// (C) 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_MATH_SPECIAL_BETA_HPP #define BOOST_MATH_SPECIAL_BETA_HPP #ifdef _MSC_VER #pragma once #endif #include #include #include #include #include #include #include #include #include #include #include #include namespace boost{ namespace math{ namespace detail{ // // Implementation of Beta(a,b) using the Lanczos approximation: // template T beta_imp(T a, T b, const Lanczos&, const Policy& pol) { BOOST_MATH_STD_USING // for ADL of std names if(a <= 0) return policies::raise_domain_error("boost::math::beta<%1%>(%1%,%1%)", "The arguments to the beta function must be greater than zero (got a=%1%).", a, pol); if(b <= 0) return policies::raise_domain_error("boost::math::beta<%1%>(%1%,%1%)", "The arguments to the beta function must be greater than zero (got b=%1%).", b, pol); T result; T prefix = 1; T c = a + b; // Special cases: if((c == a) && (b < tools::epsilon())) return boost::math::tgamma(b, pol); else if((c == b) && (a < tools::epsilon())) return boost::math::tgamma(a, pol); if(b == 1) return 1/a; else if(a == 1) return 1/b; /* // // This code appears to be no longer necessary: it was // used to offset errors introduced from the Lanczos // approximation, but the current Lanczos approximations // are sufficiently accurate for all z that we can ditch // this. It remains in the file for future reference... // // If a or b are less than 1, shift to greater than 1: if(a < 1) { prefix *= c / a; c += 1; a += 1; } if(b < 1) { prefix *= c / b; c += 1; b += 1; } */ if(a < b) std::swap(a, b); // Lanczos calculation: T agh = a + Lanczos::g() - T(0.5); T bgh = b + Lanczos::g() - T(0.5); T cgh = c + Lanczos::g() - T(0.5); result = Lanczos::lanczos_sum_expG_scaled(a) * Lanczos::lanczos_sum_expG_scaled(b) / Lanczos::lanczos_sum_expG_scaled(c); T ambh = a - T(0.5) - b; if((fabs(b * ambh) < (cgh * 100)) && (a > 100)) { // Special case where the base of the power term is close to 1 // compute (1+x)^y instead: result *= exp(ambh * boost::math::log1p(-b / cgh, pol)); } else { result *= pow(agh / cgh, a - T(0.5) - b); } if(cgh > 1e10f) // this avoids possible overflow, but appears to be marginally less accurate: result *= pow((agh / cgh) * (bgh / cgh), b); else result *= pow((agh * bgh) / (cgh * cgh), b); result *= sqrt(boost::math::constants::e() / bgh); // If a and b were originally less than 1 we need to scale the result: result *= prefix; return result; } // template beta_imp(T a, T b, const Lanczos&) // // Generic implementation of Beta(a,b) without Lanczos approximation support // (Caution this is slow!!!): // template T beta_imp(T a, T b, const lanczos::undefined_lanczos& /* l */, const Policy& pol) { BOOST_MATH_STD_USING if(a <= 0) return policies::raise_domain_error("boost::math::beta<%1%>(%1%,%1%)", "The arguments to the beta function must be greater than zero (got a=%1%).", a, pol); if(b <= 0) return policies::raise_domain_error("boost::math::beta<%1%>(%1%,%1%)", "The arguments to the beta function must be greater than zero (got b=%1%).", b, pol); T result; T prefix = 1; T c = a + b; // special cases: if((c == a) && (b < tools::epsilon())) return boost::math::tgamma(b, pol); else if((c == b) && (a < tools::epsilon())) return boost::math::tgamma(a, pol); if(b == 1) return 1/a; else if(a == 1) return 1/b; // shift to a and b > 1 if required: if(a < 1) { prefix *= c / a; c += 1; a += 1; } if(b < 1) { prefix *= c / b; c += 1; b += 1; } if(a < b) std::swap(a, b); // set integration limits: T la = (std::max)(T(10), a); T lb = (std::max)(T(10), b); T lc = (std::max)(T(10), T(a+b)); // calculate the fraction parts: T sa = detail::lower_gamma_series(a, la, pol) / a; sa += detail::upper_gamma_fraction(a, la, ::boost::math::policies::get_epsilon()); T sb = detail::lower_gamma_series(b, lb, pol) / b; sb += detail::upper_gamma_fraction(b, lb, ::boost::math::policies::get_epsilon()); T sc = detail::lower_gamma_series(c, lc, pol) / c; sc += detail::upper_gamma_fraction(c, lc, ::boost::math::policies::get_epsilon()); // and the exponent part: result = exp(lc - la - lb) * pow(la/lc, a) * pow(lb/lc, b); // and combine: result *= sa * sb / sc; // if a and b were originally less than 1 we need to scale the result: result *= prefix; return result; } // template T beta_imp(T a, T b, const lanczos::undefined_lanczos& l) // // Compute the leading power terms in the incomplete Beta: // // (x^a)(y^b)/Beta(a,b) when normalised, and // (x^a)(y^b) otherwise. // // Almost all of the error in the incomplete beta comes from this // function: particularly when a and b are large. Computing large // powers are *hard* though, and using logarithms just leads to // horrendous cancellation errors. // template T ibeta_power_terms(T a, T b, T x, T y, const Lanczos&, bool normalised, const Policy& pol) { BOOST_MATH_STD_USING if(!normalised) { // can we do better here? return pow(x, a) * pow(y, b); } T result; T prefix = 1; T c = a + b; // combine power terms with Lanczos approximation: T agh = a + Lanczos::g() - T(0.5); T bgh = b + Lanczos::g() - T(0.5); T cgh = c + Lanczos::g() - T(0.5); result = Lanczos::lanczos_sum_expG_scaled(c) / (Lanczos::lanczos_sum_expG_scaled(a) * Lanczos::lanczos_sum_expG_scaled(b)); // l1 and l2 are the base of the exponents minus one: T l1 = (x * b - y * agh) / agh; T l2 = (y * a - x * bgh) / bgh; if(((std::min)(fabs(l1), fabs(l2)) < 0.2)) { // when the base of the exponent is very near 1 we get really // gross errors unless extra care is taken: if((l1 * l2 > 0) || ((std::min)(a, b) < 1)) { // // This first branch handles the simple cases where either: // // * The two power terms both go in the same direction // (towards zero or towards infinity). In this case if either // term overflows or underflows, then the product of the two must // do so also. // *Alternatively if one exponent is less than one, then we // can't productively use it to eliminate overflow or underflow // from the other term. Problems with spurious overflow/underflow // can't be ruled out in this case, but it is *very* unlikely // since one of the power terms will evaluate to a number close to 1. // if(fabs(l1) < 0.1) { result *= exp(a * boost::math::log1p(l1, pol)); BOOST_MATH_INSTRUMENT_VARIABLE(result); } else { result *= pow((x * cgh) / agh, a); BOOST_MATH_INSTRUMENT_VARIABLE(result); } if(fabs(l2) < 0.1) { result *= exp(b * boost::math::log1p(l2, pol)); BOOST_MATH_INSTRUMENT_VARIABLE(result); } else { result *= pow((y * cgh) / bgh, b); BOOST_MATH_INSTRUMENT_VARIABLE(result); } } else if((std::max)(fabs(l1), fabs(l2)) < 0.5) { // // Both exponents are near one and both the exponents are // greater than one and further these two // power terms tend in opposite directions (one towards zero, // the other towards infinity), so we have to combine the terms // to avoid any risk of overflow or underflow. // // We do this by moving one power term inside the other, we have: // // (1 + l1)^a * (1 + l2)^b // = ((1 + l1)*(1 + l2)^(b/a))^a // = (1 + l1 + l3 + l1*l3)^a ; l3 = (1 + l2)^(b/a) - 1 // = exp((b/a) * log(1 + l2)) - 1 // // The tricky bit is deciding which term to move inside :-) // By preference we move the larger term inside, so that the // size of the largest exponent is reduced. However, that can // only be done as long as l3 (see above) is also small. // bool small_a = a < b; T ratio = b / a; if((small_a && (ratio * l2 < 0.1)) || (!small_a && (l1 / ratio > 0.1))) { T l3 = boost::math::expm1(ratio * boost::math::log1p(l2, pol), pol); l3 = l1 + l3 + l3 * l1; l3 = a * boost::math::log1p(l3, pol); result *= exp(l3); BOOST_MATH_INSTRUMENT_VARIABLE(result); } else { T l3 = boost::math::expm1(boost::math::log1p(l1, pol) / ratio, pol); l3 = l2 + l3 + l3 * l2; l3 = b * boost::math::log1p(l3, pol); result *= exp(l3); BOOST_MATH_INSTRUMENT_VARIABLE(result); } } else if(fabs(l1) < fabs(l2)) { // First base near 1 only: T l = a * boost::math::log1p(l1, pol) + b * log((y * cgh) / bgh); result *= exp(l); BOOST_MATH_INSTRUMENT_VARIABLE(result); } else { // Second base near 1 only: T l = b * boost::math::log1p(l2, pol) + a * log((x * cgh) / agh); result *= exp(l); BOOST_MATH_INSTRUMENT_VARIABLE(result); } } else { // general case: T b1 = (x * cgh) / agh; T b2 = (y * cgh) / bgh; l1 = a * log(b1); l2 = b * log(b2); BOOST_MATH_INSTRUMENT_VARIABLE(b1); BOOST_MATH_INSTRUMENT_VARIABLE(b2); BOOST_MATH_INSTRUMENT_VARIABLE(l1); BOOST_MATH_INSTRUMENT_VARIABLE(l2); if((l1 >= tools::log_max_value()) || (l1 <= tools::log_min_value()) || (l2 >= tools::log_max_value()) || (l2 <= tools::log_min_value()) ) { // Oops, overflow, sidestep: if(a < b) result *= pow(pow(b2, b/a) * b1, a); else result *= pow(pow(b1, a/b) * b2, b); BOOST_MATH_INSTRUMENT_VARIABLE(result); } else { // finally the normal case: result *= pow(b1, a) * pow(b2, b); BOOST_MATH_INSTRUMENT_VARIABLE(result); } } // combine with the leftover terms from the Lanczos approximation: result *= sqrt(bgh / boost::math::constants::e()); result *= sqrt(agh / cgh); result *= prefix; BOOST_MATH_INSTRUMENT_VARIABLE(result); return result; } // // Compute the leading power terms in the incomplete Beta: // // (x^a)(y^b)/Beta(a,b) when normalised, and // (x^a)(y^b) otherwise. // // Almost all of the error in the incomplete beta comes from this // function: particularly when a and b are large. Computing large // powers are *hard* though, and using logarithms just leads to // horrendous cancellation errors. // // This version is generic, slow, and does not use the Lanczos approximation. // template T ibeta_power_terms(T a, T b, T x, T y, const boost::math::lanczos::undefined_lanczos&, bool normalised, const Policy& pol) { BOOST_MATH_STD_USING if(!normalised) { return pow(x, a) * pow(y, b); } T result= 0; // assignment here silences warnings later T c = a + b; // integration limits for the gamma functions: //T la = (std::max)(T(10), a); //T lb = (std::max)(T(10), b); //T lc = (std::max)(T(10), a+b); T la = a + 5; T lb = b + 5; T lc = a + b + 5; // gamma function partials: T sa = detail::lower_gamma_series(a, la, pol) / a; sa += detail::upper_gamma_fraction(a, la, ::boost::math::policies::get_epsilon()); T sb = detail::lower_gamma_series(b, lb, pol) / b; sb += detail::upper_gamma_fraction(b, lb, ::boost::math::policies::get_epsilon()); T sc = detail::lower_gamma_series(c, lc, pol) / c; sc += detail::upper_gamma_fraction(c, lc, ::boost::math::policies::get_epsilon()); // gamma function powers combined with incomplete beta powers: T b1 = (x * lc) / la; T b2 = (y * lc) / lb; T e1 = lc - la - lb; T lb1 = a * log(b1); T lb2 = b * log(b2); if((lb1 >= tools::log_max_value()) || (lb1 <= tools::log_min_value()) || (lb2 >= tools::log_max_value()) || (lb2 <= tools::log_min_value()) || (e1 >= tools::log_max_value()) || (e1 <= tools::log_min_value()) ) { result = exp(lb1 + lb2 - e1); } else { T p1, p2; if((fabs(b1 - 1) * a < 10) && (a > 1)) p1 = exp(a * boost::math::log1p((x * b - y * la) / la, pol)); else p1 = pow(b1, a); if((fabs(b2 - 1) * b < 10) && (b > 1)) p2 = exp(b * boost::math::log1p((y * a - x * lb) / lb, pol)); else p2 = pow(b2, b); T p3 = exp(e1); result = p1 * p2 / p3; } // and combine with the remaining gamma function components: result /= sa * sb / sc; return result; } // // Series approximation to the incomplete beta: // template struct ibeta_series_t { typedef T result_type; ibeta_series_t(T a_, T b_, T x_, T mult) : result(mult), x(x_), apn(a_), poch(1-b_), n(1) {} T operator()() { T r = result / apn; apn += 1; result *= poch * x / n; ++n; poch += 1; return r; } private: T result, x, apn, poch; int n; }; template T ibeta_series(T a, T b, T x, T s0, const Lanczos&, bool normalised, T* p_derivative, T y, const Policy& pol) { BOOST_MATH_STD_USING T result; BOOST_ASSERT((p_derivative == 0) || normalised); if(normalised) { T c = a + b; // incomplete beta power term, combined with the Lanczos approximation: T agh = a + Lanczos::g() - T(0.5); T bgh = b + Lanczos::g() - T(0.5); T cgh = c + Lanczos::g() - T(0.5); result = Lanczos::lanczos_sum_expG_scaled(c) / (Lanczos::lanczos_sum_expG_scaled(a) * Lanczos::lanczos_sum_expG_scaled(b)); if(a * b < bgh * 10) result *= exp((b - 0.5f) * boost::math::log1p(a / bgh, pol)); else result *= pow(cgh / bgh, b - 0.5f); result *= pow(x * cgh / agh, a); result *= sqrt(agh / boost::math::constants::e()); if(p_derivative) { *p_derivative = result * pow(y, b); BOOST_ASSERT(*p_derivative >= 0); } } else { // Non-normalised, just compute the power: result = pow(x, a); } if(result < tools::min_value()) return s0; // Safeguard: series can't cope with denorms. ibeta_series_t s(a, b, x, result); boost::uintmax_t max_iter = policies::get_max_series_iterations(); result = boost::math::tools::sum_series(s, boost::math::policies::get_epsilon(), max_iter, s0); policies::check_series_iterations("boost::math::ibeta<%1%>(%1%, %1%, %1%) in ibeta_series (with lanczos)", max_iter, pol); return result; } // // Incomplete Beta series again, this time without Lanczos support: // template T ibeta_series(T a, T b, T x, T s0, const boost::math::lanczos::undefined_lanczos&, bool normalised, T* p_derivative, T y, const Policy& pol) { BOOST_MATH_STD_USING T result; BOOST_ASSERT((p_derivative == 0) || normalised); if(normalised) { T c = a + b; // figure out integration limits for the gamma function: //T la = (std::max)(T(10), a); //T lb = (std::max)(T(10), b); //T lc = (std::max)(T(10), a+b); T la = a + 5; T lb = b + 5; T lc = a + b + 5; // calculate the gamma parts: T sa = detail::lower_gamma_series(a, la, pol) / a; sa += detail::upper_gamma_fraction(a, la, ::boost::math::policies::get_epsilon()); T sb = detail::lower_gamma_series(b, lb, pol) / b; sb += detail::upper_gamma_fraction(b, lb, ::boost::math::policies::get_epsilon()); T sc = detail::lower_gamma_series(c, lc, pol) / c; sc += detail::upper_gamma_fraction(c, lc, ::boost::math::policies::get_epsilon()); // and their combined power-terms: T b1 = (x * lc) / la; T b2 = lc/lb; T e1 = lc - la - lb; T lb1 = a * log(b1); T lb2 = b * log(b2); if((lb1 >= tools::log_max_value()) || (lb1 <= tools::log_min_value()) || (lb2 >= tools::log_max_value()) || (lb2 <= tools::log_min_value()) || (e1 >= tools::log_max_value()) || (e1 <= tools::log_min_value()) ) { T p = lb1 + lb2 - e1; result = exp(p); } else { result = pow(b1, a); if(a * b < lb * 10) result *= exp(b * boost::math::log1p(a / lb, pol)); else result *= pow(b2, b); result /= exp(e1); } // and combine the results: result /= sa * sb / sc; if(p_derivative) { *p_derivative = result * pow(y, b); BOOST_ASSERT(*p_derivative >= 0); } } else { // Non-normalised, just compute the power: result = pow(x, a); } if(result < tools::min_value()) return s0; // Safeguard: series can't cope with denorms. ibeta_series_t s(a, b, x, result); boost::uintmax_t max_iter = policies::get_max_series_iterations(); result = boost::math::tools::sum_series(s, boost::math::policies::get_epsilon(), max_iter, s0); policies::check_series_iterations("boost::math::ibeta<%1%>(%1%, %1%, %1%) in ibeta_series (without lanczos)", max_iter, pol); return result; } // // Continued fraction for the incomplete beta: // template struct ibeta_fraction2_t { typedef std::pair result_type; ibeta_fraction2_t(T a_, T b_, T x_, T y_) : a(a_), b(b_), x(x_), y(y_), m(0) {} result_type operator()() { T aN = (a + m - 1) * (a + b + m - 1) * m * (b - m) * x * x; T denom = (a + 2 * m - 1); aN /= denom * denom; T bN = m; bN += (m * (b - m) * x) / (a + 2*m - 1); bN += ((a + m) * (a * y - b * x + 1 + m *(2 - x))) / (a + 2*m + 1); ++m; return std::make_pair(aN, bN); } private: T a, b, x, y; int m; }; // // Evaluate the incomplete beta via the continued fraction representation: // template inline T ibeta_fraction2(T a, T b, T x, T y, const Policy& pol, bool normalised, T* p_derivative) { typedef typename lanczos::lanczos::type lanczos_type; BOOST_MATH_STD_USING T result = ibeta_power_terms(a, b, x, y, lanczos_type(), normalised, pol); if(p_derivative) { *p_derivative = result; BOOST_ASSERT(*p_derivative >= 0); } if(result == 0) return result; ibeta_fraction2_t f(a, b, x, y); T fract = boost::math::tools::continued_fraction_b(f, boost::math::policies::get_epsilon()); BOOST_MATH_INSTRUMENT_VARIABLE(fract); BOOST_MATH_INSTRUMENT_VARIABLE(result); return result / fract; } // // Computes the difference between ibeta(a,b,x) and ibeta(a+k,b,x): // template T ibeta_a_step(T a, T b, T x, T y, int k, const Policy& pol, bool normalised, T* p_derivative) { typedef typename lanczos::lanczos::type lanczos_type; BOOST_MATH_INSTRUMENT_VARIABLE(k); T prefix = ibeta_power_terms(a, b, x, y, lanczos_type(), normalised, pol); if(p_derivative) { *p_derivative = prefix; BOOST_ASSERT(*p_derivative >= 0); } prefix /= a; if(prefix == 0) return prefix; T sum = 1; T term = 1; // series summation from 0 to k-1: for(int i = 0; i < k-1; ++i) { term *= (a+b+i) * x / (a+i+1); sum += term; } prefix *= sum; return prefix; } // // This function is only needed for the non-regular incomplete beta, // it computes the delta in: // beta(a,b,x) = prefix + delta * beta(a+k,b,x) // it is currently only called for small k. // template inline T rising_factorial_ratio(T a, T b, int k) { // calculate: // (a)(a+1)(a+2)...(a+k-1) // _______________________ // (b)(b+1)(b+2)...(b+k-1) // This is only called with small k, for large k // it is grossly inefficient, do not use outside it's // intended purpose!!! BOOST_MATH_INSTRUMENT_VARIABLE(k); if(k == 0) return 1; T result = 1; for(int i = 0; i < k; ++i) result *= (a+i) / (b+i); return result; } // // Routine for a > 15, b < 1 // // Begin by figuring out how large our table of Pn's should be, // quoted accuracies are "guestimates" based on empiracal observation. // Note that the table size should never exceed the size of our // tables of factorials. // template struct Pn_size { // This is likely to be enough for ~35-50 digit accuracy // but it's hard to quantify exactly: BOOST_STATIC_CONSTANT(unsigned, value = 50); BOOST_STATIC_ASSERT(::boost::math::max_factorial::value >= 100); }; template <> struct Pn_size { BOOST_STATIC_CONSTANT(unsigned, value = 15); // ~8-15 digit accuracy BOOST_STATIC_ASSERT(::boost::math::max_factorial::value >= 30); }; template <> struct Pn_size { BOOST_STATIC_CONSTANT(unsigned, value = 30); // 16-20 digit accuracy BOOST_STATIC_ASSERT(::boost::math::max_factorial::value >= 60); }; template <> struct Pn_size { BOOST_STATIC_CONSTANT(unsigned, value = 50); // ~35-50 digit accuracy BOOST_STATIC_ASSERT(::boost::math::max_factorial::value >= 100); }; template T beta_small_b_large_a_series(T a, T b, T x, T y, T s0, T mult, const Policy& pol, bool normalised) { typedef typename lanczos::lanczos::type lanczos_type; BOOST_MATH_STD_USING // // This is DiDonato and Morris's BGRAT routine, see Eq's 9 through 9.6. // // Some values we'll need later, these are Eq 9.1: // T bm1 = b - 1; T t = a + bm1 / 2; T lx, u; if(y < 0.35) lx = boost::math::log1p(-y, pol); else lx = log(x); u = -t * lx; // and from from 9.2: T prefix; T h = regularised_gamma_prefix(b, u, pol, lanczos_type()); if(h <= tools::min_value()) return s0; if(normalised) { prefix = h / boost::math::tgamma_delta_ratio(a, b, pol); prefix /= pow(t, b); } else { prefix = full_igamma_prefix(b, u, pol) / pow(t, b); } prefix *= mult; // // now we need the quantity Pn, unfortunatately this is computed // recursively, and requires a full history of all the previous values // so no choice but to declare a big table and hope it's big enough... // T p[ ::boost::math::detail::Pn_size::value ] = { 1 }; // see 9.3. // // Now an initial value for J, see 9.6: // T j = boost::math::gamma_q(b, u, pol) / h; // // Now we can start to pull things together and evaluate the sum in Eq 9: // T sum = s0 + prefix * j; // Value at N = 0 // some variables we'll need: unsigned tnp1 = 1; // 2*N+1 T lx2 = lx / 2; lx2 *= lx2; T lxp = 1; T t4 = 4 * t * t; T b2n = b; for(unsigned n = 1; n < sizeof(p)/sizeof(p[0]); ++n) { /* // debugging code, enable this if you want to determine whether // the table of Pn's is large enough... // static int max_count = 2; if(n > max_count) { max_count = n; std::cerr << "Max iterations in BGRAT was " << n << std::endl; } */ // // begin by evaluating the next Pn from Eq 9.4: // tnp1 += 2; p[n] = 0; T mbn = b - n; unsigned tmp1 = 3; for(unsigned m = 1; m < n; ++m) { mbn = m * b - n; p[n] += mbn * p[n-m] / boost::math::unchecked_factorial(tmp1); tmp1 += 2; } p[n] /= n; p[n] += bm1 / boost::math::unchecked_factorial(tnp1); // // Now we want Jn from Jn-1 using Eq 9.6: // j = (b2n * (b2n + 1) * j + (u + b2n + 1) * lxp) / t4; lxp *= lx2; b2n += 2; // // pull it together with Eq 9: // T r = prefix * p[n] * j; sum += r; if(r > 1) { if(fabs(r) < fabs(tools::epsilon() * sum)) break; } else { if(fabs(r / tools::epsilon()) < fabs(sum)) break; } } return sum; } // template T beta_small_b_large_a_series(T a, T b, T x, T y, T s0, T mult, const Lanczos& l, bool normalised) // // For integer arguments we can relate the incomplete beta to the // complement of the binomial distribution cdf and use this finite sum. // template T binomial_ccdf(T n, T k, T x, T y) { BOOST_MATH_STD_USING // ADL of std names T result = pow(x, n); if(result > tools::min_value()) { T term = result; for(unsigned i = itrunc(T(n - 1)); i > k; --i) { term *= ((i + 1) * y) / ((n - i) * x); result += term; } } else { // First term underflows so we need to start at the mode of the // distribution and work outwards: int start = itrunc(n * x); if(start <= k + 1) start = itrunc(k + 2); result = pow(x, start) * pow(y, n - start) * boost::math::binomial_coefficient(itrunc(n), itrunc(start)); if(result == 0) { // OK, starting slightly above the mode didn't work, // we'll have to sum the terms the old fashioned way: for(unsigned i = start - 1; i > k; --i) { result += pow(x, (int)i) * pow(y, n - i) * boost::math::binomial_coefficient(itrunc(n), itrunc(i)); } } else { T term = result; T start_term = result; for(unsigned i = start - 1; i > k; --i) { term *= ((i + 1) * y) / ((n - i) * x); result += term; } term = start_term; for(unsigned i = start + 1; i <= n; ++i) { term *= (n - i + 1) * x / (i * y); result += term; } } } return result; } // // The incomplete beta function implementation: // This is just a big bunch of spagetti code to divide up the // input range and select the right implementation method for // each domain: // template T ibeta_imp(T a, T b, T x, const Policy& pol, bool inv, bool normalised, T* p_derivative) { static const char* function = "boost::math::ibeta<%1%>(%1%, %1%, %1%)"; typedef typename lanczos::lanczos::type lanczos_type; BOOST_MATH_STD_USING // for ADL of std math functions. BOOST_MATH_INSTRUMENT_VARIABLE(a); BOOST_MATH_INSTRUMENT_VARIABLE(b); BOOST_MATH_INSTRUMENT_VARIABLE(x); BOOST_MATH_INSTRUMENT_VARIABLE(inv); BOOST_MATH_INSTRUMENT_VARIABLE(normalised); bool invert = inv; T fract; T y = 1 - x; BOOST_ASSERT((p_derivative == 0) || normalised); if(p_derivative) *p_derivative = -1; // value not set. if((x < 0) || (x > 1)) return policies::raise_domain_error(function, "Parameter x outside the range [0,1] in the incomplete beta function (got x=%1%).", x, pol); if(normalised) { if(a < 0) return policies::raise_domain_error(function, "The argument a to the incomplete beta function must be >= zero (got a=%1%).", a, pol); if(b < 0) return policies::raise_domain_error(function, "The argument b to the incomplete beta function must be >= zero (got b=%1%).", b, pol); // extend to a few very special cases: if(a == 0) { if(b == 0) return policies::raise_domain_error(function, "The arguments a and b to the incomplete beta function cannot both be zero, with x=%1%.", x, pol); if(b > 0) return inv ? 0 : 1; } else if(b == 0) { if(a > 0) return inv ? 1 : 0; } } else { if(a <= 0) return policies::raise_domain_error(function, "The argument a to the incomplete beta function must be greater than zero (got a=%1%).", a, pol); if(b <= 0) return policies::raise_domain_error(function, "The argument b to the incomplete beta function must be greater than zero (got b=%1%).", b, pol); } if(x == 0) { if(p_derivative) { *p_derivative = (a == 1) ? (T)1 : (a < 1) ? T(tools::max_value() / 2) : T(tools::min_value() * 2); } return (invert ? (normalised ? T(1) : boost::math::beta(a, b, pol)) : T(0)); } if(x == 1) { if(p_derivative) { *p_derivative = (b == 1) ? T(1) : (b < 1) ? T(tools::max_value() / 2) : T(tools::min_value() * 2); } return (invert == 0 ? (normalised ? 1 : boost::math::beta(a, b, pol)) : 0); } if((a == 0.5f) && (b == 0.5f)) { // We have an arcsine distribution: if(p_derivative) { *p_derivative = 1 / constants::pi() * sqrt(y * x); } T p = invert ? asin(sqrt(y)) / constants::half_pi() : asin(sqrt(x)) / constants::half_pi(); if(!normalised) p *= constants::pi(); return p; } if(a == 1) { std::swap(a, b); std::swap(x, y); invert = !invert; } if(b == 1) { // // Special case see: http://functions.wolfram.com/GammaBetaErf/BetaRegularized/03/01/01/ // if(a == 1) { if(p_derivative) *p_derivative = 1; return invert ? y : x; } if(p_derivative) { *p_derivative = a * pow(x, a - 1); } T p; if(y < 0.5) p = invert ? T(-boost::math::expm1(a * boost::math::log1p(-y, pol), pol)) : T(exp(a * boost::math::log1p(-y, pol))); else p = invert ? T(-boost::math::powm1(x, a, pol)) : T(pow(x, a)); if(!normalised) p /= a; return p; } if((std::min)(a, b) <= 1) { if(x > 0.5) { std::swap(a, b); std::swap(x, y); invert = !invert; BOOST_MATH_INSTRUMENT_VARIABLE(invert); } if((std::max)(a, b) <= 1) { // Both a,b < 1: if((a >= (std::min)(T(0.2), b)) || (pow(x, a) <= 0.9)) { if(!invert) { fract = ibeta_series(a, b, x, T(0), lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -ibeta_series(a, b, x, fract, lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else { std::swap(a, b); std::swap(x, y); invert = !invert; if(y >= 0.3) { if(!invert) { fract = ibeta_series(a, b, x, T(0), lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -ibeta_series(a, b, x, fract, lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else { // Sidestep on a, and then use the series representation: T prefix; if(!normalised) { prefix = rising_factorial_ratio(T(a+b), a, 20); } else { prefix = 1; } fract = ibeta_a_step(a, b, x, y, 20, pol, normalised, p_derivative); if(!invert) { fract = beta_small_b_large_a_series(T(a + 20), b, x, y, fract, prefix, pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract -= (normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -beta_small_b_large_a_series(T(a + 20), b, x, y, fract, prefix, pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } } } else { // One of a, b < 1 only: if((b <= 1) || ((x < 0.1) && (pow(b * x, a) <= 0.7))) { if(!invert) { fract = ibeta_series(a, b, x, T(0), lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -ibeta_series(a, b, x, fract, lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else { std::swap(a, b); std::swap(x, y); invert = !invert; if(y >= 0.3) { if(!invert) { fract = ibeta_series(a, b, x, T(0), lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -ibeta_series(a, b, x, fract, lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else if(a >= 15) { if(!invert) { fract = beta_small_b_large_a_series(a, b, x, y, T(0), T(1), pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -beta_small_b_large_a_series(a, b, x, y, fract, T(1), pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else { // Sidestep to improve errors: T prefix; if(!normalised) { prefix = rising_factorial_ratio(T(a+b), a, 20); } else { prefix = 1; } fract = ibeta_a_step(a, b, x, y, 20, pol, normalised, p_derivative); BOOST_MATH_INSTRUMENT_VARIABLE(fract); if(!invert) { fract = beta_small_b_large_a_series(T(a + 20), b, x, y, fract, prefix, pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract -= (normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -beta_small_b_large_a_series(T(a + 20), b, x, y, fract, prefix, pol, normalised); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } } } } else { // Both a,b >= 1: T lambda; if(a < b) { lambda = a - (a + b) * x; } else { lambda = (a + b) * y - b; } if(lambda < 0) { std::swap(a, b); std::swap(x, y); invert = !invert; BOOST_MATH_INSTRUMENT_VARIABLE(invert); } if(b < 40) { if((floor(a) == a) && (floor(b) == b) && (a < (std::numeric_limits::max)() - 100)) { // relate to the binomial distribution and use a finite sum: T k = a - 1; T n = b + k; fract = binomial_ccdf(n, k, x, y); if(!normalised) fract *= boost::math::beta(a, b, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else if(b * x <= 0.7) { if(!invert) { fract = ibeta_series(a, b, x, T(0), lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = -(normalised ? 1 : boost::math::beta(a, b, pol)); invert = false; fract = -ibeta_series(a, b, x, fract, lanczos_type(), normalised, p_derivative, y, pol); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else if(a > 15) { // sidestep so we can use the series representation: int n = itrunc(T(floor(b)), pol); if(n == b) --n; T bbar = b - n; T prefix; if(!normalised) { prefix = rising_factorial_ratio(T(a+bbar), bbar, n); } else { prefix = 1; } fract = ibeta_a_step(bbar, a, y, x, n, pol, normalised, static_cast(0)); fract = beta_small_b_large_a_series(a, bbar, x, y, fract, T(1), pol, normalised); fract /= prefix; BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else if(normalised) { // The formula here for the non-normalised case is tricky to figure // out (for me!!), and requires two pochhammer calculations rather // than one, so leave it for now and only use this in the normalized case.... int n = itrunc(T(floor(b)), pol); T bbar = b - n; if(bbar <= 0) { --n; bbar += 1; } fract = ibeta_a_step(bbar, a, y, x, n, pol, normalised, static_cast(0)); fract += ibeta_a_step(a, bbar, x, y, 20, pol, normalised, static_cast(0)); if(invert) fract -= 1; // Note this line would need changing if we ever enable this branch in non-normalized case fract = beta_small_b_large_a_series(T(a+20), bbar, x, y, fract, T(1), pol, normalised); if(invert) { fract = -fract; invert = false; } BOOST_MATH_INSTRUMENT_VARIABLE(fract); } else { fract = ibeta_fraction2(a, b, x, y, pol, normalised, p_derivative); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } else { fract = ibeta_fraction2(a, b, x, y, pol, normalised, p_derivative); BOOST_MATH_INSTRUMENT_VARIABLE(fract); } } if(p_derivative) { if(*p_derivative < 0) { *p_derivative = ibeta_power_terms(a, b, x, y, lanczos_type(), true, pol); } T div = y * x; if(*p_derivative != 0) { if((tools::max_value() * div < *p_derivative)) { // overflow, return an arbitarily large value: *p_derivative = tools::max_value() / 2; } else { *p_derivative /= div; } } } return invert ? (normalised ? 1 : boost::math::beta(a, b, pol)) - fract : fract; } // template T ibeta_imp(T a, T b, T x, const Lanczos& l, bool inv, bool normalised) template inline T ibeta_imp(T a, T b, T x, const Policy& pol, bool inv, bool normalised) { return ibeta_imp(a, b, x, pol, inv, normalised, static_cast(0)); } template T ibeta_derivative_imp(T a, T b, T x, const Policy& pol) { static const char* function = "ibeta_derivative<%1%>(%1%,%1%,%1%)"; // // start with the usual error checks: // if(a <= 0) return policies::raise_domain_error(function, "The argument a to the incomplete beta function must be greater than zero (got a=%1%).", a, pol); if(b <= 0) return policies::raise_domain_error(function, "The argument b to the incomplete beta function must be greater than zero (got b=%1%).", b, pol); if((x < 0) || (x > 1)) return policies::raise_domain_error(function, "Parameter x outside the range [0,1] in the incomplete beta function (got x=%1%).", x, pol); // // Now the corner cases: // if(x == 0) { return (a > 1) ? 0 : (a == 1) ? 1 / boost::math::beta(a, b, pol) : policies::raise_overflow_error(function, 0, pol); } else if(x == 1) { return (b > 1) ? 0 : (b == 1) ? 1 / boost::math::beta(a, b, pol) : policies::raise_overflow_error(function, 0, pol); } // // Now the regular cases: // typedef typename lanczos::lanczos::type lanczos_type; T f1 = ibeta_power_terms(a, b, x, 1 - x, lanczos_type(), true, pol); T y = (1 - x) * x; if(f1 == 0) return 0; if((tools::max_value() * y < f1)) { // overflow: return policies::raise_overflow_error(function, 0, pol); } f1 /= y; return f1; } // // Some forwarding functions that dis-ambiguate the third argument type: // template inline typename tools::promote_args::type beta(RT1 a, RT2 b, const Policy&, const mpl::true_*) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename lanczos::lanczos::type evaluation_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::beta_imp(static_cast(a), static_cast(b), evaluation_type(), forwarding_policy()), "boost::math::beta<%1%>(%1%,%1%)"); } template inline typename tools::promote_args::type beta(RT1 a, RT2 b, RT3 x, const mpl::false_*) { return boost::math::beta(a, b, x, policies::policy<>()); } } // namespace detail // // The actual function entry-points now follow, these just figure out // which Lanczos approximation to use // and forward to the implementation functions: // template inline typename tools::promote_args::type beta(RT1 a, RT2 b, A arg) { typedef typename policies::is_policy::type tag; return boost::math::detail::beta(a, b, arg, static_cast(0)); } template inline typename tools::promote_args::type beta(RT1 a, RT2 b) { return boost::math::beta(a, b, policies::policy<>()); } template inline typename tools::promote_args::type beta(RT1 a, RT2 b, RT3 x, const Policy&) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::ibeta_imp(static_cast(a), static_cast(b), static_cast(x), forwarding_policy(), false, false), "boost::math::beta<%1%>(%1%,%1%,%1%)"); } template inline typename tools::promote_args::type betac(RT1 a, RT2 b, RT3 x, const Policy&) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::ibeta_imp(static_cast(a), static_cast(b), static_cast(x), forwarding_policy(), true, false), "boost::math::betac<%1%>(%1%,%1%,%1%)"); } template inline typename tools::promote_args::type betac(RT1 a, RT2 b, RT3 x) { return boost::math::betac(a, b, x, policies::policy<>()); } template inline typename tools::promote_args::type ibeta(RT1 a, RT2 b, RT3 x, const Policy&) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::ibeta_imp(static_cast(a), static_cast(b), static_cast(x), forwarding_policy(), false, true), "boost::math::ibeta<%1%>(%1%,%1%,%1%)"); } template inline typename tools::promote_args::type ibeta(RT1 a, RT2 b, RT3 x) { return boost::math::ibeta(a, b, x, policies::policy<>()); } template inline typename tools::promote_args::type ibetac(RT1 a, RT2 b, RT3 x, const Policy&) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::ibeta_imp(static_cast(a), static_cast(b), static_cast(x), forwarding_policy(), true, true), "boost::math::ibetac<%1%>(%1%,%1%,%1%)"); } template inline typename tools::promote_args::type ibetac(RT1 a, RT2 b, RT3 x) { return boost::math::ibetac(a, b, x, policies::policy<>()); } template inline typename tools::promote_args::type ibeta_derivative(RT1 a, RT2 b, RT3 x, const Policy&) { BOOST_FPU_EXCEPTION_GUARD typedef typename tools::promote_args::type result_type; typedef typename policies::evaluation::type value_type; typedef typename policies::normalise< Policy, policies::promote_float, policies::promote_double, policies::discrete_quantile<>, policies::assert_undefined<> >::type forwarding_policy; return policies::checked_narrowing_cast(detail::ibeta_derivative_imp(static_cast(a), static_cast(b), static_cast(x), forwarding_policy()), "boost::math::ibeta_derivative<%1%>(%1%,%1%,%1%)"); } template inline typename tools::promote_args::type ibeta_derivative(RT1 a, RT2 b, RT3 x) { return boost::math::ibeta_derivative(a, b, x, policies::policy<>()); } } // namespace math } // namespace boost #include #include #endif // BOOST_MATH_SPECIAL_BETA_HPP