Boost C++ Libraries

boost/math/distributions/laplace.hpp

//  Copyright Thijs van den Berg, 2008.
//  Copyright John Maddock 2008.
//  Copyright Paul A. Bristow 2008.

//  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)

// This module implements the Laplace distribution.
// Weisstein, Eric W. "Laplace Distribution." From MathWorld--A Wolfram Web Resource.
// http://mathworld.wolfram.com/LaplaceDistribution.html
// http://en.wikipedia.org/wiki/Laplace_distribution
//
// Abramowitz and Stegun 1972, p 930
// http://www.math.sfu.ca/~cbm/aands/page_930.htm

#ifndef BOOST_STATS_LAPLACE_HPP
#define BOOST_STATS_LAPLACE_HPP

#include <boost/math/distributions/detail/common_error_handling.hpp>
#include <boost/math/distributions/complement.hpp>
#include <boost/math/constants/constants.hpp>
#include <limits>

namespace boost{ namespace math{

template <class RealType = double, class Policy = policies::policy<> >
class laplace_distribution
{
public:
   // ----------------------------------
   // public Types
   // ----------------------------------
   typedef RealType value_type;
   typedef Policy policy_type;

   // ----------------------------------
   // Constructor(s)
   // ----------------------------------
   laplace_distribution(RealType location = 0, RealType scale = 1)
      : m_location(location), m_scale(scale)
   {
      RealType result;
      check_parameters("boost::math::laplace_distribution<%1%>::laplace_distribution()", &result);
   }


   // ----------------------------------
   // Public functions
   // ----------------------------------

   RealType location() const
   {
      return m_location;
   }

   RealType scale() const
   {
      return m_scale;
   }

   bool check_parameters(const char* function, RealType* result) const
   {
         if(false == detail::check_scale(function, m_scale, result, Policy())) return false;
         if(false == detail::check_location(function, m_location, result, Policy())) return false;
         return true;
   }


private:
   RealType m_location;
   RealType m_scale;

}; // class laplace_distribution



//
// Convenient type synonym
//
typedef laplace_distribution<double> laplace;

//
// Non member functions
//
template <class RealType, class Policy>
inline const std::pair<RealType, RealType> range(const laplace_distribution<RealType, Policy>&)
{
   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 laplace_distribution<RealType, Policy>&)
{
   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 laplace_distribution<RealType, Policy>& dist, const RealType& x)
{
   BOOST_MATH_STD_USING // for ADL of std functions

   // Checking function argument
   RealType result;
   const char* function = "boost::math::pdf(const laplace_distribution<%1%>&, %1%))";
   if (false == dist.check_parameters(function, &result)) return result;
   if (false == detail::check_x(function, x, &result, Policy())) return result;

   // Special pdf values
   if((boost::math::isinf)(x))
      return 0; // pdf + and - infinity is zero.

   // General case
   RealType scale( dist.scale() );
   RealType location( dist.location() );

   RealType exponent = x - location;
   if (exponent>0) exponent = -exponent;
   exponent /= scale;

   result = exp(exponent);
   result /= 2 * scale;

   return result;
} // pdf

template <class RealType, class Policy>
inline RealType cdf(const laplace_distribution<RealType, Policy>& dist, const RealType& x)
{
   BOOST_MATH_STD_USING  // for ADL of std functions

   // Checking function argument
   RealType result;
   const char* function = "boost::math::cdf(const laplace_distribution<%1%>&, %1%)";
   if (false == dist.check_parameters(function, &result)) return result;
   if (false == detail::check_x(function, x, &result, Policy())) return result;

   // Special cdf values
   if((boost::math::isinf)(x))
   {
     if(x < 0) return 0; // -infinity
     return 1; // + infinity
   }

   // General cdf  values
   RealType scale( dist.scale() );
   RealType location( dist.location() );

   if (x < location)
      result = exp( (x-location)/scale )/2;
   else
      result = 1 - exp( (location-x)/scale )/2;

   return result;
} // cdf


template <class RealType, class Policy>
inline RealType quantile(const laplace_distribution<RealType, Policy>& dist, const RealType& p)
{
   BOOST_MATH_STD_USING // for ADL of std functions

   // Checking function argument
   RealType result;
   const char* function = "boost::math::quantile(const laplace_distribution<%1%>&, %1%)";
   if (false == dist.check_parameters(function, &result)) return result;
   if(false == detail::check_probability(function, p, &result, Policy())) return result;

   // extreme values
   if(p == 0) return -std::numeric_limits<RealType>::infinity();
   if(p == 1) return std::numeric_limits<RealType>::infinity();

   // Calculate Quantile
   RealType scale( dist.scale() );
   RealType location( dist.location() );

   if (p - 0.5 < 0.0)
      result = location + scale*log( static_cast<RealType>(p*2) );
   else
      result = location - scale*log( static_cast<RealType>(-p*2 + 2) );

   return result;
} // quantile


template <class RealType, class Policy>
inline RealType cdf(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
{
   BOOST_MATH_STD_USING // for ADL of std functions

   RealType scale = c.dist.scale();
   RealType location = c.dist.location();
   RealType x = c.param;

   // Checking function argument
   RealType result;
   const char* function = "boost::math::cdf(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
   if(false == detail::check_x(function, x, &result, Policy()))return result;

   // Calculate cdf

   // Special cdf value
   if((boost::math::isinf)(x))
   {
     if(x < 0) return 1; // cdf complement -infinity is unity.
     return 0; // cdf complement +infinity is zero
   }

   // Cdf interval value
   if (-x < location)
      result = exp( (-x-location)/scale )/2;
   else
      result = 1 - exp( (location+x)/scale )/2;

   return result;
} // cdf complement


template <class RealType, class Policy>
inline RealType quantile(const complemented2_type<laplace_distribution<RealType, Policy>, RealType>& c)
{
   BOOST_MATH_STD_USING // for ADL of std functions

   // Calculate quantile
   RealType scale = c.dist.scale();
   RealType location = c.dist.location();
   RealType q = c.param;

   // Checking function argument
   RealType result;
   const char* function = "quantile(const complemented2_type<laplace_distribution<%1%>, %1%>&)";
   if(false == detail::check_probability(function, q, &result, Policy())) return result;


   // extreme values
   if(q == 0) return std::numeric_limits<RealType>::infinity();
   if(q == 1) return -std::numeric_limits<RealType>::infinity();

   if (0.5 - q < 0.0)
      result = location + scale*log( static_cast<RealType>(-q*2 + 2) );
   else
      result = location - scale*log( static_cast<RealType>(q*2) );


   return result;
} // quantile

template <class RealType, class Policy>
inline RealType mean(const laplace_distribution<RealType, Policy>& dist)
{
   return dist.location();
}

template <class RealType, class Policy>
inline RealType standard_deviation(const laplace_distribution<RealType, Policy>& dist)
{
   return constants::root_two<RealType>() * dist.scale();
}

template <class RealType, class Policy>
inline RealType mode(const laplace_distribution<RealType, Policy>& dist)
{
   return dist.location();
}

template <class RealType, class Policy>
inline RealType median(const laplace_distribution<RealType, Policy>& dist)
{
   return dist.location();
}

template <class RealType, class Policy>
inline RealType skewness(const laplace_distribution<RealType, Policy>& /*dist*/)
{
   return 0;
}

template <class RealType, class Policy>
inline RealType kurtosis(const laplace_distribution<RealType, Policy>& /*dist*/)
{
   return 6;
}

template <class RealType, class Policy>
inline RealType kurtosis_excess(const laplace_distribution<RealType, Policy>& /*dist*/)
{
   return 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_LAPLACE_HPP