ceph/src/boost/libs/math/include/boost/math/distributions/exponential.hpp

   1 //  Copyright John Maddock 2006.
   2 //  Use, modification and distribution are subject to the
   3 //  Boost Software License, Version 1.0. (See accompanying file
   4 //  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
   5
   6 #ifndef BOOST_STATS_EXPONENTIAL_HPP
   7 #define BOOST_STATS_EXPONENTIAL_HPP
   8
   9 #include <boost/math/distributions/fwd.hpp>
  10 #include <boost/math/constants/constants.hpp>
  11 #include <boost/math/special_functions/log1p.hpp>
  12 #include <boost/math/special_functions/expm1.hpp>
  13 #include <boost/math/distributions/complement.hpp>
  14 #include <boost/math/distributions/detail/common_error_handling.hpp>
  15 #include <boost/config/no_tr1/cmath.hpp>
  16
  17 #ifdef BOOST_MSVC
  18 # pragma warning(push)
  19 # pragma warning(disable: 4127) // conditional expression is constant
  20 # pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
  21 #endif
  22
  23 #include <utility>
  24
  25 namespace boost{ namespace math{
  26
  27 namespace detail{
  28 //
  29 // Error check:
  30 //
  31 template <class RealType, class Policy>
  32 inline bool verify_lambda(const char* function, RealType l, RealType* presult, const Policy& pol)
  33 {
  34    if((l <= 0) || !(boost::math::isfinite)(l))
  35    {
  36       *presult = policies::raise_domain_error<RealType>(
  37          function,
  38          "The scale parameter \"lambda\" must be > 0, but was: %1%.", l, pol);
  39       return false;
  40    }
  41    return true;
  42 }
  43
  44 template <class RealType, class Policy>
  45 inline bool verify_exp_x(const char* function, RealType x, RealType* presult, const Policy& pol)
  46 {
  47    if((x < 0) || (boost::math::isnan)(x))
  48    {
  49       *presult = policies::raise_domain_error<RealType>(
  50          function,
  51          "The random variable must be >= 0, but was: %1%.", x, pol);
  52       return false;
  53    }
  54    return true;
  55 }
  56
  57 } // namespace detail
  58
  59 template <class RealType = double, class Policy = policies::policy<> >
  60 class exponential_distribution
  61 {
  62 public:
  63    typedef RealType value_type;
  64    typedef Policy policy_type;
  65
  66    exponential_distribution(RealType l_lambda = 1)
  67       : m_lambda(l_lambda)
  68    {
  69       RealType err;
  70       detail::verify_lambda("boost::math::exponential_distribution<%1%>::exponential_distribution", l_lambda, &err, Policy());
  71    } // exponential_distribution
  72
  73    RealType lambda()const { return m_lambda; }
  74
  75 private:
  76    RealType m_lambda;
  77 };
  78
  79 typedef exponential_distribution<double> exponential;
  80
  81 template <class RealType, class Policy>
  82 inline const std::pair<RealType, RealType> range(const exponential_distribution<RealType, Policy>& /*dist*/)
  83 { // Range of permissible values for random variable x.
  84   if (std::numeric_limits<RealType>::has_infinity)
  85   {
  86     return std::pair<RealType, RealType>(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()); // 0 to + infinity.
  87   }
  88   else
  89   {
  90    using boost::math::tools::max_value;
  91    return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // 0 to + max
  92   }
  93 }
  94
  95 template <class RealType, class Policy>
  96 inline const std::pair<RealType, RealType> support(const exponential_distribution<RealType, Policy>& /*dist*/)
  97 { // Range of supported values for random variable x.
  98    // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
  99    using boost::math::tools::max_value;
 100    using boost::math::tools::min_value;
 101    return std::pair<RealType, RealType>(min_value<RealType>(),  max_value<RealType>());
 102    // min_value<RealType>() to avoid a discontinuity at x = 0.
 103 }
 104
 105 template <class RealType, class Policy>
 106 inline RealType pdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
 107 {
 108    BOOST_MATH_STD_USING // for ADL of std functions
 109
 110    static const char* function = "boost::math::pdf(const exponential_distribution<%1%>&, %1%)";
 111
 112    RealType lambda = dist.lambda();
 113    RealType result = 0;
 114    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
 115       return result;
 116    if(0 == detail::verify_exp_x(function, x, &result, Policy()))
 117       return result;
 118    // Workaround for VC11/12 bug:
 119    if ((boost::math::isinf)(x))
 120       return 0;
 121    result = lambda * exp(-lambda * x);
 122    return result;
 123 } // pdf
 124
 125 template <class RealType, class Policy>
 126 inline RealType cdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
 127 {
 128    BOOST_MATH_STD_USING // for ADL of std functions
 129
 130    static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
 131
 132    RealType result = 0;
 133    RealType lambda = dist.lambda();
 134    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
 135       return result;
 136    if(0 == detail::verify_exp_x(function, x, &result, Policy()))
 137       return result;
 138    result = -boost::math::expm1(-x * lambda, Policy());
 139
 140    return result;
 141 } // cdf
 142
 143 template <class RealType, class Policy>
 144 inline RealType quantile(const exponential_distribution<RealType, Policy>& dist, const RealType& p)
 145 {
 146    BOOST_MATH_STD_USING // for ADL of std functions
 147
 148    static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
 149
 150    RealType result = 0;
 151    RealType lambda = dist.lambda();
 152    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
 153       return result;
 154    if(0 == detail::check_probability(function, p, &result, Policy()))
 155       return result;
 156
 157    if(p == 0)
 158       return 0;
 159    if(p == 1)
 160       return policies::raise_overflow_error<RealType>(function, 0, Policy());
 161
 162    result = -boost::math::log1p(-p, Policy()) / lambda;
 163    return result;
 164 } // quantile
 165
 166 template <class RealType, class Policy>
 167 inline RealType cdf(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
 168 {
 169    BOOST_MATH_STD_USING // for ADL of std functions
 170
 171    static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
 172
 173    RealType result = 0;
 174    RealType lambda = c.dist.lambda();
 175    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
 176       return result;
 177    if(0 == detail::verify_exp_x(function, c.param, &result, Policy()))
 178       return result;
 179    // Workaround for VC11/12 bug:
 180    if (c.param >= tools::max_value<RealType>())
 181       return 0;
 182    result = exp(-c.param * lambda);
 183
 184    return result;
 185 }
 186
 187 template <class RealType, class Policy>
 188 inline RealType quantile(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
 189 {
 190    BOOST_MATH_STD_USING // for ADL of std functions
 191
 192    static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
 193
 194    RealType result = 0;
 195    RealType lambda = c.dist.lambda();
 196    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
 197       return result;
 198
 199    RealType q = c.param;
 200    if(0 == detail::check_probability(function, q, &result, Policy()))
 201       return result;
 202
 203    if(q == 1)
 204       return 0;
 205    if(q == 0)
 206       return policies::raise_overflow_error<RealType>(function, 0, Policy());
 207
 208    result = -log(q) / lambda;
 209    return result;
 210 }
 211
 212 template <class RealType, class Policy>
 213 inline RealType mean(const exponential_distribution<RealType, Policy>& dist)
 214 {
 215    RealType result = 0;
 216    RealType lambda = dist.lambda();
 217    if(0 == detail::verify_lambda("boost::math::mean(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
 218       return result;
 219    return 1 / lambda;
 220 }
 221
 222 template <class RealType, class Policy>
 223 inline RealType standard_deviation(const exponential_distribution<RealType, Policy>& dist)
 224 {
 225    RealType result = 0;
 226    RealType lambda = dist.lambda();
 227    if(0 == detail::verify_lambda("boost::math::standard_deviation(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
 228       return result;
 229    return 1 / lambda;
 230 }
 231
 232 template <class RealType, class Policy>
 233 inline RealType mode(const exponential_distribution<RealType, Policy>& /*dist*/)
 234 {
 235    return 0;
 236 }
 237
 238 template <class RealType, class Policy>
 239 inline RealType median(const exponential_distribution<RealType, Policy>& dist)
 240 {
 241    using boost::math::constants::ln_two;
 242    return ln_two<RealType>() / dist.lambda(); // ln(2) / lambda
 243 }
 244
 245 template <class RealType, class Policy>
 246 inline RealType skewness(const exponential_distribution<RealType, Policy>& /*dist*/)
 247 {
 248    return 2;
 249 }
 250
 251 template <class RealType, class Policy>
 252 inline RealType kurtosis(const exponential_distribution<RealType, Policy>& /*dist*/)
 253 {
 254    return 9;
 255 }
 256
 257 template <class RealType, class Policy>
 258 inline RealType kurtosis_excess(const exponential_distribution<RealType, Policy>& /*dist*/)
 259 {
 260    return 6;
 261 }
 262
 263 } // namespace math
 264 } // namespace boost
 265
 266 #ifdef BOOST_MSVC
 267 # pragma warning(pop)
 268 #endif
 269
 270 // This include must be at the end, *after* the accessors
 271 // for this distribution have been defined, in order to
 272 // keep compilers that support two-phase lookup happy.
 273 #include <boost/math/distributions/detail/derived_accessors.hpp>
 274
 275 #endif // BOOST_STATS_EXPONENTIAL_HPP