alglib 0.1.1

data/ext/alglib/ibetaf.h

@@ -0,0 +1,125 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#ifndef _ibetaf_h
+#define _ibetaf_h
+
+#include "ap.h"
+#include "ialglib.h"
+
+#include "gammaf.h"
+#include "normaldistr.h"
+
+
+/*************************************************************************
+Incomplete beta integral
+
+Returns incomplete beta integral of the arguments, evaluated
+from zero to x.  The function is defined as
+
+                 x
+    -            -
+   | (a+b)      | |  a-1     b-1
+ -----------    |   t   (1-t)   dt.
+  -     -     | |
+ | (a) | (b)   -
+                0
+
+The domain of definition is 0 <= x <= 1.  In this
+implementation a and b are restricted to positive values.
+The integral from x to 1 may be obtained by the symmetry
+relation
+
+   1 - incbet( a, b, x )  =  incbet( b, a, 1-x ).
+
+The integral is evaluated by a continued fraction expansion
+or, when b*x is small, by a power series.
+
+ACCURACY:
+
+Tested at uniformly distributed random points (a,b,x) with a and b
+in "domain" and x between 0 and 1.
+                                       Relative error
+arithmetic   domain     # trials      peak         rms
+   IEEE      0,5         10000       6.9e-15     4.5e-16
+   IEEE      0,85       250000       2.2e-13     1.7e-14
+   IEEE      0,1000      30000       5.3e-12     6.3e-13
+   IEEE      0,10000    250000       9.3e-11     7.1e-12
+   IEEE      0,100000    10000       8.7e-10     4.8e-11
+Outputs smaller than the IEEE gradual underflow threshold
+were excluded from these statistics.
+
+Cephes Math Library, Release 2.8:  June, 2000
+Copyright 1984, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double incompletebeta(double a, double b, double x);
+
+
+/*************************************************************************
+Inverse of imcomplete beta integral
+
+Given y, the function finds x such that
+
+ incbet( a, b, x ) = y .
+
+The routine performs interval halving or Newton iterations to find the
+root of incbet(a,b,x) - y = 0.
+
+
+ACCURACY:
+
+                     Relative error:
+               x     a,b
+arithmetic   domain  domain  # trials    peak       rms
+   IEEE      0,1    .5,10000   50000    5.8e-12   1.3e-13
+   IEEE      0,1   .25,100    100000    1.8e-13   3.9e-15
+   IEEE      0,1     0,5       50000    1.1e-12   5.5e-15
+With a and b constrained to half-integer or integer values:
+   IEEE      0,1    .5,10000   50000    5.8e-12   1.1e-13
+   IEEE      0,1    .5,100    100000    1.7e-14   7.9e-16
+With a = .5, b constrained to half-integer or integer values:
+   IEEE      0,1    .5,10000   10000    8.3e-11   1.0e-11
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1996, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invincompletebeta(double a, double b, double y);
+
+
+#endif

data/ext/alglib/igammaf.cpp

@@ -0,0 +1,430 @@
+/*************************************************************************
+Cephes Math Library Release 2.8:  June, 2000
+Copyright by Stephen L. Moshier
+
+Contributors:
+    * Sergey Bochkanov (ALGLIB project). Translation from C to
+      pseudocode.
+
+See subroutines comments for additional copyrights.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are
+met:
+
+- Redistributions of source code must retain the above copyright
+  notice, this list of conditions and the following disclaimer.
+
+- Redistributions in binary form must reproduce the above copyright
+  notice, this list of conditions and the following disclaimer listed
+  in this license in the documentation and/or other materials
+  provided with the distribution.
+
+- Neither the name of the copyright holders nor the names of its
+  contributors may be used to endorse or promote products derived from
+  this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+*************************************************************************/
+
+#include <stdafx.h>
+#include "igammaf.h"
+
+/*************************************************************************
+Incomplete gamma integral
+
+The function is defined by
+
+                          x
+                           -
+                  1       | |  -t  a-1
+ igam(a,x)  =   -----     |   e   t   dt.
+                 -      | |
+                | (a)    -
+                          0
+
+
+In this implementation both arguments must be positive.
+The integral is evaluated by either a power series or
+continued fraction expansion, depending on the relative
+values of a and x.
+
+ACCURACY:
+
+                     Relative error:
+arithmetic   domain     # trials      peak         rms
+   IEEE      0,30       200000       3.6e-14     2.9e-15
+   IEEE      0,100      300000       9.9e-14     1.5e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1985, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double incompletegamma(double a, double x)
+{
+    double result;
+    double igammaepsilon;
+    double ans;
+    double ax;
+    double c;
+    double r;
+    double tmp;
+
+    igammaepsilon = 0.000000000000001;
+    if( x<=0||a<=0 )
+    {
+        result = 0;
+        return result;
+    }
+    if( x>1&&x>a )
+    {
+        result = 1-incompletegammac(a, x);
+        return result;
+    }
+    ax = a*log(x)-x-lngamma(a, tmp);
+    if( ax<-709.78271289338399 )
+    {
+        result = 0;
+        return result;
+    }
+    ax = exp(ax);
+    r = a;
+    c = 1;
+    ans = 1;
+    do
+    {
+        r = r+1;
+        c = c*x/r;
+        ans = ans+c;
+    }
+    while(c/ans>igammaepsilon);
+    result = ans*ax/a;
+    return result;
+}
+
+
+/*************************************************************************
+Complemented incomplete gamma integral
+
+The function is defined by
+
+
+ igamc(a,x)   =   1 - igam(a,x)
+
+                           inf.
+                             -
+                    1       | |  -t  a-1
+              =   -----     |   e   t   dt.
+                   -      | |
+                  | (a)    -
+                            x
+
+
+In this implementation both arguments must be positive.
+The integral is evaluated by either a power series or
+continued fraction expansion, depending on the relative
+values of a and x.
+
+ACCURACY:
+
+Tested at random a, x.
+               a         x                      Relative error:
+arithmetic   domain   domain     # trials      peak         rms
+   IEEE     0.5,100   0,100      200000       1.9e-14     1.7e-15
+   IEEE     0.01,0.5  0,100      200000       1.4e-13     1.6e-15
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1985, 1987, 2000 by Stephen L. Moshier
+*************************************************************************/
+double incompletegammac(double a, double x)
+{
+    double result;
+    double igammaepsilon;
+    double igammabignumber;
+    double igammabignumberinv;
+    double ans;
+    double ax;
+    double c;
+    double yc;
+    double r;
+    double t;
+    double y;
+    double z;
+    double pk;
+    double pkm1;
+    double pkm2;
+    double qk;
+    double qkm1;
+    double qkm2;
+    double tmp;
+
+    igammaepsilon = 0.000000000000001;
+    igammabignumber = 4503599627370496.0;
+    igammabignumberinv = 2.22044604925031308085*0.0000000000000001;
+    if( x<=0||a<=0 )
+    {
+        result = 1;
+        return result;
+    }
+    if( x<1||x<a )
+    {
+        result = 1-incompletegamma(a, x);
+        return result;
+    }
+    ax = a*log(x)-x-lngamma(a, tmp);
+    if( ax<-709.78271289338399 )
+    {
+        result = 0;
+        return result;
+    }
+    ax = exp(ax);
+    y = 1-a;
+    z = x+y+1;
+    c = 0;
+    pkm2 = 1;
+    qkm2 = x;
+    pkm1 = x+1;
+    qkm1 = z*x;
+    ans = pkm1/qkm1;
+    do
+    {
+        c = c+1;
+        y = y+1;
+        z = z+2;
+        yc = y*c;
+        pk = pkm1*z-pkm2*yc;
+        qk = qkm1*z-qkm2*yc;
+        if( qk!=0 )
+        {
+            r = pk/qk;
+            t = fabs((ans-r)/r);
+            ans = r;
+        }
+        else
+        {
+            t = 1;
+        }
+        pkm2 = pkm1;
+        pkm1 = pk;
+        qkm2 = qkm1;
+        qkm1 = qk;
+        if( fabs(pk)>igammabignumber )
+        {
+            pkm2 = pkm2*igammabignumberinv;
+            pkm1 = pkm1*igammabignumberinv;
+            qkm2 = qkm2*igammabignumberinv;
+            qkm1 = qkm1*igammabignumberinv;
+        }
+    }
+    while(t>igammaepsilon);
+    result = ans*ax;
+    return result;
+}
+
+
+/*************************************************************************
+Inverse of complemented imcomplete gamma integral
+
+Given p, the function finds x such that
+
+ igamc( a, x ) = p.
+
+Starting with the approximate value
+
+        3
+ x = a t
+
+ where
+
+ t = 1 - d - ndtri(p) sqrt(d)
+
+and
+
+ d = 1/9a,
+
+the routine performs up to 10 Newton iterations to find the
+root of igamc(a,x) - p = 0.
+
+ACCURACY:
+
+Tested at random a, p in the intervals indicated.
+
+               a        p                      Relative error:
+arithmetic   domain   domain     # trials      peak         rms
+   IEEE     0.5,100   0,0.5       100000       1.0e-14     1.7e-15
+   IEEE     0.01,0.5  0,0.5       100000       9.0e-14     3.4e-15
+   IEEE    0.5,10000  0,0.5        20000       2.3e-13     3.8e-14
+
+Cephes Math Library Release 2.8:  June, 2000
+Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
+*************************************************************************/
+double invincompletegammac(double a, double y0)
+{
+    double result;
+    double igammaepsilon;
+    double iinvgammabignumber;
+    double x0;
+    double x1;
+    double x;
+    double yl;
+    double yh;
+    double y;
+    double d;
+    double lgm;
+    double dithresh;
+    int i;
+    int dir;
+    double tmp;
+
+    igammaepsilon = 0.000000000000001;
+    iinvgammabignumber = 4503599627370496.0;
+    x0 = iinvgammabignumber;
+    yl = 0;
+    x1 = 0;
+    yh = 1;
+    dithresh = 5*igammaepsilon;
+    d = 1/(9*a);
+    y = 1-d-invnormaldistribution(y0)*sqrt(d);
+    x = a*y*y*y;
+    lgm = lngamma(a, tmp);
+    i = 0;
+    while(i<10)
+    {
+        if( x>x0||x<x1 )
+        {
+            d = 0.0625;
+            break;
+        }
+        y = incompletegammac(a, x);
+        if( y<yl||y>yh )
+        {
+            d = 0.0625;
+            break;
+        }
+        if( y<y0 )
+        {
+            x0 = x;
+            yl = y;
+        }
+        else
+        {
+            x1 = x;
+            yh = y;
+        }
+        d = (a-1)*log(x)-x-lgm;
+        if( d<-709.78271289338399 )
+        {
+            d = 0.0625;
+            break;
+        }
+        d = -exp(d);
+        d = (y-y0)/d;
+        if( fabs(d/x)<igammaepsilon )
+        {
+            result = x;
+            return result;
+        }
+        x = x-d;
+        i = i+1;
+    }
+    if( x0==iinvgammabignumber )
+    {
+        if( x<=0 )
+        {
+            x = 1;
+        }
+        while(x0==iinvgammabignumber)
+        {
+            x = (1+d)*x;
+            y = incompletegammac(a, x);
+            if( y<y0 )
+            {
+                x0 = x;
+                yl = y;
+                break;
+            }
+            d = d+d;
+        }
+    }
+    d = 0.5;
+    dir = 0;
+    i = 0;
+    while(i<400)
+    {
+        x = x1+d*(x0-x1);
+        y = incompletegammac(a, x);
+        lgm = (x0-x1)/(x1+x0);
+        if( fabs(lgm)<dithresh )
+        {
+            break;
+        }
+        lgm = (y-y0)/y0;
+        if( fabs(lgm)<dithresh )
+        {
+            break;
+        }
+        if( x<=0.0 )
+        {
+            break;
+        }
+        if( y>=y0 )
+        {
+            x1 = x;
+            yh = y;
+            if( dir<0 )
+            {
+                dir = 0;
+                d = 0.5;
+            }
+            else
+            {
+                if( dir>1 )
+                {
+                    d = 0.5*d+0.5;
+                }
+                else
+                {
+                    d = (y0-yl)/(yh-yl);
+                }
+            }
+            dir = dir+1;
+        }
+        else
+        {
+            x0 = x;
+            yl = y;
+            if( dir>0 )
+            {
+                dir = 0;
+                d = 0.5;
+            }
+            else
+            {
+                if( dir<-1 )
+                {
+                    d = 0.5*d;
+                }
+                else
+                {
+                    d = (y0-yl)/(yh-yl);
+                }
+            }
+            dir = dir-1;
+        }
+        i = i+1;
+    }
+    result = x;
+    return result;
+}
+
+
+