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Subject: [Boost-commit] svn:boost r76720 - sandbox/math/boost/math/special_functions
From: pbristow_at_[hidden]
Date: 2012-01-27 12:18:49

Author: pbristow
Date: 2012-01-27 12:18:49 EST (Fri, 27 Jan 2012)
New Revision: 76720
URL: http://svn.boost.org/trac/boost/changeset/76720

Log:
1st commit of skew_normal to boost sandbox, but failures in mode TODO.
Added:
   sandbox/math/boost/math/special_functions/
   sandbox/math/boost/math/special_functions/owens_t.hpp (contents, props changed)

Added: sandbox/math/boost/math/special_functions/owens_t.hpp
==============================================================================
--- (empty file)
+++ sandbox/math/boost/math/special_functions/owens_t.hpp 2012-01-27 12:18:49 EST (Fri, 27 Jan 2012)
@@ -0,0 +1,397 @@
+// (C) Benjamin Sobotta 2012
+
+// 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_OWENS_T_HPP
+#define BOOST_OWENS_T_HPP
+
+// Reference:
+// Mike Patefield, David Tandy
+// FAST AND ACCURATE CALCULATION OF OWEN'S T-FUNCTION
+// Journal of Statistical Software, 5 (5), 1-25
+
+#ifdef _MSC_VER
+# pragma once
+#endif
+
+#include <boost/config/no_tr1/cmath.hpp>
+#include <boost/math/special_functions/erf.hpp>
+#include <boost/math/special_functions/expm1.hpp>
+#include <boost/throw_exception.hpp>
+#include <boost/assert.hpp>
+#include <boost/math/constants/constants.hpp>
+
+#include <stdexcept>
+
+namespace boost
+{
+ namespace math
+ {
+ namespace detail
+ {
+ // owens_t_znorm1(x) = P(-oo<Z<=x)-0.5 with Z being normally distributed.
+ template<typename RealType>
+ inline RealType owens_t_znorm1(const RealType x)
+ {
+ using namespace boost::math::constants;
+ return erf(x/root_two<RealType>())*half<RealType>();
+ } // RealType owens_t_znorm1(const RealType x)
+
+ // owens_t_znorm2(x) = P(x<=Z<oo) with Z being normally distributed.
+ template<typename RealType>
+ inline RealType owens_t_znorm2(const RealType x)
+ {
+ using namespace boost::math::constants;
+ return erfc(x/root_two<RealType>())*half<RealType>();
+ } // RealType owens_t_znorm2(const RealType x)
+
+ // Auxiliary function, it computes an array key that is used to determine
+ // the specific computation method for Owen's T and the order thereof
+ // used in owens_t_dispatch.
+ template<typename RealType>
+ inline unsigned short owens_t_compute_code(const RealType h, const RealType a)
+ {
+ static const RealType hrange[] =
+ {0.02, 0.06, 0.09, 0.125, 0.26, 0.4, 0.6, 1.6, 1.7, 2.33, 2.4, 3.36, 3.4, 4.8};
+
+ static const RealType arange[] = {0.025, 0.09, 0.15, 0.36, 0.5, 0.9, 0.99999};
+ /*
+ original select array from paper:
+ 1, 1, 2,13,13,13,13,13,13,13,13,16,16,16, 9
+ 1, 2, 2, 3, 3, 5, 5,14,14,15,15,16,16,16, 9
+ 2, 2, 3, 3, 3, 5, 5,15,15,15,15,16,16,16,10
+ 2, 2, 3, 5, 5, 5, 5, 7, 7,16,16,16,16,16,10
+ 2, 3, 3, 5, 5, 6, 6, 8, 8,17,17,17,12,12,11
+ 2, 3, 5, 5, 5, 6, 6, 8, 8,17,17,17,12,12,12
+ 2, 3, 4, 4, 6, 6, 8, 8,17,17,17,17,17,12,12
+ 2, 3, 4, 4, 6, 6,18,18,18,18,17,17,17,12,12
+ */
+ // subtract one because the array is written in FORTRAN in mind - in C arrays start @ zero
+ static const unsigned short select[] =
+ {
+ 0, 0 , 1 , 12 ,12 , 12 , 12 , 12 , 12 , 12 , 12 , 15 , 15 , 15 , 8,
+ 0 , 1 , 1 , 2 , 2 , 4 , 4 , 13 , 13 , 14 , 14 , 15 , 15 , 15 , 8,
+ 1 , 1 , 2 , 2 , 2 , 4 , 4 , 14 , 14 , 14 , 14 , 15 , 15 , 15 , 9,
+ 1 , 1 , 2 , 4 , 4 , 4 , 4 , 6 , 6 , 15 , 15 , 15 , 15 , 15 , 9,
+ 1 , 2 , 2 , 4 , 4 , 5 , 5 , 7 , 7 , 16 ,16 , 16 , 11 , 11 , 10,
+ 1 , 2 , 4 , 4 , 4 , 5 , 5 , 7 , 7 , 16 , 16 , 16 , 11 , 11 , 11,
+ 1 , 2 , 3 , 3 , 5 , 5 , 7 , 7 , 16 , 16 , 16 , 16 , 16 , 11 , 11,
+ 1 , 2 , 3 , 3 , 5 , 5 , 17 , 17 , 17 , 17 , 16 , 16 , 16 , 11 , 11
+ };
+
+ unsigned short ihint = 14, iaint = 7;
+ for(unsigned short i = 0; i != 14; i++)
+ {
+ if( h <= hrange[i] )
+ {
+ ihint = i;
+ break;
+ }
+ } // for(unsigned short i = 0; i != 14; i++)
+
+ for(unsigned short i = 0; i != 7; i++)
+ {
+ if( a <= arange[i] )
+ {
+ iaint = i;
+ break;
+ }
+ } // for(unsigned short i = 0; i != 7; i++)
+
+ // interprete select array as 8x15 matrix
+ return select[iaint*15 + ihint];
+
+ } // unsigned short owens_t_compute_code(const RealType h, const RealType a)
+
+ // compute the value of Owen's T function with method T1 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T1(const RealType h, const RealType a, const unsigned short m)
+ {
+ using namespace boost::math::constants;
+
+ const RealType hs = -h*h*half<RealType>();
+ const RealType dhs = exp( hs );
+ const RealType as = a*a;
+
+ unsigned short j=1;
+ RealType jj = 1;
+ RealType aj = a / (static_cast<RealType>(2)*pi<RealType>());
+ RealType dj = expm1( hs );
+ RealType gj = hs*dhs;
+
+ RealType val = atan( a ) / (static_cast<RealType>(2)*pi<RealType>());
+
+ while( true )
+ {
+ val += dj*aj/jj;
+
+ if( m <= j )
+ break;
+
+ j++;
+ jj += static_cast<RealType>(2);
+ aj *= as;
+ dj = gj - dj;
+ gj *= hs / static_cast<RealType>(j);
+ } // while( true )
+
+ return val;
+ } // RealType owens_t_T1(const RealType h, const RealType a, const unsigned short m)
+
+ // compute the value of Owen's T function with method T2 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T2(const RealType h, const RealType a, const unsigned short m, const RealType ah)
+ {
+ using namespace boost::math::constants;
+
+ const unsigned short maxii = m+m+1;
+ const RealType hs = h*h;
+ const RealType as = -a*a;
+ const RealType y = static_cast<RealType>(1) / hs;
+
+ unsigned short ii = 1;
+ RealType val = 0;
+ RealType vi = a * exp( -ah*ah*half<RealType>() ) / root_two_pi<RealType>();
+ RealType z = owens_t_znorm1(ah)/h;
+
+ while( true )
+ {
+ val += z;
+ if( maxii <= ii )
+ {
+ val *= exp( -hs*half<RealType>() ) / root_two_pi<RealType>();
+ break;
+ } // if( maxii <= ii )
+ z = y * ( vi - static_cast<RealType>(ii) * z );
+ vi *= as;
+ ii += 2;
+ } // while( true )
+
+ return val;
+ } // RealType owens_t_T2(const RealType h, const RealType a, const unsigned short m, const RealType ah)
+
+ // compute the value of Owen's T function with method T3 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T3(const RealType h, const RealType a, const unsigned short m, const RealType ah)
+ {
+ using namespace boost::math::constants;
+
+ static const RealType c2[] =
+ {
+ 0.99999999999999987510,
+ -0.99999999999988796462, 0.99999999998290743652,
+ -0.99999999896282500134, 0.99999996660459362918,
+ -0.99999933986272476760, 0.99999125611136965852,
+ -0.99991777624463387686, 0.99942835555870132569,
+ -0.99697311720723000295, 0.98751448037275303682,
+ -0.95915857980572882813, 0.89246305511006708555,
+ -0.76893425990463999675, 0.58893528468484693250,
+ -0.38380345160440256652, 0.20317601701045299653,
+ -0.82813631607004984866E-01, 0.24167984735759576523E-01,
+ -0.44676566663971825242E-02, 0.39141169402373836468E-03
+ };
+
+ const RealType as = a*a;
+ const RealType hs = h*h;
+ const RealType y = static_cast<RealType>(1)/hs;
+
+ RealType ii = 1;
+ unsigned short i = 0;
+ RealType vi = a * exp( -ah*ah*half<RealType>() ) / root_two_pi<RealType>();
+ RealType zi = owens_t_znorm1(ah)/h;
+ RealType val = 0;
+
+ while( true )
+ {
+ BOOST_ASSERT(i < 21);
+ val += zi*c2[i];
+ if( m <= i ) // if( m < i+1 )
+ {
+ val *= exp( -hs*half<RealType>() ) / root_two_pi<RealType>();
+ break;
+ } // if( m < i )
+ zi = y * (ii*zi - vi);
+ vi *= as;
+ ii += 2;
+ i++;
+ } // while( true )
+
+ return val;
+ } // RealType owens_t_T3(const RealType h, const RealType a, const unsigned short m, const RealType ah)
+
+ // compute the value of Owen's T function with method T4 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T4(const RealType h, const RealType a, const unsigned short m)
+ {
+ using namespace boost::math::constants;
+
+ const unsigned short maxii = m+m+1;
+ const RealType hs = h*h;
+ const RealType as = -a*a;
+
+ unsigned short ii = 1;
+ RealType ai = a * exp( -hs*(static_cast<RealType>(1)-as)*half<RealType>() ) / (static_cast<RealType>(2)*pi<RealType>());
+ RealType yi = 1;
+ RealType val = 0;
+
+ while( true )
+ {
+ val += ai*yi;
+ if( maxii <= ii )
+ break;
+ ii += 2;
+ yi = (static_cast<RealType>(1)-hs*yi) / static_cast<RealType>(ii);
+ ai *= as;
+ } // while( true )
+
+ return val;
+ } // RealType owens_t_T4(const RealType h, const RealType a, const unsigned short m)
+
+ // compute the value of Owen's T function with method T5 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T5(const RealType h, const RealType a, const unsigned short m)
+ {
+ static const RealType pts[] = {0.35082039676451715489E-02,
+ 0.31279042338030753740E-01, 0.85266826283219451090E-01,
+ 0.16245071730812277011, 0.25851196049125434828,
+ 0.36807553840697533536, 0.48501092905604697475,
+ 0.60277514152618576821, 0.71477884217753226516,
+ 0.81475510988760098605, 0.89711029755948965867,
+ 0.95723808085944261843, 0.99178832974629703586};
+ static const RealType wts[] = { 0.18831438115323502887E-01,
+ 0.18567086243977649478E-01, 0.18042093461223385584E-01,
+ 0.17263829606398753364E-01, 0.16243219975989856730E-01,
+ 0.14994592034116704829E-01, 0.13535474469662088392E-01,
+ 0.11886351605820165233E-01, 0.10070377242777431897E-01,
+ 0.81130545742299586629E-02, 0.60419009528470238773E-02,
+ 0.38862217010742057883E-02, 0.16793031084546090448E-02};
+
+ const RealType as = a*a;
+ const RealType hs = -h*h*boost::math::constants::half<RealType>();
+
+ RealType val = 0;
+ for(unsigned short i = 0; i < m; ++i)
+ {
+ BOOST_ASSERT(i < 13);
+ const RealType r = static_cast<RealType>(1) + as*pts[i];
+ val += wts[i] * exp( hs*r ) / r;
+ } // for(unsigned short i = 0; i < m; ++i)
+
+ return val*a;
+ } // RealType owens_t_T5(const RealType h, const RealType a, const unsigned short m)
+
+ // compute the value of Owen's T function with method T6 from the reference paper
+ template<typename RealType>
+ inline RealType owens_t_T6(const RealType h, const RealType a)
+ {
+ using namespace boost::math::constants;
+
+ const RealType normh = owens_t_znorm2( h );
+ const RealType y = static_cast<RealType>(1) - a;
+ const RealType r = atan2(y, ( static_cast<RealType>(1) + a ) );
+
+ RealType val = normh * ( static_cast<RealType>(1) - normh ) * half<RealType>();
+
+ if( r != 0 )
+ val -= r * exp( -y*h*h*half<RealType>()/r ) / (static_cast<RealType>(2)*pi<RealType>());
+
+ return val;
+ } // RealType owens_t_T6(const RealType h, const RealType a, const unsigned short m)
+
+ // This routine dispatches the call to one of six subroutines, depending on the values
+ // of h and a.
+ // preconditions: h >= 0, 0<=a<=1, ah=a*h
+ template<typename RealType>
+ inline RealType owens_t_dispatch(const RealType h, const RealType a, const RealType ah)
+ {
+ static const unsigned short meth[] = {1, 1, 1, 1, 1, 1, 1, 1, 2, 2, 2, 3, 4, 4, 4, 4, 5, 6}; // 18 entries
+ static const unsigned short ord[] = {2, 3, 4, 5, 7, 10, 12, 18, 10, 20, 30, 20, 4, 7, 8, 20, 13, 0}; // 18 entries
+
+ RealType val = 0; // avoid compiler warnings, 0 will be overwritten in any case
+
+ const unsigned short icode = owens_t_compute_code(h,a);
+ const unsigned short m = ord[icode];
+
+ // determine the appropriate method, T1 ... T6
+ switch( meth[icode] )
+ {
+ case 1: // T1
+ val = owens_t_T1(h,a,m);
+ break;
+ case 2: // T2
+ val = owens_t_T2(h,a,m,ah);
+ break;
+ case 3: // T3
+ val = owens_t_T3(h,a,m,ah);
+ break;
+ case 4: // T4
+ val = owens_t_T4(h,a,m);
+ break;
+ case 5: // T5
+ val = owens_t_T5(h,a,m);
+ break;
+ case 6: // T6
+ val = owens_t_T6(h,a);
+ break;
+ default:
+ BOOST_THROW_EXCEPTION(std::logic_error("selection routine in Owen's T function failed"));
+ }
+ return val;
+ } // RealType owens_t_dispatch(RealType h, RealType a, RealType ah)
+
+ } // namespace detail
+
+ // compute Owen's T function, T(h,a), for arbitrary values of h and a
+ template<typename RealType>
+ inline RealType owens_t(RealType h, RealType a)
+ {
+ // exploit that T(-h,a) == T(h,a)
+ h = fabs(h);
+
+ // Use equation (2) in the paper to remap the arguments
+ // such that h>=0 and 0<=a<=1 for the call of the actual
+ // computation routine.
+
+ const RealType fabs_a = fabs(a);
+ const RealType fabs_ah = fabs_a*h;
+
+ RealType val = 0.0; // avoid compiler warnings, 0.0 will be overwritten in any case
+
+ if(fabs_a <= 1)
+ {
+ val = detail::owens_t_dispatch(h, fabs_a, fabs_ah);
+ } // if(fabs_a <= 1.0)
+ else
+ {
+ if( h <= 0.67 )
+ {
+ const RealType normh = detail::owens_t_znorm1(h);
+ const RealType normah = detail::owens_t_znorm1(fabs_ah);
+ val = static_cast<RealType>(1)/static_cast<RealType>(4) - normh*normah -
+ detail::owens_t_dispatch(fabs_ah, static_cast<RealType>(1) / fabs_a, h);
+ } // if( h <= 0.67 )
+ else
+ {
+ const RealType normh = detail::owens_t_znorm2(h);
+ const RealType normah = detail::owens_t_znorm2(fabs_ah);
+ val = constants::half<RealType>()*(normh+normah) - normh*normah -
+ detail::owens_t_dispatch(fabs_ah, static_cast<RealType>(1) / fabs_a, h);
+ } // else [if( h <= 0.67 )]
+ } // else [if(fabs_a <= 1)]
+
+ // exploit that T(h,-a) == -T(h,a)
+ if(a < 0)
+ {
+ return -val;
+ } // if(a < 0)
+
+ return val;
+ } // RealType owens_t(RealType h, RealType a)
+
+ } // namespace math
+} // namespace boost
+
+#endif
+// EOF

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