// 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_WEIBULL_HPP | |
#define BOOST_STATS_WEIBULL_HPP | |
// http://www.itl.nist.gov/div898/handbook/eda/section3/eda3668.htm | |
// http://mathworld.wolfram.com/WeibullDistribution.html | |
#include <boost/math/distributions/fwd.hpp> | |
#include <boost/math/special_functions/gamma.hpp> | |
#include <boost/math/special_functions/log1p.hpp> | |
#include <boost/math/special_functions/expm1.hpp> | |
#include <boost/math/distributions/detail/common_error_handling.hpp> | |
#include <boost/math/distributions/complement.hpp> | |
#include <utility> | |
namespace boost{ namespace math | |
{ | |
namespace detail{ | |
template <class RealType, class Policy> | |
inline bool check_weibull_shape( | |
const char* function, | |
RealType shape, | |
RealType* result, const Policy& pol) | |
{ | |
if((shape < 0) || !(boost::math::isfinite)(shape)) | |
{ | |
*result = policies::raise_domain_error<RealType>( | |
function, | |
"Shape parameter is %1%, but must be > 0 !", shape, pol); | |
return false; | |
} | |
return true; | |
} | |
template <class RealType, class Policy> | |
inline bool check_weibull_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; | |
} | |
template <class RealType, class Policy> | |
inline bool check_weibull( | |
const char* function, | |
RealType scale, | |
RealType shape, | |
RealType* result, const Policy& pol) | |
{ | |
return check_scale(function, scale, result, pol) && check_weibull_shape(function, shape, result, pol); | |
} | |
} // namespace detail | |
template <class RealType = double, class Policy = policies::policy<> > | |
class weibull_distribution | |
{ | |
public: | |
typedef RealType value_type; | |
typedef Policy policy_type; | |
weibull_distribution(RealType shape, RealType scale = 1) | |
: m_shape(shape), m_scale(scale) | |
{ | |
RealType result; | |
detail::check_weibull("boost::math::weibull_distribution<%1%>::weibull_distribution", scale, shape, &result, Policy()); | |
} | |
RealType shape()const | |
{ | |
return m_shape; | |
} | |
RealType scale()const | |
{ | |
return m_scale; | |
} | |
private: | |
// | |
// Data members: | |
// | |
RealType m_shape; // distribution shape | |
RealType m_scale; // distribution scale | |
}; | |
typedef weibull_distribution<double> weibull; | |
template <class RealType, class Policy> | |
inline const std::pair<RealType, RealType> range(const weibull_distribution<RealType, Policy>& /*dist*/) | |
{ // Range of permissible values for random variable x. | |
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 weibull_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; | |
using boost::math::tools::min_value; | |
return std::pair<RealType, RealType>(min_value<RealType>(), max_value<RealType>()); | |
// A discontinuity at x == 0, so only support down to min_value. | |
} | |
template <class RealType, class Policy> | |
inline RealType pdf(const weibull_distribution<RealType, Policy>& dist, const RealType& x) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::pdf(const weibull_distribution<%1%>, %1%)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
if(false == detail::check_weibull_x(function, x, &result, Policy())) | |
return result; | |
if(x == 0) | |
{ // Special case, but x == min, pdf = 1 for shape = 1, | |
return 0; | |
} | |
result = exp(-pow(x / scale, shape)); | |
result *= pow(x / scale, shape) * shape / x; | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType cdf(const weibull_distribution<RealType, Policy>& dist, const RealType& x) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::cdf(const weibull_distribution<%1%>, %1%)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
if(false == detail::check_weibull_x(function, x, &result, Policy())) | |
return result; | |
result = -boost::math::expm1(-pow(x / scale, shape), Policy()); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType quantile(const weibull_distribution<RealType, Policy>& dist, const RealType& p) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::quantile(const weibull_distribution<%1%>, %1%)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
if(false == detail::check_probability(function, p, &result, Policy())) | |
return result; | |
if(p == 1) | |
return policies::raise_overflow_error<RealType>(function, 0, Policy()); | |
result = scale * pow(-boost::math::log1p(-p, Policy()), 1 / shape); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType cdf(const complemented2_type<weibull_distribution<RealType, Policy>, RealType>& c) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::cdf(const weibull_distribution<%1%>, %1%)"; | |
RealType shape = c.dist.shape(); | |
RealType scale = c.dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
if(false == detail::check_weibull_x(function, c.param, &result, Policy())) | |
return result; | |
result = exp(-pow(c.param / scale, shape)); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType quantile(const complemented2_type<weibull_distribution<RealType, Policy>, RealType>& c) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::quantile(const weibull_distribution<%1%>, %1%)"; | |
RealType shape = c.dist.shape(); | |
RealType scale = c.dist.scale(); | |
RealType q = c.param; | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
if(false == detail::check_probability(function, q, &result, Policy())) | |
return result; | |
if(q == 0) | |
return policies::raise_overflow_error<RealType>(function, 0, Policy()); | |
result = scale * pow(-log(q), 1 / shape); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType mean(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::mean(const weibull_distribution<%1%>)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
result = scale * boost::math::tgamma(1 + 1 / shape, Policy()); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType variance(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
static const char* function = "boost::math::variance(const weibull_distribution<%1%>)"; | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
{ | |
return result; | |
} | |
result = boost::math::tgamma(1 + 1 / shape, Policy()); | |
result *= -result; | |
result += boost::math::tgamma(1 + 2 / shape, Policy()); | |
result *= scale * scale; | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType mode(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std function pow. | |
static const char* function = "boost::math::mode(const weibull_distribution<%1%>)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
{ | |
return result; | |
} | |
if(shape <= 1) | |
return 0; | |
result = scale * pow((shape - 1) / shape, 1 / shape); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType median(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std function pow. | |
static const char* function = "boost::math::median(const weibull_distribution<%1%>)"; | |
RealType shape = dist.shape(); // Wikipedia k | |
RealType scale = dist.scale(); // Wikipedia lambda | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
{ | |
return result; | |
} | |
using boost::math::constants::ln_two; | |
result = scale * pow(ln_two<RealType>(), 1 / shape); | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType skewness(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::skewness(const weibull_distribution<%1%>)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
{ | |
return result; | |
} | |
RealType g1, g2, g3, d; | |
g1 = boost::math::tgamma(1 + 1 / shape, Policy()); | |
g2 = boost::math::tgamma(1 + 2 / shape, Policy()); | |
g3 = boost::math::tgamma(1 + 3 / shape, Policy()); | |
d = pow(g2 - g1 * g1, RealType(1.5)); | |
result = (2 * g1 * g1 * g1 - 3 * g1 * g2 + g3) / d; | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType kurtosis_excess(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
BOOST_MATH_STD_USING // for ADL of std functions | |
static const char* function = "boost::math::kurtosis_excess(const weibull_distribution<%1%>)"; | |
RealType shape = dist.shape(); | |
RealType scale = dist.scale(); | |
RealType result; | |
if(false == detail::check_weibull(function, scale, shape, &result, Policy())) | |
return result; | |
RealType g1, g2, g3, g4, d, g1_2, g1_4; | |
g1 = boost::math::tgamma(1 + 1 / shape, Policy()); | |
g2 = boost::math::tgamma(1 + 2 / shape, Policy()); | |
g3 = boost::math::tgamma(1 + 3 / shape, Policy()); | |
g4 = boost::math::tgamma(1 + 4 / shape, Policy()); | |
g1_2 = g1 * g1; | |
g1_4 = g1_2 * g1_2; | |
d = g2 - g1_2; | |
d *= d; | |
result = -6 * g1_4 + 12 * g1_2 * g2 - 3 * g2 * g2 - 4 * g1 * g3 + g4; | |
result /= d; | |
return result; | |
} | |
template <class RealType, class Policy> | |
inline RealType kurtosis(const weibull_distribution<RealType, Policy>& dist) | |
{ | |
return kurtosis_excess(dist) + 3; | |
} | |
} // 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_WEIBULL_HPP | |