* paths from mantis #31652 by WP

- deprecated functions with duplicate in math.
    - overloaded some functions with "is nested" procvars.
    - added new functions:
        - (complete) beta function, beta()
        - incomplete beta function (betai) and its inverse (invbetai)
        - cumulative normal distribution (normaldist) and its inverse (invnormaldist)
        - chi-square distribution (chi2dist), and its inverse (invchidist)
        - Student's t distribution (tdist) and its inverse (invtdist)
        - F distribution (Fdist) and its inverse (invFdist)
        - inverse of the incomplete gamma function gammaq (invgammaq)

git-svn-id: trunk@35922 -
This commit is contained in:
marco 2017-04-23 16:17:52 +00:00
parent 5165497498
commit 2a77e690b4
3 changed files with 381 additions and 19 deletions

View File

@ -18,6 +18,9 @@
**********************************************************************}
{$mode objfpc}{$H+}
{$modeswitch nestedprocvars}
Unit roo;
{$i direct.inc}
@ -34,6 +37,8 @@ Procedure roobin(n: ArbInt; a: complex; Var z: complex; Var term: ArbInt);
Procedure roof1r(f: rfunc1r; a, b, ae, re: ArbFloat; Var x: ArbFloat;
Var term: ArbInt);
Procedure roof1rn(f: rfunc1rn; a, b, ae, re: ArbFloat; Var x: ArbFloat;
Var term: ArbInt);
{Determine all zeropoints for a given n'th degree polynomal with real
coefficients}
@ -45,7 +50,7 @@ Procedure roopol(Var a: ArbFloat; n: ArbInt; Var z: complex;
Procedure rooqua(p, q: ArbFloat; Var z1, z2: complex);
{Roofnr is undocumented, but verry big}
{Solve a system of non-linear equations}
Procedure roofnr(f: roofnrfunc; n: ArbInt; Var x, residu: ArbFloat; re: ArbFloat;
Var term: ArbInt);
@ -141,13 +146,24 @@ End {roobin};
Procedure roof1r(f: rfunc1r; a, b, ae, re: ArbFloat; Var x: ArbFloat;
Var term: ArbInt);
function nested_f(x: ArbFloat): ArbFloat;
begin
Result := f(x);
end;
begin
roof1rn(@nested_f, a, b, ae, re, x, term);
end;
Procedure roof1rn(f: rfunc1rn; a, b, ae, re: ArbFloat; Var x: ArbFloat;
Var term: ArbInt);
Var fa, fb, c, fc, m, tol, w1, w2 : ArbFloat;
k : ArbInt;
stop : boolean;
Begin
fa := f(a);
fb := f(b);
fb := f(b);
If (spesgn(fa)*spesgn(fb)=1) Or (ae<0) Or (re<0)
Then {wrong input}
Begin
@ -173,7 +189,7 @@ Begin
k := 0;
tol := ae+re*spemax(abs(a), abs(b));
w1 := abs(b-a);
stop := false;
stop := false;
while (abs(b-a)>tol) and (fb<>0) and (Not stop) Do
Begin
m := (a+b)/2;

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@ -60,9 +60,17 @@ function speent(x: ArbFloat): longint;
{ Errorfunction ( 2/sqrt(pi)* Int(t,0,pi,exp(sqr(t)) )}
function speerf(x: ArbFloat): ArbFloat;
{ Errorfunction's complement ( 2/sqrt(pi)* Int(t,pi,inf,exp(sqr(t)) )}
{ Errorfunction's complement ( 2/sqrt(pi)* Int(t,pi,inf,exp(sqr(t))) )}
function speefc(x: ArbFloat): ArbFloat;
{ Calculates the cumulative normal distribution
N(x) = 1/sqrt(2*pi) * Int(t, -INF, x, exp(t^2/2) ) }
function normaldist(x: ArbFloat): ArbFloat;
{ Inverse of cumulative normal distribution:
Returns x such that y = normaldist(x) }
function invnormaldist(y: ArbFloat): ArbFloat;
{ Function to calculate the Gamma function ( int(t,0,inf,t^(x-1)*exp(-t)) }
function spegam(x: ArbFloat): ArbFloat;
@ -77,43 +85,73 @@ function gammap(s, x: ArbFloat): ArbFloat;
int(t,x,inf,exp(-t)t^(s-1)) / spegam(s) (s > 0)
gammaq(s,x) = 1 - gammap(s,x) }
function gammaq(s, x: ArbFloat): ArbFloat;
function invgammaq(s, y: ArbFloat): ArbFloat;
{ Function to calculate the (complete) beta function
beta(a, b) = int(t, 0, 1, t^(a-1) * (1-t)^(b-1) with a > 0, b > 0
beta(a, b) = spegam(a) * spegam(b) / spegam(a + b) }
function beta(a, b: ArbFloat): ArbFloat;
{ Function to calculate the (regularized) incomplete beta function
betai(a, b, x) = int(t, 0, x, t^(x-1) * (1-t)^(y-1) ) / beta(a,b) }
function betai(a, b, x: ArbFloat): ArbFloat;
function invbetai(a, b, y: ArbFloat; eps: ArbFloat = 0.0): ArbFloat;
{ Function to calculate the cumulative chi2 distribution with n degrees of
freedom (upper tail) }
function chi2dist(x: ArbFloat; n: ArbInt): ArbFloat;
function invchi2dist(y: Arbfloat; n: ArbInt): ArbFloat;
{ Function to calculate Student's t distribution with n degrees of freedom
(cumulative, upper tail if Tails = 1, else both tails }
type
TNumTails = 1..2;
function tdist(t: ArbFloat; n: ArbInt; Tails: TNumTails): ArbFloat;
function invtdist(y: ArbFloat; n: ArbInt; Tails: TNumTails; eps: ArbFloat = 0.0): ArbFloat;
{ Function to calculate the cumulative F distribution function of value F
with n1 and n2 degrees of freedom }
function Fdist(F: ArbFloat; n1, n2: ArbInt): ArbFloat;
function invFdist(p: ArbFloat; n1, n2: ArbInt; eps: ArbFloat = 0.0): ArbFloat;
{ "Calculates" the maximum of two ArbFloat values }
function spemax(a, b: ArbFloat): ArbFloat;
function spemax(a, b: ArbFloat): ArbFloat; deprecated 'Use max(a,b) in unit math.';
{ Calculates the functionvalue of a polynomalfunction with n coefficients in a
for variable X }
{ Calculates the function value of a polynomial of degree n for variable x.
The polynomial coefficients a are ordered from lowest to highest degree term.
y = a0 + a1 x + a2 x^2 + ... + an x^n }
function spepol(x: ArbFloat; var a: ArbFloat; n: ArbInt): ArbFloat;
{ Calc a^b with a and b real numbers}
function spepow(a, b: ArbFloat): ArbFloat;
function spepow(a, b: ArbFloat): ArbFloat; deprecated 'Use power(a,b) in unit math.';
{ Returns sign of x (-1 for x<0, 0 for x=0 and 1 for x>0) }
function spesgn(x: ArbFloat): ArbInt;
function spesgn(x: ArbFloat): ArbInt; deprecated 'Use sign(x) in unit math.';
{ ArcSin(x) }
function spears(x: ArbFloat): ArbFloat;
function spears(x: ArbFloat): ArbFloat; deprecated 'Use arcsin(x) in unit math.';
{ ArcCos(x) }
function spearc(x: ArbFloat): ArbFloat;
function spearc(x: ArbFloat): ArbFloat; deprecated 'Use arccos(x) in unit math.';
{ Sinh(x) }
function spesih(x: ArbFloat): ArbFloat;
function spesih(x: ArbFloat): ArbFloat; deprecated 'Use sinh(x) in unit math.';
{ Cosh(x) }
function specoh(x: ArbFloat): ArbFloat;
function specoh(x: ArbFloat): ArbFloat; deprecated 'Use cosh(x) in unit math.';
{ Tanh(x) }
function spetah(x: ArbFloat): ArbFloat;
function spetah(x: ArbFloat): ArbFloat; deprecated 'Use tanh(x) in unit math.';
{ ArcSinH(x) }
function speash(x: ArbFloat): ArbFloat;
function speash(x: ArbFloat): ArbFloat; deprecated 'Use arcsinh(x) in unit math.';
{ ArcCosh(x) }
function speach(x: ArbFloat): ArbFloat;
function speach(x: ArbFloat): ArbFloat; deprecated 'Use arccosh(x) in unit math';
{ ArcTanH(x) }
function speath(x: ArbFloat): ArbFloat;
function speath(x: ArbFloat): ArbFloat; deprecated 'Use arctanh(x) in unit math';
{ Error numbers used within this unit:
@ -128,10 +166,22 @@ function speath(x: ArbFloat): ArbFloat;
409 - function spears(s, x) is not defined for x < -1 or x > 1
410 - function gammap(s, x) is not defined for s <= 0 or x < 0
411 - function gammaq(s, x) is not defined for s <= 0 or x < 0
412 - function beta(a, b) is not defined for a <= 0 or b <= 0
413 - function betai(a, b, x) is not defined for a <= 0 or b <= 0
414 - function betai(a, b, x) is not defined for x < 0 or x > 0
415 - function invtdist(t, n) is not defined for t <= 0 or t >= 1 or n <= 0.
}
implementation
uses
math, roo;
const
SQRT2 = 1.4142135623730950488016887242097; // sqrt(2)
SQRT2PI = 2.506628274631000502415765284811; // sqrt(2*pi)
EXP_2 = 0.13533528323661269189399949497248; // exp(-2)
function spebi0(x: ArbFloat): ArbFloat;
const
@ -896,6 +946,120 @@ begin
end
end {speefc};
{ N(x) = 1/sqrt(2 pi) int(-INF, x, exp(t^2/2) = (1 + erf(x/sqrt(2))) / 2 }
function normaldist(x: ArbFloat): ArbFloat;
begin
Result := 0.5 * (1.0 + speerf(x / SQRT2));
end;
function invnormaldist(y: ArbFloat): ArbFloat;
{ Ref.: Moshier, "Methods and programs for mathematical function" }
const
P0: array[0..4] of ArbFloat = (
-1.23916583867381258016,
13.9312609387279679503,
-56.6762857469070293439,
98.0010754185999661536,
-59.9633501014107895267);
Q0: array[0..8] of ArbFloat = (
-1.18331621121330003142,
15.9056225126211695515,
-82.0372256168333339912,
200.260212380060660359,
-225.462687854119370527,
86.3602421390890590575,
4.67627912898881538453,
1.95448858338141759834,
1.0);
P1: array[0..8] of ArbFloat = (
-8.57456785154685413611E-4,
-3.50424626827848203418E-2,
-1.40256079171354495875E-1,
2.18663306850790267539,
14.6849561928858024014,
44.0805073893200834700,
57.1628192246421288162,
31.5251094599893866154,
4.05544892305962419923);
Q1: array[0..8] of Arbfloat = (
-9.33259480895457427372E-4,
-3.80806407691578277194E-2,
-1.42182922854787788574E-1,
2.50464946208309415979,
15.0425385692907503408,
41.3172038254672030440,
45.3907635128879210584,
15.7799883256466749731,
1.0);
P2: array[0..8] of ArbFloat = (
6.23974539184983293730E-9,
2.65806974686737550832E-6,
3.01581553508235416007E-4,
1.23716634817820021358E-2,
2.01485389549179081538E-1,
1.33303460815807542389,
3.93881025292474443415,
6.91522889068984211695,
3.23774891776946035970);
Q2: array[0..8] of ArbFloat = (
6.79019408009981274425E-9,
2.89247864745380683936E-6,
3.28014464682127739104E-4,
1.34204006088543189037E-2,
2.16236993594496635890E-1,
1.37702099489081330271,
3.67983563856160859403,
6.02427039364742014255,
1.0);
var
x, x0, x1: ArbFloat;
yy, y2: ArbFloat;
z: ArbFloat;
code: Integer;
begin
if y <= 0.0 then
begin
Result := -giant;
exit;
end;
if y >= 1.0 then
begin
Result := +giant;
exit;
end;
code := 1;
yy := y;
if yy > 1.0 - EXP_2 then begin // EXP_2 = exp(-2)
yy := 1.0 - yy;
code := 0;
end;
if yy > EXP_2 then begin
yy := yy - 0.5;
y2 := yy * yy;
x := y2 * spepol(y2, P0[0], 4) / spepol(y2, Q0[0], 8);
x := (yy + yy * x) * SQRT2PI; // SQRT2PI = sqrt(2*pi);
Result := x;
exit;
end;
x := sqrt(-2.0 * ln(yy));
x0 := x - ln(x) / x;
z := 1.0 / x;
if x < 8.0 then
x1 := z * spepol(z, P1[0], 8) / spepol(z, Q1[0], 8)
else
x1 := z * spepol(z, P2[0], 8) / spepol(z, Q2[0], 8);
x := x0 - x1;
if code <> 0 then
x := -x;
Result := x;
end;
function spegam(x: ArbFloat): ArbFloat;
const
@ -1154,6 +1318,183 @@ begin
Result := gammacf(s, x); // Use continued fraction
end;
{ Ref.: Moshier, "Methods and programs for mathematical functions" }
function invgammaq(s, y: ArbFloat): ArbFloat;
const
NUM_IT = 30;
var
d, y0, x0, xinit, lgm: ArbFloat;
it: Integer;
eps: ArbFloat;
begin
d := 1.0 / (9 * s);
y0 := invnormaldist(y);
if y0 = giant then
exit(0.0);
y0 := 1.0 - d - y0 * sqrt(d);
x0 := s * y0 * y0 * y0;
xinit := x0;
lgm := spelga(s);
eps := 2.0 * MachEps;
for it := 1 to NUM_IT do
begin
if (x0 <= 0.0) then // underflow
exit(0.0);
y0 := gammaq(s, x0);
d := (s - 1.0) * ln(x0) - x0 - lgm;
if d < -lnGiant then // underflow
break;
d := -exp(d);
if d = 0.0 then
break;
d := (y0 - y) / d;
x0 := x0 - d;
if it <= 3 then
continue;
if abs(d / x0) < eps then
break;
end;
Result := x0;
end;
{ Calculates the complete beta function based on its property that
beta(a, b) = gamma(a) * gamma(b) / gamma(a+b)
https://en.wikipedia.org/wiki/Beta_function }
function beta(a, b: ArbFloat): ArbFloat;
begin
if (a <= 0) or (b <= 0) then
RunError(412);
Result := exp(spelga(a) + spelga(b) - spelga(a + b));
end;
{ Calculates the continued fraction of the incomplete beta function.
Ref: https://www.encyclopediaofmath.org/index.php/Incomplete_beta-function }
function betaicf(a, b, x: ArbFloat): Arbfloat;
function funca(i: Integer): ArbFloat;
begin
if i = 0 then Result := 0.0 else Result := 1.0;
end;
function funcb(i: Integer): ArbFloat;
var
am: ArbFloat;
amm: ArbFloat;
m: Integer;
begin
if i = 1 then
Result := 1.0
else begin
m := (i-1) div 2;
am := a + m;
amm := am + m;
if odd(i) then
Result := m * (b - m) * x / ((amm - 1) * amm)
else
Result := -am * (am + b) * x / (amm * (amm + 1));
end;
end;
const
MAX_IT = 100;
EPS = 1E-7;
begin
Result := CalcCF(@funca, @funcb, MAX_IT, EPS);
end;
function betai(a, b, x: ArbFloat): ArbFloat;
var
factor: ArbFloat;
begin
// Check for invalid arguments
if (a <= 0) or (b <= 0) then
RunError(413);
if (x < 0) or (x > 1) then
RunError(414);
if (x = 0) or (x = 1) then
factor := 0
else
factor := exp(a * ln(x) + b * ln(1.0 - x) + spelga(a + b) - spelga(a) - spelga(b));
// The continued fraction expansion converges quickly only for
// x < (a + 1) / (a + b + 2)
// For the other case, we apply the relation
// beta(a, b, x) = 1 - beta(b, a, 1-x)
if x < (a + 1) / (a + b + 2) then
Result := factor * betaicf(a, b, x) / a
else
Result := 1.0 - factor * betaicf(b, a, 1.0 - x) / b;
end;
{ Inverse of the incomplete beta function }
function invbetai(a, b, y: ArbFloat; eps: ArbFloat = 0.0): ArbFloat;
function _betai(x: ArbFloat): ArbFloat;
begin
Result := betai(a, b, x) - y;
end;
var
term: ArbInt = 0;
begin
if eps = 0.0 then
eps := MachEps;
roof1rn(@_betai, 0, 1, eps, eps, Result, term);
if term = 3 then
Result := NaN;
end;
function chi2dist(x: ArbFloat; n: ArbInt): ArbFloat;
begin
Result := gammaQ(0.5*n, 0.5*x);
end;
function invchi2dist(y: Arbfloat; n: ArbInt): ArbFloat;
begin
Result := 2.0 * invgammaQ(n/2, y);
// Result := 2.0 * invgammaQ_alglib(n/2, y);
end;
function tdist(t: ArbFloat; n: ArbInt; Tails: TNumTails): ArbFloat;
begin
Result := betai(0.5*n, 0.5, n/(n+t*t));
if Tails = 1 then Result := Result * 0.5;
end;
function invtdist(y: ArbFloat; n: ArbInt; Tails: TNumTails;
eps: ArbFloat = 0.0): ArbFloat;
var
w: ArbFloat;
begin
if (n <= 0) or (y <= 0) or (y >= 1) then
RunError(415);
if Tails = 2 then y := y * 0.5;
w := invbetai(0.5*n, 0.5, 2*y, eps);
Result := sqrt(n/w - n);
end;
// Calculates the F distribution with n1 and n2 degrees of freedom in the
// numerator and denominator, respectively
function Fdist(F: ArbFloat; n1, n2: ArbInt): ArbFloat;
begin
Result := betai(n2*0.5, n1*0.5, n2 / (n2 + n1*F));
end;
// Calculates the inverse of the F distribution
// Ref. Moshier, "Methods and programs for mathematical functions"
function invFdist(p: ArbFloat; n1, n2: ArbInt; eps: ArbFloat = 0.0): ArbFloat;
var
s: ArbFloat;
begin
if eps = 0.0 then eps := machEps;
s := invbetai(n2*0.5, n1*0.5, p, eps);
Result := n2 * (1-s) / (n1 * s);
end;
function spepol(x: ArbFloat; var a: ArbFloat; n: ArbInt): ArbFloat;
var pa : ^arfloat0;
i : ArbInt;
@ -1419,6 +1760,7 @@ end; {speath}
var exitsave : pointer;
procedure MyExit;
{
const ErrorS : array[400..408,1..6] of char =
('spepow',
'spebk0',
@ -1428,7 +1770,7 @@ const ErrorS : array[400..408,1..6] of char =
'speach',
'speath',
'spegam',
'spelga');
'spelga'); }
//var ErrFil : text;
@ -1436,7 +1778,7 @@ begin
ExitProc := ExitSave;
// Assign(ErrFil, 'CON');
// ReWrite(ErrFil);
if (ExitCode>=400) AND (ExitCode<=408) then
if (ExitCode>=400) AND (ExitCode<=415) then
begin
// write(ErrFil, 'critical error in ', ErrorS[ExitCode]);
ExitCode := 201

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@ -35,6 +35,9 @@ Also some stuff had to be added to get ipf running (vector object and
complex.inp and scale methods)
}
{$mode objfpc}{$H+}
{$modeswitch nestedprocvars}
unit typ;
{$I DIRECT.INC} {Contains "global" compilerswitches which
@ -182,6 +185,7 @@ type
{Standard Functions used in NumLib}
rfunc1r = Function(x : ArbFloat): ArbFloat;
rfunc1rn = Function(x : ArbFloat): ArbFloat is nested;
rfunc2r = Function(x, y : ArbFloat): ArbFloat;
{Complex version}