Chris@16: //  Copyright John Maddock 2006.
Chris@16: //  Use, modification and distribution are subject to the
Chris@16: //  Boost Software License, Version 1.0. (See accompanying file
Chris@16: //  LICENSE_1_0.txt or copy at http://www.boost.org/LICENSE_1_0.txt)
Chris@16: 
Chris@16: #ifndef BOOST_STATS_EXPONENTIAL_HPP
Chris@16: #define BOOST_STATS_EXPONENTIAL_HPP
Chris@16: 
Chris@16: #include <boost/math/distributions/fwd.hpp>
Chris@16: #include <boost/math/constants/constants.hpp>
Chris@16: #include <boost/math/special_functions/log1p.hpp>
Chris@16: #include <boost/math/special_functions/expm1.hpp>
Chris@16: #include <boost/math/distributions/complement.hpp>
Chris@16: #include <boost/math/distributions/detail/common_error_handling.hpp>
Chris@16: #include <boost/config/no_tr1/cmath.hpp>
Chris@16: 
Chris@16: #ifdef BOOST_MSVC
Chris@16: # pragma warning(push)
Chris@16: # pragma warning(disable: 4127) // conditional expression is constant
Chris@16: # pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
Chris@16: #endif
Chris@16: 
Chris@16: #include <utility>
Chris@16: 
Chris@16: namespace boost{ namespace math{
Chris@16: 
Chris@16: namespace detail{
Chris@16: //
Chris@16: // Error check:
Chris@16: //
Chris@16: template <class RealType, class Policy>
Chris@16: inline bool verify_lambda(const char* function, RealType l, RealType* presult, const Policy& pol)
Chris@16: {
Chris@16:    if((l <= 0) || !(boost::math::isfinite)(l))
Chris@16:    {
Chris@16:       *presult = policies::raise_domain_error<RealType>(
Chris@16:          function,
Chris@16:          "The scale parameter \"lambda\" must be > 0, but was: %1%.", l, pol);
Chris@16:       return false;
Chris@16:    }
Chris@16:    return true;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline bool verify_exp_x(const char* function, RealType x, RealType* presult, const Policy& pol)
Chris@16: {
Chris@16:    if((x < 0) || (boost::math::isnan)(x))
Chris@16:    {
Chris@16:       *presult = policies::raise_domain_error<RealType>(
Chris@16:          function,
Chris@16:          "The random variable must be >= 0, but was: %1%.", x, pol);
Chris@16:       return false;
Chris@16:    }
Chris@16:    return true;
Chris@16: }
Chris@16: 
Chris@16: } // namespace detail
Chris@16: 
Chris@16: template <class RealType = double, class Policy = policies::policy<> >
Chris@16: class exponential_distribution
Chris@16: {
Chris@16: public:
Chris@16:    typedef RealType value_type;
Chris@16:    typedef Policy policy_type;
Chris@16: 
Chris@16:    exponential_distribution(RealType l_lambda = 1)
Chris@16:       : m_lambda(l_lambda)
Chris@16:    {
Chris@16:       RealType err;
Chris@16:       detail::verify_lambda("boost::math::exponential_distribution<%1%>::exponential_distribution", l_lambda, &err, Policy());
Chris@16:    } // exponential_distribution
Chris@16: 
Chris@16:    RealType lambda()const { return m_lambda; }
Chris@16: 
Chris@16: private:
Chris@16:    RealType m_lambda;
Chris@16: };
Chris@16: 
Chris@16: typedef exponential_distribution<double> exponential;
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline const std::pair<RealType, RealType> range(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: { // Range of permissible values for random variable x.
Chris@16:   if (std::numeric_limits<RealType>::has_infinity)
Chris@16:   { 
Chris@16:     return std::pair<RealType, RealType>(static_cast<RealType>(0), std::numeric_limits<RealType>::infinity()); // 0 to + infinity.
Chris@16:   }
Chris@16:   else
Chris@16:   {
Chris@16:    using boost::math::tools::max_value;
Chris@16:    return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // 0 to + max
Chris@16:   }
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline const std::pair<RealType, RealType> support(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: { // Range of supported values for random variable x.
Chris@16:    // This is range where cdf rises from 0 to 1, and outside it, the pdf is zero.
Chris@16:    using boost::math::tools::max_value;
Chris@16:    using boost::math::tools::min_value;
Chris@16:    return std::pair<RealType, RealType>(min_value<RealType>(),  max_value<RealType>());
Chris@16:    // min_value<RealType>() to avoid a discontinuity at x = 0.
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType pdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
Chris@16: {
Chris@16:    BOOST_MATH_STD_USING // for ADL of std functions
Chris@16: 
Chris@16:    static const char* function = "boost::math::pdf(const exponential_distribution<%1%>&, %1%)";
Chris@16: 
Chris@16:    RealType lambda = dist.lambda();
Chris@16:    RealType result = 0;
Chris@16:    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    if(0 == detail::verify_exp_x(function, x, &result, Policy()))
Chris@16:       return result;
Chris@101:    // Workaround for VC11/12 bug:
Chris@101:    if ((boost::math::isinf)(x))
Chris@101: 	   return 0;
Chris@16:    result = lambda * exp(-lambda * x);
Chris@16:    return result;
Chris@16: } // pdf
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType cdf(const exponential_distribution<RealType, Policy>& dist, const RealType& x)
Chris@16: {
Chris@16:    BOOST_MATH_STD_USING // for ADL of std functions
Chris@16: 
Chris@16:    static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
Chris@16: 
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = dist.lambda();
Chris@16:    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    if(0 == detail::verify_exp_x(function, x, &result, Policy()))
Chris@16:       return result;
Chris@16:    result = -boost::math::expm1(-x * lambda, Policy());
Chris@16: 
Chris@16:    return result;
Chris@16: } // cdf
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType quantile(const exponential_distribution<RealType, Policy>& dist, const RealType& p)
Chris@16: {
Chris@16:    BOOST_MATH_STD_USING // for ADL of std functions
Chris@16: 
Chris@16:    static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
Chris@16: 
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = dist.lambda();
Chris@16:    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    if(0 == detail::check_probability(function, p, &result, Policy()))
Chris@16:       return result;
Chris@16: 
Chris@16:    if(p == 0)
Chris@16:       return 0;
Chris@16:    if(p == 1)
Chris@16:       return policies::raise_overflow_error<RealType>(function, 0, Policy());
Chris@16: 
Chris@16:    result = -boost::math::log1p(-p, Policy()) / lambda;
Chris@16:    return result;
Chris@16: } // quantile
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType cdf(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
Chris@16: {
Chris@16:    BOOST_MATH_STD_USING // for ADL of std functions
Chris@16: 
Chris@16:    static const char* function = "boost::math::cdf(const exponential_distribution<%1%>&, %1%)";
Chris@16: 
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = c.dist.lambda();
Chris@16:    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    if(0 == detail::verify_exp_x(function, c.param, &result, Policy()))
Chris@16:       return result;
Chris@101:    // Workaround for VC11/12 bug:
Chris@101:    if (c.param >= tools::max_value<RealType>())
Chris@101: 	   return 0;
Chris@16:    result = exp(-c.param * lambda);
Chris@16: 
Chris@16:    return result;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType quantile(const complemented2_type<exponential_distribution<RealType, Policy>, RealType>& c)
Chris@16: {
Chris@16:    BOOST_MATH_STD_USING // for ADL of std functions
Chris@16: 
Chris@16:    static const char* function = "boost::math::quantile(const exponential_distribution<%1%>&, %1%)";
Chris@16: 
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = c.dist.lambda();
Chris@16:    if(0 == detail::verify_lambda(function, lambda, &result, Policy()))
Chris@16:       return result;
Chris@16: 
Chris@16:    RealType q = c.param;
Chris@16:    if(0 == detail::check_probability(function, q, &result, Policy()))
Chris@16:       return result;
Chris@16: 
Chris@16:    if(q == 1)
Chris@16:       return 0;
Chris@16:    if(q == 0)
Chris@16:       return policies::raise_overflow_error<RealType>(function, 0, Policy());
Chris@16: 
Chris@16:    result = -log(q) / lambda;
Chris@16:    return result;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType mean(const exponential_distribution<RealType, Policy>& dist)
Chris@16: {
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = dist.lambda();
Chris@16:    if(0 == detail::verify_lambda("boost::math::mean(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    return 1 / lambda;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType standard_deviation(const exponential_distribution<RealType, Policy>& dist)
Chris@16: {
Chris@16:    RealType result = 0;
Chris@16:    RealType lambda = dist.lambda();
Chris@16:    if(0 == detail::verify_lambda("boost::math::standard_deviation(const exponential_distribution<%1%>&)", lambda, &result, Policy()))
Chris@16:       return result;
Chris@16:    return 1 / lambda;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType mode(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: {
Chris@16:    return 0;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType median(const exponential_distribution<RealType, Policy>& dist)
Chris@16: {
Chris@16:    using boost::math::constants::ln_two;
Chris@16:    return ln_two<RealType>() / dist.lambda(); // ln(2) / lambda
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType skewness(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: {
Chris@16:    return 2;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType kurtosis(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: {
Chris@16:    return 9;
Chris@16: }
Chris@16: 
Chris@16: template <class RealType, class Policy>
Chris@16: inline RealType kurtosis_excess(const exponential_distribution<RealType, Policy>& /*dist*/)
Chris@16: {
Chris@16:    return 6;
Chris@16: }
Chris@16: 
Chris@16: } // namespace math
Chris@16: } // namespace boost
Chris@16: 
Chris@16: #ifdef BOOST_MSVC
Chris@16: # pragma warning(pop)
Chris@16: #endif
Chris@16: 
Chris@16: // This include must be at the end, *after* the accessors
Chris@16: // for this distribution have been defined, in order to
Chris@16: // keep compilers that support two-phase lookup happy.
Chris@16: #include <boost/math/distributions/detail/derived_accessors.hpp>
Chris@16: 
Chris@16: #endif // BOOST_STATS_EXPONENTIAL_HPP