diff any/include/boost/math/distributions/lognormal.hpp @ 160:cff480c41f97

Add some cross-platform Boost headers

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/any/include/boost/math/distributions/lognormal.hpp	Sat Feb 16 16:31:25 2019 +0000
@@ -0,0 +1,341 @@
+//  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_LOGNORMAL_HPP
+#define BOOST_STATS_LOGNORMAL_HPP
+
+// http://www.itl.nist.gov/div898/handbook/eda/section3/eda3669.htm
+// http://mathworld.wolfram.com/LogNormalDistribution.html
+// http://en.wikipedia.org/wiki/Lognormal_distribution
+
+#include <boost/math/distributions/fwd.hpp>
+#include <boost/math/distributions/normal.hpp>
+#include <boost/math/special_functions/expm1.hpp>
+#include <boost/math/distributions/detail/common_error_handling.hpp>
+
+#include <utility>
+
+namespace boost{ namespace math
+{
+namespace detail
+{
+
+  template <class RealType, class Policy>
+  inline bool check_lognormal_x(
+        const char* function,
+        RealType const& x,
+        RealType* result, const Policy& pol)
+  {
+     if((x < 0) || !(boost::math::isfinite)(x))
+     {
+        *result = policies::raise_domain_error<RealType>(
+           function,
+           "Random variate is %1% but must be >= 0 !", x, pol);
+        return false;
+     }
+     return true;
+  }
+
+} // namespace detail
+
+
+template <class RealType = double, class Policy = policies::policy<> >
+class lognormal_distribution
+{
+public:
+   typedef RealType value_type;
+   typedef Policy policy_type;
+
+   lognormal_distribution(RealType l_location = 0, RealType l_scale = 1)
+      : m_location(l_location), m_scale(l_scale)
+   {
+      RealType result;
+      detail::check_scale("boost::math::lognormal_distribution<%1%>::lognormal_distribution", l_scale, &result, Policy());
+      detail::check_location("boost::math::lognormal_distribution<%1%>::lognormal_distribution", l_location, &result, Policy());
+   }
+
+   RealType location()const
+   {
+      return m_location;
+   }
+
+   RealType scale()const
+   {
+      return m_scale;
+   }
+private:
+   //
+   // Data members:
+   //
+   RealType m_location;  // distribution location.
+   RealType m_scale;     // distribution scale.
+};
+
+typedef lognormal_distribution<double> lognormal;
+
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> range(const lognormal_distribution<RealType, Policy>& /*dist*/)
+{ // Range of permissible values for random variable x is >0 to +infinity.
+   using boost::math::tools::max_value;
+   return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>());
+}
+
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> support(const lognormal_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;
+   return std::pair<RealType, RealType>(static_cast<RealType>(0),  max_value<RealType>());
+}
+
+template <class RealType, class Policy>
+RealType pdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   RealType mu = dist.location();
+   RealType sigma = dist.scale();
+
+   static const char* function = "boost::math::pdf(const lognormal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(0 == detail::check_scale(function, sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location(function, mu, &result, Policy()))
+      return result;
+   if(0 == detail::check_lognormal_x(function, x, &result, Policy()))
+      return result;
+
+   if(x == 0)
+      return 0;
+
+   RealType exponent = log(x) - mu;
+   exponent *= -exponent;
+   exponent /= 2 * sigma * sigma;
+
+   result = exp(exponent);
+   result /= sigma * sqrt(2 * constants::pi<RealType>()) * x;
+
+   return result;
+}
+
+template <class RealType, class Policy>
+inline RealType cdf(const lognormal_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(0 == detail::check_scale(function, dist.scale(), &result, Policy()))
+      return result;
+   if(0 == detail::check_location(function, dist.location(), &result, Policy()))
+      return result;
+   if(0 == detail::check_lognormal_x(function, x, &result, Policy()))
+      return result;
+
+   if(x == 0)
+      return 0;
+
+   normal_distribution<RealType, Policy> norm(dist.location(), dist.scale());
+   return cdf(norm, log(x));
+}
+
+template <class RealType, class Policy>
+inline RealType quantile(const lognormal_distribution<RealType, Policy>& dist, const RealType& p)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(0 == detail::check_scale(function, dist.scale(), &result, Policy()))
+      return result;
+   if(0 == detail::check_location(function, dist.location(), &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());
+
+   normal_distribution<RealType, Policy> norm(dist.location(), dist.scale());
+   return exp(quantile(norm, p));
+}
+
+template <class RealType, class Policy>
+inline RealType cdf(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   static const char* function = "boost::math::cdf(const lognormal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(0 == detail::check_scale(function, c.dist.scale(), &result, Policy()))
+      return result;
+   if(0 == detail::check_location(function, c.dist.location(), &result, Policy()))
+      return result;
+   if(0 == detail::check_lognormal_x(function, c.param, &result, Policy()))
+      return result;
+
+   if(c.param == 0)
+      return 1;
+
+   normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale());
+   return cdf(complement(norm, log(c.param)));
+}
+
+template <class RealType, class Policy>
+inline RealType quantile(const complemented2_type<lognormal_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   static const char* function = "boost::math::quantile(const lognormal_distribution<%1%>&, %1%)";
+
+   RealType result = 0;
+   if(0 == detail::check_scale(function, c.dist.scale(), &result, Policy()))
+      return result;
+   if(0 == detail::check_location(function, c.dist.location(), &result, Policy()))
+      return result;
+   if(0 == detail::check_probability(function, c.param, &result, Policy()))
+      return result;
+
+   if(c.param == 1)
+      return 0;
+   if(c.param == 0)
+      return policies::raise_overflow_error<RealType>(function, 0, Policy());
+
+   normal_distribution<RealType, Policy> norm(c.dist.location(), c.dist.scale());
+   return exp(quantile(complement(norm, c.param)));
+}
+
+template <class RealType, class Policy>
+inline RealType mean(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   RealType mu = dist.location();
+   RealType sigma = dist.scale();
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::mean(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::mean(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
+      return result;
+
+   return exp(mu + sigma * sigma / 2);
+}
+
+template <class RealType, class Policy>
+inline RealType variance(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   RealType mu = dist.location();
+   RealType sigma = dist.scale();
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::variance(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::variance(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
+      return result;
+
+   return boost::math::expm1(sigma * sigma, Policy()) * exp(2 * mu + sigma * sigma);
+}
+
+template <class RealType, class Policy>
+inline RealType mode(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   RealType mu = dist.location();
+   RealType sigma = dist.scale();
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::mode(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::mode(const lognormal_distribution<%1%>&)", mu, &result, Policy()))
+      return result;
+
+   return exp(mu - sigma * sigma);
+}
+
+template <class RealType, class Policy>
+inline RealType median(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+   RealType mu = dist.location();
+   return exp(mu); // e^mu
+}
+
+template <class RealType, class Policy>
+inline RealType skewness(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   //RealType mu = dist.location();
+   RealType sigma = dist.scale();
+
+   RealType ss = sigma * sigma;
+   RealType ess = exp(ss);
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::skewness(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::skewness(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
+      return result;
+
+   return (ess + 2) * sqrt(boost::math::expm1(ss, Policy()));
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   //RealType mu = dist.location();
+   RealType sigma = dist.scale();
+   RealType ss = sigma * sigma;
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::kurtosis(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::kurtosis(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
+      return result;
+
+   return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 3;
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis_excess(const lognormal_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING  // for ADL of std functions
+
+   // RealType mu = dist.location();
+   RealType sigma = dist.scale();
+   RealType ss = sigma * sigma;
+
+   RealType result = 0;
+   if(0 == detail::check_scale("boost::math::kurtosis_excess(const lognormal_distribution<%1%>&)", sigma, &result, Policy()))
+      return result;
+   if(0 == detail::check_location("boost::math::kurtosis_excess(const lognormal_distribution<%1%>&)", dist.location(), &result, Policy()))
+      return result;
+
+   return exp(4 * ss) + 2 * exp(3 * ss) + 3 * exp(2 * ss) - 6;
+}
+
+} // 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_STUDENTS_T_HPP
+
+