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Diffstat (limited to 'src/third_party/boost-1.56.0/boost/math/distributions/extreme_value.hpp')
| -rw-r--r-- | src/third_party/boost-1.56.0/boost/math/distributions/extreme_value.hpp | 297 |
1 files changed, 0 insertions, 297 deletions
diff --git a/src/third_party/boost-1.56.0/boost/math/distributions/extreme_value.hpp b/src/third_party/boost-1.56.0/boost/math/distributions/extreme_value.hpp deleted file mode 100644 index ef9fbe817da..00000000000 --- a/src/third_party/boost-1.56.0/boost/math/distributions/extreme_value.hpp +++ /dev/null @@ -1,297 +0,0 @@ -// Copyright John Maddock 2006. -// Use, modification and distribution are subject to the -// Boost Software License, Version 1.0. (See accompanying file -// LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) - -#ifndef BOOST_STATS_EXTREME_VALUE_HPP -#define BOOST_STATS_EXTREME_VALUE_HPP - -#include <boost/math/distributions/fwd.hpp> -#include <boost/math/constants/constants.hpp> -#include <boost/math/special_functions/log1p.hpp> -#include <boost/math/special_functions/expm1.hpp> -#include <boost/math/distributions/complement.hpp> -#include <boost/math/distributions/detail/common_error_handling.hpp> -#include <boost/config/no_tr1/cmath.hpp> - -// -// This is the maximum extreme value distribution, see -// http://www.itl.nist.gov/div898/handbook/eda/section3/eda366g.htm -// and http://mathworld.wolfram.com/ExtremeValueDistribution.html -// Also known as a Fisher-Tippett distribution, a log-Weibull -// distribution or a Gumbel distribution. - -#include <utility> - -#ifdef BOOST_MSVC -# pragma warning(push) -# pragma warning(disable: 4702) // unreachable code (return after domain_error throw). -#endif - -namespace boost{ namespace math{ - -namespace detail{ -// -// Error check: -// -template <class RealType, class Policy> -inline bool verify_scale_b(const char* function, RealType b, RealType* presult, const Policy& pol) -{ - if((b <= 0) || !(boost::math::isfinite)(b)) - { - *presult = policies::raise_domain_error<RealType>( - function, - "The scale parameter \"b\" must be finite and > 0, but was: %1%.", b, pol); - return false; - } - return true; -} - -} // namespace detail - -template <class RealType = double, class Policy = policies::policy<> > -class extreme_value_distribution -{ -public: - typedef RealType value_type; - typedef Policy policy_type; - - extreme_value_distribution(RealType a = 0, RealType b = 1) - : m_a(a), m_b(b) - { - RealType err; - detail::verify_scale_b("boost::math::extreme_value_distribution<%1%>::extreme_value_distribution", b, &err, Policy()); - detail::check_finite("boost::math::extreme_value_distribution<%1%>::extreme_value_distribution", a, &err, Policy()); - } // extreme_value_distribution - - RealType location()const { return m_a; } - RealType scale()const { return m_b; } - -private: - RealType m_a, m_b; -}; - -typedef extreme_value_distribution<double> extreme_value; - -template <class RealType, class Policy> -inline const std::pair<RealType, RealType> range(const extreme_value_distribution<RealType, Policy>& /*dist*/) -{ // Range of permissible values for random variable x. - using boost::math::tools::max_value; - return std::pair<RealType, RealType>( - std::numeric_limits<RealType>::has_infinity ? -std::numeric_limits<RealType>::infinity() : -max_value<RealType>(), - std::numeric_limits<RealType>::has_infinity ? std::numeric_limits<RealType>::infinity() : max_value<RealType>()); -} - -template <class RealType, class Policy> -inline const std::pair<RealType, RealType> support(const extreme_value_distribution<RealType, Policy>& /*dist*/) -{ // Range of supported values for random variable x. - // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero. - using boost::math::tools::max_value; - return std::pair<RealType, RealType>(-max_value<RealType>(), max_value<RealType>()); -} - -template <class RealType, class Policy> -inline RealType pdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x) -{ - BOOST_MATH_STD_USING // for ADL of std functions - - static const char* function = "boost::math::pdf(const extreme_value_distribution<%1%>&, %1%)"; - - RealType a = dist.location(); - RealType b = dist.scale(); - RealType result = 0; - if((boost::math::isinf)(x)) - return 0.0f; - if(0 == detail::verify_scale_b(function, b, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_x(function, x, &result, Policy())) - return result; - result = exp((a-x)/b) * exp(-exp((a-x)/b)) / b; - return result; -} // pdf - -template <class RealType, class Policy> -inline RealType cdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x) -{ - BOOST_MATH_STD_USING // for ADL of std functions - - static const char* function = "boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)"; - - if((boost::math::isinf)(x)) - return x < 0 ? 0.0f : 1.0f; - RealType a = dist.location(); - RealType b = dist.scale(); - RealType result = 0; - if(0 == detail::verify_scale_b(function, b, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_x("boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)", x, &result, Policy())) - return result; - - result = exp(-exp((a-x)/b)); - - return result; -} // cdf - -template <class RealType, class Policy> -RealType quantile(const extreme_value_distribution<RealType, Policy>& dist, const RealType& p) -{ - BOOST_MATH_STD_USING // for ADL of std functions - - static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)"; - - RealType a = dist.location(); - RealType b = dist.scale(); - RealType result = 0; - if(0 == detail::verify_scale_b(function, b, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_probability(function, p, &result, Policy())) - return result; - - if(p == 0) - return -policies::raise_overflow_error<RealType>(function, 0, Policy()); - if(p == 1) - return policies::raise_overflow_error<RealType>(function, 0, Policy()); - - result = a - log(-log(p)) * b; - - return result; -} // quantile - -template <class RealType, class Policy> -inline RealType cdf(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c) -{ - BOOST_MATH_STD_USING // for ADL of std functions - - static const char* function = "boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)"; - - if((boost::math::isinf)(c.param)) - return c.param < 0 ? 1.0f : 0.0f; - RealType a = c.dist.location(); - RealType b = c.dist.scale(); - RealType result = 0; - if(0 == detail::verify_scale_b(function, b, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_x(function, c.param, &result, Policy())) - return result; - - result = -boost::math::expm1(-exp((a-c.param)/b), Policy()); - - return result; -} - -template <class RealType, class Policy> -RealType quantile(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c) -{ - BOOST_MATH_STD_USING // for ADL of std functions - - static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)"; - - RealType a = c.dist.location(); - RealType b = c.dist.scale(); - RealType q = c.param; - RealType result = 0; - if(0 == detail::verify_scale_b(function, b, &result, Policy())) - return result; - if(0 == detail::check_finite(function, a, &result, Policy())) - return result; - if(0 == detail::check_probability(function, q, &result, Policy())) - return result; - - if(q == 0) - return policies::raise_overflow_error<RealType>(function, 0, Policy()); - if(q == 1) - return -policies::raise_overflow_error<RealType>(function, 0, Policy()); - - result = a - log(-boost::math::log1p(-q, Policy())) * b; - - return result; -} - -template <class RealType, class Policy> -inline RealType mean(const extreme_value_distribution<RealType, Policy>& dist) -{ - RealType a = dist.location(); - RealType b = dist.scale(); - RealType result = 0; - if(0 == detail::verify_scale_b("boost::math::mean(const extreme_value_distribution<%1%>&)", b, &result, Policy())) - return result; - if(0 == detail::check_scale("boost::math::mean(const extreme_value_distribution<%1%>&)", a, &result, Policy())) - return result; - return a + constants::euler<RealType>() * b; -} - -template <class RealType, class Policy> -inline RealType standard_deviation(const extreme_value_distribution<RealType, Policy>& dist) -{ - BOOST_MATH_STD_USING // for ADL of std functions. - - RealType b = dist.scale(); - RealType result = 0; - if(0 == detail::verify_scale_b("boost::math::standard_deviation(const extreme_value_distribution<%1%>&)", b, &result, Policy())) - return result; - if(0 == detail::check_scale("boost::math::standard_deviation(const extreme_value_distribution<%1%>&)", dist.location(), &result, Policy())) - return result; - return constants::pi<RealType>() * b / sqrt(static_cast<RealType>(6)); -} - -template <class RealType, class Policy> -inline RealType mode(const extreme_value_distribution<RealType, Policy>& dist) -{ - return dist.location(); -} - -template <class RealType, class Policy> -inline RealType median(const extreme_value_distribution<RealType, Policy>& dist) -{ - using constants::ln_ln_two; - return dist.location() - dist.scale() * ln_ln_two<RealType>(); -} - -template <class RealType, class Policy> -inline RealType skewness(const extreme_value_distribution<RealType, Policy>& /*dist*/) -{ - // - // This is 12 * sqrt(6) * zeta(3) / pi^3: - // See http://mathworld.wolfram.com/ExtremeValueDistribution.html - // - return static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L); -} - -template <class RealType, class Policy> -inline RealType kurtosis(const extreme_value_distribution<RealType, Policy>& /*dist*/) -{ - // See http://mathworld.wolfram.com/ExtremeValueDistribution.html - return RealType(27) / 5; -} - -template <class RealType, class Policy> -inline RealType kurtosis_excess(const extreme_value_distribution<RealType, Policy>& /*dist*/) -{ - // See http://mathworld.wolfram.com/ExtremeValueDistribution.html - return RealType(12) / 5; -} - - -} // namespace math -} // namespace boost - -#ifdef BOOST_MSVC -# pragma warning(pop) -#endif - -// This include must be at the end, *after* the accessors -// for this distribution have been defined, in order to -// keep compilers that support two-phase lookup happy. -#include <boost/math/distributions/detail/derived_accessors.hpp> - -#endif // BOOST_STATS_EXTREME_VALUE_HPP |