276 lines
8.8 KiB
Plaintext
276 lines
8.8 KiB
Plaintext
// Copyright John Maddock 2006.
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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_STATS_EXPONENTIAL_HPP
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#define BOOST_STATS_EXPONENTIAL_HPP
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#include <boost/math/distributions/fwd.hpp>
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#include <boost/math/constants/constants.hpp>
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#include <boost/math/special_functions/log1p.hpp>
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#include <boost/math/special_functions/expm1.hpp>
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#include <boost/math/distributions/complement.hpp>
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#include <boost/math/distributions/detail/common_error_handling.hpp>
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#include <boost/config/no_tr1/cmath.hpp>
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#ifdef BOOST_MSVC
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# pragma warning(push)
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# pragma warning(disable: 4127) // conditional expression is constant
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# pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
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#endif
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#include <utility>
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namespace boost{ namespace math{
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namespace detail{
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//
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// Error check:
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//
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template <class RealType, class Policy>
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inline bool verify_lambda(const char* function, RealType l, RealType* presult, const Policy& pol)
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{
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if((l <= 0) || !(boost::math::isfinite)(l))
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{
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*presult = policies::raise_domain_error<RealType>(
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function,
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"The scale parameter \"lambda\" must be > 0, but was: %1%.", l, pol);
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return false;
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}
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return true;
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}
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template <class RealType, class Policy>
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inline bool verify_exp_x(const char* function, RealType x, RealType* presult, const Policy& pol)
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{
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if((x < 0) || (boost::math::isnan)(x))
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{
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*presult = policies::raise_domain_error<RealType>(
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function,
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"The random variable must be >= 0, but was: %1%.", x, pol);
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return false;
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}
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return true;
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}
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} // namespace detail
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template <class RealType = double, class Policy = policies::policy<> >
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class exponential_distribution
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{
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public:
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typedef RealType value_type;
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typedef Policy policy_type;
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exponential_distribution(RealType l_lambda = 1)
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: m_lambda(l_lambda)
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{
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RealType err;
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detail::verify_lambda("boost::math::exponential_distribution<%1%>::exponential_distribution", l_lambda, &err, Policy());
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} // exponential_distribution
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RealType lambda()const { return m_lambda; }
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private:
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RealType m_lambda;
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};
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typedef exponential_distribution<double> exponential;
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> range(const exponential_distribution<RealType, Policy>& /*dist*/)
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{ // Range of permissible values for random variable x.
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if (std::numeric_limits<RealType>::has_infinity)
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{
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return std::pair<RealType, RealType>(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()); // 0 to + infinity.
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}
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else
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{
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using boost::math::tools::max_value;
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return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // 0 to + max
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}
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}
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template <class RealType, class Policy>
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inline const std::pair<RealType, RealType> support(const exponential_distribution<RealType, Policy>& /*dist*/)
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{ // Range of supported values for random variable x.
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// This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
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using boost::math::tools::max_value;
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using boost::math::tools::min_value;
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return std::pair<RealType, RealType>(min_value<RealType>(), max_value<RealType>());
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// min_value<RealType>() to avoid a discontinuity at x = 0.
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}
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template <class RealType, class Policy>
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inline RealType pdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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static const char* function = "boost::math::pdf(const exponential_distribution<%1%>&, %1%)";
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RealType lambda = dist.lambda();
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RealType result = 0;
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if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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return result;
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if(0 == detail::verify_exp_x(function, x, &result, Policy()))
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return result;
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// Workaround for VC11/12 bug:
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if ((boost::math::isinf)(x))
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return 0;
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result = lambda * exp(-lambda * x);
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return result;
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} // pdf
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template <class RealType, class Policy>
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inline RealType cdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
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RealType result = 0;
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RealType lambda = dist.lambda();
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if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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return result;
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if(0 == detail::verify_exp_x(function, x, &result, Policy()))
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return result;
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result = -boost::math::expm1(-x * lambda, Policy());
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return result;
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} // cdf
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template <class RealType, class Policy>
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inline RealType quantile(const exponential_distribution<RealType, Policy>& dist, const RealType& p)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
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RealType result = 0;
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RealType lambda = dist.lambda();
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if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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return result;
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if(0 == detail::check_probability(function, p, &result, Policy()))
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return result;
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if(p == 0)
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return 0;
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if(p == 1)
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return policies::raise_overflow_error<RealType>(function, 0, Policy());
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result = -boost::math::log1p(-p, Policy()) / lambda;
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return result;
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} // quantile
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template <class RealType, class Policy>
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inline RealType cdf(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
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RealType result = 0;
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RealType lambda = c.dist.lambda();
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if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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return result;
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if(0 == detail::verify_exp_x(function, c.param, &result, Policy()))
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return result;
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// Workaround for VC11/12 bug:
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if (c.param >= tools::max_value<RealType>())
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return 0;
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result = exp(-c.param * lambda);
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return result;
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}
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template <class RealType, class Policy>
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inline RealType quantile(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
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{
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BOOST_MATH_STD_USING // for ADL of std functions
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static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
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RealType result = 0;
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RealType lambda = c.dist.lambda();
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if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
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return result;
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RealType q = c.param;
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if(0 == detail::check_probability(function, q, &result, Policy()))
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return result;
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if(q == 1)
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return 0;
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if(q == 0)
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return policies::raise_overflow_error<RealType>(function, 0, Policy());
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result = -log(q) / lambda;
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return result;
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}
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template <class RealType, class Policy>
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inline RealType mean(const exponential_distribution<RealType, Policy>& dist)
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{
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RealType result = 0;
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RealType lambda = dist.lambda();
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if(0 == detail::verify_lambda("boost::math::mean(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
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return result;
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return 1 / lambda;
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}
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template <class RealType, class Policy>
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inline RealType standard_deviation(const exponential_distribution<RealType, Policy>& dist)
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{
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RealType result = 0;
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RealType lambda = dist.lambda();
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if(0 == detail::verify_lambda("boost::math::standard_deviation(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
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return result;
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return 1 / lambda;
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}
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template <class RealType, class Policy>
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inline RealType mode(const exponential_distribution<RealType, Policy>& /*dist*/)
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{
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return 0;
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}
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template <class RealType, class Policy>
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inline RealType median(const exponential_distribution<RealType, Policy>& dist)
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{
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using boost::math::constants::ln_two;
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return ln_two<RealType>() / dist.lambda(); // ln(2) / lambda
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}
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template <class RealType, class Policy>
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inline RealType skewness(const exponential_distribution<RealType, Policy>& /*dist*/)
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{
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return 2;
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}
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template <class RealType, class Policy>
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inline RealType kurtosis(const exponential_distribution<RealType, Policy>& /*dist*/)
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{
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return 9;
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}
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template <class RealType, class Policy>
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inline RealType kurtosis_excess(const exponential_distribution<RealType, Policy>& /*dist*/)
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{
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return 6;
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}
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} // namespace math
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} // namespace boost
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#ifdef BOOST_MSVC
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# pragma warning(pop)
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#endif
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// This include must be at the end, *after* the accessors
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// for this distribution have been defined, in order to
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// keep compilers that support two-phase lookup happy.
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#include <boost/math/distributions/detail/derived_accessors.hpp>
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#endif // BOOST_STATS_EXPONENTIAL_HPP
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