source: branches/3.2/sources/HeuristicLab.ExtLibs/HeuristicLab.ALGLIB/2.3.0/ALGLIB-2.3.0/binomialdistr.cs @ 17712

/*************************************************************************
Cephes Math Library Release 2.8:  June, 2000
Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier

Contributors:
    * Sergey Bochkanov (ALGLIB project). Translation from C to
      pseudocode.

See subroutines comments for additional copyrights.

>>> SOURCE LICENSE >>>
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation (www.fsf.org); either version 2 of the 
License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

A copy of the GNU General Public License is available at
http://www.fsf.org/licensing/licenses

>>> END OF LICENSE >>>
*************************************************************************/

using System;

namespace alglib
{
    public class binomialdistr
    {
        /*************************************************************************
        Binomial distribution

        Returns the sum of the terms 0 through k of the Binomial
        probability density:

          k
          --  ( n )   j      n-j
          >   (   )  p  (1-p)
          --  ( j )
         j=0

        The terms are not summed directly; instead the incomplete
        beta integral is employed, according to the formula

        y = bdtr( k, n, p ) = incbet( n-k, k+1, 1-p ).

        The arguments must be positive, with p ranging from 0 to 1.

        ACCURACY:

        Tested at random points (a,b,p), with p between 0 and 1.

                      a,b                     Relative error:
        arithmetic  domain     # trials      peak         rms
         For p between 0.001 and 1:
           IEEE     0,100       100000      4.3e-15     2.6e-16

        Cephes Math Library Release 2.8:  June, 2000
        Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
        *************************************************************************/
        public static double binomialdistribution(int k,
            int n,
            double p)
        {
            double result = 0;
            double dk = 0;
            double dn = 0;

            System.Diagnostics.Debug.Assert((double)(p)>=(double)(0) & (double)(p)<=(double)(1), "Domain error in BinomialDistribution");
            System.Diagnostics.Debug.Assert(k>=-1 & k<=n, "Domain error in BinomialDistribution");
            if( k==-1 )
            {
                result = 0;
                return result;
            }
            if( k==n )
            {
                result = 1;
                return result;
            }
            dn = n-k;
            if( k==0 )
            {
                dk = Math.Pow(1.0-p, dn);
            }
            else
            {
                dk = k+1;
                dk = ibetaf.incompletebeta(dn, dk, 1.0-p);
            }
            result = dk;
            return result;
        }


        /*************************************************************************
        Complemented binomial distribution

        Returns the sum of the terms k+1 through n of the Binomial
        probability density:

          n
          --  ( n )   j      n-j
          >   (   )  p  (1-p)
          --  ( j )
         j=k+1

        The terms are not summed directly; instead the incomplete
        beta integral is employed, according to the formula

        y = bdtrc( k, n, p ) = incbet( k+1, n-k, p ).

        The arguments must be positive, with p ranging from 0 to 1.

        ACCURACY:

        Tested at random points (a,b,p).

                      a,b                     Relative error:
        arithmetic  domain     # trials      peak         rms
         For p between 0.001 and 1:
           IEEE     0,100       100000      6.7e-15     8.2e-16
         For p between 0 and .001:
           IEEE     0,100       100000      1.5e-13     2.7e-15

        Cephes Math Library Release 2.8:  June, 2000
        Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
        *************************************************************************/
        public static double binomialcdistribution(int k,
            int n,
            double p)
        {
            double result = 0;
            double dk = 0;
            double dn = 0;

            System.Diagnostics.Debug.Assert((double)(p)>=(double)(0) & (double)(p)<=(double)(1), "Domain error in BinomialDistributionC");
            System.Diagnostics.Debug.Assert(k>=-1 & k<=n, "Domain error in BinomialDistributionC");
            if( k==-1 )
            {
                result = 1;
                return result;
            }
            if( k==n )
            {
                result = 0;
                return result;
            }
            dn = n-k;
            if( k==0 )
            {
                if( (double)(p)<(double)(0.01) )
                {
                    dk = -nearunityunit.expm1(dn*nearunityunit.log1p(-p));
                }
                else
                {
                    dk = 1.0-Math.Pow(1.0-p, dn);
                }
            }
            else
            {
                dk = k+1;
                dk = ibetaf.incompletebeta(dk, dn, p);
            }
            result = dk;
            return result;
        }


        /*************************************************************************
        Inverse binomial distribution

        Finds the event probability p such that the sum of the
        terms 0 through k of the Binomial probability density
        is equal to the given cumulative probability y.

        This is accomplished using the inverse beta integral
        function and the relation

        1 - p = incbi( n-k, k+1, y ).

        ACCURACY:

        Tested at random points (a,b,p).

                      a,b                     Relative error:
        arithmetic  domain     # trials      peak         rms
         For p between 0.001 and 1:
           IEEE     0,100       100000      2.3e-14     6.4e-16
           IEEE     0,10000     100000      6.6e-12     1.2e-13
         For p between 10^-6 and 0.001:
           IEEE     0,100       100000      2.0e-12     1.3e-14
           IEEE     0,10000     100000      1.5e-12     3.2e-14

        Cephes Math Library Release 2.8:  June, 2000
        Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier
        *************************************************************************/
        public static double invbinomialdistribution(int k,
            int n,
            double y)
        {
            double result = 0;
            double dk = 0;
            double dn = 0;
            double p = 0;

            System.Diagnostics.Debug.Assert(k>=0 & k<n, "Domain error in InvBinomialDistribution");
            dn = n-k;
            if( k==0 )
            {
                if( (double)(y)>(double)(0.8) )
                {
                    p = -nearunityunit.expm1(nearunityunit.log1p(y-1.0)/dn);
                }
                else
                {
                    p = 1.0-Math.Pow(y, 1.0/dn);
                }
            }
            else
            {
                dk = k+1;
                p = ibetaf.incompletebeta(dn, dk, 0.5);
                if( (double)(p)>(double)(0.5) )
                {
                    p = ibetaf.invincompletebeta(dk, dn, 1.0-y);
                }
                else
                {
                    p = 1.0-ibetaf.invincompletebeta(dn, dk, y);
                }
            }
            result = p;
            return result;
        }
    }
}