// boost\math\distributions\geometric.hpp | |
// Copyright John Maddock 2010. | |
// Copyright Paul A. Bristow 2010. | |
// 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) | |
// geometric distribution is a discrete probability distribution. | |
// It expresses the probability distribution of the number (k) of | |
// events, occurrences, failures or arrivals before the first success. | |
// supported on the set {0, 1, 2, 3...} | |
// Note that the set includes zero (unlike some definitions that start at one). | |
// The random variate k is the number of events, occurrences or arrivals. | |
// k argument may be integral, signed, or unsigned, or floating point. | |
// If necessary, it has already been promoted from an integral type. | |
// Note that the geometric distribution | |
// (like others including the binomial, geometric & Bernoulli) | |
// is strictly defined as a discrete function: | |
// only integral values of k are envisaged. | |
// However because the method of calculation uses a continuous gamma function, | |
// it is convenient to treat it as if a continous function, | |
// and permit non-integral values of k. | |
// To enforce the strict mathematical model, users should use floor or ceil functions | |
// on k outside this function to ensure that k is integral. | |
// See http://en.wikipedia.org/wiki/geometric_distribution | |
// http://documents.wolfram.com/v5/Add-onsLinks/StandardPackages/Statistics/DiscreteDistributions.html | |
// http://mathworld.wolfram.com/GeometricDistribution.html | |
#ifndef BOOST_MATH_SPECIAL_GEOMETRIC_HPP | |
#define BOOST_MATH_SPECIAL_GEOMETRIC_HPP | |
#include <boost/math/distributions/fwd.hpp> | |
#include <boost/math/special_functions/beta.hpp> // for ibeta(a, b, x) == Ix(a, b). | |
#include <boost/math/distributions/complement.hpp> // complement. | |
#include <boost/math/distributions/detail/common_error_handling.hpp> // error checks domain_error & logic_error. | |
#include <boost/math/special_functions/fpclassify.hpp> // isnan. | |
#include <boost/math/tools/roots.hpp> // for root finding. | |
#include <boost/math/distributions/detail/inv_discrete_quantile.hpp> | |
#include <boost/type_traits/is_floating_point.hpp> | |
#include <boost/type_traits/is_integral.hpp> | |
#include <boost/type_traits/is_same.hpp> | |
#include <boost/mpl/if.hpp> | |
#include <limits> // using std::numeric_limits; | |
#include <utility> | |
#if defined (BOOST_MSVC) | |
# pragma warning(push) | |
// This believed not now necessary, so commented out. | |
//# pragma warning(disable: 4702) // unreachable code. | |
// in domain_error_imp in error_handling. | |
#endif | |
namespace boost | |
{ | |
namespace math | |
{ | |
namespace geometric_detail | |
{ | |
// Common error checking routines for geometric distribution function: | |
template <class RealType, class Policy> | |
inline bool check_success_fraction(const char* function, const RealType& p, RealType* result, const Policy& pol) | |
{ | |
if( !(boost::math::isfinite)(p) || (p < 0) || (p > 1) ) | |
{ | |
*result = policies::raise_domain_error<RealType>( | |
function, | |
"Success fraction argument is %1%, but must be >= 0 and <= 1 !", p, pol); | |
return false; | |
} | |
return true; | |
} | |
template <class RealType, class Policy> | |
inline bool check_dist(const char* function, const RealType& p, RealType* result, const Policy& pol) | |
{ | |
return check_success_fraction(function, p, result, pol); | |
} | |
template <class RealType, class Policy> | |
inline bool check_dist_and_k(const char* function, const RealType& p, RealType k, RealType* result, const Policy& pol) | |
{ | |
if(check_dist(function, p, result, pol) == false) | |
{ | |
return false; | |
} | |
if( !(boost::math::isfinite)(k) || (k < 0) ) | |
{ // Check k failures. | |
*result = policies::raise_domain_error<RealType>( | |
function, | |
"Number of failures argument is %1%, but must be >= 0 !", k, pol); | |
return false; | |
} | |
return true; | |
} // Check_dist_and_k | |
template <class RealType, class Policy> | |
inline bool check_dist_and_prob(const char* function, RealType p, RealType prob, RealType* result, const Policy& pol) | |
{ | |
if(check_dist(function, p, result, pol) && detail::check_probability(function, prob, result, pol) == false) | |
{ | |
return false; | |
} | |
return true; | |
} // check_dist_and_prob | |
} // namespace geometric_detail | |
template <class RealType = double, class Policy = policies::policy<> > | |
class geometric_distribution | |
{ | |
public: | |
typedef RealType value_type; | |
typedef Policy policy_type; | |
geometric_distribution(RealType p) : m_p(p) | |
{ // Constructor stores success_fraction p. | |
RealType result; | |
geometric_detail::check_dist( | |
"geometric_distribution<%1%>::geometric_distribution", | |
m_p, // Check success_fraction 0 <= p <= 1. | |
&result, Policy()); | |
} // geometric_distribution constructor. | |
// Private data getter class member functions. | |
RealType success_fraction() const | |
{ // Probability of success as fraction in range 0 to 1. | |
return m_p; | |
} | |
RealType successes() const | |
{ // Total number of successes r = 1 (for compatibility with negative binomial?). | |
return 1; | |
} | |
// Parameter estimation. | |
// (These are copies of negative_binomial distribution with successes = 1). | |
static RealType find_lower_bound_on_p( | |
RealType trials, | |
RealType alpha) // alpha 0.05 equivalent to 95% for one-sided test. | |
{ | |
static const char* function = "boost::math::geometric<%1%>::find_lower_bound_on_p"; | |
RealType result; // of error checks. | |
RealType successes = 1; | |
RealType failures = trials - successes; | |
if(false == detail::check_probability(function, alpha, &result, Policy()) | |
&& geometric_detail::check_dist_and_k( | |
function, RealType(0), failures, &result, Policy())) | |
{ | |
return result; | |
} | |
// Use complement ibeta_inv function for lower bound. | |
// This is adapted from the corresponding binomial formula | |
// here: http://www.itl.nist.gov/div898/handbook/prc/section2/prc241.htm | |
// This is a Clopper-Pearson interval, and may be overly conservative, | |
// see also "A Simple Improved Inferential Method for Some | |
// Discrete Distributions" Yong CAI and K. KRISHNAMOORTHY | |
// http://www.ucs.louisiana.edu/~kxk4695/Discrete_new.pdf | |
// | |
return ibeta_inv(successes, failures + 1, alpha, static_cast<RealType*>(0), Policy()); | |
} // find_lower_bound_on_p | |
static RealType find_upper_bound_on_p( | |
RealType trials, | |
RealType alpha) // alpha 0.05 equivalent to 95% for one-sided test. | |
{ | |
static const char* function = "boost::math::geometric<%1%>::find_upper_bound_on_p"; | |
RealType result; // of error checks. | |
RealType successes = 1; | |
RealType failures = trials - successes; | |
if(false == geometric_detail::check_dist_and_k( | |
function, RealType(0), failures, &result, Policy()) | |
&& detail::check_probability(function, alpha, &result, Policy())) | |
{ | |
return result; | |
} | |
if(failures == 0) | |
{ | |
return 1; | |
}// Use complement ibetac_inv function for upper bound. | |
// Note adjusted failures value: *not* failures+1 as usual. | |
// This is adapted from the corresponding binomial formula | |
// here: http://www.itl.nist.gov/div898/handbook/prc/section2/prc241.htm | |
// This is a Clopper-Pearson interval, and may be overly conservative, | |
// see also "A Simple Improved Inferential Method for Some | |
// Discrete Distributions" Yong CAI and K. Krishnamoorthy | |
// http://www.ucs.louisiana.edu/~kxk4695/Discrete_new.pdf | |
// | |
return ibetac_inv(successes, failures, alpha, static_cast<RealType*>(0), Policy()); | |
} // find_upper_bound_on_p | |
// Estimate number of trials : | |
// "How many trials do I need to be P% sure of seeing k or fewer failures?" | |
static RealType find_minimum_number_of_trials( | |
RealType k, // number of failures (k >= 0). | |
RealType p, // success fraction 0 <= p <= 1. | |
RealType alpha) // risk level threshold 0 <= alpha <= 1. | |
{ | |
static const char* function = "boost::math::geometric<%1%>::find_minimum_number_of_trials"; | |
// Error checks: | |
RealType result; | |
if(false == geometric_detail::check_dist_and_k( | |
function, p, k, &result, Policy()) | |
&& detail::check_probability(function, alpha, &result, Policy())) | |
{ | |
return result; | |
} | |
result = ibeta_inva(k + 1, p, alpha, Policy()); // returns n - k | |
return result + k; | |
} // RealType find_number_of_failures | |
static RealType find_maximum_number_of_trials( | |
RealType k, // number of failures (k >= 0). | |
RealType p, // success fraction 0 <= p <= 1. | |
RealType alpha) // risk level threshold 0 <= alpha <= 1. | |
{ | |
static const char* function = "boost::math::geometric<%1%>::find_maximum_number_of_trials"; | |
// Error checks: | |
RealType result; | |
if(false == geometric_detail::check_dist_and_k( | |
function, p, k, &result, Policy()) | |
&& detail::check_probability(function, alpha, &result, Policy())) | |
{ | |
return result; | |
} | |
result = ibetac_inva(k + 1, p, alpha, Policy()); // returns n - k | |
return result + k; | |
} // RealType find_number_of_trials complemented | |
private: | |
//RealType m_r; // successes fixed at unity. | |
RealType m_p; // success_fraction | |
}; // template <class RealType, class Policy> class geometric_distribution | |
typedef geometric_distribution<double> geometric; // Reserved name of type double. | |
template <class RealType, class Policy> | |
inline const std::pair<RealType, RealType> range(const geometric_distribution<RealType, Policy>& /* dist */) | |
{ // Range of permissible values for random variable k. | |
using boost::math::tools::max_value; | |
return std::pair<RealType, RealType>(static_cast<RealType>(0), max_value<RealType>()); // max_integer? | |
} | |
template <class RealType, class Policy> | |
inline const std::pair<RealType, RealType> support(const geometric_distribution<RealType, Policy>& /* dist */) | |
{ // Range of supported values for random variable k. | |
// 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>()); // max_integer? | |
} | |
template <class RealType, class Policy> | |
inline RealType mean(const geometric_distribution<RealType, Policy>& dist) | |
{ // Mean of geometric distribution = (1-p)/p. | |
return (1 - dist.success_fraction() ) / dist.success_fraction(); | |
} // mean | |
// median implemented via quantile(half) in derived accessors. | |
template <class RealType, class Policy> | |
inline RealType mode(const geometric_distribution<RealType, Policy>&) | |
{ // Mode of geometric distribution = zero. | |
BOOST_MATH_STD_USING // ADL of std functions. | |
return 0; | |
} // mode | |
template <class RealType, class Policy> | |
inline RealType variance(const geometric_distribution<RealType, Policy>& dist) | |
{ // Variance of Binomial distribution = (1-p) / p^2. | |
return (1 - dist.success_fraction()) | |
/ (dist.success_fraction() * dist.success_fraction()); | |
} // variance | |
template <class RealType, class Policy> | |
inline RealType skewness(const geometric_distribution<RealType, Policy>& dist) | |
{ // skewness of geometric distribution = 2-p / (sqrt(r(1-p)) | |
BOOST_MATH_STD_USING // ADL of std functions. | |
RealType p = dist.success_fraction(); | |
return (2 - p) / sqrt(1 - p); | |
} // skewness | |
template <class RealType, class Policy> | |
inline RealType kurtosis(const geometric_distribution<RealType, Policy>& dist) | |
{ // kurtosis of geometric distribution | |
// http://en.wikipedia.org/wiki/geometric is kurtosis_excess so add 3 | |
RealType p = dist.success_fraction(); | |
return 3 + (p*p - 6*p + 6) / (1 - p); | |
} // kurtosis | |
template <class RealType, class Policy> | |
inline RealType kurtosis_excess(const geometric_distribution<RealType, Policy>& dist) | |
{ // kurtosis excess of geometric distribution | |
// http://mathworld.wolfram.com/Kurtosis.html table of kurtosis_excess | |
RealType p = dist.success_fraction(); | |
return (p*p - 6*p + 6) / (1 - p); | |
} // kurtosis_excess | |
// RealType standard_deviation(const geometric_distribution<RealType, Policy>& dist) | |
// standard_deviation provided by derived accessors. | |
// RealType hazard(const geometric_distribution<RealType, Policy>& dist) | |
// hazard of geometric distribution provided by derived accessors. | |
// RealType chf(const geometric_distribution<RealType, Policy>& dist) | |
// chf of geometric distribution provided by derived accessors. | |
template <class RealType, class Policy> | |
inline RealType pdf(const geometric_distribution<RealType, Policy>& dist, const RealType& k) | |
{ // Probability Density/Mass Function. | |
BOOST_FPU_EXCEPTION_GUARD | |
BOOST_MATH_STD_USING // For ADL of math functions. | |
static const char* function = "boost::math::pdf(const geometric_distribution<%1%>&, %1%)"; | |
RealType p = dist.success_fraction(); | |
RealType result; | |
if(false == geometric_detail::check_dist_and_k( | |
function, | |
p, | |
k, | |
&result, Policy())) | |
{ | |
return result; | |
} | |
if (k == 0) | |
{ | |
return p; // success_fraction | |
} | |
RealType q = 1 - p; // Inaccurate for small p? | |
// So try to avoid inaccuracy for large or small p. | |
// but has little effect > last significant bit. | |
//cout << "p * pow(q, k) " << result << endl; // seems best whatever p | |
//cout << "exp(p * k * log1p(-p)) " << p * exp(k * log1p(-p)) << endl; | |
//if (p < 0.5) | |
//{ | |
// result = p * pow(q, k); | |
//} | |
//else | |
//{ | |
// result = p * exp(k * log1p(-p)); | |
//} | |
result = p * pow(q, k); | |
return result; | |
} // geometric_pdf | |
template <class RealType, class Policy> | |
inline RealType cdf(const geometric_distribution<RealType, Policy>& dist, const RealType& k) | |
{ // Cumulative Distribution Function of geometric. | |
static const char* function = "boost::math::cdf(const geometric_distribution<%1%>&, %1%)"; | |
// k argument may be integral, signed, or unsigned, or floating point. | |
// If necessary, it has already been promoted from an integral type. | |
RealType p = dist.success_fraction(); | |
// Error check: | |
RealType result; | |
if(false == geometric_detail::check_dist_and_k( | |
function, | |
p, | |
k, | |
&result, Policy())) | |
{ | |
return result; | |
} | |
if(k == 0) | |
{ | |
return p; // success_fraction | |
} | |
//RealType q = 1 - p; // Bad for small p | |
//RealType probability = 1 - std::pow(q, k+1); | |
RealType z = boost::math::log1p(-p) * (k+1); | |
RealType probability = -boost::math::expm1(z); | |
return probability; | |
} // cdf Cumulative Distribution Function geometric. | |
template <class RealType, class Policy> | |
inline RealType cdf(const complemented2_type<geometric_distribution<RealType, Policy>, RealType>& c) | |
{ // Complemented Cumulative Distribution Function geometric. | |
BOOST_MATH_STD_USING | |
static const char* function = "boost::math::cdf(const geometric_distribution<%1%>&, %1%)"; | |
// k argument may be integral, signed, or unsigned, or floating point. | |
// If necessary, it has already been promoted from an integral type. | |
RealType const& k = c.param; | |
geometric_distribution<RealType, Policy> const& dist = c.dist; | |
RealType p = dist.success_fraction(); | |
// Error check: | |
RealType result; | |
if(false == geometric_detail::check_dist_and_k( | |
function, | |
p, | |
k, | |
&result, Policy())) | |
{ | |
return result; | |
} | |
RealType z = boost::math::log1p(-p) * (k+1); | |
RealType probability = exp(z); | |
return probability; | |
} // cdf Complemented Cumulative Distribution Function geometric. | |
template <class RealType, class Policy> | |
inline RealType quantile(const geometric_distribution<RealType, Policy>& dist, const RealType& x) | |
{ // Quantile, percentile/100 or Percent Point geometric function. | |
// Return the number of expected failures k for a given probability p. | |
// Inverse cumulative Distribution Function or Quantile (percentile / 100) of geometric Probability. | |
// k argument may be integral, signed, or unsigned, or floating point. | |
static const char* function = "boost::math::quantile(const geometric_distribution<%1%>&, %1%)"; | |
BOOST_MATH_STD_USING // ADL of std functions. | |
RealType success_fraction = dist.success_fraction(); | |
// Check dist and x. | |
RealType result; | |
if(false == geometric_detail::check_dist_and_prob | |
(function, success_fraction, x, &result, Policy())) | |
{ | |
return result; | |
} | |
// Special cases. | |
if (x == 1) | |
{ // Would need +infinity failures for total confidence. | |
result = policies::raise_overflow_error<RealType>( | |
function, | |
"Probability argument is 1, which implies infinite failures !", Policy()); | |
return result; | |
// usually means return +std::numeric_limits<RealType>::infinity(); | |
// unless #define BOOST_MATH_THROW_ON_OVERFLOW_ERROR | |
} | |
if (x == 0) | |
{ // No failures are expected if P = 0. | |
return 0; // Total trials will be just dist.successes. | |
} | |
// if (P <= pow(dist.success_fraction(), 1)) | |
if (x <= success_fraction) | |
{ // p <= pdf(dist, 0) == cdf(dist, 0) | |
return 0; | |
} | |
if (x == 1) | |
{ | |
return 0; | |
} | |
// log(1-x) /log(1-success_fraction) -1; but use log1p in case success_fraction is small | |
result = boost::math::log1p(-x) / boost::math::log1p(-success_fraction) -1; | |
// Subtract a few epsilons here too? | |
// to make sure it doesn't slip over, so ceil would be one too many. | |
return result; | |
} // RealType quantile(const geometric_distribution dist, p) | |
template <class RealType, class Policy> | |
inline RealType quantile(const complemented2_type<geometric_distribution<RealType, Policy>, RealType>& c) | |
{ // Quantile or Percent Point Binomial function. | |
// Return the number of expected failures k for a given | |
// complement of the probability Q = 1 - P. | |
static const char* function = "boost::math::quantile(const geometric_distribution<%1%>&, %1%)"; | |
BOOST_MATH_STD_USING | |
// Error checks: | |
RealType x = c.param; | |
const geometric_distribution<RealType, Policy>& dist = c.dist; | |
RealType success_fraction = dist.success_fraction(); | |
RealType result; | |
if(false == geometric_detail::check_dist_and_prob( | |
function, | |
success_fraction, | |
x, | |
&result, Policy())) | |
{ | |
return result; | |
} | |
// Special cases: | |
if(x == 1) | |
{ // There may actually be no answer to this question, | |
// since the probability of zero failures may be non-zero, | |
return 0; // but zero is the best we can do: | |
} | |
if (-x <= boost::math::powm1(dist.success_fraction(), dist.successes(), Policy())) | |
{ // q <= cdf(complement(dist, 0)) == pdf(dist, 0) | |
return 0; // | |
} | |
if(x == 0) | |
{ // Probability 1 - Q == 1 so infinite failures to achieve certainty. | |
// Would need +infinity failures for total confidence. | |
result = policies::raise_overflow_error<RealType>( | |
function, | |
"Probability argument complement is 0, which implies infinite failures !", Policy()); | |
return result; | |
// usually means return +std::numeric_limits<RealType>::infinity(); | |
// unless #define BOOST_MATH_THROW_ON_OVERFLOW_ERROR | |
} | |
// log(x) /log(1-success_fraction) -1; but use log1p in case success_fraction is small | |
result = log(x) / boost::math::log1p(-success_fraction) -1; | |
return result; | |
} // quantile complement | |
} // 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> | |
#if defined (BOOST_MSVC) | |
# pragma warning(pop) | |
#endif | |
#endif // BOOST_MATH_SPECIAL_GEOMETRIC_HPP |