Added boost header

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

@@ -0,0 +1,387 @@
+//  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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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 = 0;
+   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
+
+