92 lines
3.2 KiB
Plaintext
92 lines
3.2 KiB
Plaintext
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// Copyright John Maddock 2008.
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// Use, modification and distribution are subject to the
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// Boost Software License, Version 1.0. (See accompanying file
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// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
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#ifndef BOOST_MATH_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP
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#define BOOST_MATH_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP
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namespace boost{ namespace math{ namespace detail{
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template <class Dist>
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struct generic_quantile_finder
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{
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typedef typename Dist::value_type value_type;
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typedef typename Dist::policy_type policy_type;
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generic_quantile_finder(const Dist& d, value_type t, bool c)
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: dist(d), target(t), comp(c) {}
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value_type operator()(const value_type& x)
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{
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return comp ?
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value_type(target - cdf(complement(dist, x)))
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: value_type(cdf(dist, x) - target);
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}
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private:
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Dist dist;
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value_type target;
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bool comp;
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};
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template <class T, class Policy>
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inline T check_range_result(const T& x, const Policy& pol, const char* function)
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{
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if((x >= 0) && (x < tools::min_value<T>()))
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return policies::raise_underflow_error<T>(function, 0, pol);
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if(x <= -tools::max_value<T>())
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return -policies::raise_overflow_error<T>(function, 0, pol);
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if(x >= tools::max_value<T>())
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return policies::raise_overflow_error<T>(function, 0, pol);
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return x;
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}
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template <class Dist>
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typename Dist::value_type generic_quantile(const Dist& dist, const typename Dist::value_type& p, const typename Dist::value_type& guess, bool comp, const char* function)
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{
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typedef typename Dist::value_type value_type;
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typedef typename Dist::policy_type policy_type;
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typedef typename policies::normalise<
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policy_type,
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policies::promote_float<false>,
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policies::promote_double<false>,
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policies::discrete_quantile<>,
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policies::assert_undefined<> >::type forwarding_policy;
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//
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// Special cases first:
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//
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if(p == 0)
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{
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return comp
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? check_range_result(range(dist).second, forwarding_policy(), function)
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: check_range_result(range(dist).first, forwarding_policy(), function);
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}
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if(p == 1)
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{
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return !comp
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? check_range_result(range(dist).second, forwarding_policy(), function)
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: check_range_result(range(dist).first, forwarding_policy(), function);
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}
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generic_quantile_finder<Dist> f(dist, p, comp);
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tools::eps_tolerance<value_type> tol(policies::digits<value_type, forwarding_policy>() - 3);
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boost::uintmax_t max_iter = policies::get_max_root_iterations<forwarding_policy>();
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std::pair<value_type, value_type> ir = tools::bracket_and_solve_root(
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f, guess, value_type(2), true, tol, max_iter, forwarding_policy());
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value_type result = ir.first + (ir.second - ir.first) / 2;
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if(max_iter >= policies::get_max_root_iterations<forwarding_policy>())
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{
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return policies::raise_evaluation_error<value_type>(function, "Unable to locate solution in a reasonable time:"
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" either there is no answer to quantile"
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" or the answer is infinite. Current best guess is %1%", result, forwarding_policy());
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}
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return result;
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}
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}}} // namespaces
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#endif // BOOST_MATH_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP
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