annotate DEPENDENCIES/generic/include/boost/math/special_functions/detail/erf_inv.hpp @ 133:4acb5d8d80b6 tip

Don't fail environmental check if README.md exists (but .txt and no-suffix don't)
author Chris Cannam
date Tue, 30 Jul 2019 12:25:44 +0100
parents c530137014c0
children
rev   line source
Chris@16 1 // (C) Copyright John Maddock 2006.
Chris@16 2 // Use, modification and distribution are subject to the
Chris@16 3 // Boost Software License, Version 1.0. (See accompanying file
Chris@16 4 // LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
Chris@16 5
Chris@16 6 #ifndef BOOST_MATH_SF_ERF_INV_HPP
Chris@16 7 #define BOOST_MATH_SF_ERF_INV_HPP
Chris@16 8
Chris@16 9 #ifdef _MSC_VER
Chris@16 10 #pragma once
Chris@16 11 #endif
Chris@16 12
Chris@16 13 namespace boost{ namespace math{
Chris@16 14
Chris@16 15 namespace detail{
Chris@16 16 //
Chris@16 17 // The inverse erf and erfc functions share a common implementation,
Chris@16 18 // this version is for 80-bit long double's and smaller:
Chris@16 19 //
Chris@16 20 template <class T, class Policy>
Chris@16 21 T erf_inv_imp(const T& p, const T& q, const Policy&, const boost::mpl::int_<64>*)
Chris@16 22 {
Chris@16 23 BOOST_MATH_STD_USING // for ADL of std names.
Chris@16 24
Chris@16 25 T result = 0;
Chris@16 26
Chris@16 27 if(p <= 0.5)
Chris@16 28 {
Chris@16 29 //
Chris@16 30 // Evaluate inverse erf using the rational approximation:
Chris@16 31 //
Chris@16 32 // x = p(p+10)(Y+R(p))
Chris@16 33 //
Chris@16 34 // Where Y is a constant, and R(p) is optimised for a low
Chris@16 35 // absolute error compared to |Y|.
Chris@16 36 //
Chris@16 37 // double: Max error found: 2.001849e-18
Chris@16 38 // long double: Max error found: 1.017064e-20
Chris@16 39 // Maximum Deviation Found (actual error term at infinite precision) 8.030e-21
Chris@16 40 //
Chris@16 41 static const float Y = 0.0891314744949340820313f;
Chris@16 42 static const T P[] = {
Chris@16 43 BOOST_MATH_BIG_CONSTANT(T, 64, -0.000508781949658280665617),
Chris@16 44 BOOST_MATH_BIG_CONSTANT(T, 64, -0.00836874819741736770379),
Chris@16 45 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0334806625409744615033),
Chris@16 46 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0126926147662974029034),
Chris@16 47 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0365637971411762664006),
Chris@16 48 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0219878681111168899165),
Chris@16 49 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00822687874676915743155),
Chris@16 50 BOOST_MATH_BIG_CONSTANT(T, 64, -0.00538772965071242932965)
Chris@16 51 };
Chris@16 52 static const T Q[] = {
Chris@16 53 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 54 BOOST_MATH_BIG_CONSTANT(T, 64, -0.970005043303290640362),
Chris@16 55 BOOST_MATH_BIG_CONSTANT(T, 64, -1.56574558234175846809),
Chris@16 56 BOOST_MATH_BIG_CONSTANT(T, 64, 1.56221558398423026363),
Chris@16 57 BOOST_MATH_BIG_CONSTANT(T, 64, 0.662328840472002992063),
Chris@16 58 BOOST_MATH_BIG_CONSTANT(T, 64, -0.71228902341542847553),
Chris@16 59 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0527396382340099713954),
Chris@16 60 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0795283687341571680018),
Chris@16 61 BOOST_MATH_BIG_CONSTANT(T, 64, -0.00233393759374190016776),
Chris@16 62 BOOST_MATH_BIG_CONSTANT(T, 64, 0.000886216390456424707504)
Chris@16 63 };
Chris@16 64 T g = p * (p + 10);
Chris@16 65 T r = tools::evaluate_polynomial(P, p) / tools::evaluate_polynomial(Q, p);
Chris@16 66 result = g * Y + g * r;
Chris@16 67 }
Chris@16 68 else if(q >= 0.25)
Chris@16 69 {
Chris@16 70 //
Chris@16 71 // Rational approximation for 0.5 > q >= 0.25
Chris@16 72 //
Chris@16 73 // x = sqrt(-2*log(q)) / (Y + R(q))
Chris@16 74 //
Chris@16 75 // Where Y is a constant, and R(q) is optimised for a low
Chris@16 76 // absolute error compared to Y.
Chris@16 77 //
Chris@16 78 // double : Max error found: 7.403372e-17
Chris@16 79 // long double : Max error found: 6.084616e-20
Chris@16 80 // Maximum Deviation Found (error term) 4.811e-20
Chris@16 81 //
Chris@16 82 static const float Y = 2.249481201171875f;
Chris@16 83 static const T P[] = {
Chris@16 84 BOOST_MATH_BIG_CONSTANT(T, 64, -0.202433508355938759655),
Chris@16 85 BOOST_MATH_BIG_CONSTANT(T, 64, 0.105264680699391713268),
Chris@16 86 BOOST_MATH_BIG_CONSTANT(T, 64, 8.37050328343119927838),
Chris@16 87 BOOST_MATH_BIG_CONSTANT(T, 64, 17.6447298408374015486),
Chris@16 88 BOOST_MATH_BIG_CONSTANT(T, 64, -18.8510648058714251895),
Chris@16 89 BOOST_MATH_BIG_CONSTANT(T, 64, -44.6382324441786960818),
Chris@16 90 BOOST_MATH_BIG_CONSTANT(T, 64, 17.445385985570866523),
Chris@16 91 BOOST_MATH_BIG_CONSTANT(T, 64, 21.1294655448340526258),
Chris@16 92 BOOST_MATH_BIG_CONSTANT(T, 64, -3.67192254707729348546)
Chris@16 93 };
Chris@16 94 static const T Q[] = {
Chris@101 95 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 96 BOOST_MATH_BIG_CONSTANT(T, 64, 6.24264124854247537712),
Chris@16 97 BOOST_MATH_BIG_CONSTANT(T, 64, 3.9713437953343869095),
Chris@16 98 BOOST_MATH_BIG_CONSTANT(T, 64, -28.6608180499800029974),
Chris@16 99 BOOST_MATH_BIG_CONSTANT(T, 64, -20.1432634680485188801),
Chris@16 100 BOOST_MATH_BIG_CONSTANT(T, 64, 48.5609213108739935468),
Chris@16 101 BOOST_MATH_BIG_CONSTANT(T, 64, 10.8268667355460159008),
Chris@16 102 BOOST_MATH_BIG_CONSTANT(T, 64, -22.6436933413139721736),
Chris@16 103 BOOST_MATH_BIG_CONSTANT(T, 64, 1.72114765761200282724)
Chris@16 104 };
Chris@16 105 T g = sqrt(-2 * log(q));
Chris@101 106 T xs = q - 0.25f;
Chris@16 107 T r = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 108 result = g / (Y + r);
Chris@16 109 }
Chris@16 110 else
Chris@16 111 {
Chris@16 112 //
Chris@16 113 // For q < 0.25 we have a series of rational approximations all
Chris@16 114 // of the general form:
Chris@16 115 //
Chris@16 116 // let: x = sqrt(-log(q))
Chris@16 117 //
Chris@16 118 // Then the result is given by:
Chris@16 119 //
Chris@16 120 // x(Y+R(x-B))
Chris@16 121 //
Chris@16 122 // where Y is a constant, B is the lowest value of x for which
Chris@16 123 // the approximation is valid, and R(x-B) is optimised for a low
Chris@16 124 // absolute error compared to Y.
Chris@16 125 //
Chris@16 126 // Note that almost all code will really go through the first
Chris@16 127 // or maybe second approximation. After than we're dealing with very
Chris@16 128 // small input values indeed: 80 and 128 bit long double's go all the
Chris@16 129 // way down to ~ 1e-5000 so the "tail" is rather long...
Chris@16 130 //
Chris@16 131 T x = sqrt(-log(q));
Chris@16 132 if(x < 3)
Chris@16 133 {
Chris@16 134 // Max error found: 1.089051e-20
Chris@16 135 static const float Y = 0.807220458984375f;
Chris@16 136 static const T P[] = {
Chris@16 137 BOOST_MATH_BIG_CONSTANT(T, 64, -0.131102781679951906451),
Chris@16 138 BOOST_MATH_BIG_CONSTANT(T, 64, -0.163794047193317060787),
Chris@16 139 BOOST_MATH_BIG_CONSTANT(T, 64, 0.117030156341995252019),
Chris@16 140 BOOST_MATH_BIG_CONSTANT(T, 64, 0.387079738972604337464),
Chris@16 141 BOOST_MATH_BIG_CONSTANT(T, 64, 0.337785538912035898924),
Chris@16 142 BOOST_MATH_BIG_CONSTANT(T, 64, 0.142869534408157156766),
Chris@16 143 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0290157910005329060432),
Chris@16 144 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00214558995388805277169),
Chris@16 145 BOOST_MATH_BIG_CONSTANT(T, 64, -0.679465575181126350155e-6),
Chris@16 146 BOOST_MATH_BIG_CONSTANT(T, 64, 0.285225331782217055858e-7),
Chris@16 147 BOOST_MATH_BIG_CONSTANT(T, 64, -0.681149956853776992068e-9)
Chris@16 148 };
Chris@16 149 static const T Q[] = {
Chris@16 150 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 151 BOOST_MATH_BIG_CONSTANT(T, 64, 3.46625407242567245975),
Chris@16 152 BOOST_MATH_BIG_CONSTANT(T, 64, 5.38168345707006855425),
Chris@16 153 BOOST_MATH_BIG_CONSTANT(T, 64, 4.77846592945843778382),
Chris@16 154 BOOST_MATH_BIG_CONSTANT(T, 64, 2.59301921623620271374),
Chris@16 155 BOOST_MATH_BIG_CONSTANT(T, 64, 0.848854343457902036425),
Chris@16 156 BOOST_MATH_BIG_CONSTANT(T, 64, 0.152264338295331783612),
Chris@16 157 BOOST_MATH_BIG_CONSTANT(T, 64, 0.01105924229346489121)
Chris@16 158 };
Chris@101 159 T xs = x - 1.125f;
Chris@16 160 T R = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 161 result = Y * x + R * x;
Chris@16 162 }
Chris@16 163 else if(x < 6)
Chris@16 164 {
Chris@16 165 // Max error found: 8.389174e-21
Chris@16 166 static const float Y = 0.93995571136474609375f;
Chris@16 167 static const T P[] = {
Chris@16 168 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0350353787183177984712),
Chris@16 169 BOOST_MATH_BIG_CONSTANT(T, 64, -0.00222426529213447927281),
Chris@16 170 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0185573306514231072324),
Chris@16 171 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00950804701325919603619),
Chris@16 172 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00187123492819559223345),
Chris@16 173 BOOST_MATH_BIG_CONSTANT(T, 64, 0.000157544617424960554631),
Chris@16 174 BOOST_MATH_BIG_CONSTANT(T, 64, 0.460469890584317994083e-5),
Chris@16 175 BOOST_MATH_BIG_CONSTANT(T, 64, -0.230404776911882601748e-9),
Chris@16 176 BOOST_MATH_BIG_CONSTANT(T, 64, 0.266339227425782031962e-11)
Chris@16 177 };
Chris@16 178 static const T Q[] = {
Chris@101 179 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 180 BOOST_MATH_BIG_CONSTANT(T, 64, 1.3653349817554063097),
Chris@16 181 BOOST_MATH_BIG_CONSTANT(T, 64, 0.762059164553623404043),
Chris@16 182 BOOST_MATH_BIG_CONSTANT(T, 64, 0.220091105764131249824),
Chris@16 183 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0341589143670947727934),
Chris@16 184 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00263861676657015992959),
Chris@16 185 BOOST_MATH_BIG_CONSTANT(T, 64, 0.764675292302794483503e-4)
Chris@16 186 };
Chris@16 187 T xs = x - 3;
Chris@16 188 T R = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 189 result = Y * x + R * x;
Chris@16 190 }
Chris@16 191 else if(x < 18)
Chris@16 192 {
Chris@16 193 // Max error found: 1.481312e-19
Chris@16 194 static const float Y = 0.98362827301025390625f;
Chris@16 195 static const T P[] = {
Chris@16 196 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0167431005076633737133),
Chris@16 197 BOOST_MATH_BIG_CONSTANT(T, 64, -0.00112951438745580278863),
Chris@16 198 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00105628862152492910091),
Chris@16 199 BOOST_MATH_BIG_CONSTANT(T, 64, 0.000209386317487588078668),
Chris@16 200 BOOST_MATH_BIG_CONSTANT(T, 64, 0.149624783758342370182e-4),
Chris@16 201 BOOST_MATH_BIG_CONSTANT(T, 64, 0.449696789927706453732e-6),
Chris@16 202 BOOST_MATH_BIG_CONSTANT(T, 64, 0.462596163522878599135e-8),
Chris@16 203 BOOST_MATH_BIG_CONSTANT(T, 64, -0.281128735628831791805e-13),
Chris@16 204 BOOST_MATH_BIG_CONSTANT(T, 64, 0.99055709973310326855e-16)
Chris@16 205 };
Chris@16 206 static const T Q[] = {
Chris@101 207 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 208 BOOST_MATH_BIG_CONSTANT(T, 64, 0.591429344886417493481),
Chris@16 209 BOOST_MATH_BIG_CONSTANT(T, 64, 0.138151865749083321638),
Chris@16 210 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0160746087093676504695),
Chris@16 211 BOOST_MATH_BIG_CONSTANT(T, 64, 0.000964011807005165528527),
Chris@16 212 BOOST_MATH_BIG_CONSTANT(T, 64, 0.275335474764726041141e-4),
Chris@16 213 BOOST_MATH_BIG_CONSTANT(T, 64, 0.282243172016108031869e-6)
Chris@16 214 };
Chris@16 215 T xs = x - 6;
Chris@16 216 T R = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 217 result = Y * x + R * x;
Chris@16 218 }
Chris@16 219 else if(x < 44)
Chris@16 220 {
Chris@16 221 // Max error found: 5.697761e-20
Chris@16 222 static const float Y = 0.99714565277099609375f;
Chris@16 223 static const T P[] = {
Chris@16 224 BOOST_MATH_BIG_CONSTANT(T, 64, -0.0024978212791898131227),
Chris@16 225 BOOST_MATH_BIG_CONSTANT(T, 64, -0.779190719229053954292e-5),
Chris@16 226 BOOST_MATH_BIG_CONSTANT(T, 64, 0.254723037413027451751e-4),
Chris@16 227 BOOST_MATH_BIG_CONSTANT(T, 64, 0.162397777342510920873e-5),
Chris@16 228 BOOST_MATH_BIG_CONSTANT(T, 64, 0.396341011304801168516e-7),
Chris@16 229 BOOST_MATH_BIG_CONSTANT(T, 64, 0.411632831190944208473e-9),
Chris@16 230 BOOST_MATH_BIG_CONSTANT(T, 64, 0.145596286718675035587e-11),
Chris@16 231 BOOST_MATH_BIG_CONSTANT(T, 64, -0.116765012397184275695e-17)
Chris@16 232 };
Chris@16 233 static const T Q[] = {
Chris@101 234 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 235 BOOST_MATH_BIG_CONSTANT(T, 64, 0.207123112214422517181),
Chris@16 236 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0169410838120975906478),
Chris@16 237 BOOST_MATH_BIG_CONSTANT(T, 64, 0.000690538265622684595676),
Chris@16 238 BOOST_MATH_BIG_CONSTANT(T, 64, 0.145007359818232637924e-4),
Chris@16 239 BOOST_MATH_BIG_CONSTANT(T, 64, 0.144437756628144157666e-6),
Chris@16 240 BOOST_MATH_BIG_CONSTANT(T, 64, 0.509761276599778486139e-9)
Chris@16 241 };
Chris@16 242 T xs = x - 18;
Chris@16 243 T R = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 244 result = Y * x + R * x;
Chris@16 245 }
Chris@16 246 else
Chris@16 247 {
Chris@16 248 // Max error found: 1.279746e-20
Chris@16 249 static const float Y = 0.99941349029541015625f;
Chris@16 250 static const T P[] = {
Chris@16 251 BOOST_MATH_BIG_CONSTANT(T, 64, -0.000539042911019078575891),
Chris@16 252 BOOST_MATH_BIG_CONSTANT(T, 64, -0.28398759004727721098e-6),
Chris@16 253 BOOST_MATH_BIG_CONSTANT(T, 64, 0.899465114892291446442e-6),
Chris@16 254 BOOST_MATH_BIG_CONSTANT(T, 64, 0.229345859265920864296e-7),
Chris@16 255 BOOST_MATH_BIG_CONSTANT(T, 64, 0.225561444863500149219e-9),
Chris@16 256 BOOST_MATH_BIG_CONSTANT(T, 64, 0.947846627503022684216e-12),
Chris@16 257 BOOST_MATH_BIG_CONSTANT(T, 64, 0.135880130108924861008e-14),
Chris@16 258 BOOST_MATH_BIG_CONSTANT(T, 64, -0.348890393399948882918e-21)
Chris@16 259 };
Chris@16 260 static const T Q[] = {
Chris@101 261 BOOST_MATH_BIG_CONSTANT(T, 64, 1.0),
Chris@16 262 BOOST_MATH_BIG_CONSTANT(T, 64, 0.0845746234001899436914),
Chris@16 263 BOOST_MATH_BIG_CONSTANT(T, 64, 0.00282092984726264681981),
Chris@16 264 BOOST_MATH_BIG_CONSTANT(T, 64, 0.468292921940894236786e-4),
Chris@16 265 BOOST_MATH_BIG_CONSTANT(T, 64, 0.399968812193862100054e-6),
Chris@16 266 BOOST_MATH_BIG_CONSTANT(T, 64, 0.161809290887904476097e-8),
Chris@16 267 BOOST_MATH_BIG_CONSTANT(T, 64, 0.231558608310259605225e-11)
Chris@16 268 };
Chris@16 269 T xs = x - 44;
Chris@16 270 T R = tools::evaluate_polynomial(P, xs) / tools::evaluate_polynomial(Q, xs);
Chris@16 271 result = Y * x + R * x;
Chris@16 272 }
Chris@16 273 }
Chris@16 274 return result;
Chris@16 275 }
Chris@16 276
Chris@16 277 template <class T, class Policy>
Chris@16 278 struct erf_roots
Chris@16 279 {
Chris@16 280 boost::math::tuple<T,T,T> operator()(const T& guess)
Chris@16 281 {
Chris@16 282 BOOST_MATH_STD_USING
Chris@16 283 T derivative = sign * (2 / sqrt(constants::pi<T>())) * exp(-(guess * guess));
Chris@16 284 T derivative2 = -2 * guess * derivative;
Chris@16 285 return boost::math::make_tuple(((sign > 0) ? static_cast<T>(boost::math::erf(guess, Policy()) - target) : static_cast<T>(boost::math::erfc(guess, Policy())) - target), derivative, derivative2);
Chris@16 286 }
Chris@16 287 erf_roots(T z, int s) : target(z), sign(s) {}
Chris@16 288 private:
Chris@16 289 T target;
Chris@16 290 int sign;
Chris@16 291 };
Chris@16 292
Chris@16 293 template <class T, class Policy>
Chris@16 294 T erf_inv_imp(const T& p, const T& q, const Policy& pol, const boost::mpl::int_<0>*)
Chris@16 295 {
Chris@16 296 //
Chris@16 297 // Generic version, get a guess that's accurate to 64-bits (10^-19)
Chris@16 298 //
Chris@16 299 T guess = erf_inv_imp(p, q, pol, static_cast<mpl::int_<64> const*>(0));
Chris@16 300 T result;
Chris@16 301 //
Chris@16 302 // If T has more bit's than 64 in it's mantissa then we need to iterate,
Chris@16 303 // otherwise we can just return the result:
Chris@16 304 //
Chris@16 305 if(policies::digits<T, Policy>() > 64)
Chris@16 306 {
Chris@16 307 boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
Chris@16 308 if(p <= 0.5)
Chris@16 309 {
Chris@16 310 result = tools::halley_iterate(detail::erf_roots<typename remove_cv<T>::type, Policy>(p, 1), guess, static_cast<T>(0), tools::max_value<T>(), (policies::digits<T, Policy>() * 2) / 3, max_iter);
Chris@16 311 }
Chris@16 312 else
Chris@16 313 {
Chris@16 314 result = tools::halley_iterate(detail::erf_roots<typename remove_cv<T>::type, Policy>(q, -1), guess, static_cast<T>(0), tools::max_value<T>(), (policies::digits<T, Policy>() * 2) / 3, max_iter);
Chris@16 315 }
Chris@16 316 policies::check_root_iterations<T>("boost::math::erf_inv<%1%>", max_iter, pol);
Chris@16 317 }
Chris@16 318 else
Chris@16 319 {
Chris@16 320 result = guess;
Chris@16 321 }
Chris@16 322 return result;
Chris@16 323 }
Chris@16 324
Chris@16 325 template <class T, class Policy>
Chris@16 326 struct erf_inv_initializer
Chris@16 327 {
Chris@16 328 struct init
Chris@16 329 {
Chris@16 330 init()
Chris@16 331 {
Chris@16 332 do_init();
Chris@16 333 }
Chris@101 334 static bool is_value_non_zero(T);
Chris@16 335 static void do_init()
Chris@16 336 {
Chris@16 337 boost::math::erf_inv(static_cast<T>(0.25), Policy());
Chris@16 338 boost::math::erf_inv(static_cast<T>(0.55), Policy());
Chris@16 339 boost::math::erf_inv(static_cast<T>(0.95), Policy());
Chris@16 340 boost::math::erfc_inv(static_cast<T>(1e-15), Policy());
Chris@101 341 // These following initializations must not be called if
Chris@101 342 // type T can not hold the relevant values without
Chris@101 343 // underflow to zero. We check this at runtime because
Chris@101 344 // some tools such as valgrind silently change the precision
Chris@101 345 // of T at runtime, and numeric_limits basically lies!
Chris@101 346 if(is_value_non_zero(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-130))))
Chris@16 347 boost::math::erfc_inv(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-130)), Policy());
Chris@16 348
Chris@16 349 // Some compilers choke on constants that would underflow, even in code that isn't instantiated
Chris@16 350 // so try and filter these cases out in the preprocessor:
Chris@16 351 #if LDBL_MAX_10_EXP >= 800
Chris@101 352 if(is_value_non_zero(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-800))))
Chris@16 353 boost::math::erfc_inv(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-800)), Policy());
Chris@101 354 if(is_value_non_zero(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-900))))
Chris@16 355 boost::math::erfc_inv(static_cast<T>(BOOST_MATH_BIG_CONSTANT(T, 64, 1e-900)), Policy());
Chris@16 356 #else
Chris@101 357 if(is_value_non_zero(static_cast<T>(BOOST_MATH_HUGE_CONSTANT(T, 64, 1e-800))))
Chris@16 358 boost::math::erfc_inv(static_cast<T>(BOOST_MATH_HUGE_CONSTANT(T, 64, 1e-800)), Policy());
Chris@101 359 if(is_value_non_zero(static_cast<T>(BOOST_MATH_HUGE_CONSTANT(T, 64, 1e-900))))
Chris@16 360 boost::math::erfc_inv(static_cast<T>(BOOST_MATH_HUGE_CONSTANT(T, 64, 1e-900)), Policy());
Chris@16 361 #endif
Chris@16 362 }
Chris@16 363 void force_instantiate()const{}
Chris@16 364 };
Chris@16 365 static const init initializer;
Chris@16 366 static void force_instantiate()
Chris@16 367 {
Chris@16 368 initializer.force_instantiate();
Chris@16 369 }
Chris@16 370 };
Chris@16 371
Chris@16 372 template <class T, class Policy>
Chris@16 373 const typename erf_inv_initializer<T, Policy>::init erf_inv_initializer<T, Policy>::initializer;
Chris@16 374
Chris@101 375 template <class T, class Policy>
Chris@101 376 bool erf_inv_initializer<T, Policy>::init::is_value_non_zero(T v)
Chris@101 377 {
Chris@101 378 // This needs to be non-inline to detect whether v is non zero at runtime
Chris@101 379 // rather than at compile time, only relevant when running under valgrind
Chris@101 380 // which changes long double's to double's on the fly.
Chris@101 381 return v != 0;
Chris@101 382 }
Chris@101 383
Chris@16 384 } // namespace detail
Chris@16 385
Chris@16 386 template <class T, class Policy>
Chris@16 387 typename tools::promote_args<T>::type erfc_inv(T z, const Policy& pol)
Chris@16 388 {
Chris@16 389 typedef typename tools::promote_args<T>::type result_type;
Chris@16 390
Chris@16 391 //
Chris@16 392 // Begin by testing for domain errors, and other special cases:
Chris@16 393 //
Chris@16 394 static const char* function = "boost::math::erfc_inv<%1%>(%1%, %1%)";
Chris@16 395 if((z < 0) || (z > 2))
Chris@101 396 return policies::raise_domain_error<result_type>(function, "Argument outside range [0,2] in inverse erfc function (got p=%1%).", z, pol);
Chris@16 397 if(z == 0)
Chris@16 398 return policies::raise_overflow_error<result_type>(function, 0, pol);
Chris@16 399 if(z == 2)
Chris@16 400 return -policies::raise_overflow_error<result_type>(function, 0, pol);
Chris@16 401 //
Chris@16 402 // Normalise the input, so it's in the range [0,1], we will
Chris@16 403 // negate the result if z is outside that range. This is a simple
Chris@16 404 // application of the erfc reflection formula: erfc(-z) = 2 - erfc(z)
Chris@16 405 //
Chris@16 406 result_type p, q, s;
Chris@16 407 if(z > 1)
Chris@16 408 {
Chris@16 409 q = 2 - z;
Chris@16 410 p = 1 - q;
Chris@16 411 s = -1;
Chris@16 412 }
Chris@16 413 else
Chris@16 414 {
Chris@16 415 p = 1 - z;
Chris@16 416 q = z;
Chris@16 417 s = 1;
Chris@16 418 }
Chris@16 419 //
Chris@16 420 // A bit of meta-programming to figure out which implementation
Chris@16 421 // to use, based on the number of bits in the mantissa of T:
Chris@16 422 //
Chris@16 423 typedef typename policies::precision<result_type, Policy>::type precision_type;
Chris@16 424 typedef typename mpl::if_<
Chris@16 425 mpl::or_<mpl::less_equal<precision_type, mpl::int_<0> >, mpl::greater<precision_type, mpl::int_<64> > >,
Chris@16 426 mpl::int_<0>,
Chris@16 427 mpl::int_<64>
Chris@16 428 >::type tag_type;
Chris@16 429 //
Chris@16 430 // Likewise use internal promotion, so we evaluate at a higher
Chris@16 431 // precision internally if it's appropriate:
Chris@16 432 //
Chris@16 433 typedef typename policies::evaluation<result_type, Policy>::type eval_type;
Chris@16 434 typedef typename policies::normalise<
Chris@16 435 Policy,
Chris@16 436 policies::promote_float<false>,
Chris@16 437 policies::promote_double<false>,
Chris@16 438 policies::discrete_quantile<>,
Chris@16 439 policies::assert_undefined<> >::type forwarding_policy;
Chris@16 440
Chris@16 441 detail::erf_inv_initializer<eval_type, forwarding_policy>::force_instantiate();
Chris@16 442
Chris@16 443 //
Chris@16 444 // And get the result, negating where required:
Chris@16 445 //
Chris@16 446 return s * policies::checked_narrowing_cast<result_type, forwarding_policy>(
Chris@16 447 detail::erf_inv_imp(static_cast<eval_type>(p), static_cast<eval_type>(q), forwarding_policy(), static_cast<tag_type const*>(0)), function);
Chris@16 448 }
Chris@16 449
Chris@16 450 template <class T, class Policy>
Chris@16 451 typename tools::promote_args<T>::type erf_inv(T z, const Policy& pol)
Chris@16 452 {
Chris@16 453 typedef typename tools::promote_args<T>::type result_type;
Chris@16 454
Chris@16 455 //
Chris@16 456 // Begin by testing for domain errors, and other special cases:
Chris@16 457 //
Chris@16 458 static const char* function = "boost::math::erf_inv<%1%>(%1%, %1%)";
Chris@16 459 if((z < -1) || (z > 1))
Chris@101 460 return policies::raise_domain_error<result_type>(function, "Argument outside range [-1, 1] in inverse erf function (got p=%1%).", z, pol);
Chris@16 461 if(z == 1)
Chris@16 462 return policies::raise_overflow_error<result_type>(function, 0, pol);
Chris@16 463 if(z == -1)
Chris@16 464 return -policies::raise_overflow_error<result_type>(function, 0, pol);
Chris@16 465 if(z == 0)
Chris@16 466 return 0;
Chris@16 467 //
Chris@16 468 // Normalise the input, so it's in the range [0,1], we will
Chris@16 469 // negate the result if z is outside that range. This is a simple
Chris@16 470 // application of the erf reflection formula: erf(-z) = -erf(z)
Chris@16 471 //
Chris@16 472 result_type p, q, s;
Chris@16 473 if(z < 0)
Chris@16 474 {
Chris@16 475 p = -z;
Chris@16 476 q = 1 - p;
Chris@16 477 s = -1;
Chris@16 478 }
Chris@16 479 else
Chris@16 480 {
Chris@16 481 p = z;
Chris@16 482 q = 1 - z;
Chris@16 483 s = 1;
Chris@16 484 }
Chris@16 485 //
Chris@16 486 // A bit of meta-programming to figure out which implementation
Chris@16 487 // to use, based on the number of bits in the mantissa of T:
Chris@16 488 //
Chris@16 489 typedef typename policies::precision<result_type, Policy>::type precision_type;
Chris@16 490 typedef typename mpl::if_<
Chris@16 491 mpl::or_<mpl::less_equal<precision_type, mpl::int_<0> >, mpl::greater<precision_type, mpl::int_<64> > >,
Chris@16 492 mpl::int_<0>,
Chris@16 493 mpl::int_<64>
Chris@16 494 >::type tag_type;
Chris@16 495 //
Chris@16 496 // Likewise use internal promotion, so we evaluate at a higher
Chris@16 497 // precision internally if it's appropriate:
Chris@16 498 //
Chris@16 499 typedef typename policies::evaluation<result_type, Policy>::type eval_type;
Chris@16 500 typedef typename policies::normalise<
Chris@16 501 Policy,
Chris@16 502 policies::promote_float<false>,
Chris@16 503 policies::promote_double<false>,
Chris@16 504 policies::discrete_quantile<>,
Chris@16 505 policies::assert_undefined<> >::type forwarding_policy;
Chris@16 506 //
Chris@16 507 // Likewise use internal promotion, so we evaluate at a higher
Chris@16 508 // precision internally if it's appropriate:
Chris@16 509 //
Chris@16 510 typedef typename policies::evaluation<result_type, Policy>::type eval_type;
Chris@16 511
Chris@16 512 detail::erf_inv_initializer<eval_type, forwarding_policy>::force_instantiate();
Chris@16 513 //
Chris@16 514 // And get the result, negating where required:
Chris@16 515 //
Chris@16 516 return s * policies::checked_narrowing_cast<result_type, forwarding_policy>(
Chris@16 517 detail::erf_inv_imp(static_cast<eval_type>(p), static_cast<eval_type>(q), forwarding_policy(), static_cast<tag_type const*>(0)), function);
Chris@16 518 }
Chris@16 519
Chris@16 520 template <class T>
Chris@16 521 inline typename tools::promote_args<T>::type erfc_inv(T z)
Chris@16 522 {
Chris@16 523 return erfc_inv(z, policies::policy<>());
Chris@16 524 }
Chris@16 525
Chris@16 526 template <class T>
Chris@16 527 inline typename tools::promote_args<T>::type erf_inv(T z)
Chris@16 528 {
Chris@16 529 return erf_inv(z, policies::policy<>());
Chris@16 530 }
Chris@16 531
Chris@16 532 } // namespace math
Chris@16 533 } // namespace boost
Chris@16 534
Chris@16 535 #endif // BOOST_MATH_SF_ERF_INV_HPP
Chris@16 536