[Boost-commit] svn:boost r49985 - sandbox/math_toolkit/boost/math/distributions

Subject: [Boost-commit] svn:boost r49985 - sandbox/math_toolkit/boost/math/distributions
From: thijs_at_[hidden]
Date: 2008-11-28 08:36:24

Author: thijs
Date: 2008-11-28 08:36:24 EST (Fri, 28 Nov 2008)
New Revision: 49985
URL: http://svn.boost.org/trac/boost/changeset/49985

Log:
First version of the Laplace distribution
Added:
   sandbox/math_toolkit/boost/math/distributions/laplace.hpp   (contents, props changed)

Added: sandbox/math_toolkit/boost/math/distributions/laplace.hpp
==============================================================================
--- (empty file)
+++ sandbox/math_toolkit/boost/math/distributions/laplace.hpp	2008-11-28 08:36:24 EST (Fri, 28 Nov 2008)
@@ -0,0 +1,300 @@
+//  Copyright Thijs van den Berg, 2008.
+//  Copyright John Maddock 2008.
+//  Copyright Paul A. Bristow 2008.
+
+//  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)
+
+// This module implements the Laplace distribution.
+// http://en.wikipedia.org/wiki/Laplace_distribution
+// 
+// Abramowitz and Stegun 1972, p 930
+// http://www.math.sfu.ca/~cbm/aands/page_930.htm
+
+#ifndef BOOST_STATS_LAPLACE_HPP
+#define BOOST_STATS_LAPLACE_HPP
+
+#include <boost/math/distributions/detail/common_error_handling.hpp>
+#include <boost/math/distributions/complement.hpp>
+#include <boost/math/constants/constants.hpp>
+#include <limits>
+
+namespace boost{ namespace math{
+
+template <class RealType = double, class Policy = policies::policy<> >
+class laplace_distribution
+{
+public:
+   // ----------------------------------
+   // public Types
+   // ----------------------------------
+   typedef RealType value_type;
+   typedef Policy policy_type;
+
+   // ----------------------------------
+   // Constructor(s)
+   // ----------------------------------
+   laplace_distribution(RealType location = 0, RealType scale = 1)
+      : m_location(location), m_scale(scale)
+   {
+      RealType result;
+      check_parameters("boost::math::laplace_distribution<%1%>::laplace_distribution()", &result);
+   }
+
+
+   // ----------------------------------
+   // Public functions
+   // ----------------------------------
+
+   RealType location() const 
+   { 
+      return m_location; 
+   }
+
+   RealType scale() const 
+   { 
+      return m_scale; 
+   }
+
+   bool check_parameters(const char* function, RealType* result) const
+   {
+         if(false == detail::check_scale(function, m_scale, result, Policy())) return false;
+         if(false == detail::check_location(function, m_location, result, Policy())) return false;
+         return true;
+   }
+
+   
+private:
+   RealType m_location;
+   RealType m_scale;
+
+}; // class laplace_distribution
+
+
+
+//
+// Convenient type synonym
+//
+typedef laplace_distribution<double> laplace;
+
+//
+// Non member functions
+//
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> range(const laplace_distribution<RealType, Policy>&)
+{
+   using boost::math::tools::max_value;
+   return std::pair<RealType, RealType>(-max_value<RealType>(), max_value<RealType>());
+}
+
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> support(const laplace_distribution<RealType, Policy>&)
+{
+   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 laplace_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   // Checking function argument
+   RealType result;
+   const char* function = "boost::math::pdf(const laplace_distribution<%1%>&, %1%))";
+   if (false == dist.check_parameters(function, &result)) return result;
+   if (false == detail::check_x(function, x, &result, Policy())) return result;
+
+   // Special pdf values
+   if((boost::math::isinf)(x)) 
+      return 0; // pdf + and - infinity is zero.
+
+   // General case
+   RealType scale( dist.scale() );
+   RealType location( dist.location() );
+
+   RealType exponent = x - location;
+   if (exponent>0) exponent = -exponent;
+   exponent /= scale;
+
+   result = exp(exponent);
+   result /= 2 * scale;
+
+   return result;
+} // pdf
+
+template <class RealType, class Policy>
+inline RealType cdf(const laplace_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   // Checking function argument
+   RealType result;
+   const char* function = "boost::math::cdf(const laplace_distribution<%1%>&, %1%)";
+   if (false == dist.check_parameters(function, &result)) return result;
+   if (false == detail::check_x(function, x, &result, Policy())) return result;
+
+   // Special cdf values
+   if((boost::math::isinf)(x))
+   {
+     if(x < 0) return 0; // -infinity
+     return 1; // + infinity
+   }
+
+   // General cdf  values
+   RealType scale( dist.scale() );
+   RealType location( dist.location() );
+
+   if (x < location) 
+      result = exp( (x-location)/scale )/2;
+   else 
+      result = 1 - exp( (location-x)/scale )/2;
+
+   return result;
+} // cdf
+
+
+template <class RealType, class Policy>
+inline RealType quantile(const laplace_distribution<RealType, Policy>& dist, const RealType& p)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   // Checking function argument
+   RealType result;
+   const char* function = "boost::math::quantile(const laplace_distribution<%1%>&, %1%)";
+   if (false == dist.check_parameters(function, &result)) return result;
+   if(false == detail::check_probability(function, p, &result, Policy())) return result;
+
+   // extreme values
+   if(p == 0) return -std::numeric_limits<RealType>::infinity();
+   if(p == 1) return std::numeric_limits<RealType>::infinity();
+
+   // Calculate Quantile
+   RealType scale( dist.scale() );
+   RealType location( dist.location() );
+
+   if (p - 0.5 < 0.0) 
+      result = location + scale*log( static_cast<RealType>(p*2) );
+   else 
+      result = location - scale*log( static_cast<RealType>(-p*2 + 2) );
+
+   return result;
+} // quantile
+
+
+template <class RealType, class Policy>
+inline RealType cdf(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   RealType scale = c.dist.scale();
+   RealType location = c.dist.location();
+   RealType x = c.param;
+
+   // Checking function argument
+   RealType result;
+   const char* function = "boost::math::cdf(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
+   if(false == detail::check_x(function, x, &result, Policy()))return result;
+
+   // Calculate cdf
+
+   // Special cdf value
+   if((boost::math::isinf)(x))
+   {
+     if(x < 0) return 1; // cdf complement -infinity is unity.
+     return 0; // cdf complement +infinity is zero
+   }
+
+   // Cdf interval value
+   if (-x < location) 
+      result = exp( (-x-location)/scale )/2;
+   else 
+      result = 1 - exp( (location+x)/scale )/2;
+ 
+   return result;
+} // cdf complement
+
+
+template <class RealType, class Policy>
+inline RealType quantile(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   // Calculate quantile
+   RealType scale = c.dist.scale();
+   RealType location = c.dist.location();
+   RealType q = c.param;
+
+   // Checking function argument
+   RealType result;
+   const char* function = "quantile(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
+   if(false == detail::check_probability(function, q, &result, Policy())) return result;
+
+   
+   // extreme values
+   if(q == 0) return std::numeric_limits<RealType>::infinity();
+   if(q == 1) return -std::numeric_limits<RealType>::infinity();
+
+   if (0.5 - q < 0.0) 
+      result = location + scale*log( static_cast<RealType>(-q*2 + 2) );
+   else 
+      result = location - scale*log( static_cast<RealType>(q*2) );
+
+   
+   return result;
+} // quantile
+
+template <class RealType, class Policy>
+inline RealType mean(const laplace_distribution<RealType, Policy>& dist)
+{
+   return dist.location();
+}
+
+template <class RealType, class Policy>
+inline RealType standard_deviation(const laplace_distribution<RealType, Policy>& dist)
+{
+   return constants::root_two<RealType>() * dist.scale();
+}
+
+template <class RealType, class Policy>
+inline RealType mode(const laplace_distribution<RealType, Policy>& dist)
+{
+   return dist.location();
+}
+
+template <class RealType, class Policy>
+inline RealType median(const laplace_distribution<RealType, Policy>& dist)
+{
+   return dist.location();
+}
+
+template <class RealType, class Policy>
+inline RealType skewness(const laplace_distribution<RealType, Policy>& /*dist*/)
+{
+   return 0;
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis(const laplace_distribution<RealType, Policy>& /*dist*/)
+{
+   return 6;
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis_excess(const laplace_distribution<RealType, Policy>& /*dist*/)
+{
+   return 3;
+}
+
+} // namespace math
+} // namespace boost
+
+// 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_LAPLACE_HPP
+
+