truncated measures

src/combinators/truncated.jl

@@ -0,0 +1,42 @@
+struct Truncated{P,L,U,W} <: AbstractMeasure
+    base::P
+    lower::L
+    upper::U
+    logweight::W
+
+    function Truncated(d::P, lower::L, upper::U) where {P,L,U}
+        tails = cdf(d, lower) + ccdf(d, upper)
+        logweight = -log1p(-tails)
+        new{P,L,U,typeof(logweight)}(d, lower, upper, logweight)
+    end
+
+    function Truncated(d::P, ::Nothing, upper::U) where {P,U}
+        logweight = -logcdf(d, upper)
+        new{P,Nothing,U,typeof(logweight)}(d, nothing, upper, logweight)
+    end
+
+    function Truncated(d::P, lower::L, ::Nothing) where {P,L}
+        logweight = -logccdf(d, lower)
+        new{P,L,Nothing,typeof(logweight)}(d, lower, nothing, logweight)
+    end
+end
+
+insupport(d::Truncated, x) = insupport(d.base, x) && d.lower < x < d.upper
+
+insupport(d::Truncated{P,L,Nothing}, x) where {P,L} = insupport(d.base, x) && d.lower < x
+
+insupport(d::Truncated{P,Nothing,U}, x) where {P,U} = insupport(d.base, x) && x < d.upper
+
+export truncated
+
+truncated(d, lower, upper) = Truncated(d, lower, upper)
+
+truncated(d, ::Nothing, ::Nothing) = d
+
+truncated(d; lower=nothing, upper=nothing) = truncated(d, lower, upper)
+
+
+
+logdensity_def(d::Truncated, x) = logdensity_def(d.base, x)
+
+basemeasure(d::Truncated, x) = weightedmeasure(d.logweight, basemeasure(d.base, x))