diff --git a/.gitattributes b/.gitattributes index 2a674dba..24130e53 100644 --- a/.gitattributes +++ b/.gitattributes @@ -7,6 +7,7 @@ *.xml text *.js text *.ps1 text +*.DotSettings text *.csproj text merge=union *.fsproj text merge=union diff --git a/MathNet.Numerics.sln.DotSettings b/MathNet.Numerics.sln.DotSettings index 857c5d9e..e3609001 100644 --- a/MathNet.Numerics.sln.DotSettings +++ b/MathNet.Numerics.sln.DotSettings @@ -54,6 +54,7 @@ OTHER DEALINGS IN THE SOFTWARE. MC MCMC MSE + PDF QR SAD SAS diff --git a/src/Numerics/Distributions/Bernoulli.cs b/src/Numerics/Distributions/Bernoulli.cs index 952a649d..27e1aac6 100644 --- a/src/Numerics/Distributions/Bernoulli.cs +++ b/src/Numerics/Distributions/Bernoulli.cs @@ -97,7 +97,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The probability of generating a one. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double p) { if (Control.CheckDistributionParameters && !IsValidParameterSet(p)) @@ -234,7 +234,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Beta.cs b/src/Numerics/Distributions/Beta.cs index 87e06dd8..62820dc6 100644 --- a/src/Numerics/Distributions/Beta.cs +++ b/src/Numerics/Distributions/Beta.cs @@ -108,7 +108,7 @@ namespace MathNet.Numerics.Distributions /// /// The α shape parameter of the Beta distribution. /// The β shape parameter of the Beta distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double a, double b) { if (Control.CheckDistributionParameters && !IsValidParameterSet(a, b)) @@ -346,7 +346,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -402,7 +402,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -461,7 +461,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Binomial.cs b/src/Numerics/Distributions/Binomial.cs index a69f5cbc..03f3f494 100644 --- a/src/Numerics/Distributions/Binomial.cs +++ b/src/Numerics/Distributions/Binomial.cs @@ -325,7 +325,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Categorical.cs b/src/Numerics/Distributions/Categorical.cs index 0e27f8d7..3e917ec8 100644 --- a/src/Numerics/Distributions/Categorical.cs +++ b/src/Numerics/Distributions/Categorical.cs @@ -166,7 +166,7 @@ namespace MathNet.Numerics.Distributions /// /// An array of nonnegative ratios: this array does not need to be normalized /// as this is often impossible using floating point arithmetic. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double[] p) { if (Control.CheckDistributionParameters && !IsValidProbabilityMass(p)) @@ -325,7 +325,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Cauchy.cs b/src/Numerics/Distributions/Cauchy.cs index 4d5a095c..bccd6f88 100644 --- a/src/Numerics/Distributions/Cauchy.cs +++ b/src/Numerics/Distributions/Cauchy.cs @@ -104,7 +104,7 @@ namespace MathNet.Numerics.Distributions /// /// The location (x0) of the distribution. /// The scale (γ) of the distribution. Must be greater than 0. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double location, double scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale)) @@ -216,7 +216,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -226,7 +226,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -236,7 +236,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Chi.cs b/src/Numerics/Distributions/Chi.cs index 8ffc6f4e..3e82b5ba 100644 --- a/src/Numerics/Distributions/Chi.cs +++ b/src/Numerics/Distributions/Chi.cs @@ -96,7 +96,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The degrees of freedom for the Chi distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double freedom) { if (Control.CheckDistributionParameters && !IsValidParameterSet(freedom)) @@ -210,7 +210,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -220,7 +220,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -230,7 +230,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/ChiSquared.cs b/src/Numerics/Distributions/ChiSquared.cs index 37e7c53b..b792af99 100644 --- a/src/Numerics/Distributions/ChiSquared.cs +++ b/src/Numerics/Distributions/ChiSquared.cs @@ -94,7 +94,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The degrees of freedom (k) of the distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double freedom) { if (Control.CheckDistributionParameters && !IsValidParameterSet(freedom)) @@ -196,7 +196,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -206,7 +206,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -216,7 +216,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/ContinuousUniform.cs b/src/Numerics/Distributions/ContinuousUniform.cs index 88f08ee1..4dc046d7 100644 --- a/src/Numerics/Distributions/ContinuousUniform.cs +++ b/src/Numerics/Distributions/ContinuousUniform.cs @@ -1,4 +1,4 @@ -// +// // Math.NET Numerics, part of the Math.NET Project // http://numerics.mathdotnet.com // http://github.com/mathnet/mathnet-numerics @@ -108,7 +108,7 @@ namespace MathNet.Numerics.Distributions /// /// Lower bound. /// Upper bound; must be at least as large as . - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double lower, double upper) { if (Control.CheckDistributionParameters && !IsValidParameterSet(lower, upper)) @@ -223,7 +223,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -238,7 +238,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -253,7 +253,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/ConwayMaxwellPoisson.cs b/src/Numerics/Distributions/ConwayMaxwellPoisson.cs index 18175ce3..19bcf8ad 100644 --- a/src/Numerics/Distributions/ConwayMaxwellPoisson.cs +++ b/src/Numerics/Distributions/ConwayMaxwellPoisson.cs @@ -127,7 +127,7 @@ namespace MathNet.Numerics.Distributions /// /// The lambda (λ) parameter. /// The rate of decay (ν) parameter. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double lambda, double nu) { if (Control.CheckDistributionParameters && !IsValidParameterSet(lambda, nu)) @@ -366,7 +366,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Dirichlet.cs b/src/Numerics/Distributions/Dirichlet.cs index bf7fe599..98151366 100644 --- a/src/Numerics/Distributions/Dirichlet.cs +++ b/src/Numerics/Distributions/Dirichlet.cs @@ -153,7 +153,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The parameters of the Dirichlet distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double[] alpha) { if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha)) diff --git a/src/Numerics/Distributions/DiscreteUniform.cs b/src/Numerics/Distributions/DiscreteUniform.cs index e5e1a491..94f5de18 100644 --- a/src/Numerics/Distributions/DiscreteUniform.cs +++ b/src/Numerics/Distributions/DiscreteUniform.cs @@ -102,7 +102,7 @@ namespace MathNet.Numerics.Distributions /// /// Lower bound. /// Upper bound; must be at least as large as . - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(int lower, int upper) { if (Control.CheckDistributionParameters && !IsValidParameterSet(lower, upper)) @@ -244,7 +244,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Erlang.cs b/src/Numerics/Distributions/Erlang.cs index a13a9cb9..0798664c 100644 --- a/src/Numerics/Distributions/Erlang.cs +++ b/src/Numerics/Distributions/Erlang.cs @@ -124,6 +124,7 @@ namespace MathNet.Numerics.Distributions /// /// The shape (k) of the Erlang distribution. /// The rate or inverse scale (λ) of the Erlang distribution. + /// When the parameters are out of range. void SetParameters(double shape, double rate) { if (Control.CheckDistributionParameters && !IsValidParameterSet(shape, rate)) @@ -335,7 +336,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -360,7 +361,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -385,7 +386,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Exponential.cs b/src/Numerics/Distributions/Exponential.cs index a05f1d53..1ea2171e 100644 --- a/src/Numerics/Distributions/Exponential.cs +++ b/src/Numerics/Distributions/Exponential.cs @@ -94,7 +94,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The rate (λ) parameter of the Exponential distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double rate) { if (Control.CheckDistributionParameters && !IsValidParameterSet(rate)) @@ -196,7 +196,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -211,7 +211,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -221,7 +221,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/FisherSnedecor.cs b/src/Numerics/Distributions/FisherSnedecor.cs index 7e9b3abd..a40c210c 100644 --- a/src/Numerics/Distributions/FisherSnedecor.cs +++ b/src/Numerics/Distributions/FisherSnedecor.cs @@ -99,6 +99,7 @@ namespace MathNet.Numerics.Distributions /// /// The first degree of freedom (d1) of the distribution. /// The second degree of freedom (d2) of the distribution. + /// When the parameters are out of range. void SetParameters(double d1, double d2) { if (Control.CheckDistributionParameters && !IsValidParameterSet(d1, d2)) @@ -242,7 +243,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -252,7 +253,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -262,7 +263,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Gamma.cs b/src/Numerics/Distributions/Gamma.cs index 84662304..e1a6364e 100644 --- a/src/Numerics/Distributions/Gamma.cs +++ b/src/Numerics/Distributions/Gamma.cs @@ -129,7 +129,7 @@ namespace MathNet.Numerics.Distributions /// /// The shape (k, α) of the Gamma distribution. /// The rate or inverse scale (β) of the Gamma distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double shape, double rate) { if (Control.CheckDistributionParameters && !IsValidParameterSet(shape, rate)) @@ -336,7 +336,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -361,7 +361,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -386,7 +386,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Geometric.cs b/src/Numerics/Distributions/Geometric.cs index d6170c56..f3b3fbfa 100644 --- a/src/Numerics/Distributions/Geometric.cs +++ b/src/Numerics/Distributions/Geometric.cs @@ -99,7 +99,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The probability of generating a one. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double p) { if (Control.CheckDistributionParameters && !IsValidParameterSet(p)) @@ -232,7 +232,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Hypergeometric.cs b/src/Numerics/Distributions/Hypergeometric.cs index 59c210c4..fa0dfb6c 100644 --- a/src/Numerics/Distributions/Hypergeometric.cs +++ b/src/Numerics/Distributions/Hypergeometric.cs @@ -109,6 +109,7 @@ namespace MathNet.Numerics.Distributions /// The size of the population (N). /// The number successes within the population (K, M). /// The number of draws without replacement (n). + /// When the parameters are out of range. void SetParameters(int population, int success, int draws) { if (Control.CheckDistributionParameters && !IsValidParameterSet(population, success, draws)) @@ -280,7 +281,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/IContinuousDistribution.cs b/src/Numerics/Distributions/IContinuousDistribution.cs index b72e53d7..3f496795 100644 --- a/src/Numerics/Distributions/IContinuousDistribution.cs +++ b/src/Numerics/Distributions/IContinuousDistribution.cs @@ -59,14 +59,14 @@ namespace MathNet.Numerics.Distributions double Maximum { get; } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . double Density(double x); /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . diff --git a/src/Numerics/Distributions/IUnivariateDistribution.cs b/src/Numerics/Distributions/IUnivariateDistribution.cs index 10f08ccc..df481737 100644 --- a/src/Numerics/Distributions/IUnivariateDistribution.cs +++ b/src/Numerics/Distributions/IUnivariateDistribution.cs @@ -63,7 +63,7 @@ namespace MathNet.Numerics.Distributions double Skewness { get; } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/InverseGamma.cs b/src/Numerics/Distributions/InverseGamma.cs index 4430c105..55b5eb39 100644 --- a/src/Numerics/Distributions/InverseGamma.cs +++ b/src/Numerics/Distributions/InverseGamma.cs @@ -100,7 +100,7 @@ namespace MathNet.Numerics.Distributions /// /// The shape (α) of the inverse Gamma distribution. /// The scale (β) of the inverse Gamma distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double shape, double scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(shape, scale)) @@ -237,7 +237,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -252,7 +252,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -262,7 +262,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/InverseWishart.cs b/src/Numerics/Distributions/InverseWishart.cs index b5bbc8b0..eb98786f 100644 --- a/src/Numerics/Distributions/InverseWishart.cs +++ b/src/Numerics/Distributions/InverseWishart.cs @@ -119,7 +119,7 @@ namespace MathNet.Numerics.Distributions /// /// The degree of freedom (ν) for the inverse Wishart distribution. /// The scale matrix (Ψ) for the inverse Wishart distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double degreesOfFreedom, Matrix scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(degreesOfFreedom, scale)) diff --git a/src/Numerics/Distributions/Laplace.cs b/src/Numerics/Distributions/Laplace.cs index 35a78f67..d5a2833e 100644 --- a/src/Numerics/Distributions/Laplace.cs +++ b/src/Numerics/Distributions/Laplace.cs @@ -111,7 +111,7 @@ namespace MathNet.Numerics.Distributions /// /// The location (μ) of the Laplace distribution. /// The scale (b) of the Laplace distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double location, double scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale)) @@ -223,7 +223,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -233,7 +233,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -243,7 +243,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/LogNormal.cs b/src/Numerics/Distributions/LogNormal.cs index e8c11fd7..a827ecbd 100644 --- a/src/Numerics/Distributions/LogNormal.cs +++ b/src/Numerics/Distributions/LogNormal.cs @@ -59,7 +59,7 @@ namespace MathNet.Numerics.Distributions /// random number generator. /// /// The log-scale (μ) of the logarithm of the distribution. - /// The shape (σ) of the logarithm of the distribution. + /// The shape (σ) of the logarithm of the distribution. Range: σ ≥ 0. public LogNormal(double mu, double sigma) { _random = new System.Random(); @@ -72,7 +72,7 @@ namespace MathNet.Numerics.Distributions /// random number generator. /// /// The log-scale (μ) of the distribution. - /// The shape (σ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. /// The random number generator which is used to draw random samples. public LogNormal(double mu, double sigma, System.Random randomSource) { @@ -81,25 +81,40 @@ namespace MathNet.Numerics.Distributions } /// - /// Constructs a log-normal distribution with the desired mean and variance. The distribution will - /// be initialized with the default random number generator. + /// Constructs a log-normal distribution with the desired mu and sigma parameters. + /// + /// The log-scale (μ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A log-normal distribution. + public static LogNormal WithMuSigma(double mu, double sigma, System.Random randomSource = null) + { + return new LogNormal(mu, sigma, randomSource); + } + + /// + /// Constructs a log-normal distribution with the desired mean and variance. /// /// The mean of the log-normal distribution. /// The variance of the log-normal distribution. - /// a log-normal distribution. - public static LogNormal WithMeanVariance(double mean, double var) + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A log-normal distribution. + public static LogNormal WithMeanVariance(double mean, double var, System.Random randomSource = null) { var sigma2 = Math.Log(var/(mean*mean) + 1.0); - return new LogNormal(Math.Log(mean) - sigma2/2.0, Math.Sqrt(sigma2)); + return new LogNormal(Math.Log(mean) - sigma2 / 2.0, Math.Sqrt(sigma2), randomSource); } /// /// Estimates the log-normal distribution parameters from sample data with maximum-likelihood. /// - public static LogNormal Estimate(IEnumerable samples) + /// The samples to estimate the distribution parameters from. + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A log-normal distribution. + public static LogNormal Estimate(IEnumerable samples, System.Random randomSource = null) { var muSigma2 = samples.Select(s => Math.Log(s)).MeanVariance(); - return new LogNormal(muSigma2.Item1, Math.Sqrt(muSigma2.Item2)); + return new LogNormal(muSigma2.Item1, Math.Sqrt(muSigma2.Item2), randomSource); } /// @@ -111,26 +126,15 @@ namespace MathNet.Numerics.Distributions return "LogNormal(μ = " + _mu + ", σ = " + _sigma + ")"; } - /// - /// Checks whether the parameters of the distribution are valid. - /// - /// The log-scale (μ) of the distribution. - /// The shape (σ) of the distribution. - /// true when the parameters are valid, false otherwise. - static bool IsValidParameterSet(double mu, double sigma) - { - return sigma >= 0.0 && !Double.IsNaN(mu); - } - /// /// Sets the parameters of the distribution after checking their validity. /// /// The log-scale (μ) of the distribution. - /// The shape (σ) of the distribution. - /// When the parameters don't pass the function. + /// The shape (σ) of the distribution. Range: σ ≥ 0. + /// When the parameters are out of range. void SetParameters(double mu, double sigma) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(mu, sigma)) + if (sigma < 0.0 || Double.IsNaN(mu) || Double.IsNaN(sigma)) { throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); } @@ -149,7 +153,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Gets or sets the shape (σ) (standard deviation of the logarithm) of the distribution. + /// Gets or sets the shape (σ) (standard deviation of the logarithm) of the distribution. Range: σ ≥ 0. /// public double Sigma { @@ -251,7 +255,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -262,12 +266,12 @@ namespace MathNet.Numerics.Distributions return 0.0; } - var a = (Math.Log(x) - _mu)/_sigma; + var a = (Math.Log(x) - _mu) / _sigma; return Math.Exp(-0.5*a*a)/(x*_sigma*Constants.Sqrt2Pi); } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -278,23 +282,20 @@ namespace MathNet.Numerics.Distributions return Double.NegativeInfinity; } - var a = (Math.Log(x) - _mu)/_sigma; + var a = (Math.Log(x) - _mu) / _sigma; return (-0.5*a*a) - Math.Log(x*_sigma) - Constants.LogSqrt2Pi; } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . public double CumulativeDistribution(double x) { - if (x < 0.0) - { - return 0.0; - } - - return 0.5*(1.0 + SpecialFunctions.Erf((Math.Log(x) - _mu)/(_sigma*Constants.Sqrt2))); + return x < 0.0 + ? 0.0 + : 0.5*(1.0 + SpecialFunctions.Erf((Math.Log(x) - _mu)/(_sigma*Constants.Sqrt2))); } /// @@ -303,7 +304,7 @@ namespace MathNet.Numerics.Distributions /// a sample from the distribution. public double Sample() { - return Math.Exp(Normal.SampleUnchecked(_random, _mu, _sigma)); + return Math.Exp(Normal.Sample(_random, _mu, _sigma)); } /// @@ -312,7 +313,63 @@ namespace MathNet.Numerics.Distributions /// a sequence of samples from the distribution. public IEnumerable Samples() { - return Normal.SamplesUnchecked(_random, _mu, _sigma).Select(Math.Exp); + return Normal.Samples(_random, _mu, _sigma).Select(Math.Exp); + } + + /// + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. + /// + /// The location at which to compute the density. + /// The log-scale (μ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. + /// the density at . + public static double PDF(double mu, double sigma, double x) + { + if (sigma < 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + if (x < 0.0) + { + return 0.0; + } + + var a = (Math.Log(x) - mu) / sigma; + return Math.Exp(-0.5*a*a)/(x*sigma*Constants.Sqrt2Pi); + } + + /// + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). + /// + /// The location at which to compute the density. + /// The log-scale (μ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. + /// the log density at . + public static double PDFLn(double mu, double sigma, double x) + { + if (sigma < 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + if (x < 0.0) + { + return Double.NegativeInfinity; + } + + var a = (Math.Log(x) - mu) / sigma; + return (-0.5*a*a) - Math.Log(x*sigma) - Constants.LogSqrt2Pi; + } + + /// + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). + /// + /// The location at which to compute the cumulative distribution function. + /// The log-scale (μ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. + /// the cumulative distribution at location . + public static double CDF(double mu, double sigma, double x) + { + if (sigma < 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + + return x < 0.0 + ? 0.0 + : 0.5*(1.0 + SpecialFunctions.Erf((Math.Log(x) - mu)/(sigma*Constants.Sqrt2))); } /// @@ -320,7 +377,7 @@ namespace MathNet.Numerics.Distributions /// /// The random number generator to use. /// The log-scale (μ) of the distribution. - /// The shape (σ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. /// a sample from the distribution. public static double Sample(System.Random rnd, double mu, double sigma) { @@ -332,7 +389,7 @@ namespace MathNet.Numerics.Distributions /// /// The random number generator to use. /// The log-scale (μ) of the distribution. - /// The shape (σ) of the distribution. + /// The shape (σ) of the distribution. Range: σ ≥ 0. /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double mu, double sigma) { diff --git a/src/Numerics/Distributions/MatrixNormal.cs b/src/Numerics/Distributions/MatrixNormal.cs index 26e58c21..5391f6a2 100644 --- a/src/Numerics/Distributions/MatrixNormal.cs +++ b/src/Numerics/Distributions/MatrixNormal.cs @@ -150,7 +150,7 @@ namespace MathNet.Numerics.Distributions /// The mean of the matrix normal. /// The covariance matrix for the rows. /// The covariance matrix for the columns. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(Matrix m, Matrix v, Matrix k) { if (Control.CheckDistributionParameters && !IsValidParameterSet(m, v, k)) diff --git a/src/Numerics/Distributions/Multinomial.cs b/src/Numerics/Distributions/Multinomial.cs index 82821a8b..01388f3d 100644 --- a/src/Numerics/Distributions/Multinomial.cs +++ b/src/Numerics/Distributions/Multinomial.cs @@ -165,7 +165,7 @@ namespace MathNet.Numerics.Distributions /// An array of nonnegative ratios: this array does not need to be normalized /// as this is often impossible using floating point arithmetic. /// The number of trials. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double[] p, int n) { if (Control.CheckDistributionParameters && !IsValidParameterSet(p, n)) diff --git a/src/Numerics/Distributions/NegativeBinomial.cs b/src/Numerics/Distributions/NegativeBinomial.cs index 12cf30fe..62907812 100644 --- a/src/Numerics/Distributions/NegativeBinomial.cs +++ b/src/Numerics/Distributions/NegativeBinomial.cs @@ -103,7 +103,7 @@ namespace MathNet.Numerics.Distributions /// /// The number of failures until the experiment stopped. /// The probability of a trial resulting in success. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double r, double p) { if (Control.CheckDistributionParameters && !IsValidParameterSet(r, p)) @@ -244,7 +244,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Normal.cs b/src/Numerics/Distributions/Normal.cs index 8f5e7d7d..737098b4 100644 --- a/src/Numerics/Distributions/Normal.cs +++ b/src/Numerics/Distributions/Normal.cs @@ -78,7 +78,7 @@ namespace MathNet.Numerics.Distributions /// be initialized with the default random number generator. /// /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. public Normal(double mean, double stddev) { _random = new System.Random(); @@ -90,7 +90,7 @@ namespace MathNet.Numerics.Distributions /// be initialized with the default random number generator. /// /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. /// The random number generator which is used to draw random samples. public Normal(double mean, double stddev, System.Random randomSource) { @@ -99,48 +99,51 @@ namespace MathNet.Numerics.Distributions } /// - /// Constructs a normal distribution from a mean and standard deviation. The distribution will - /// be initialized with the default random number generator. + /// Constructs a normal distribution from a mean and standard deviation. /// /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// The random number generator which is used to draw random samples. Optional, can be null. /// a normal distribution. - public static Normal WithMeanStdDev(double mean, double stddev) + public static Normal WithMeanStdDev(double mean, double stddev, System.Random randomSource = null) { - return new Normal(mean, stddev); + return new Normal(mean, stddev, randomSource); } /// - /// Constructs a normal distribution from a mean and variance. The distribution will - /// be initialized with the default random number generator. + /// Constructs a normal distribution from a mean and variance. /// /// The mean (μ) of the normal distribution. - /// The variance of the normal distribution. - /// a normal distribution. - public static Normal WithMeanVariance(double mean, double var) + /// The variance (σ^2) of the normal distribution. + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A normal distribution. + public static Normal WithMeanVariance(double mean, double var, System.Random randomSource = null) { - return new Normal(mean, Math.Sqrt(var)); + return new Normal(mean, Math.Sqrt(var), randomSource); } /// - /// Constructs a normal distribution from a mean and precision. The distribution will - /// be initialized with the default random number generator. + /// Constructs a normal distribution from a mean and precision. /// /// The mean (μ) of the normal distribution. /// The precision of the normal distribution. - /// a normal distribution. - public static Normal WithMeanPrecision(double mean, double precision) + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A normal distribution. + public static Normal WithMeanPrecision(double mean, double precision, System.Random randomSource = null) { - return new Normal(mean, 1.0/Math.Sqrt(precision)); + return new Normal(mean, 1.0/Math.Sqrt(precision), randomSource); } /// /// Estimates the normal distribution parameters from sample data with maximum-likelihood. /// - public static Normal Estimate(IEnumerable samples) + /// The samples to estimate the distribution parameters from. + /// The random number generator which is used to draw random samples. Optional, can be null. + /// A normal distribution. + public static Normal Estimate(IEnumerable samples, System.Random randomSource = null) { var meanVariance = samples.MeanVariance(); - return new Normal(meanVariance.Item1, Math.Sqrt(meanVariance.Item2)); + return new Normal(meanVariance.Item1, Math.Sqrt(meanVariance.Item2), randomSource); } /// @@ -152,26 +155,15 @@ namespace MathNet.Numerics.Distributions return "Normal(μ = " + _mean + ", σ = " + _stdDev + ")"; } - /// - /// Checks whether the parameters of the distribution are valid. - /// - /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// true when the parameters are valid, false otherwise. - static bool IsValidParameterSet(double mean, double stddev) - { - return stddev >= 0.0 && !Double.IsNaN(mean); - } - /// /// Sets the parameters of the distribution after checking their validity. /// /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// When the parameters don't pass the function. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// When the parameters are out of range. void SetParameters(double mean, double stddev) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(mean, stddev)) + if (stddev < 0.0 || Double.IsNaN(mean) || Double.IsNaN(stddev)) { throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); } @@ -190,7 +182,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Gets or sets the standard deviation (σ) of the normal distribution. + /// Gets or sets the standard deviation (σ) of the normal distribution. Range: σ ≥ 0. /// public double StdDev { @@ -203,7 +195,7 @@ namespace MathNet.Numerics.Distributions /// public double Variance { - get { return _stdDev * _stdDev; } + get { return _stdDev*_stdDev; } set { SetParameters(_mean, Math.Sqrt(value)); } } @@ -212,10 +204,10 @@ namespace MathNet.Numerics.Distributions /// public double Precision { - get { return 1.0 / (_stdDev * _stdDev); } + get { return 1.0/(_stdDev*_stdDev); } set { - var sdev = 1.0 / Math.Sqrt(value); + var sdev = 1.0/Math.Sqrt(value); // Handle the case when the precision is -0. if (Double.IsInfinity(sdev)) { @@ -283,71 +275,35 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the density of the normal distribution (PDF), i.e. dP(X <= x)/dx. - /// - /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// The location at which to compute the density. - /// the density at . - internal static double Density(double mean, double stddev, double x) - { - var d = (x - mean)/stddev; - return Math.Exp(-0.5*d*d)/(Constants.Sqrt2Pi*stddev); - } - - /// - /// Computes the log density of the normal distribution (lnPDF), i.e. ln(dP(X <= x)/dx). - /// - /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// The location at which to compute the density. - /// the log density at . - internal static double DensityLn(double mean, double stddev, double x) - { - var d = (x - mean)/stddev; - return (-0.5*d*d) - Math.Log(stddev) - Constants.LogSqrt2Pi; - } - - /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . public double Density(double x) { - return Density(_mean, _stdDev, x); + var d = (x - _mean)/_stdDev; + return Math.Exp(-0.5*d*d)/(Constants.Sqrt2Pi*_stdDev); } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . public double DensityLn(double x) { - return DensityLn(_mean, _stdDev, x); + var d = (x - _mean)/_stdDev; + return (-0.5*d*d) - Math.Log(_stdDev) - Constants.LogSqrt2Pi; } /// - /// Computes the cumulative distribution function (CDF) of the normal distribution, i.e. P(X <= x). - /// - /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// The location at which to compute the cumulative density. - /// the cumulative density at . - internal static double CumulativeDistribution(double mean, double stddev, double x) - { - return 0.5*(1.0 + SpecialFunctions.Erf((x - mean)/(stddev*Constants.Sqrt2))); - } - - /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . public double CumulativeDistribution(double x) { - return CumulativeDistribution(_mean, _stdDev, x); + return 0.5*(1.0 + SpecialFunctions.Erf((x - _mean)/(_stdDev*Constants.Sqrt2))); } /// @@ -361,6 +317,29 @@ namespace MathNet.Numerics.Distributions return _mean - (_stdDev*Constants.Sqrt2*SpecialFunctions.ErfcInv(2.0*p)); } + /// + /// Generates a sample from the normal distribution using the Box-Muller algorithm. + /// + /// a sample from the distribution. + public double Sample() + { + return _mean + (_stdDev*SampleStandardBoxMuller(_random).Item1); + } + + /// + /// Generates a sequence of samples from the normal distribution using the Box-Muller algorithm. + /// + /// a sequence of samples from the distribution. + public IEnumerable Samples() + { + while (true) + { + var sample = SampleStandardBoxMuller(_random); + yield return _mean + (_stdDev*sample.Item1); + yield return _mean + (_stdDev*sample.Item2); + } + } + /// /// Samples a pair of standard normal distributed random variables using the Box-Muller algorithm. /// @@ -368,65 +347,77 @@ namespace MathNet.Numerics.Distributions /// a pair of random numbers from the standard normal distribution. static Tuple SampleStandardBoxMuller(System.Random rnd) { - var v1 = (2.0*rnd.NextDouble()) - 1.0; - var v2 = (2.0*rnd.NextDouble()) - 1.0; - var r = (v1*v1) + (v2*v2); + var v1 = (2.0 * rnd.NextDouble()) - 1.0; + var v2 = (2.0 * rnd.NextDouble()) - 1.0; + var r = (v1 * v1) + (v2 * v2); while (r >= 1.0 || r == 0.0) { - v1 = (2.0*rnd.NextDouble()) - 1.0; - v2 = (2.0*rnd.NextDouble()) - 1.0; - r = (v1*v1) + (v2*v2); + v1 = (2.0 * rnd.NextDouble()) - 1.0; + v2 = (2.0 * rnd.NextDouble()) - 1.0; + r = (v1 * v1) + (v2 * v2); } - var fac = Math.Sqrt(-2.0*Math.Log(r)/r); - return new Tuple(v1*fac, v2*fac); + var fac = Math.Sqrt(-2.0 * Math.Log(r) / r); + return new Tuple(v1 * fac, v2 * fac); } /// - /// Samples the distribution. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// - /// The random number generator to use. /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// a random number from the distribution. - internal static double SampleUnchecked(System.Random rnd, double mean, double stddev) + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// The location at which to compute the density. + /// the density at . + public static double PDF(double mean, double stddev, double x) { - return mean + (stddev*SampleStandardBoxMuller(rnd).Item1); + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); + + var d = (x - mean)/stddev; + return Math.Exp(-0.5*d*d)/(Constants.Sqrt2Pi*stddev); } /// - /// Samples the distribution. + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// - /// The random number generator to use. /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. - /// a random number from the distribution. - internal static IEnumerable SamplesUnchecked(System.Random rnd, double mean, double stddev) + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// The location at which to compute the density. + /// the log density at . + public static double PDFLn(double mean, double stddev, double x) { - while (true) - { - var sample = SampleStandardBoxMuller(rnd); - yield return mean + (stddev*sample.Item1); - yield return mean + (stddev*sample.Item2); - } + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); + + var d = (x - mean)/stddev; + return (-0.5*d*d) - Math.Log(stddev) - Constants.LogSqrt2Pi; } /// - /// Generates a sample from the normal distribution using the Box-Muller algorithm. + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// - /// a sample from the distribution. - public double Sample() + /// The location at which to compute the cumulative distribution function. + /// The mean (μ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// the cumulative distribution at location . + public static double CDF(double mean, double stddev, double x) { - return SampleUnchecked(_random, _mean, _stdDev); + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); + + return 0.5*(1.0 + SpecialFunctions.Erf((x - mean)/(stddev*Constants.Sqrt2))); } /// - /// Generates a sequence of samples from the normal distribution using the Box-Muller algorithm. + /// Computes the inverse of the cumulative distribution function (InvCDF) for the distribution + /// at the given probability. /// - /// a sequence of samples from the distribution. - public IEnumerable Samples() + /// The location at which to compute the inverse cumulative density. + /// The mean (μ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. + /// the inverse cumulative density at . + public static double InvCDF(double mean, double stddev, double p) { - return SamplesUnchecked(_random, _mean, _stdDev); + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); + + return mean - (stddev*Constants.Sqrt2*SpecialFunctions.ErfcInv(2.0*p)); } /// @@ -434,16 +425,13 @@ namespace MathNet.Numerics.Distributions /// /// The random number generator to use. /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. /// a sample from the distribution. public static double Sample(System.Random rnd, double mean, double stddev) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(mean, stddev)) - { - throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); - } + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); - return SampleUnchecked(rnd, mean, stddev); + return mean + (stddev*SampleStandardBoxMuller(rnd).Item1); } /// @@ -451,16 +439,18 @@ namespace MathNet.Numerics.Distributions /// /// The random number generator to use. /// The mean (μ) of the normal distribution. - /// The standard deviation (σ) of the normal distribution. + /// The standard deviation (σ) of the normal distribution. Range: σ ≥ 0. /// a sequence of samples from the distribution. public static IEnumerable Samples(System.Random rnd, double mean, double stddev) { - if (Control.CheckDistributionParameters && !IsValidParameterSet(mean, stddev)) + if (stddev < 0.0) throw new ArgumentOutOfRangeException("stddev", Resources.InvalidDistributionParameters); + + while (true) { - throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters); + var sample = SampleStandardBoxMuller(rnd); + yield return mean + (stddev*sample.Item1); + yield return mean + (stddev*sample.Item2); } - - return SamplesUnchecked(rnd, mean, stddev); } } } diff --git a/src/Numerics/Distributions/NormalGamma.cs b/src/Numerics/Distributions/NormalGamma.cs index 8037da03..5f6d7c28 100644 --- a/src/Numerics/Distributions/NormalGamma.cs +++ b/src/Numerics/Distributions/NormalGamma.cs @@ -166,7 +166,7 @@ namespace MathNet.Numerics.Distributions /// The scale of the mean. /// The shape of the precision. /// The inverse scale of the precision. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double meanLocation, double meanScale, double precShape, double precInvScale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(meanLocation, meanScale, precShape, precInvScale)) diff --git a/src/Numerics/Distributions/Pareto.cs b/src/Numerics/Distributions/Pareto.cs index ac54731a..5f46ce74 100644 --- a/src/Numerics/Distributions/Pareto.cs +++ b/src/Numerics/Distributions/Pareto.cs @@ -103,7 +103,7 @@ namespace MathNet.Numerics.Distributions /// /// The scale (xm) of the distribution. /// The shape (α) of the distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double scale, double shape) { if (Control.CheckDistributionParameters && !IsValidParameterSet(scale, shape)) @@ -231,7 +231,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -241,7 +241,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -251,7 +251,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Poisson.cs b/src/Numerics/Distributions/Poisson.cs index abf5fc5b..0a675430 100644 --- a/src/Numerics/Distributions/Poisson.cs +++ b/src/Numerics/Distributions/Poisson.cs @@ -96,7 +96,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The mean (λ) of the distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double lambda) { if (Control.CheckDistributionParameters && !IsValidParameterSet(lambda)) @@ -220,7 +220,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Rayleigh.cs b/src/Numerics/Distributions/Rayleigh.cs index 3b34823a..834ee329 100644 --- a/src/Numerics/Distributions/Rayleigh.cs +++ b/src/Numerics/Distributions/Rayleigh.cs @@ -99,7 +99,7 @@ namespace MathNet.Numerics.Distributions /// Sets the parameters of the distribution after checking their validity. /// /// The scale (σ) of the distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(scale)) @@ -201,7 +201,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -211,7 +211,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -221,7 +221,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Stable.cs b/src/Numerics/Distributions/Stable.cs index 0d94d035..b422d641 100644 --- a/src/Numerics/Distributions/Stable.cs +++ b/src/Numerics/Distributions/Stable.cs @@ -112,6 +112,7 @@ namespace MathNet.Numerics.Distributions /// The skewness (β) of the distribution. /// The scale (c) of the distribution. /// The location (μ) of the distribution. + /// When the parameters are out of range. void SetParameters(double alpha, double beta, double scale, double location) { if (Control.CheckDistributionParameters && !IsValidParameterSet(alpha, beta, scale, location)) @@ -303,7 +304,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -346,7 +347,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -356,7 +357,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/StudentT.cs b/src/Numerics/Distributions/StudentT.cs index e7ded7e9..0823a476 100644 --- a/src/Numerics/Distributions/StudentT.cs +++ b/src/Numerics/Distributions/StudentT.cs @@ -129,7 +129,7 @@ namespace MathNet.Numerics.Distributions /// The location (μ) of the distribution. /// The scale (σ) of the distribution. /// The degrees of freedom (ν) for the distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double location, double scale, double freedom) { if (Control.CheckDistributionParameters && !IsValidParameterSet(location, scale, freedom)) @@ -288,7 +288,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -297,7 +297,7 @@ namespace MathNet.Numerics.Distributions // TODO JVG we can probably do a better job for Cauchy special case if (_freedom >= 1e+8d) { - return Normal.Density(_location, _scale, x); + return Normal.PDF(_location, _scale, x); } var d = (x - _location)/_scale; @@ -308,7 +308,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -317,7 +317,7 @@ namespace MathNet.Numerics.Distributions // TODO JVG we can probably do a better job for Cauchy special case if (_freedom >= 1e+8d) { - return Normal.DensityLn(_location, _scale, x); + return Normal.PDFLn(_location, _scale, x); } var d = (x - _location)/_scale; @@ -328,7 +328,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . @@ -337,7 +337,7 @@ namespace MathNet.Numerics.Distributions // TODO JVG we can probably do a better job for Cauchy special case if (Double.IsPositiveInfinity(_freedom)) { - return Normal.CumulativeDistribution(_location, _scale, x); + return Normal.CDF(_location, _scale, x); } var k = (x - _location)/_scale; @@ -359,7 +359,7 @@ namespace MathNet.Numerics.Distributions static double SampleUnchecked(System.Random rnd, double location, double scale, double freedom) { var gamma = Gamma.SampleUnchecked(rnd, 0.5*freedom, 0.5); - return Normal.SampleUnchecked(rnd, location, scale*Math.Sqrt(freedom/gamma)); + return Normal.Sample(rnd, location, scale*Math.Sqrt(freedom/gamma)); } /// diff --git a/src/Numerics/Distributions/Weibull.cs b/src/Numerics/Distributions/Weibull.cs index 3463fc2e..aeacd3b2 100644 --- a/src/Numerics/Distributions/Weibull.cs +++ b/src/Numerics/Distributions/Weibull.cs @@ -110,7 +110,7 @@ namespace MathNet.Numerics.Distributions /// /// The shape (k) of the Weibull distribution. /// The scale (λ) of the Weibull distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double shape, double scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(shape, scale)) @@ -238,7 +238,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the probability density of the distribution (PDF) at x, i.e. dP(X <= x)/dx. + /// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x. /// /// The location at which to compute the density. /// the density at . @@ -258,7 +258,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(dP(X <= x)/dx). + /// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x). /// /// The location at which to compute the log density. /// the log density at . @@ -278,7 +278,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/Numerics/Distributions/Wishart.cs b/src/Numerics/Distributions/Wishart.cs index 923fdbc9..14a5703c 100644 --- a/src/Numerics/Distributions/Wishart.cs +++ b/src/Numerics/Distributions/Wishart.cs @@ -95,7 +95,7 @@ namespace MathNet.Numerics.Distributions /// /// The degrees of freedom (n) for the Wishart distribution. /// The scale matrix (V) for the Wishart distribution. - /// When the parameters don't pass the function. + /// When the parameters are out of range. void SetParameters(double degreesOfFreedom, Matrix scale) { if (Control.CheckDistributionParameters && !IsValidParameterSet(degreesOfFreedom, scale)) diff --git a/src/Numerics/Distributions/Zipf.cs b/src/Numerics/Distributions/Zipf.cs index b648427b..61a3a49c 100644 --- a/src/Numerics/Distributions/Zipf.cs +++ b/src/Numerics/Distributions/Zipf.cs @@ -109,6 +109,7 @@ namespace MathNet.Numerics.Distributions /// /// The s parameter of the distribution. /// The n parameter of the distribution. + /// When the parameters are out of range. void SetParameters(double s, int n) { if (Control.CheckDistributionParameters && !IsValidParameterSet(s, n)) @@ -267,7 +268,7 @@ namespace MathNet.Numerics.Distributions } /// - /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X <= x). + /// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x). /// /// The location at which to compute the cumulative distribution function. /// the cumulative distribution at location . diff --git a/src/UnitTests/DistributionTests/Continuous/LogNormalTests.cs b/src/UnitTests/DistributionTests/Continuous/LogNormalTests.cs index c8503de8..84167ef5 100644 --- a/src/UnitTests/DistributionTests/Continuous/LogNormalTests.cs +++ b/src/UnitTests/DistributionTests/Continuous/LogNormalTests.cs @@ -378,6 +378,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous { var n = new LogNormal(mu, sigma); AssertHelpers.AlmostEqual(p, n.Density(x), 14); + AssertHelpers.AlmostEqual(p, LogNormal.PDF(mu, sigma, x), 14); } /// @@ -419,6 +420,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous { var n = new LogNormal(mu, sigma); AssertHelpers.AlmostEqual(p, n.DensityLn(x), 14); + AssertHelpers.AlmostEqual(p, LogNormal.PDFLn(mu, sigma, x), 14); } /// @@ -518,6 +520,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous { var n = new LogNormal(mu, sigma); AssertHelpers.AlmostEqual(f, n.CumulativeDistribution(x), 8); + AssertHelpers.AlmostEqual(f, LogNormal.CDF(mu, sigma, x), 8); } /// diff --git a/src/UnitTests/DistributionTests/Continuous/NormalTests.cs b/src/UnitTests/DistributionTests/Continuous/NormalTests.cs index a0a68323..55e19e18 100644 --- a/src/UnitTests/DistributionTests/Continuous/NormalTests.cs +++ b/src/UnitTests/DistributionTests/Continuous/NormalTests.cs @@ -368,6 +368,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous var d = (mean - x) / sdev; var pdf = Math.Exp(-0.5 * d * d) / (sdev * Constants.Sqrt2Pi); Assert.AreEqual(pdf, n.Density(x)); + Assert.AreEqual(pdf, Normal.PDF(mean, sdev, x)); } } @@ -391,6 +392,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous var d = (mean - x) / sdev; var pdfln = (-0.5 * (d * d)) - Math.Log(sdev) - Constants.LogSqrt2Pi; Assert.AreEqual(pdfln, n.DensityLn(x)); + Assert.AreEqual(pdfln, Normal.PDFLn(mean, sdev, x)); } } @@ -471,6 +473,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous { var n = Normal.WithMeanStdDev(5.0, 2.0); AssertHelpers.AlmostEqual(f, n.CumulativeDistribution(x), 10); + AssertHelpers.AlmostEqual(f, Normal.CDF(5.0, 2.0, x), 10); } /// @@ -492,6 +495,7 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous { var n = Normal.WithMeanStdDev(5.0, 2.0); AssertHelpers.AlmostEqual(x, n.InverseCumulativeDistribution(f), 15); + AssertHelpers.AlmostEqual(x, Normal.InvCDF(5.0, 2.0, f), 15); } ///