (3.0 - xl^2 + xl^4)
mom2 = xl^6 / (3.0 - xl^2 + xl^4)
else
eΔ = exp(Δ)
av = (xl * xu)^5 * (1. - eΔ) / (-eΔ * (3.0 - xl^2 + xl^4) * xu^5 + xl^5 * (3.0 - xu^2 + xu^4))
mom2 = (xl * xu)^5 * (xu - xl * eΔ) / (-eΔ * (3.0 - xl^2 + xl^4) * xu^5 + xl^5 * (3.0 - xu^2 + xu^4))
end
end
va = mom2 - av^2
return μ + av * σ, σ^2 * (1 + va)
function moments(p0::IntervalPrior{T},μ,σ) where T<:Real
pr = TruncatedNormal(μ,σ,p0.l,p0.u)
return mean(pr),max(zero(T),var(pr))
# the max fix an error in Distributions
# issue #827 in Distributions.jl
end


"""
Spike-and-slab prior

Expand Down