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Distributions: adapt FisherSnedecor

optimization-1
Christoph Ruegg 13 years ago
parent
765dbcb5dd
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7f6514ca38
2 changed files with 71 additions and 36 deletions
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  1. 95
      src/Numerics/Distributions/FisherSnedecor.cs
  2. 12
      src/UnitTests/DistributionTests/Continuous/FisherSnedecorTests.cs

95
src/Numerics/Distributions/FisherSnedecor.cs
View File

@ -35,7 +35,7 @@ using MathNet.Numerics.Properties;
namespace MathNet.Numerics.Distributions
{
/// <summary>
/// Continuous Univariate FisherSnedecor distribution.
/// Continuous Univariate F-distribution, also known as Fisher-Snedecor distribution.
/// For details about this distribution, see
/// <a href="http://en.wikipedia.org/wiki/F-distribution">Wikipedia - FisherSnedecor distribution</a>.
/// </summary>
@ -83,17 +83,6 @@ namespace MathNet.Numerics.Distributions
return "FisherSnedecor(d1 = " + _freedom1 + ", d2 = " + _freedom2 + ")";
}
/// <summary>
/// Checks whether the parameters of the distribution are valid.
/// </summary>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <returns><c>true</c> when the parameters are valid, <c>false</c> otherwise.</returns>
static bool IsValidParameterSet(double d1, double d2)
{
return d1 > 0.0 && d2 > 0.0;
}
/// <summary>
/// Sets the parameters of the distribution after checking their validity.
/// </summary>
@ -102,7 +91,7 @@ namespace MathNet.Numerics.Distributions
/// <exception cref="ArgumentOutOfRangeException">When the parameters are out of range.</exception>
void SetParameters(double d1, double d2)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(d1, d2))
if (d1 <= 0.0 || d2 <= 0.0 || Double.IsNaN(d1) || Double.IsNaN(d2))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
@ -247,6 +236,7 @@ namespace MathNet.Numerics.Distributions
/// </summary>
/// <param name="x">The location at which to compute the density.</param>
/// <returns>the density at <paramref name="x"/>.</returns>
/// <seealso cref="PDF"/>
public double Density(double x)
{
return Math.Sqrt(Math.Pow(_freedom1*x, _freedom1)*Math.Pow(_freedom2, _freedom2)/Math.Pow((_freedom1*x) + _freedom2, _freedom1 + _freedom2))/(x*SpecialFunctions.Beta(_freedom1/2.0, _freedom2/2.0));
@ -257,6 +247,7 @@ namespace MathNet.Numerics.Distributions
/// </summary>
/// <param name="x">The location at which to compute the log density.</param>
/// <returns>the log density at <paramref name="x"/>.</returns>
/// <seealso cref="PDFLn"/>
public double DensityLn(double x)
{
return Math.Log(Density(x));
@ -267,23 +258,12 @@ namespace MathNet.Numerics.Distributions
/// </summary>
/// <param name="x">The location at which to compute the cumulative distribution function.</param>
/// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
/// <seealso cref="CDF"/>
public double CumulativeDistribution(double x)
{
return SpecialFunctions.BetaRegularized(_freedom1/2.0, _freedom2/2.0, _freedom1*x/((_freedom1*x) + _freedom2));
}
/// <summary>
/// Generates one sample from the <c>FisherSnedecor</c> distribution without parameter checking.
/// </summary>
/// <param name="rnd">The random number generator to use.</param>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <returns>a <c>FisherSnedecor</c> distributed random number.</returns>
static double SampleUnchecked(System.Random rnd, double d1, double d2)
{
return (ChiSquared.Sample(rnd, d1)/d1)/(ChiSquared.Sample(rnd, d2)/d2);
}
/// <summary>
/// Generates a sample from the <c>FisherSnedecor</c> distribution.
/// </summary>
@ -305,6 +285,61 @@ namespace MathNet.Numerics.Distributions
}
}
/// <summary>
/// Generates one sample from the <c>FisherSnedecor</c> distribution without parameter checking.
/// </summary>
/// <param name="rnd">The random number generator to use.</param>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <returns>a <c>FisherSnedecor</c> distributed random number.</returns>
static double SampleUnchecked(System.Random rnd, double d1, double d2)
{
return (ChiSquared.Sample(rnd, d1) / d1) / (ChiSquared.Sample(rnd, d2) / d2);
}
/// <summary>
/// Computes the probability density of the distribution (PDF) at x, i.e. ∂P(X ≤ x)/∂x.
/// </summary>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <param name="x">The location at which to compute the density.</param>
/// <returns>the density at <paramref name="x"/>.</returns>
/// <seealso cref="Density"/>
public static double PDF(double d1, double d2, double x)
{
if (d1 <= 0.0 || d2 <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
return Math.Sqrt(Math.Pow(d1*x, d1)*Math.Pow(d2, d2)/Math.Pow((d1*x) + d2, d1 + d2))/(x*SpecialFunctions.Beta(d1/2.0, d2/2.0));
}
/// <summary>
/// Computes the log probability density of the distribution (lnPDF) at x, i.e. ln(∂P(X ≤ x)/∂x).
/// </summary>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <param name="x">The location at which to compute the density.</param>
/// <returns>the log density at <paramref name="x"/>.</returns>
/// <seealso cref="DensityLn"/>
public static double PDFLn(double d1, double d2, double x)
{
return Math.Log(PDF(d1, d2, x));
}
/// <summary>
/// Computes the cumulative distribution (CDF) of the distribution at x, i.e. P(X ≤ x).
/// </summary>
/// <param name="x">The location at which to compute the cumulative distribution function.</param>
/// <param name="d1">The first degree of freedom (d1) of the distribution. Range: d1 > 0.</param>
/// <param name="d2">The second degree of freedom (d2) of the distribution. Range: d2 > 0.</param>
/// <returns>the cumulative distribution at location <paramref name="x"/>.</returns>
/// <seealso cref="CumulativeDistribution"/>
public static double CDF(double d1, double d2, double x)
{
if (d1 <= 0.0 || d2 <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
return SpecialFunctions.BetaRegularized(d1/2.0, d2/2.0, d1*x/((d1*x) + d2));
}
/// <summary>
/// Generates a sample from the distribution.
/// </summary>
@ -314,10 +349,7 @@ namespace MathNet.Numerics.Distributions
/// <returns>a sample from the distribution.</returns>
public static double Sample(System.Random rnd, double d1, double d2)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(d1, d2))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
if (d1 <= 0.0 || d2 <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
return SampleUnchecked(rnd, d1, d2);
}
@ -331,10 +363,7 @@ namespace MathNet.Numerics.Distributions
/// <returns>a sequence of samples from the distribution.</returns>
public static IEnumerable<double> Samples(System.Random rnd, double d1, double d2)
{
if (Control.CheckDistributionParameters && !IsValidParameterSet(d1, d2))
{
throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
}
if (d1 <= 0.0 || d2 <= 0.0) throw new ArgumentOutOfRangeException(Resources.InvalidDistributionParameters);
while (true)
{

12
src/UnitTests/DistributionTests/Continuous/FisherSnedecorTests.cs
View File

@ -361,7 +361,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous
public void ValidateDensity(double d1, double d2, double x)
{
var n = new FisherSnedecor(d1, d2);
Assert.AreEqual(Math.Sqrt(Math.Pow(d1 * x, d1) * Math.Pow(d2, d2) / Math.Pow((d1 * x) + d2, d1 + d2)) / (x * SpecialFunctions.Beta(d1 / 2.0, d2 / 2.0)), n.Density(x));
double expected = Math.Sqrt(Math.Pow(d1*x, d1)*Math.Pow(d2, d2)/Math.Pow((d1*x) + d2, d1 + d2))/(x*SpecialFunctions.Beta(d1/2.0, d2/2.0));
Assert.AreEqual(expected, n.Density(x));
Assert.AreEqual(expected, FisherSnedecor.PDF(d1, d2, x));
}
/// <summary>
@ -397,7 +399,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous
public void ValidateDensityLn(double d1, double d2, double x)
{
var n = new FisherSnedecor(d1, d2);
Assert.AreEqual(Math.Log(n.Density(x)), n.DensityLn(x));
double expected = Math.Log(Math.Sqrt(Math.Pow(d1*x, d1)*Math.Pow(d2, d2)/Math.Pow((d1*x) + d2, d1 + d2))/(x*SpecialFunctions.Beta(d1/2.0, d2/2.0)));
Assert.AreEqual(expected, n.DensityLn(x));
Assert.AreEqual(expected, FisherSnedecor.PDFLn(d1, d2, x));
}
/// <summary>
@ -442,7 +446,9 @@ namespace MathNet.Numerics.UnitTests.DistributionTests.Continuous
public void ValidateCumulativeDistribution(double d1, double d2, double x)
{
var n = new FisherSnedecor(d1, d2);
Assert.AreEqual(SpecialFunctions.BetaRegularized(d1 / 2.0, d2 / 2.0, d1 * x / (d2 + (x * d1))), n.CumulativeDistribution(x));
double expected = SpecialFunctions.BetaRegularized(d1/2.0, d2/2.0, d1*x/(d2 + (x*d1)));
Assert.AreEqual(expected, n.CumulativeDistribution(x));
Assert.AreEqual(expected, FisherSnedecor.CDF(d1, d2, x));
}
}
}

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