Added boost header

test/external/boost/math/distributions/extreme_value.hpp

@@ -0,0 +1,260 @@
+//  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_EXTREME_VALUE_HPP
+#define BOOST_STATS_EXTREME_VALUE_HPP
+
+#include <boost/math/distributions/fwd.hpp>
+#include <boost/math/constants/constants.hpp>
+#include <boost/math/special_functions/log1p.hpp>
+#include <boost/math/special_functions/expm1.hpp>
+#include <boost/math/distributions/complement.hpp>
+#include <boost/math/distributions/detail/common_error_handling.hpp>
+#include <boost/config/no_tr1/cmath.hpp>
+
+//
+// This is the maximum extreme value distribution, see
+// http://www.itl.nist.gov/div898/handbook/eda/section3/eda366g.htm
+// and http://mathworld.wolfram.com/ExtremeValueDistribution.html
+// Also known as a Fisher-Tippett distribution, a log-Weibull
+// distribution or a Gumbel distribution.
+
+#include <utility>
+
+#ifdef BOOST_MSVC
+# pragma warning(push)
+# pragma warning(disable: 4702) // unreachable code (return after domain_error throw).
+#endif
+
+namespace boost{ namespace math{
+
+namespace detail{
+//
+// Error check:
+//
+template <class RealType, class Policy>
+inline bool verify_scale_b(const char* function, RealType b, RealType* presult, const Policy& pol)
+{
+   if(b <= 0)
+   {
+      *presult = policies::raise_domain_error<RealType>(
+         function,
+         "The scale parameter \"b\" must be > 0, but was: %1%.", b, pol);
+      return false;
+   }
+   return true;
+}
+
+} // namespace detail
+
+template <class RealType = double, class Policy = policies::policy<> >
+class extreme_value_distribution
+{
+public:
+   typedef RealType value_type;
+   typedef Policy policy_type;
+
+   extreme_value_distribution(RealType a = 0, RealType b = 1)
+      : m_a(a), m_b(b)
+   {
+      RealType err;
+      detail::verify_scale_b("boost::math::extreme_value_distribution<%1%>::extreme_value_distribution", b, &err, Policy());
+   } // extreme_value_distribution
+
+   RealType location()const { return m_a; }
+   RealType scale()const { return m_b; }
+
+private:
+   RealType m_a, m_b;
+};
+
+typedef extreme_value_distribution<double> extreme_value;
+
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> range(const extreme_value_distribution<RealType, Policy>& /*dist*/)
+{ // Range of permissible values for random variable x.
+   using boost::math::tools::max_value;
+   return std::pair<RealType, RealType>(-max_value<RealType>(), max_value<RealType>());
+}
+
+template <class RealType, class Policy>
+inline const std::pair<RealType, RealType> support(const extreme_value_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;
+   return std::pair<RealType, RealType>(-max_value<RealType>(),  max_value<RealType>());
+}
+
+template <class RealType, class Policy>
+inline RealType pdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   RealType a = dist.location();
+   RealType b = dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b("boost::math::pdf(const extreme_value_distribution<%1%>&, %1%)", b, &result, Policy()))
+      return result;
+   result = exp((a-x)/b) * exp(-exp((a-x)/b)) / b;
+   return result;
+} // pdf
+
+template <class RealType, class Policy>
+inline RealType cdf(const extreme_value_distribution<RealType, Policy>& dist, const RealType& x)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   RealType a = dist.location();
+   RealType b = dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b("boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)", b, &result, Policy()))
+      return result;
+
+   result = exp(-exp((a-x)/b));
+
+   return result;
+} // cdf
+
+template <class RealType, class Policy>
+RealType quantile(const extreme_value_distribution<RealType, Policy>& dist, const RealType& p)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)";
+
+   RealType a = dist.location();
+   RealType b = dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
+      return result;
+   if(0 == detail::check_probability(function, p, &result, Policy()))
+      return result;
+
+   if(p == 0)
+      return -policies::raise_overflow_error<RealType>(function, 0, Policy());
+   if(p == 1)
+      return policies::raise_overflow_error<RealType>(function, 0, Policy());
+
+   result = a - log(-log(p)) * b;
+
+   return result;
+} // quantile
+
+template <class RealType, class Policy>
+inline RealType cdf(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   RealType a = c.dist.location();
+   RealType b = c.dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b("boost::math::cdf(const extreme_value_distribution<%1%>&, %1%)", b, &result, Policy()))
+      return result;
+
+   result = -boost::math::expm1(-exp((a-c.param)/b), Policy());
+
+   return result;
+}
+
+template <class RealType, class Policy>
+RealType quantile(const complemented2_type<extreme_value_distribution<RealType, Policy>, RealType>& c)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions
+
+   static const char* function = "boost::math::quantile(const extreme_value_distribution<%1%>&, %1%)";
+
+   RealType a = c.dist.location();
+   RealType b = c.dist.scale();
+   RealType q = c.param;
+   RealType result = 0;
+   if(0 == detail::verify_scale_b(function, b, &result, Policy()))
+      return result;
+   if(0 == detail::check_probability(function, q, &result, Policy()))
+      return result;
+
+   if(q == 0)
+      return policies::raise_overflow_error<RealType>(function, 0, Policy());
+   if(q == 1)
+      return -policies::raise_overflow_error<RealType>(function, 0, Policy());
+
+   result = a - log(-boost::math::log1p(-q, Policy())) * b;
+
+   return result;
+}
+
+template <class RealType, class Policy>
+inline RealType mean(const extreme_value_distribution<RealType, Policy>& dist)
+{
+   RealType a = dist.location();
+   RealType b = dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b("boost::math::mean(const extreme_value_distribution<%1%>&)", b, &result, Policy()))
+      return result;
+   return a + constants::euler<RealType>() * b;
+}
+
+template <class RealType, class Policy>
+inline RealType standard_deviation(const extreme_value_distribution<RealType, Policy>& dist)
+{
+   BOOST_MATH_STD_USING // for ADL of std functions.
+
+   RealType b = dist.scale();
+   RealType result = 0;
+   if(0 == detail::verify_scale_b("boost::math::standard_deviation(const extreme_value_distribution<%1%>&)", b, &result, Policy()))
+      return result;
+   return constants::pi<RealType>() * b / sqrt(static_cast<RealType>(6));
+}
+
+template <class RealType, class Policy>
+inline RealType mode(const extreme_value_distribution<RealType, Policy>& dist)
+{
+   return dist.location();
+}
+
+template <class RealType, class Policy>
+inline RealType median(const extreme_value_distribution<RealType, Policy>& dist)
+{
+  using constants::ln_ln_two;
+   return dist.location() - dist.scale() * ln_ln_two<RealType>();
+}
+
+template <class RealType, class Policy>
+inline RealType skewness(const extreme_value_distribution<RealType, Policy>& /*dist*/)
+{
+   //
+   // This is 12 * sqrt(6) * zeta(3) / pi^3:
+   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
+   //
+   return static_cast<RealType>(1.1395470994046486574927930193898461120875997958366L);
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis(const extreme_value_distribution<RealType, Policy>& /*dist*/)
+{
+   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
+   return RealType(27) / 5;
+}
+
+template <class RealType, class Policy>
+inline RealType kurtosis_excess(const extreme_value_distribution<RealType, Policy>& /*dist*/)
+{
+   // See http://mathworld.wolfram.com/ExtremeValueDistribution.html
+   return RealType(12) / 5;
+}
+
+
+} // namespace math
+} // namespace boost
+
+#ifdef BOOST_MSVC
+# pragma warning(pop)
+#endif
+
+// 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_EXTREME_VALUE_HPP