// <copyright file="Laplace.cs" company="Math.NET">
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// Math.NET Numerics, part of the Math.NET Project
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// http://numerics.mathdotnet.com
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// http://github.com/mathnet/mathnet-numerics
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//
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// Copyright (c) 2009-2014 Math.NET
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//
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// Permission is hereby granted, free of charge, to any person
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// obtaining a copy of this software and associated documentation
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// files (the "Software"), to deal in the Software without
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// restriction, including without limitation the rights to use,
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// copy, modify, merge, publish, distribute, sublicense, and/or sell
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// copies of the Software, and to permit persons to whom the
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// Software is furnished to do so, subject to the following
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// conditions:
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//
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// The above copyright notice and this permission notice shall be
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// included in all copies or substantial portions of the Software.
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//
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// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
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// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
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// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
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// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
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// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
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// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
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// OTHER DEALINGS IN THE SOFTWARE.
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// </copyright>
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using System;
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using System.Collections.Generic;
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using IStation.Numerics.Random;
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using IStation.Numerics.Threading;
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namespace IStation.Numerics.Distributions
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{
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/// <summary>
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/// Continuous Univariate Laplace distribution.
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/// The Laplace distribution is a distribution over the real numbers parameterized by a mean and
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/// scale parameter. The PDF is:
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/// p(x) = \frac{1}{2 * scale} \exp{- |x - mean| / scale}.
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/// <a href="http://en.wikipedia.org/wiki/Laplace_distribution">Wikipedia - Laplace distribution</a>.
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/// </summary>
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public class Laplace : IContinuousDistribution
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{
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System.Random _random;
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readonly double _location;
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readonly double _scale;
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/// <summary>
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/// Initializes a new instance of the <see cref="Laplace"/> class (location = 0, scale = 1).
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/// </summary>
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public Laplace()
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: this(0.0, 1.0)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="Laplace"/> class.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <exception cref="ArgumentException">If <paramref name="scale"/> is negative.</exception>
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public Laplace(double location, double scale)
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{
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if (!IsValidParameterSet(location, scale))
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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_random = SystemRandomSource.Default;
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_location = location;
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_scale = scale;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="Laplace"/> class.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <param name="randomSource">The random number generator which is used to draw random samples.</param>
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/// <exception cref="ArgumentException">If <paramref name="scale"/> is negative.</exception>
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public Laplace(double location, double scale, System.Random randomSource)
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{
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if (!IsValidParameterSet(location, scale))
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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_random = randomSource ?? SystemRandomSource.Default;
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_location = location;
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_scale = scale;
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}
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/// <summary>
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/// A string representation of the distribution.
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/// </summary>
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/// <returns>a string representation of the distribution.</returns>
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public override string ToString()
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{
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return $"Laplace(μ = {_location}, b = {_scale})";
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}
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/// <summary>
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/// Tests whether the provided values are valid parameters for this distribution.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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public static bool IsValidParameterSet(double location, double scale)
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{
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return scale > 0.0 && !double.IsNaN(location);
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}
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/// <summary>
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/// Gets the location (μ) of the Laplace distribution.
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/// </summary>
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public double Location => _location;
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/// <summary>
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/// Gets the scale (b) of the Laplace distribution. Range: b > 0.
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/// </summary>
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public double Scale => _scale;
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/// <summary>
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/// Gets or sets the random number generator which is used to draw random samples.
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/// </summary>
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public System.Random RandomSource
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{
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get => _random;
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set => _random = value ?? SystemRandomSource.Default;
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}
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/// <summary>
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/// Gets the mean of the distribution.
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/// </summary>
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public double Mean => _location;
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/// <summary>
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/// Gets the variance of the distribution.
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/// </summary>
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public double Variance => 2.0*_scale*_scale;
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/// <summary>
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/// Gets the standard deviation of the distribution.
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/// </summary>
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public double StdDev => Constants.Sqrt2*_scale;
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/// <summary>
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/// Gets the entropy of the distribution.
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/// </summary>
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public double Entropy => Math.Log(2.0*Constants.E*_scale);
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/// <summary>
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/// Gets the skewness of the distribution.
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/// </summary>
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public double Skewness => 0.0;
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/// <summary>
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/// Gets the mode of the distribution.
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/// </summary>
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public double Mode => _location;
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/// <summary>
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/// Gets the median of the distribution.
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/// </summary>
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public double Median => _location;
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/// <summary>
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/// Gets the minimum of the distribution.
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/// </summary>
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public double Minimum => double.NegativeInfinity;
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/// <summary>
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/// Gets the maximum of the distribution.
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/// </summary>
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public double Maximum => double.PositiveInfinity;
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/// <summary>
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/// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x.
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/// </summary>
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/// <param name="x">The location at which to compute the density.</param>
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/// <returns>the density at <paramref name="x"/>.</returns>
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/// <seealso cref="PDF"/>
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public double Density(double x)
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{
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return Math.Exp(-Math.Abs(x - _location)/_scale)/(2.0*_scale);
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}
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/// <summary>
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/// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x).
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/// </summary>
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/// <param name="x">The location at which to compute the log density.</param>
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/// <returns>the log density at <paramref name="x"/>.</returns>
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/// <seealso cref="PDFLn"/>
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public double DensityLn(double x)
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{
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return -Math.Abs(x - _location)/_scale - Math.Log(2.0*_scale);
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}
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/// <summary>
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/// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
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/// </summary>
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/// <param name="x">The location at which to compute the cumulative distribution function.</param>
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/// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
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/// <seealso cref="CDF"/>
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public double CumulativeDistribution(double x)
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{
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return 0.5*(1.0 + (Math.Sign(x - _location)*(1.0 - Math.Exp(-Math.Abs(x - _location)/_scale))));
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}
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/// <summary>
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/// Samples a Laplace distributed random variable.
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/// </summary>
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/// <returns>a sample from the distribution.</returns>
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public double Sample()
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{
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return SampleUnchecked(_random, _location, _scale);
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}
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/// <summary>
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/// Fills an array with samples generated from the distribution.
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/// </summary>
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public void Samples(double[] values)
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{
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SamplesUnchecked(_random, values, _location, _scale);
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}
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/// <summary>
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/// Generates a sample from the Laplace distribution.
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/// </summary>
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/// <returns>a sample from the distribution.</returns>
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public IEnumerable<double> Samples()
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{
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return SamplesUnchecked(_random, _location, _scale);
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}
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static double SampleUnchecked(System.Random rnd, double location, double scale)
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{
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var u = rnd.NextDouble() - 0.5;
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return location - (scale*Math.Sign(u)*Math.Log(1.0 - (2.0*Math.Abs(u))));
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}
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static void SamplesUnchecked(System.Random rnd, double[] values, double location, double scale)
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{
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rnd.NextDoubles(values);
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CommonParallel.For(0, values.Length, 4096, (a, b) =>
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{
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for (int i = a; i < b; i++)
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{
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var u = values[i] - 0.5;
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values[i] = location - (scale*Math.Sign(u)*Math.Log(1.0 - (2.0*Math.Abs(u))));
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}
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});
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}
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static IEnumerable<double> SamplesUnchecked(System.Random rnd, double location, double scale)
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{
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while (true)
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{
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yield return SampleUnchecked(rnd, location, scale);
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}
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}
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/// <summary>
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/// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <param name="x">The location at which to compute the density.</param>
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/// <returns>the density at <paramref name="x"/>.</returns>
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/// <seealso cref="Density"/>
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public static double PDF(double location, double scale, double x)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return Math.Exp(-Math.Abs(x - location)/scale)/(2.0*scale);
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}
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/// <summary>
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/// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x).
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <param name="x">The location at which to compute the density.</param>
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/// <returns>the log density at <paramref name="x"/>.</returns>
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/// <seealso cref="DensityLn"/>
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public static double PDFLn(double location, double scale, double x)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return -Math.Abs(x - location)/scale - Math.Log(2.0*scale);
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}
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/// <summary>
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/// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
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/// </summary>
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/// <param name="x">The location at which to compute the cumulative distribution function.</param>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
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/// <seealso cref="CumulativeDistribution"/>
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public static double CDF(double location, double scale, double x)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return 0.5*(1.0 + (Math.Sign(x - location)*(1.0 - Math.Exp(-Math.Abs(x - location)/scale))));
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}
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/// <summary>
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/// Generates a sample from the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sample from the distribution.</returns>
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public static double Sample(System.Random rnd, double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return SampleUnchecked(rnd, location, scale);
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}
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/// <summary>
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/// Generates a sequence of samples from the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static IEnumerable<double> Samples(System.Random rnd, double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return SamplesUnchecked(rnd, location, scale);
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}
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/// <summary>
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/// Fills an array with samples generated from the distribution.
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/// </summary>
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/// <param name="rnd">The random number generator to use.</param>
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/// <param name="values">The array to fill with the samples.</param>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static void Samples(System.Random rnd, double[] values, double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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SamplesUnchecked(rnd, values, location, scale);
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}
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/// <summary>
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/// Generates a sample from the distribution.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sample from the distribution.</returns>
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public static double Sample(double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return SampleUnchecked(SystemRandomSource.Default, location, scale);
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}
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/// <summary>
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/// Generates a sequence of samples from the distribution.
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/// </summary>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static IEnumerable<double> Samples(double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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return SamplesUnchecked(SystemRandomSource.Default, location, scale);
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}
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/// <summary>
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/// Fills an array with samples generated from the distribution.
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/// </summary>
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/// <param name="values">The array to fill with the samples.</param>
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/// <param name="location">The location (μ) of the distribution.</param>
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/// <param name="scale">The scale (b) of the distribution. Range: b > 0.</param>
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/// <returns>a sequence of samples from the distribution.</returns>
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public static void Samples(double[] values, double location, double scale)
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{
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if (scale <= 0.0)
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{
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throw new ArgumentException("Invalid parametrization for the distribution.");
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}
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SamplesUnchecked(SystemRandomSource.Default, values, location, scale);
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}
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}
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}
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