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Diffstat (limited to 'src/main/java/org/apache/commons/math3/distribution/CauchyDistribution.java')
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diff --git a/src/main/java/org/apache/commons/math3/distribution/CauchyDistribution.java b/src/main/java/org/apache/commons/math3/distribution/CauchyDistribution.java new file mode 100644 index 0000000..8c235ea --- /dev/null +++ b/src/main/java/org/apache/commons/math3/distribution/CauchyDistribution.java @@ -0,0 +1,251 @@ +/* + * 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; + } +} |