Boost C++ Libraries

boost/math/distributions/logistic.hpp

// Copyright 2008 Gautam Sewani
//
// 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)

#include <boost/math/distributions/fwd.hpp>
#include <boost/math/distributions/detail/common_error_handling.hpp>
#include <boost/math/distributions/complement.hpp>
#include <boost/math/special_functions/log1p.hpp>
#include <boost/math/constants/constants.hpp>
#include <utility>

namespace boost { namespace math { 

    template <class RealType = double, class Policy = policies::policy<> >
    class logistic_distribution
    {
    public:
      typedef RealType value_type;
      typedef Policy policy_type;
      
      logistic_distribution(RealType location=0, RealType scale=1) // Constructor.
        : m_location(location), m_scale(scale) 
      {
        static const char* function = "boost::math::logistic_distribution<%1%>::logistic_distribution";
        
        RealType result;
        detail::check_scale(function, scale, &result, Policy());
        detail::check_location(function, location, &result, Policy());
      }
      // Accessor functions.
      RealType scale()const
      {
        return m_scale;
      }
      
      RealType location()const
      {
        return m_location;
      }
    private:
      // Data members:
      RealType m_location;  // distribution location aka mu.
      RealType m_scale;  // distribution scale aka s.
    }; // class logistic_distribution
    
    
    typedef logistic_distribution<double> logistic;
    
    template <class RealType, class Policy>
    inline const std::pair<RealType, RealType> range(const logistic_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>()); // - to + infinity
    }
    
    template <class RealType, class Policy>
    inline const std::pair<RealType, RealType> support(const logistic_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>()); // - to + infinity
    }
    
    
    template <class RealType, class Policy>
    inline RealType pdf(const logistic_distribution<RealType, Policy>& dist, const RealType& x)
    {
       RealType scale = dist.scale();
       RealType location = dist.location();

       static const char* function = "boost::math::pdf(const logistic_distribution<%1%>&, %1%)";
       if((boost::math::isinf)(x))
       {
          return 0; // pdf + and - infinity is zero.
       }

       RealType result;
       if(false == detail::check_scale(function, scale , &result, Policy()))
       {
          return result;
       }
       if(false == detail::check_location(function, location, &result, Policy()))
       {
          return result;
       }
       if(false == detail::check_x(function, x, &result, Policy()))
       {
          return result;
       }

       BOOST_MATH_STD_USING
       RealType exp_term = (location - x) / scale;
       if(fabs(exp_term) > tools::log_max_value<RealType>())
          return 0;
       exp_term = exp(exp_term);
       if((exp_term * scale > 1) && (exp_term > tools::max_value<RealType>() / (scale * exp_term)))
          return 1 / (scale * exp_term);
       return (exp_term) / (scale * (1 + exp_term) * (1 + exp_term));
    } 
    
    template <class RealType, class Policy>
    inline RealType cdf(const logistic_distribution<RealType, Policy>& dist, const RealType& x)
    {
       RealType scale = dist.scale();
       RealType location = dist.location();
       RealType result; // of checks.
       static const char* function = "boost::math::cdf(const logistic_distribution<%1%>&, %1%)";
       if(false == detail::check_scale(function, scale, &result, Policy()))
       {
          return result;
       }
       if(false == detail::check_location(function, location, &result, Policy()))
       {
          return result;
       }

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

       if(false == detail::check_x(function, x, &result, Policy()))
       {
          return result;
       }
       BOOST_MATH_STD_USING
       RealType power = (location - x) / scale;
       if(power > tools::log_max_value<RealType>())
          return 0;
       if(power < -tools::log_max_value<RealType>())
          return 1;
       return 1 / (1 + exp(power)); 
    } 
    
    template <class RealType, class Policy>
    inline RealType quantile(const logistic_distribution<RealType, Policy>& dist, const RealType& p)
    {
       BOOST_MATH_STD_USING
       RealType location = dist.location();
       RealType scale = dist.scale();

       static const char* function = "boost::math::quantile(const logistic_distribution<%1%>&, %1%)";

       RealType result;
       if(false == detail::check_scale(function, scale, &result, Policy()))
          return result;
       if(false == detail::check_location(function, location, &result, Policy()))
          return result;
       if(false == detail::check_probability(function, p, &result, Policy()))
          return result;

       if(p == 0)
       {
          return -policies::raise_overflow_error<RealType>(function,"probability argument is 0, must be >0 and <1",Policy());
       }
       if(p == 1)
       {
          return policies::raise_overflow_error<RealType>(function,"probability argument is 1, must be >0 and <1",Policy());
       }
       //Expressions to try
       //return location+scale*log(p/(1-p));
       //return location+scale*log1p((2*p-1)/(1-p));

       //return location - scale*log( (1-p)/p);
       //return location - scale*log1p((1-2*p)/p);

       //return -scale*log(1/p-1) + location;
       return location - scale * log((1 - p) / p);
     } // RealType quantile(const logistic_distribution<RealType, Policy>& dist, const RealType& p)
    
    template <class RealType, class Policy>
    inline RealType cdf(const complemented2_type<logistic_distribution<RealType, Policy>, RealType>& c)
    {
       BOOST_MATH_STD_USING
       RealType location = c.dist.location();
       RealType scale = c.dist.scale();
       RealType x = c.param;
       static const char* function = "boost::math::cdf(const complement(logistic_distribution<%1%>&), %1%)";

       if((boost::math::isinf)(x))
       {
          if(x < 0) return 1; // cdf complement -infinity is unity.
          return 0; // cdf complement +infinity is zero
       }
       RealType result;
       if(false == detail::check_scale(function, scale, &result, Policy()))
          return result;
       if(false == detail::check_location(function, location, &result, Policy()))
          return result;
       if(false == detail::check_x(function, x, &result, Policy()))
          return result;
       RealType power = (x - location) / scale;
       if(power > tools::log_max_value<RealType>())
          return 0;
       if(power < -tools::log_max_value<RealType>())
          return 1;
       return 1 / (1 + exp(power)); 
    } 

    template <class RealType, class Policy>
    inline RealType quantile(const complemented2_type<logistic_distribution<RealType, Policy>, RealType>& c)
    {
       BOOST_MATH_STD_USING
       RealType scale = c.dist.scale();
       RealType location = c.dist.location();
       static const char* function = "boost::math::quantile(const complement(logistic_distribution<%1%>&), %1%)";
       RealType result;
       if(false == detail::check_scale(function, scale, &result, Policy()))
          return result;
       if(false == detail::check_location(function, location, &result, Policy()))
          return result;
       RealType q = c.param;
       if(false == detail::check_probability(function, q, &result, Policy()))
          return result;
       using boost::math::tools::max_value;

       if(q == 1)
       {
          return -policies::raise_overflow_error<RealType>(function,"probability argument is 1, but must be >0 and <1",Policy());
       }
       if(q == 0)
       {
          return policies::raise_overflow_error<RealType>(function,"probability argument is 0, but must be >0 and <1",Policy());
       }
       //Expressions to try 
       //return location+scale*log((1-q)/q);
       return location + scale * log((1 - q) / q);

       //return location-scale*log(q/(1-q));
       //return location-scale*log1p((2*q-1)/(1-q));

       //return location+scale*log(1/q-1);
       //return location+scale*log1p(1/q-2);
    } 
    
    template <class RealType, class Policy>
    inline RealType mean(const logistic_distribution<RealType, Policy>& dist)
    {
      return dist.location();
    } // RealType mean(const logistic_distribution<RealType, Policy>& dist)
    
    template <class RealType, class Policy>
    inline RealType variance(const logistic_distribution<RealType, Policy>& dist)
    {
      BOOST_MATH_STD_USING
      RealType scale = dist.scale();
      return boost::math::constants::pi<RealType>()*boost::math::constants::pi<RealType>()*scale*scale/3;
    } // RealType variance(const logistic_distribution<RealType, Policy>& dist)
    
    template <class RealType, class Policy>
    inline RealType mode(const logistic_distribution<RealType, Policy>& dist)
    {
      return dist.location();
    }
    
    template <class RealType, class Policy>
    inline RealType median(const logistic_distribution<RealType, Policy>& dist)
    {
      return dist.location();
    }
    template <class RealType, class Policy>
    inline RealType skewness(const logistic_distribution<RealType, Policy>& /*dist*/)
    {
      return 0;
    } // RealType skewness(const logistic_distribution<RealType, Policy>& dist)
    
    template <class RealType, class Policy>
    inline RealType kurtosis_excess(const logistic_distribution<RealType, Policy>& /*dist*/)
    {
      return static_cast<RealType>(6)/5; 
    } // RealType kurtosis_excess(const logistic_distribution<RealType, Policy>& dist)

    template <class RealType, class Policy>
    inline RealType kurtosis(const logistic_distribution<RealType, Policy>& dist)
    {
      return kurtosis_excess(dist) + 3;
    } // RealType kurtosis_excess(const logistic_distribution<RealType, Policy>& dist)
  }}


// Must come at the end:
#include <boost/math/distributions/detail/derived_accessors.hpp>