 Boost C++ Libraries

...one of the most highly regarded and expertly designed C++ library projects in the world.

The majority of the implementation notes are included with the documentation of each function or distribution. The notes here are of a more general nature, and reflect more the general implementation philosophy used.

Implementation philosophy

"First be right, then be fast."

There will always be potential compromises to be made between speed and accuracy. It may be possible to find faster methods, particularly for certain limited ranges of arguments, but for most applications of math functions and distributions, we judge that speed is rarely as important as accuracy.

So our priority is accuracy.

To permit evaluation of accuracy of the special functions, production of extremely accurate tables of test values has received considerable effort.

(It also required much CPU effort - there was some danger of molten plastic dripping from the bottom of JM's laptop, so instead, PAB's Dual-core desktop was kept 50% busy for days calculating some tables of test values!)

For a specific RealType, say float or double, it may be possible to find approximations for some functions that are simpler and thus faster, but less accurate (perhaps because there are no refining iterations, for example, when calculating inverse functions).

If these prove accurate enough to be "fit for his purpose", then a user may substitute his custom specialization.

For example, there are approximations dating back from times when computation was a lot more expensive:

H Goldberg and H Levine, Approximate formulas for percentage points and normalisation of t and chi squared, Ann. Math. Stat., 17(4), 216 - 225 (Dec 1946).

A H Carter, Approximations to percentage points of the z-distribution, Biometrika 34(2), 352 - 358 (Dec 1947).

These could still provide sufficient accuracy for some speed-critical applications.

Accuracy and Representation of Test Values

In order to be accurate enough for as many as possible real types, constant values are given to 50 decimal digits if available (though many sources proved only accurate near to 64-bit double precision). Values are specified as long double types by appending L, unless they are exactly representable, for example integers, or binary fractions like 0.125. This avoids the risk of loss of accuracy converting from double, the default type. Values are used after static_cast<RealType>(1.2345L) to provide the appropriate RealType for spot tests.

Functions that return constants values, like kurtosis for example, are written as

static_cast<RealType>(-3) / 5;

to provide the most accurate value that the compiler can compute for the real type. (The denominator is an integer and so will be promoted exactly).

So tests for one third, not exactly representable with radix two floating-point, (should) use, for example:

static_cast<RealType>(1) / 3;

If a function is very sensitive to changes in input, specifying an inexact value as input (such as 0.1) can throw the result off by a noticeable amount: 0.1f is "wrong" by ~1e-7 for example (because 0.1 has no exact binary representation). That is why exact binary values - halves, quarters, and eighths etc - are used in test code along with the occasional fraction a/b with b a power of two (in order to ensure that the result is an exactly representable binary value).

Tolerance of Tests

The tolerances need to be set to the maximum of:

• Some epsilon value.
• The accuracy of the data (often only near 64-bit double).

Otherwise when long double has more digits than the test data, then no amount of tweaking an epsilon based tolerance will work.

A common problem is when tolerances that are suitable for implementations like Microsoft VS.NET where double and long double are the same size: tests fail on other systems where long double is more accurate than double. Check first that the suffix L is present, and then that the tolerance is big enough.

Handling Unsuitable Arguments

In Errors in Mathematical Special Functions, J. Marraffino & M. Paterno it is proposed that signalling a domain error is mandatory when the argument would give an mathematically undefined result.

• Guideline 1

A mathematical function is said to be defined at a point a = (a1, a2, . . .) if the limits as x = (x1, x2, . . .) 'approaches a from all directions agree'. The defined value may be any number, or +infinity, or -infinity.

Put crudely, if the function goes to + infinity and then emerges 'round-the-back' with - infinity, it is NOT defined.

The library function which approximates a mathematical function shall signal a domain error whenever evaluated with argument values for which the mathematical function is undefined.

• Guideline 2

The library function which approximates a mathematical function shall signal a domain error whenever evaluated with argument values for which the mathematical function obtains a non-real value.

This implementation is believed to follow these proposals and to assist compatibility with ISO/IEC 9899:1999 Programming languages - C and with the Draft Technical Report on C++ Library Extensions, 2005-06-24, section 5.2.1, paragraph 5. See also domain_error.

See policy reference for details of the error handling policies that should allow a user to comply with any of these recommendations, as well as other behaviour.

See error handling for a detailed explanation of the mechanism, and error_handling example and error_handling_example.cpp

Caution If you enable throw but do NOT have try & catch block, then the program will terminate with an uncaught exception and probably abort. Therefore to get the benefit of helpful error messages, enabling all exceptions and using try&catch is recommended for all applications. However, for simplicity, this is not done for most examples.
Handling of Functions that are Not Mathematically defined

Functions that are not mathematically defined, like the Cauchy mean, fail to compile by default. A policy allows control of this.

If the policy is to permit undefined functions, then calling them throws a domain error, by default. But the error policy can be set to not throw, and to return NaN instead. For example,

#define BOOST_MATH_DOMAIN_ERROR_POLICY ignore_error

appears before the first Boost include, then if the un-implemented function is called, mean(cauchy<>()) will return std::numeric_limits<T>::quiet_NaN().

Warning If std::numeric_limits::has_quiet_NaN is false (for example, if T is a User-defined type without NaN support), then an exception will always be thrown when a domain error occurs. Catching exceptions is therefore strongly recommended.
Median of distributions

There are many distributions for which we have been unable to find an analytic formula, and this has deterred us from implementing median functions, the mid-point in a list of values.

However a useful numerical approximation for distribution dist is available as usual as an accessor non-member function median using median(dist), that may be evaluated (in the absence of an analytic formula) by calling

quantile(dist, 0.5) (this is the mathematical definition of course).

Mathematica Basic Statistics. give more detail, in particular for discrete distributions.

Handling of Floating-Point Infinity

Some functions and distributions are well defined with + or - infinity as argument(s), but after some experiments with handling infinite arguments as special cases, we concluded that it was generally more useful to forbid this, and instead to return the result of domain_error.

Handling infinity as special cases is additionally complicated because, unlike built-in types on most - but not all - platforms, not all User-Defined Types are specialized to provide std::numeric_limits<RealType>::infinity() and would return zero rather than any representation of infinity.

The rationale is that non-finiteness may happen because of error or overflow in the users code, and it will be more helpful for this to be diagnosed promptly rather than just continuing. The code also became much more complicated, more error-prone, much more work to test, and much less readable.

However in a few cases, for example normal, where we felt it obvious, we have permitted argument(s) to be infinity, provided infinity is implemented for the RealType on that implementation, and it is supported and tested by the distribution.

The range for these distributions is set to infinity if supported by the platform, (by testing std::numeric_limits<RealType>::has_infinity) else the maximum value provided for the RealType by Boost.Math.

Testing for has_infinity is obviously important for arbitrary precision types where infinity makes much less sense than for IEEE754 floating-point.

So far we have not set support() function (only range) on the grounds that the PDF is uninteresting/zero for infinities.

Users who require special handling of infinity (or other specific value) can, of course, always intercept this before calling a distribution or function and return their own choice of value, or other behavior. This will often be simpler than trying to handle the aftermath of the error policy.

Overflow, underflow, denorm can be handled using error handling policies.

We have also tried to catch boundary cases where the mathematical specification would result in divide by zero or overflow and signalling these similarly. What happens at (and near), poles can be controlled through error handling policies.

Scale, Shape and Location

We considered adding location and scale to the list of functions, for example:

template <class RealType>
inline RealType scale(const triangular_distribution<RealType>& dist)
{
RealType lower = dist.lower();
RealType mode = dist.mode();
RealType upper = dist.upper();
RealType result;  // of checks.
if(false == detail::check_triangular(BOOST_CURRENT_FUNCTION, lower, mode, upper, &result))
{
return result;
}
return (upper - lower);
}

but found that these concepts are not defined (or their definition too contentious) for too many distributions to be generally applicable. Because they are non-member functions, they can be added if required.

Notes on Implementation of Specific Functions & Distributions
• Default parameters for the Triangular Distribution. We are uncertain about the best default parameters. Some sources suggest that the Standard Triangular Distribution has lower = 0, mode = half and upper = 1. However as a approximation for the normal distribution, the most common usage, lower = -1, mode = 0 and upper = 1 would be more suitable.
Rational Approximations Used

Some of the special functions in this library are implemented via rational approximations. These are either taken from the literature, or devised by John Maddock using our Remez code.

Rational rather than Polynomial approximations are used to ensure accuracy: polynomial approximations are often wonderful up to a certain level of accuracy, but then quite often fail to provide much greater accuracy no matter how many more terms are added.

Our own approximations were devised either for added accuracy (to support 128-bit long doubles for example), or because literature methods were unavailable or under non-BSL compatible license. Our Remez code is known to produce good agreement with literature results in fairly simple "toy" cases. All approximations were checked for convergence and to ensure that they were not ill-conditioned (the coefficients can give a theoretically good solution, but the resulting rational function may be un-computable at fixed precision).

Recomputing using different Remez implementations may well produce differing coefficients: the problem is well known to be ill conditioned in general, and our Remez implementation often found a broad and ill-defined minima for many of these approximations (of course for simple "toy" examples like approximating exp the minima is well defined, and the coefficients should agree no matter whose Remez implementation is used). This should not in general effect the validity of the approximations: there's good literature supporting the idea that coefficients can be "in error" without necessarily adversely effecting the result. Note that "in error" has a special meaning in this context, see "Approximate construction of rational approximations and the effect of error autocorrection.", Grigori Litvinov, eprint arXiv:math/0101042. Therefore the coefficients still need to be accurately calculated, even if they can be in error compared to the "true" minimax solution.

Representation of Mathematical Constants

A macro BOOST_DEFINE_MATH_CONSTANT in constants.hpp is used to provide high accuracy constants to mathematical functions and distributions, since it is important to provide values uniformly for both built-in float, double and long double types, and for User Defined types in Boost.Multiprecision like cpp_dec_float. and others like NTL::quad_float and NTL::RR.

To permit calculations in this Math ToolKit and its tests, (and elsewhere) at about 100 decimal digits with NTL::RR type, it is obviously necessary to define constants to this accuracy.

However, some compilers do not accept decimal digits strings as long as this. So the constant is split into two parts, with the 1st containing at least long double precision, and the 2nd zero if not needed or known. The 3rd part permits an exponent to be provided if necessary (use zero if none) - the other two parameters may only contain decimal digits (and sign and decimal point), and may NOT include an exponent like 1.234E99 (nor a trailing F or L). The second digit string is only used if T is a User-Defined Type, when the constant is converted to a long string literal and lexical_casted to type T. (This is necessary because you can't use a numeric constant since even a long double might not have enough digits).

For example, pi is defined:

BOOST_DEFINE_MATH_CONSTANT(pi,
3.141592653589793238462643383279502884197169399375105820974944,
5923078164062862089986280348253421170679821480865132823066470938446095505,
0)

And used thus:

using namespace boost::math::constants;

double diameter = 1.;
double radius = diameter * pi<double>();

or boost::math::constants::pi<NTL::RR>()

Note that it is necessary (if inconvenient) to specify the type explicitly.

So you cannot write

double p = boost::math::constants::pi<>();  // could not deduce template argument for 'T'

Neither can you write:

double p = boost::math::constants::pi; // Context does not allow for disambiguation of overloaded function
double p = boost::math::constants::pi(); // Context does not allow for disambiguation of overloaded function

Reporting of error by setting errno should be thread-safe already (otherwise none of the std lib math functions would be thread safe?). If you turn on reporting of errors via exceptions, errno gets left unused anyway.

For normal C++ usage, the Boost.Math static const constants are now thread-safe so for built-in real-number types: float, double and long double are all thread safe.

For User_defined types, for example, cpp_dec_float, the Boost.Math should also be thread-safe, (thought we are unsure how to rigorously prove this).

(Thread safety has received attention in the C++11 Standard revision, so hopefully all compilers will do the right thing here at some point.)

Sources of Test Data

We found a large number of sources of test data. We have assumed that these are "known good" if they agree with the results from our test and only consulted other sources for their 'vote' in the case of serious disagreement. The accuracy, actual and claimed, vary very widely. Only Wolfram Mathematica functions provided a higher accuracy than C++ double (64-bit floating-point) and was regarded as the most-trusted source by far. The The R Project for Statistical Computing provided the widest range of distributions, but the usual Intel X86 distribution uses 64-but doubles, so our use was limited to the 15 to 17 decimal digit accuracy.

A useful index of sources is: Web-oriented Teaching Resources in Probability and Statistics

Statlet: Is a Javascript application that calculates and plots probability distributions, and provides the most complete range of distributions:

Bernoulli, Binomial, discrete uniform, geometric, hypergeometric, negative binomial, Poisson, beta, Cauchy-Lorentz, chi-sequared, Erlang, exponential, extreme value, Fisher, gamma, Laplace, logistic, lognormal, normal, Parteo, Student's t, triangular, uniform, and Weibull.

It calculates pdf, cdf, survivor, log survivor, hazard, tail areas, & critical values for 5 tail values.

It is also the only independent source found for the Weibull distribution; unfortunately it appears to suffer from very poor accuracy in areas where the underlying special function is known to be difficult to implement.

Testing for Invalid Parameters to Functions and Constructors

After finding that some 'bad' parameters (like NaN) were not throwing a domain_error exception as they should, a function

check_out_of_range (in test_out_of_range.hpp) was devised by JM to check (using Boost.Test's BOOST_CHECK_THROW macro) that bad parameters passed to constructors and functions throw domain_error exceptions.

Usage is check_out_of_range< DistributionType >(list-of-params); Where list-of-params is a list of valid parameters from which the distribution can be constructed - ie the same number of args are passed to the function, as are passed to the distribution constructor.

The values of the parameters are not important, but must be valid to pass the constructor checks; the default values are suitable, but must be explicitly provided, for example:

check_out_of_range<extreme_value_distribution<RealType> >(1, 2);

• Infinity or NaN (if available) passed in place of each of the valid params.
• Infinity or NaN (if available) as a random variable.
• Out-of-range random variable passed to pdf and cdf (ie outside of "range(DistributionType)").
• Out-of-range probability passed to quantile function and complement.

but does not check finite but out-of-range parameters to the constructor because these are specific to each distribution, for example:

BOOST_CHECK_THROW(pdf(pareto_distribution<RealType>(0, 1), 0), std::domain_error);
BOOST_CHECK_THROW(pdf(pareto_distribution<RealType>(1, 0), 0), std::domain_error);

checks scale and shape parameters are both > 0 by checking that domain_error exception is thrown if either are == 0.

(Use of check_out_of_range function may mean that some previous tests are now redundant).

It was also noted that if more than one parameter is bad, then only the first detected will be reported by the error message.

Creating and Managing the Equations

Equations that fit on a single line can most easily be produced by inline Quickbook code using templates for Unicode Greek and Unicode Math symbols. All Greek letter and small set of Math symbols is available at /boost-path/libs/math/doc/sf_and_dist/html4_symbols.qbk

Where equations need to use more than one line, real Math editors were used.

The primary source for the equations is now MathML: see the *.mml files in libs/math/doc/sf_and_dist/equations/.

These are most easily edited by a GUI editor such as Mathcast, please note that the equation editor supplied with Open Office currently mangles these files and should not currently be used.

Conversion to SVG was achieved using SVGMath and a command line such as:

\$for file in *.mml; do
>>\$file > \$(basename \$file .mml).svg
>done

See also the section on "Using Python to run Inkscape" and "Using inkscape to convert scalable vector SVG files to Portable Network graphic PNG".

Note that SVGMath requires that the mml files are not wrapped in an XHTML XML wrapper - this is added by Mathcast by default - one workaround is to copy an existing mml file and then edit it with Mathcast: the existing format should then be preserved. This is a bug in the XML parser used by SVGMath which the author is aware of.

If necessary the XHTML wrapper can be removed with:

cat filename | tr -d "\r\n" | sed -e 's/.*\(<math[^>]*>.*[/itex]\).*/\1/' > newfile

Setting up fonts for SVGMath is currently rather tricky, on a Windows XP system JM's font setup is the same as the sample config file provided with SVGMath but with:

<!-- Double-struck -->
<mathvariant name="double-struck" family="Mathematica7, Lucida Sans Unicode"/>

changed to:

<!-- Double-struck -->
<mathvariant name="double-struck" family="Lucida Sans Unicode"/>

Note that unlike the sample config file supplied with SVGMath, this does not make use of the Mathematica 7 font as this lacks sufficient Unicode information for it to be used with either SVGMath or XEP "as is".

Also note that the SVG files in the repository are almost certainly Windows-specific since they reference various Windows Fonts.

PNG files can be created from the SVGs using Batik and a command such as:

Or using Inkscape (File, Export bitmap, Drawing tab, bitmap size (default size, 100 dpi), Filename (default). png)

or Using Cygwin, a command such as:

for file in *.svg; do
/cygdrive/c/progra~1/Inkscape/inkscape -d 120 -e \$(cygpath -a -w \$(basename \$file .svg).png) \$(cygpath -a -w \$file);
done

Using BASH

# Convert single SVG to PNG file.
# /c/progra~1/Inkscape/inkscape -d 120 -e a.png a.svg

or to convert All files in folder SVG to PNG.

for file in *.svg; do
/c/progra~1/Inkscape/inkscape -d 120 -e \$(basename \$file .svg).png \$file
done

Currently Inkscape seems to generate the better looking PNGs.

The PDF is generated into \pdf\math.pdf using a command from a shell or command window with current directory \math_toolkit\libs\math\doc\sf_and_dist, typically:

bjam -a pdf >math_pdf.log

Note that XEP will have to be configured to use and embed whatever fonts are used by the SVG equations (almost certainly editing the sample xep.xml provided by the XEP installation). If you fail to do this you will get XEP warnings in the log file like

[warning]could not find any font family matching "Times New Roman"; replaced by Helvetica

(html is the default so it is generated at libs\math\doc\html\index.html using command line >bjam -a > math_toolkit.docs.log).

<!-- Sample configuration for Windows TrueType fonts.  -->

is provided in the xep.xml downloaded, but the Windows TrueType fonts are commented out.

JM's XEP config file \xep\xep.xml has the following font configuration section added:

<font-group xml:base="file:/C:/Windows/Fonts/" label="Windows TrueType" embed="true" subset="true">
<font-family name="Arial">
<font><font-data ttf="arial.ttf"/></font>
<font style="oblique"><font-data ttf="ariali.ttf"/></font>
<font weight="bold"><font-data ttf="arialbd.ttf"/></font>
<font weight="bold" style="oblique"><font-data ttf="arialbi.ttf"/></font>
</font-family>

<font-family name="Times New Roman" ligatures="&#xFB01; &#xFB02;">
<font><font-data ttf="times.ttf"/></font>
<font style="italic"><font-data ttf="timesi.ttf"/></font>
<font weight="bold"><font-data ttf="timesbd.ttf"/></font>
<font weight="bold" style="italic"><font-data ttf="timesbi.ttf"/></font>
</font-family>

<font-family name="Courier New">
<font><font-data ttf="cour.ttf"/></font>
<font style="oblique"><font-data ttf="couri.ttf"/></font>
<font weight="bold"><font-data ttf="courbd.ttf"/></font>
<font weight="bold" style="oblique"><font-data ttf="courbi.ttf"/></font>
</font-family>

<font-family name="Tahoma" embed="true">
<font><font-data ttf="tahoma.ttf"/></font>
<font weight="bold"><font-data ttf="tahomabd.ttf"/></font>
</font-family>

<font-family name="Verdana" embed="true">
<font><font-data ttf="verdana.ttf"/></font>
<font style="oblique"><font-data ttf="verdanai.ttf"/></font>
<font weight="bold"><font-data ttf="verdanab.ttf"/></font>
<font weight="bold" style="oblique"><font-data ttf="verdanaz.ttf"/></font>
</font-family>

<font-family name="Palatino" embed="true" ligatures="&#xFB00; &#xFB01; &#xFB02; &#xFB03; &#xFB04;">
<font><font-data ttf="pala.ttf"/></font>
<font style="italic"><font-data ttf="palai.ttf"/></font>
<font weight="bold"><font-data ttf="palab.ttf"/></font>
<font weight="bold" style="italic"><font-data ttf="palabi.ttf"/></font>
</font-family>

<font-family name="Lucida Sans Unicode">
<!-- <font><font-data ttf="lsansuni.ttf"><font> -->
<!-- actually called l_10646.ttf on Windows 2000 and Vista Sp1 -->
<font><font-data ttf="l_10646.ttf"></font>
</font-family>

PAB had to alter his because the Lucida Sans Unicode font had a different name. Other changes are very likely to be required if you are not using Windows.

XZ authored his equations using the venerable Latex, JM converted these to MathML using mxlatex. This process is currently unreliable and required some manual intervention: consequently Latex source is not considered a viable route for the automatic production of SVG versions of equations.

Equations are embedded in the quickbook source using the equation template defined in math.qbk. This outputs Docbook XML that looks like:

<inlinemediaobject>
<imageobject role="html">
<imagedata fileref="../equations/myfile.png"></imagedata>
</imageobject>
<imageobject role="print">
<imagedata fileref="../equations/myfile.svg"></imagedata>
</imageobject>
</inlinemediaobject>

MathML is not currently present in the Docbook output, or in the generated HTML: this needs further investigation.

Producing Graphs

Graphs were produced in SVG format and then converted to PNG's using the same process as the equations.

The programs /libs/math/doc/sf_and_dist/graphs/dist_graphs.cpp and /libs/math/doc/sf_and_dist/graphs/sf_graphs.cpp generate the SVG's directly using the Google Summer of Code 2007 project of Jacob Voytko (whose work so far, considerably enhanced and now reasonably mature and usable, by Paul A. Bristow, is at .\boost-sandbox\SOC\2007\visualization).

 Copyright © 2006-2019 Nikhar Agrawal, Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos, Hubert Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Matthew Pulver, Johan Råde, Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg, Daryle Walker and Xiaogang Zhang Distributed under 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)