[Boost-commit] svn:boost r42760 - sandbox/math_toolkit/boost/math/distributions

From: asutton_at_[hidden]
Date: 2008-01-14 08:36:24

Author: asutton
Date: 2008-01-14 08:36:23 EST (Mon, 14 Jan 2008)
New Revision: 42760
URL: http://svn.boost.org/trac/boost/changeset/42760

Log:
Added stubs for new distributions. These are neither fully tested nor documented and,
in some cases, incomplete. However, migrating them into the sandbox will hopefully
help motivate their completion.

Added:
   sandbox/math_toolkit/boost/math/distributions/geometric.hpp   (contents, props changed)
   sandbox/math_toolkit/boost/math/distributions/skew_normal.hpp   (contents, props changed)

Added: sandbox/math_toolkit/boost/math/distributions/geometric.hpp
==============================================================================
--- (empty file)
+++ sandbox/math_toolkit/boost/math/distributions/geometric.hpp	2008-01-14 08:36:23 EST (Mon, 14 Jan 2008)
@@ -0,0 +1,138 @@
+// Copyright Andrew Sutton 2007
+//
+// 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_MATH_GEOMETRIC_DISTRIBUTION_HPP
+#define BOOST_MATH_GEOMETRIC_DISTRIBUTION_HPP
+
+#include <boost/math/distributions/fwd.hpp>
+#include <boost/math/distributions/complement.hpp>
+#include <boost/math/constants/constants.hpp>
+#include <boost/math/distributions/detail/common_error_handling.hpp>
+
+namespace boost { namespace math {
+
+    // The geometric distribution... Write docs here...
+    template <typename RealType = double, typename Policy = policies::policy<> >
+    class geometric_distribution
+    {
+    public:
+        typedef RealType value_type;
+        typedef Policy policy_type;
+
+        geometric_distribution(value_type prob)
+            : m_prob(prob)
+
+        {
+        }
+
+        value_type success_probability() const
+        { return m_prob; }
+
+    private:
+        value_type m_prob;
+    };
+
+    template <typename RealType, typename Policy>
+    inline std::pair<RealType, RealType>
+    range(const geometric_distribution<RealType, Policy>&)
+    {
+        return std::make_pair(RealType(), RealType());
+    }
+
+    template <typename RealType, typename Policy>
+    inline std::pair<RealType, RealType>
+    support(const geometric_distribution<RealType, Policy>&)
+    {
+        return std::make_pair(RealType(), RealType());
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    pdf(const geometric_distribution<RealType, Policy>& dist, const RealType& x)
+    {
+        using std::pow;
+        RealType one = 1;
+        RealType p = dist.success_probability();
+        return pow(one - p, x - one) * p;
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    cdf(const geometric_distribution<RealType, Policy>& dist, const RealType& x)
+    {
+        using std::pow;
+        RealType one = 1;
+        RealType p = dist.success_probability();
+        return one - pow(one - p, x);
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    cdf(const complemented2_type<geometric_distribution<RealType, Policy>, RealType>& dist)
+    {
+        return RealType();
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    quantile(const geometric_distribution<RealType, Policy>& dist, const RealType& x)
+    {
+        return RealType();
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    quantile(const complemented2_type<geometric_distribution<RealType, Policy>, RealType>& dist)
+    {
+        return RealType();
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    mean(const geometric_distribution<RealType, Policy>& dist)
+    {
+        RealType one = 1;
+        RealType p = dist.success_probability();
+        return one / p;
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    variance(const geometric_distribution<RealType, Policy>& dist)
+    {
+        RealType one = 1;
+        RealType p = dist.success_probability();
+        return (one - p) / (p * p);
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    skewness(const geometric_distribution<RealType, Policy>& dist)
+    {
+        using std::sqrt;
+        RealType one = 1;
+        RealType two = 2;
+        RealType p = dist.success_probability();
+        return (two - p) / sqrt(one - p);
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    kurtosis(const geometric_distribution<RealType, Policy>& dist)
+    {
+        return RealType();
+    }
+
+    template <typename RealType, typename Policy>
+    inline RealType
+    kurtosis_excess(const geometric_distribution<RealType, Policy>& dist)
+    {
+        return RealType();
+    }
+
+} }
+
+#endif

Added: sandbox/math_toolkit/boost/math/distributions/skew_normal.hpp
==============================================================================
--- (empty file)
+++ sandbox/math_toolkit/boost/math/distributions/skew_normal.hpp	2008-01-14 08:36:23 EST (Mon, 14 Jan 2008)
@@ -0,0 +1,163 @@
+// Copyright Edward M. Morrison 2007
+// Copyright Andrew Sutton 2007
+//
+// 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_MATH_SKEW_NORMAL_DISTRIBUTION_HPP
+#define BOOST_MATH_SKEW_NORMAL_DISTRIBUTION_HPP
+
+#include <boost/math/distributions/fwd.hpp>
+#include <boost/math/distributions/complement.hpp>
+#include <boost/math/constants/constants.hpp>
+#include <boost/math/distributions/detail/common_error_handling.hpp>
+
+namespace boost { namespace math {
+    
+namespace skew_normal_detail {
+    // delta() := a / sqrt(1 + a^2)
+    // expectation() := d * sqrt(2/pi)
+    // variance() := 1 - 2*d^2 / pi
+}
+    
+
+// The skew normal distribution is parameterized over location, shape and
+// scale parameters. These are similar to mean and standard deviation in the
+// normal distribution, but are scaled and "re-shaped".
+//
+// Note that we could forseeably cache a number of factors inside the distribution
+// like we're doing with the correlation factor. However, these aren't really part
+// of the public interface of the type. In fact, it may just be better to recompute
+// them on the fly each time. Ask the math guys.
+template <typename RealType = double, typename Policy = policies::policy<> >
+class skew_normal_distribution
+{
+public:
+    typedef RealType value_type;
+    typedef Policy policy_type;
+    
+    skew_normal_distribution(value_type loc = 0, value_type scale = 1, value_type shape = 0)
+        : m_location(loc)
+        , m_scale(scale)
+        , m_shape(shape)
+        , m_correlation(make_correlation(shape))
+    {
+    }
+    
+    value_type location() const
+    { return m_location; }
+    
+    value_type scale() const
+    { return m_scale; }
+    
+    value_type shape() const
+    { return m_shape; }
+    
+    value_type correlation() const
+    { return m_correlation; }
+    
+private:
+    value_type make_correlation(value_type shape)
+    { return shape / sqrt(1.0 + shape * shape); }
+    
+private:
+    value_type m_location;
+    value_type m_scale;
+    value_type m_shape;
+    value_type m_correlation;
+};
+
+template <typename RealType, typename Policy>
+inline std::pair<RealType, RealType>
+range(const skew_normal_distribution<RealType, Policy>&)
+{
+    return std::make_pair(RealType(), RealType());
+}
+
+template <typename RealType, typename Policy>
+inline std::pair<RealType, RealType>
+support(const skew_normal_distribution<RealType, Policy>&)
+{
+    return std::make_pair(RealType(), RealType());
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+pdf(const skew_normal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+cdf(const skew_normal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+cdf(const complemented2_type<skew_normal_distribution<RealType, Policy>, RealType>& dist)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+quantile(const skew_normal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+quantile(const complemented2_type<skew_normal_distribution<RealType, Policy>, RealType>& dist)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType 
+mean(const skew_normal_distribution<RealType, Policy>& dist)
+{
+    // This is the complicated way of writing dist.location()
+    RealType var = sqrt(dist.scale());
+    RealType root = sqrt(2.0 / constants::pi<RealType>());
+    return  dist.location() + var * root * dist.correlation();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+variance(const skew_normal_distribution<RealType, Policy>& dist)
+{
+    // This is apparently the same as dist.scale()^2.
+    RealType scale = dist.scale() * dist.scale();
+    RealType corr =  dist.correlation() * dist.correlation();
+    return scale * (1.0 - 2.0 * corr / constants::pi<RealType>());
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+skewness(const skew_normal_distribution<RealType, Policy>& dist)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+kurtosis(const skew_normal_distribution<RealType, Policy>& dist)
+{
+    return RealType();
+}
+
+template <typename RealType, typename Policy>
+inline RealType
+kurtosis_excess(const skew_normal_distribution<RealType, Policy>& dist)
+{
+    return RealType();
+}
+    
+} }
+
+#endif