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Diffstat (limited to 'src/third_party/boost-1.60.0/boost/math/distributions/exponential.hpp')
-rw-r--r-- | src/third_party/boost-1.60.0/boost/math/distributions/exponential.hpp | 275 |
1 files changed, 275 insertions, 0 deletions
diff --git a/src/third_party/boost-1.60.0/boost/math/distributions/exponential.hpp b/src/third_party/boost-1.60.0/boost/math/distributions/exponential.hpp new file mode 100644 index 00000000000..05c49374ed1 --- /dev/null +++ b/src/third_party/boost-1.60.0/boost/math/distributions/exponential.hpp @@ -0,0 +1,275 @@ +// 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_EXPONENTIAL_HPP +#define BOOST_STATS_EXPONENTIAL_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> + +#ifdef BOOST_MSVC +# pragma warning(push) +# pragma warning(disable: 4127) // conditional expression is constant +# pragma warning(disable: 4702) // unreachable code (return after domain_error throw). +#endif + +#include <utility> + +namespace boost{ namespace math{ + +namespace detail{ +// +// Error check: +// +template <class RealType, class Policy> +inline bool verify_lambda(const char* function, RealType l, RealType* presult, const Policy& pol) +{ + if((l <= 0) || !(boost::math::isfinite)(l)) + { + *presult = policies::raise_domain_error<RealType>( + function, + "The scale parameter \"lambda\" must be > 0, but was: %1%.", l, pol); + return false; + } + return true; +} + +template <class RealType, class Policy> +inline bool verify_exp_x(const char* function, RealType x, RealType* presult, const Policy& pol) +{ + if((x < 0) || (boost::math::isnan)(x)) + { + *presult = policies::raise_domain_error<RealType>( + function, + "The random variable must be >= 0, but was: %1%.", x, pol); + return false; + } + return true; +} + +} // namespace detail + +template <class RealType = double, class Policy = policies::policy<> > +class exponential_distribution +{ +public: + typedef RealType value_type; + typedef Policy policy_type; + + exponential_distribution(RealType l_lambda = 1) + : m_lambda(l_lambda) + { + RealType err; + detail::verify_lambda("boost::math::exponential_distribution<%1%>::exponential_distribution", l_lambda, &err, Policy()); + } // exponential_distribution + + RealType lambda()const { return m_lambda; } + +private: + RealType m_lambda; +}; + +typedef exponential_distribution<double> exponential; + +template <class RealType, class Policy> +inline const std::pair<RealType, RealType> range(const exponential_distribution<RealType, Policy>& /*dist*/) +{ // Range of permissible values for random variable x. + if (std::numeric_limits<RealType>::has_infinity) + { + return std::pair<RealType, RealType>(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()); // 0 to + infinity. + } + else + { + using boost::math::tools::max_value; + return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // 0 to + max + } +} + +template <class RealType, class Policy> +inline const std::pair<RealType, RealType> support(const exponential_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; + using boost::math::tools::min_value; + return std::pair<RealType, RealType>(min_value<RealType>(), max_value<RealType>()); + // min_value<RealType>() to avoid a discontinuity at x = 0. +} + +template <class RealType, class Policy> +inline RealType pdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x) +{ + BOOST_MATH_STD_USING // for ADL of std functions + + static const char* function = "boost::math::pdf(const exponential_distribution<%1%>&, %1%)"; + + RealType lambda = dist.lambda(); + RealType result = 0; + if(0 == detail::verify_lambda(function, lambda, &result, Policy())) + return result; + if(0 == detail::verify_exp_x(function, x, &result, Policy())) + return result; + // Workaround for VC11/12 bug: + if ((boost::math::isinf)(x)) + return 0; + result = lambda * exp(-lambda * x); + return result; +} // pdf + +template <class RealType, class Policy> +inline RealType cdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x) +{ + BOOST_MATH_STD_USING // for ADL of std functions + + static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)"; + + RealType result = 0; + RealType lambda = dist.lambda(); + if(0 == detail::verify_lambda(function, lambda, &result, Policy())) + return result; + if(0 == detail::verify_exp_x(function, x, &result, Policy())) + return result; + result = -boost::math::expm1(-x * lambda, Policy()); + + return result; +} // cdf + +template <class RealType, class Policy> +inline RealType quantile(const exponential_distribution<RealType, Policy>& dist, const RealType& p) +{ + BOOST_MATH_STD_USING // for ADL of std functions + + static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)"; + + RealType result = 0; + RealType lambda = dist.lambda(); + if(0 == detail::verify_lambda(function, lambda, &result, Policy())) + return result; + if(0 == detail::check_probability(function, p, &result, Policy())) + return result; + + if(p == 0) + return 0; + if(p == 1) + return policies::raise_overflow_error<RealType>(function, 0, Policy()); + + result = -boost::math::log1p(-p, Policy()) / lambda; + return result; +} // quantile + +template <class RealType, class Policy> +inline RealType cdf(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c) +{ + BOOST_MATH_STD_USING // for ADL of std functions + + static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)"; + + RealType result = 0; + RealType lambda = c.dist.lambda(); + if(0 == detail::verify_lambda(function, lambda, &result, Policy())) + return result; + if(0 == detail::verify_exp_x(function, c.param, &result, Policy())) + return result; + // Workaround for VC11/12 bug: + if (c.param >= tools::max_value<RealType>()) + return 0; + result = exp(-c.param * lambda); + + return result; +} + +template <class RealType, class Policy> +inline RealType quantile(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c) +{ + BOOST_MATH_STD_USING // for ADL of std functions + + static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)"; + + RealType result = 0; + RealType lambda = c.dist.lambda(); + if(0 == detail::verify_lambda(function, lambda, &result, Policy())) + return result; + + RealType q = c.param; + if(0 == detail::check_probability(function, q, &result, Policy())) + return result; + + if(q == 1) + return 0; + if(q == 0) + return policies::raise_overflow_error<RealType>(function, 0, Policy()); + + result = -log(q) / lambda; + return result; +} + +template <class RealType, class Policy> +inline RealType mean(const exponential_distribution<RealType, Policy>& dist) +{ + RealType result = 0; + RealType lambda = dist.lambda(); + if(0 == detail::verify_lambda("boost::math::mean(const exponential_distribution<%1%>&)", lambda, &result, Policy())) + return result; + return 1 / lambda; +} + +template <class RealType, class Policy> +inline RealType standard_deviation(const exponential_distribution<RealType, Policy>& dist) +{ + RealType result = 0; + RealType lambda = dist.lambda(); + if(0 == detail::verify_lambda("boost::math::standard_deviation(const exponential_distribution<%1%>&)", lambda, &result, Policy())) + return result; + return 1 / lambda; +} + +template <class RealType, class Policy> +inline RealType mode(const exponential_distribution<RealType, Policy>& /*dist*/) +{ + return 0; +} + +template <class RealType, class Policy> +inline RealType median(const exponential_distribution<RealType, Policy>& dist) +{ + using boost::math::constants::ln_two; + return ln_two<RealType>() / dist.lambda(); // ln(2) / lambda +} + +template <class RealType, class Policy> +inline RealType skewness(const exponential_distribution<RealType, Policy>& /*dist*/) +{ + return 2; +} + +template <class RealType, class Policy> +inline RealType kurtosis(const exponential_distribution<RealType, Policy>& /*dist*/) +{ + return 9; +} + +template <class RealType, class Policy> +inline RealType kurtosis_excess(const exponential_distribution<RealType, Policy>& /*dist*/) +{ + return 6; +} + +} // 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_EXPONENTIAL_HPP |