boost/math/distributions/detail/generic_quantile.hpp
// Copyright John Maddock 2008.
// 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_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP
#define BOOST_MATH_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP
namespace boost{ namespace math{ namespace detail{
template <class Dist>
struct generic_quantile_finder
{
typedef typename Dist::value_type value_type;
typedef typename Dist::policy_type policy_type;
generic_quantile_finder(const Dist& d, value_type t, bool c)
: dist(d), target(t), comp(c) {}
value_type operator()(const value_type& x)
{
return comp ?
value_type(target - cdf(complement(dist, x)))
: value_type(cdf(dist, x) - target);
}
private:
Dist dist;
value_type target;
bool comp;
};
template <class T, class Policy>
inline T check_range_result(const T& x, const Policy& pol, const char* function)
{
if((x >= 0) && (x < tools::min_value<T>()))
return policies::raise_underflow_error<T>(function, 0, pol);
if(x <= -tools::max_value<T>())
return -policies::raise_overflow_error<T>(function, 0, pol);
if(x >= tools::max_value<T>())
return policies::raise_overflow_error<T>(function, 0, pol);
return x;
}
template <class Dist>
typename Dist::value_type generic_quantile(const Dist& dist, const typename Dist::value_type& p, const typename Dist::value_type& guess, bool comp, const char* function)
{
typedef typename Dist::value_type value_type;
typedef typename Dist::policy_type policy_type;
typedef typename policies::normalise<
policy_type,
policies::promote_float<false>,
policies::promote_double<false>,
policies::discrete_quantile<>,
policies::assert_undefined<> >::type forwarding_policy;
//
// Special cases first:
//
if(p == 0)
{
return comp
? check_range_result(range(dist).second, forwarding_policy(), function)
: check_range_result(range(dist).first, forwarding_policy(), function);
}
if(p == 1)
{
return !comp
? check_range_result(range(dist).second, forwarding_policy(), function)
: check_range_result(range(dist).first, forwarding_policy(), function);
}
generic_quantile_finder<Dist> f(dist, p, comp);
tools::eps_tolerance<value_type> tol(policies::digits<value_type, forwarding_policy>() - 3);
boost::uintmax_t max_iter = policies::get_max_root_iterations<forwarding_policy>();
std::pair<value_type, value_type> ir = tools::bracket_and_solve_root(
f, guess, value_type(2), true, tol, max_iter, forwarding_policy());
value_type result = ir.first + (ir.second - ir.first) / 2;
if(max_iter >= policies::get_max_root_iterations<forwarding_policy>())
{
return policies::raise_evaluation_error<value_type>(function, "Unable to locate solution in a reasonable time:"
" either there is no answer to quantile"
" or the answer is infinite. Current best guess is %1%", result, forwarding_policy());
}
return result;
}
}}} // namespaces
#endif // BOOST_MATH_DISTIBUTIONS_DETAIL_GENERIC_QUANTILE_HPP