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+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+package org.apache.commons.math3.distribution;
+
+import org.apache.commons.math3.exception.NotStrictlyPositiveException;
+import org.apache.commons.math3.exception.OutOfRangeException;
+import org.apache.commons.math3.exception.util.LocalizedFormats;
+import org.apache.commons.math3.random.RandomGenerator;
+import org.apache.commons.math3.random.Well19937c;
+import org.apache.commons.math3.util.FastMath;
+
+/**
+ * Implementation of the Cauchy distribution.
+ *
+ * @see <a href="http://en.wikipedia.org/wiki/Cauchy_distribution">Cauchy distribution
+ * (Wikipedia)</a>
+ * @see <a href="http://mathworld.wolfram.com/CauchyDistribution.html">Cauchy Distribution
+ * (MathWorld)</a>
+ * @since 1.1 (changed to concrete class in 3.0)
+ */
+public class CauchyDistribution extends AbstractRealDistribution {
+ /**
+ * Default inverse cumulative probability accuracy.
+ *
+ * @since 2.1
+ */
+ public static final double DEFAULT_INVERSE_ABSOLUTE_ACCURACY = 1e-9;
+
+ /** Serializable version identifier */
+ private static final long serialVersionUID = 8589540077390120676L;
+
+ /** The median of this distribution. */
+ private final double median;
+
+ /** The scale of this distribution. */
+ private final double scale;
+
+ /** Inverse cumulative probability accuracy */
+ private final double solverAbsoluteAccuracy;
+
+ /** Creates a Cauchy distribution with the median equal to zero and scale equal to one. */
+ public CauchyDistribution() {
+ this(0, 1);
+ }
+
+ /**
+ * Creates a Cauchy distribution using the given median and scale.
+ *
+ * <p><b>Note:</b> this constructor will implicitly create an instance of {@link Well19937c} as
+ * random generator to be used for sampling only (see {@link #sample()} and {@link
+ * #sample(int)}). In case no sampling is needed for the created distribution, it is advised to
+ * pass {@code null} as random generator via the appropriate constructors to avoid the
+ * additional initialisation overhead.
+ *
+ * @param median Median for this distribution.
+ * @param scale Scale parameter for this distribution.
+ */
+ public CauchyDistribution(double median, double scale) {
+ this(median, scale, DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
+ }
+
+ /**
+ * Creates a Cauchy distribution using the given median and scale.
+ *
+ * <p><b>Note:</b> this constructor will implicitly create an instance of {@link Well19937c} as
+ * random generator to be used for sampling only (see {@link #sample()} and {@link
+ * #sample(int)}). In case no sampling is needed for the created distribution, it is advised to
+ * pass {@code null} as random generator via the appropriate constructors to avoid the
+ * additional initialisation overhead.
+ *
+ * @param median Median for this distribution.
+ * @param scale Scale parameter for this distribution.
+ * @param inverseCumAccuracy Maximum absolute error in inverse cumulative probability estimates
+ * (defaults to {@link #DEFAULT_INVERSE_ABSOLUTE_ACCURACY}).
+ * @throws NotStrictlyPositiveException if {@code scale <= 0}.
+ * @since 2.1
+ */
+ public CauchyDistribution(double median, double scale, double inverseCumAccuracy) {
+ this(new Well19937c(), median, scale, inverseCumAccuracy);
+ }
+
+ /**
+ * Creates a Cauchy distribution.
+ *
+ * @param rng Random number generator.
+ * @param median Median for this distribution.
+ * @param scale Scale parameter for this distribution.
+ * @throws NotStrictlyPositiveException if {@code scale <= 0}.
+ * @since 3.3
+ */
+ public CauchyDistribution(RandomGenerator rng, double median, double scale) {
+ this(rng, median, scale, DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
+ }
+
+ /**
+ * Creates a Cauchy distribution.
+ *
+ * @param rng Random number generator.
+ * @param median Median for this distribution.
+ * @param scale Scale parameter for this distribution.
+ * @param inverseCumAccuracy Maximum absolute error in inverse cumulative probability estimates
+ * (defaults to {@link #DEFAULT_INVERSE_ABSOLUTE_ACCURACY}).
+ * @throws NotStrictlyPositiveException if {@code scale <= 0}.
+ * @since 3.1
+ */
+ public CauchyDistribution(
+ RandomGenerator rng, double median, double scale, double inverseCumAccuracy) {
+ super(rng);
+ if (scale <= 0) {
+ throw new NotStrictlyPositiveException(LocalizedFormats.SCALE, scale);
+ }
+ this.scale = scale;
+ this.median = median;
+ solverAbsoluteAccuracy = inverseCumAccuracy;
+ }
+
+ /** {@inheritDoc} */
+ public double cumulativeProbability(double x) {
+ return 0.5 + (FastMath.atan((x - median) / scale) / FastMath.PI);
+ }
+
+ /**
+ * Access the median.
+ *
+ * @return the median for this distribution.
+ */
+ public double getMedian() {
+ return median;
+ }
+
+ /**
+ * Access the scale parameter.
+ *
+ * @return the scale parameter for this distribution.
+ */
+ public double getScale() {
+ return scale;
+ }
+
+ /** {@inheritDoc} */
+ public double density(double x) {
+ final double dev = x - median;
+ return (1 / FastMath.PI) * (scale / (dev * dev + scale * scale));
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>Returns {@code Double.NEGATIVE_INFINITY} when {@code p == 0} and {@code
+ * Double.POSITIVE_INFINITY} when {@code p == 1}.
+ */
+ @Override
+ public double inverseCumulativeProbability(double p) throws OutOfRangeException {
+ double ret;
+ if (p < 0 || p > 1) {
+ throw new OutOfRangeException(p, 0, 1);
+ } else if (p == 0) {
+ ret = Double.NEGATIVE_INFINITY;
+ } else if (p == 1) {
+ ret = Double.POSITIVE_INFINITY;
+ } else {
+ ret = median + scale * FastMath.tan(FastMath.PI * (p - .5));
+ }
+ return ret;
+ }
+
+ /** {@inheritDoc} */
+ @Override
+ protected double getSolverAbsoluteAccuracy() {
+ return solverAbsoluteAccuracy;
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>The mean is always undefined no matter the parameters.
+ *
+ * @return mean (always Double.NaN)
+ */
+ public double getNumericalMean() {
+ return Double.NaN;
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>The variance is always undefined no matter the parameters.
+ *
+ * @return variance (always Double.NaN)
+ */
+ public double getNumericalVariance() {
+ return Double.NaN;
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>The lower bound of the support is always negative infinity no matter the parameters.
+ *
+ * @return lower bound of the support (always Double.NEGATIVE_INFINITY)
+ */
+ public double getSupportLowerBound() {
+ return Double.NEGATIVE_INFINITY;
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>The upper bound of the support is always positive infinity no matter the parameters.
+ *
+ * @return upper bound of the support (always Double.POSITIVE_INFINITY)
+ */
+ public double getSupportUpperBound() {
+ return Double.POSITIVE_INFINITY;
+ }
+
+ /** {@inheritDoc} */
+ public boolean isSupportLowerBoundInclusive() {
+ return false;
+ }
+
+ /** {@inheritDoc} */
+ public boolean isSupportUpperBoundInclusive() {
+ return false;
+ }
+
+ /**
+ * {@inheritDoc}
+ *
+ * <p>The support of this distribution is connected.
+ *
+ * @return {@code true}
+ */
+ public boolean isSupportConnected() {
+ return true;
+ }
+}