cannam@160: // Copyright John Maddock 2006, 2007. cannam@160: // Copyright Paul A. Bristow 2006, 2007. cannam@160: // Use, modification and distribution are subject to the cannam@160: // Boost Software License, Version 1.0. (See accompanying file cannam@160: // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt) cannam@160: cannam@160: #ifndef BOOST_STATS_TRIANGULAR_HPP cannam@160: #define BOOST_STATS_TRIANGULAR_HPP cannam@160: cannam@160: // http://mathworld.wolfram.com/TriangularDistribution.html cannam@160: // Note that the 'constructors' defined by Wolfram are difference from those here, cannam@160: // for example cannam@160: // N[variance[triangulardistribution{1, +2}, 1.5], 50] computes cannam@160: // 0.041666666666666666666666666666666666666666666666667 cannam@160: // TriangularDistribution{1, +2}, 1.5 is the analog of triangular_distribution(1, 1.5, 2) cannam@160: cannam@160: // http://en.wikipedia.org/wiki/Triangular_distribution cannam@160: cannam@160: #include cannam@160: #include cannam@160: #include cannam@160: #include cannam@160: #include cannam@160: cannam@160: #include cannam@160: cannam@160: namespace boost{ namespace math cannam@160: { cannam@160: namespace detail cannam@160: { cannam@160: template cannam@160: inline bool check_triangular_lower( cannam@160: const char* function, cannam@160: RealType lower, cannam@160: RealType* result, const Policy& pol) cannam@160: { cannam@160: if((boost::math::isfinite)(lower)) cannam@160: { // Any finite value is OK. cannam@160: return true; cannam@160: } cannam@160: else cannam@160: { // Not finite: infinity or NaN. cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "Lower parameter is %1%, but must be finite!", lower, pol); cannam@160: return false; cannam@160: } cannam@160: } // bool check_triangular_lower( cannam@160: cannam@160: template cannam@160: inline bool check_triangular_mode( cannam@160: const char* function, cannam@160: RealType mode, cannam@160: RealType* result, const Policy& pol) cannam@160: { cannam@160: if((boost::math::isfinite)(mode)) cannam@160: { // any finite value is OK. cannam@160: return true; cannam@160: } cannam@160: else cannam@160: { // Not finite: infinity or NaN. cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "Mode parameter is %1%, but must be finite!", mode, pol); cannam@160: return false; cannam@160: } cannam@160: } // bool check_triangular_mode( cannam@160: cannam@160: template cannam@160: inline bool check_triangular_upper( cannam@160: const char* function, cannam@160: RealType upper, cannam@160: RealType* result, const Policy& pol) cannam@160: { cannam@160: if((boost::math::isfinite)(upper)) cannam@160: { // any finite value is OK. cannam@160: return true; cannam@160: } cannam@160: else cannam@160: { // Not finite: infinity or NaN. cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "Upper parameter is %1%, but must be finite!", upper, pol); cannam@160: return false; cannam@160: } cannam@160: } // bool check_triangular_upper( cannam@160: cannam@160: template cannam@160: inline bool check_triangular_x( cannam@160: const char* function, cannam@160: RealType const& x, cannam@160: RealType* result, const Policy& pol) cannam@160: { cannam@160: if((boost::math::isfinite)(x)) cannam@160: { // Any finite value is OK cannam@160: return true; cannam@160: } cannam@160: else cannam@160: { // Not finite: infinity or NaN. cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "x parameter is %1%, but must be finite!", x, pol); cannam@160: return false; cannam@160: } cannam@160: } // bool check_triangular_x cannam@160: cannam@160: template cannam@160: inline bool check_triangular( cannam@160: const char* function, cannam@160: RealType lower, cannam@160: RealType mode, cannam@160: RealType upper, cannam@160: RealType* result, const Policy& pol) cannam@160: { cannam@160: if ((check_triangular_lower(function, lower, result, pol) == false) cannam@160: || (check_triangular_mode(function, mode, result, pol) == false) cannam@160: || (check_triangular_upper(function, upper, result, pol) == false)) cannam@160: { // Some parameter not finite. cannam@160: return false; cannam@160: } cannam@160: else if (lower >= upper) // lower == upper NOT useful. cannam@160: { // lower >= upper. cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "lower parameter is %1%, but must be less than upper!", lower, pol); cannam@160: return false; cannam@160: } cannam@160: else cannam@160: { // Check lower <= mode <= upper. cannam@160: if (mode < lower) cannam@160: { cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "mode parameter is %1%, but must be >= than lower!", lower, pol); cannam@160: return false; cannam@160: } cannam@160: if (mode > upper) cannam@160: { cannam@160: *result = policies::raise_domain_error( cannam@160: function, cannam@160: "mode parameter is %1%, but must be <= than upper!", upper, pol); cannam@160: return false; cannam@160: } cannam@160: return true; // All OK. cannam@160: } cannam@160: } // bool check_triangular cannam@160: } // namespace detail cannam@160: cannam@160: template > cannam@160: class triangular_distribution cannam@160: { cannam@160: public: cannam@160: typedef RealType value_type; cannam@160: typedef Policy policy_type; cannam@160: cannam@160: triangular_distribution(RealType l_lower = -1, RealType l_mode = 0, RealType l_upper = 1) cannam@160: : m_lower(l_lower), m_mode(l_mode), m_upper(l_upper) // Constructor. cannam@160: { // Evans says 'standard triangular' is lower 0, mode 1/2, upper 1, cannam@160: // has median sqrt(c/2) for c <=1/2 and 1 - sqrt(1-c)/2 for c >= 1/2 cannam@160: // But this -1, 0, 1 is more useful in most applications to approximate normal distribution, cannam@160: // where the central value is the most likely and deviations either side equally likely. cannam@160: RealType result; cannam@160: detail::check_triangular("boost::math::triangular_distribution<%1%>::triangular_distribution",l_lower, l_mode, l_upper, &result, Policy()); cannam@160: } cannam@160: // Accessor functions. cannam@160: RealType lower()const cannam@160: { cannam@160: return m_lower; cannam@160: } cannam@160: RealType mode()const cannam@160: { cannam@160: return m_mode; cannam@160: } cannam@160: RealType upper()const cannam@160: { cannam@160: return m_upper; cannam@160: } cannam@160: private: cannam@160: // Data members: cannam@160: RealType m_lower; // distribution lower aka a cannam@160: RealType m_mode; // distribution mode aka c cannam@160: RealType m_upper; // distribution upper aka b cannam@160: }; // class triangular_distribution cannam@160: cannam@160: typedef triangular_distribution triangular; cannam@160: cannam@160: template cannam@160: inline const std::pair range(const triangular_distribution& /* dist */) cannam@160: { // Range of permissible values for random variable x. cannam@160: using boost::math::tools::max_value; cannam@160: return std::pair(-max_value(), max_value()); cannam@160: } cannam@160: cannam@160: template cannam@160: inline const std::pair support(const triangular_distribution& dist) cannam@160: { // Range of supported values for random variable x. cannam@160: // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero. cannam@160: return std::pair(dist.lower(), dist.upper()); cannam@160: } cannam@160: cannam@160: template cannam@160: RealType pdf(const triangular_distribution& dist, const RealType& x) cannam@160: { cannam@160: static const char* function = "boost::math::pdf(const triangular_distribution<%1%>&, %1%)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(false == detail::check_triangular_x(function, x, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if((x < lower) || (x > upper)) cannam@160: { cannam@160: return 0; cannam@160: } cannam@160: if (x == lower) cannam@160: { // (mode - lower) == 0 which would lead to divide by zero! cannam@160: return (mode == lower) ? 2 / (upper - lower) : RealType(0); cannam@160: } cannam@160: else if (x == upper) cannam@160: { cannam@160: return (mode == upper) ? 2 / (upper - lower) : RealType(0); cannam@160: } cannam@160: else if (x <= mode) cannam@160: { cannam@160: return 2 * (x - lower) / ((upper - lower) * (mode - lower)); cannam@160: } cannam@160: else cannam@160: { // (x > mode) cannam@160: return 2 * (upper - x) / ((upper - lower) * (upper - mode)); cannam@160: } cannam@160: } // RealType pdf(const triangular_distribution& dist, const RealType& x) cannam@160: cannam@160: template cannam@160: inline RealType cdf(const triangular_distribution& dist, const RealType& x) cannam@160: { cannam@160: static const char* function = "boost::math::cdf(const triangular_distribution<%1%>&, %1%)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(false == detail::check_triangular_x(function, x, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if((x <= lower)) cannam@160: { cannam@160: return 0; cannam@160: } cannam@160: if (x >= upper) cannam@160: { cannam@160: return 1; cannam@160: } cannam@160: // else lower < x < upper cannam@160: if (x <= mode) cannam@160: { cannam@160: return ((x - lower) * (x - lower)) / ((upper - lower) * (mode - lower)); cannam@160: } cannam@160: else cannam@160: { cannam@160: return 1 - (upper - x) * (upper - x) / ((upper - lower) * (upper - mode)); cannam@160: } cannam@160: } // RealType cdf(const triangular_distribution& dist, const RealType& x) cannam@160: cannam@160: template cannam@160: RealType quantile(const triangular_distribution& dist, const RealType& p) cannam@160: { cannam@160: BOOST_MATH_STD_USING // for ADL of std functions (sqrt). cannam@160: static const char* function = "boost::math::quantile(const triangular_distribution<%1%>&, %1%)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks cannam@160: if(false == detail::check_triangular(function,lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(false == detail::check_probability(function, p, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(p == 0) cannam@160: { cannam@160: return lower; cannam@160: } cannam@160: if(p == 1) cannam@160: { cannam@160: return upper; cannam@160: } cannam@160: RealType p0 = (mode - lower) / (upper - lower); cannam@160: RealType q = 1 - p; cannam@160: if (p < p0) cannam@160: { cannam@160: result = sqrt((upper - lower) * (mode - lower) * p) + lower; cannam@160: } cannam@160: else if (p == p0) cannam@160: { cannam@160: result = mode; cannam@160: } cannam@160: else // p > p0 cannam@160: { cannam@160: result = upper - sqrt((upper - lower) * (upper - mode) * q); cannam@160: } cannam@160: return result; cannam@160: cannam@160: } // RealType quantile(const triangular_distribution& dist, const RealType& q) cannam@160: cannam@160: template cannam@160: RealType cdf(const complemented2_type, RealType>& c) cannam@160: { cannam@160: static const char* function = "boost::math::cdf(const triangular_distribution<%1%>&, %1%)"; cannam@160: RealType lower = c.dist.lower(); cannam@160: RealType mode = c.dist.mode(); cannam@160: RealType upper = c.dist.upper(); cannam@160: RealType x = c.param; cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(false == detail::check_triangular_x(function, x, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if (x <= lower) cannam@160: { cannam@160: return 1; cannam@160: } cannam@160: if (x >= upper) cannam@160: { cannam@160: return 0; cannam@160: } cannam@160: if (x <= mode) cannam@160: { cannam@160: return 1 - ((x - lower) * (x - lower)) / ((upper - lower) * (mode - lower)); cannam@160: } cannam@160: else cannam@160: { cannam@160: return (upper - x) * (upper - x) / ((upper - lower) * (upper - mode)); cannam@160: } cannam@160: } // RealType cdf(const complemented2_type, RealType>& c) cannam@160: cannam@160: template cannam@160: RealType quantile(const complemented2_type, RealType>& c) cannam@160: { cannam@160: BOOST_MATH_STD_USING // Aid ADL for sqrt. cannam@160: static const char* function = "boost::math::quantile(const triangular_distribution<%1%>&, %1%)"; cannam@160: RealType l = c.dist.lower(); cannam@160: RealType m = c.dist.mode(); cannam@160: RealType u = c.dist.upper(); cannam@160: RealType q = c.param; // probability 0 to 1. cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, l, m, u, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(false == detail::check_probability(function, q, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: if(q == 0) cannam@160: { cannam@160: return u; cannam@160: } cannam@160: if(q == 1) cannam@160: { cannam@160: return l; cannam@160: } cannam@160: RealType lower = c.dist.lower(); cannam@160: RealType mode = c.dist.mode(); cannam@160: RealType upper = c.dist.upper(); cannam@160: cannam@160: RealType p = 1 - q; cannam@160: RealType p0 = (mode - lower) / (upper - lower); cannam@160: if(p < p0) cannam@160: { cannam@160: RealType s = (upper - lower) * (mode - lower); cannam@160: s *= p; cannam@160: result = sqrt((upper - lower) * (mode - lower) * p) + lower; cannam@160: } cannam@160: else if (p == p0) cannam@160: { cannam@160: result = mode; cannam@160: } cannam@160: else // p > p0 cannam@160: { cannam@160: result = upper - sqrt((upper - lower) * (upper - mode) * q); cannam@160: } cannam@160: return result; cannam@160: } // RealType quantile(const complemented2_type, RealType>& c) cannam@160: cannam@160: template cannam@160: inline RealType mean(const triangular_distribution& dist) cannam@160: { cannam@160: static const char* function = "boost::math::mean(const triangular_distribution<%1%>&)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: return (lower + upper + mode) / 3; cannam@160: } // RealType mean(const triangular_distribution& dist) cannam@160: cannam@160: cannam@160: template cannam@160: inline RealType variance(const triangular_distribution& dist) cannam@160: { cannam@160: static const char* function = "boost::math::mean(const triangular_distribution<%1%>&)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function, lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: return (lower * lower + upper * upper + mode * mode - lower * upper - lower * mode - upper * mode) / 18; cannam@160: } // RealType variance(const triangular_distribution& dist) cannam@160: cannam@160: template cannam@160: inline RealType mode(const triangular_distribution& dist) cannam@160: { cannam@160: static const char* function = "boost::math::mode(const triangular_distribution<%1%>&)"; cannam@160: RealType mode = dist.mode(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular_mode(function, mode, &result, Policy())) cannam@160: { // This should never happen! cannam@160: return result; cannam@160: } cannam@160: return mode; cannam@160: } // RealType mode cannam@160: cannam@160: template cannam@160: inline RealType median(const triangular_distribution& dist) cannam@160: { cannam@160: BOOST_MATH_STD_USING // ADL of std functions. cannam@160: static const char* function = "boost::math::median(const triangular_distribution<%1%>&)"; cannam@160: RealType mode = dist.mode(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular_mode(function, mode, &result, Policy())) cannam@160: { // This should never happen! cannam@160: return result; cannam@160: } cannam@160: RealType lower = dist.lower(); cannam@160: RealType upper = dist.upper(); cannam@160: if (mode >= (upper + lower) / 2) cannam@160: { cannam@160: return lower + sqrt((upper - lower) * (mode - lower)) / constants::root_two(); cannam@160: } cannam@160: else cannam@160: { cannam@160: return upper - sqrt((upper - lower) * (upper - mode)) / constants::root_two(); cannam@160: } cannam@160: } // RealType mode cannam@160: cannam@160: template cannam@160: inline RealType skewness(const triangular_distribution& dist) cannam@160: { cannam@160: BOOST_MATH_STD_USING // for ADL of std functions cannam@160: using namespace boost::math::constants; // for root_two cannam@160: static const char* function = "boost::math::skewness(const triangular_distribution<%1%>&)"; cannam@160: cannam@160: RealType lower = dist.lower(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == boost::math::detail::check_triangular(function,lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: return root_two() * (lower + upper - 2 * mode) * (2 * lower - upper - mode) * (lower - 2 * upper + mode) / cannam@160: (5 * pow((lower * lower + upper * upper + mode * mode cannam@160: - lower * upper - lower * mode - upper * mode), RealType(3)/RealType(2))); cannam@160: // #11768: Skewness formula for triangular distribution is incorrect - corrected 29 Oct 2015 for release 1.61. cannam@160: } // RealType skewness(const triangular_distribution& dist) cannam@160: cannam@160: template cannam@160: inline RealType kurtosis(const triangular_distribution& dist) cannam@160: { // These checks may be belt and braces as should have been checked on construction? cannam@160: static const char* function = "boost::math::kurtosis(const triangular_distribution<%1%>&)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function,lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: return static_cast(12)/5; // 12/5 = 2.4; cannam@160: } // RealType kurtosis_excess(const triangular_distribution& dist) cannam@160: cannam@160: template cannam@160: inline RealType kurtosis_excess(const triangular_distribution& dist) cannam@160: { // These checks may be belt and braces as should have been checked on construction? cannam@160: static const char* function = "boost::math::kurtosis_excess(const triangular_distribution<%1%>&)"; cannam@160: RealType lower = dist.lower(); cannam@160: RealType upper = dist.upper(); cannam@160: RealType mode = dist.mode(); cannam@160: RealType result = 0; // of checks. cannam@160: if(false == detail::check_triangular(function,lower, mode, upper, &result, Policy())) cannam@160: { cannam@160: return result; cannam@160: } cannam@160: return static_cast(-3)/5; // - 3/5 = -0.6 cannam@160: // Assuming mathworld really means kurtosis excess? Wikipedia now corrected to match this. cannam@160: } cannam@160: cannam@160: } // namespace math cannam@160: } // namespace boost cannam@160: cannam@160: // This include must be at the end, *after* the accessors cannam@160: // for this distribution have been defined, in order to cannam@160: // keep compilers that support two-phase lookup happy. cannam@160: #include cannam@160: cannam@160: #endif // BOOST_STATS_TRIANGULAR_HPP cannam@160: cannam@160: cannam@160: