/usr/include/boost/math/distributions
Edit: /usr/include/boost/math/distributions/rayleigh.hpp (10344B)
// Copyright Paul A. Bristow 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_STATS_rayleigh_HPP
#define BOOST_STATS_rayleigh_HPP
#include
#include
#include
#include
#include
#include
#include
#ifdef BOOST_MSVC
# pragma warning(push)
# pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
#endif
#include
namespace boost{ namespace math{
namespace detail
{ // Error checks:
template
inline bool verify_sigma(const char* function, RealType sigma, RealType* presult, const Policy& pol)
{
if((sigma <= 0) || (!(boost::math::isfinite)(sigma)))
{
*presult = policies::raise_domain_error(
function,
"The scale parameter \"sigma\" must be > 0 and finite, but was: %1%.", sigma, pol);
return false;
}
return true;
} // bool verify_sigma
template
inline bool verify_rayleigh_x(const char* function, RealType x, RealType* presult, const Policy& pol)
{
if((x < 0) || (boost::math::isnan)(x))
{
*presult = policies::raise_domain_error(
function,
"The random variable must be >= 0, but was: %1%.", x, pol);
return false;
}
return true;
} // bool verify_rayleigh_x
} // namespace detail
template >
class rayleigh_distribution
{
public:
typedef RealType value_type;
typedef Policy policy_type;
rayleigh_distribution(RealType l_sigma = 1)
: m_sigma(l_sigma)
{
RealType err;
detail::verify_sigma("boost::math::rayleigh_distribution<%1%>::rayleigh_distribution", l_sigma, &err, Policy());
} // rayleigh_distribution
RealType sigma()const
{ // Accessor.
return m_sigma;
}
private:
RealType m_sigma;
}; // class rayleigh_distribution
typedef rayleigh_distribution rayleigh;
template
inline const std::pair range(const rayleigh_distribution& /*dist*/)
{ // Range of permissible values for random variable x.
using boost::math::tools::max_value;
return std::pair(static_cast(0), std::numeric_limits::has_infinity ? std::numeric_limits::infinity() : max_value());
}
template
inline const std::pair support(const rayleigh_distribution& /*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(static_cast(0), max_value());
}
template
inline RealType pdf(const rayleigh_distribution& dist, const RealType& x)
{
BOOST_MATH_STD_USING // for ADL of std function exp.
RealType sigma = dist.sigma();
RealType result = 0;
static const char* function = "boost::math::pdf(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
if(false == detail::verify_rayleigh_x(function, x, &result, Policy()))
{
return result;
}
if((boost::math::isinf)(x))
{
return 0;
}
RealType sigmasqr = sigma * sigma;
result = x * (exp(-(x * x) / ( 2 * sigmasqr))) / sigmasqr;
return result;
} // pdf
template
inline RealType cdf(const rayleigh_distribution& dist, const RealType& x)
{
BOOST_MATH_STD_USING // for ADL of std functions
RealType result = 0;
RealType sigma = dist.sigma();
static const char* function = "boost::math::cdf(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
if(false == detail::verify_rayleigh_x(function, x, &result, Policy()))
{
return result;
}
result = -boost::math::expm1(-x * x / ( 2 * sigma * sigma), Policy());
return result;
} // cdf
template
inline RealType quantile(const rayleigh_distribution& dist, const RealType& p)
{
BOOST_MATH_STD_USING // for ADL of std functions
RealType result = 0;
RealType sigma = dist.sigma();
static const char* function = "boost::math::quantile(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
return result;
if(false == detail::check_probability(function, p, &result, Policy()))
return result;
if(p == 0)
{
return 0;
}
if(p == 1)
{
return policies::raise_overflow_error(function, 0, Policy());
}
result = sqrt(-2 * sigma * sigma * boost::math::log1p(-p, Policy()));
return result;
} // quantile
template
inline RealType cdf(const complemented2_type, RealType>& c)
{
BOOST_MATH_STD_USING // for ADL of std functions
RealType result = 0;
RealType sigma = c.dist.sigma();
static const char* function = "boost::math::cdf(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
RealType x = c.param;
if(false == detail::verify_rayleigh_x(function, x, &result, Policy()))
{
return result;
}
RealType ea = x * x / (2 * sigma * sigma);
// Fix for VC11/12 x64 bug in exp(float):
if (ea >= tools::max_value())
return 0;
result = exp(-ea);
return result;
} // cdf complement
template
inline RealType quantile(const complemented2_type, RealType>& c)
{
BOOST_MATH_STD_USING // for ADL of std functions, log & sqrt.
RealType result = 0;
RealType sigma = c.dist.sigma();
static const char* function = "boost::math::quantile(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
RealType q = c.param;
if(false == detail::check_probability(function, q, &result, Policy()))
{
return result;
}
if(q == 1)
{
return 0;
}
if(q == 0)
{
return policies::raise_overflow_error(function, 0, Policy());
}
result = sqrt(-2 * sigma * sigma * log(q));
return result;
} // quantile complement
template
inline RealType mean(const rayleigh_distribution& dist)
{
RealType result = 0;
RealType sigma = dist.sigma();
static const char* function = "boost::math::mean(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
using boost::math::constants::root_half_pi;
return sigma * root_half_pi();
} // mean
template
inline RealType variance(const rayleigh_distribution& dist)
{
RealType result = 0;
RealType sigma = dist.sigma();
static const char* function = "boost::math::variance(const rayleigh_distribution<%1%>&, %1%)";
if(false == detail::verify_sigma(function, sigma, &result, Policy()))
{
return result;
}
using boost::math::constants::four_minus_pi;
return four_minus_pi() * sigma * sigma / 2;
} // variance
template
inline RealType mode(const rayleigh_distribution& dist)
{
return dist.sigma();
}
template
inline RealType median(const rayleigh_distribution& dist)
{
using boost::math::constants::root_ln_four;
return root_ln_four() * dist.sigma();
}
template
inline RealType skewness(const rayleigh_distribution& /*dist*/)
{
// using namespace boost::math::constants;
return static_cast(0.63111065781893713819189935154422777984404221106391L);
// Computed using NTL at 150 bit, about 50 decimal digits.
// return 2 * root_pi() * pi_minus_three() / pow23_four_minus_pi();
}
template
inline RealType kurtosis(const rayleigh_distribution& /*dist*/)
{
// using namespace boost::math::constants;
return static_cast(3.2450893006876380628486604106197544154170667057995L);
// Computed using NTL at 150 bit, about 50 decimal digits.
// return 3 - (6 * pi() * pi() - 24 * pi() + 16) /
// (four_minus_pi() * four_minus_pi());
}
template
inline RealType kurtosis_excess(const rayleigh_distribution& /*dist*/)
{
//using namespace boost::math::constants;
// Computed using NTL at 150 bit, about 50 decimal digits.
return static_cast(0.2450893006876380628486604106197544154170667057995L);
// return -(6 * pi() * pi() - 24 * pi() + 16) /
// (four_minus_pi() * four_minus_pi());
} // kurtosis
template
inline RealType entropy(const rayleigh_distribution& dist)
{
using std::log;
return 1 + log(dist.sigma()*constants::one_div_root_two()) + constants::euler()/2;
}
} // 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
#endif // BOOST_STATS_rayleigh_HPP