--- /dev/null
+// (C) Copyright John Maddock 2006.
+// 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)
+
+//
+// This is not a complete header file, it is included by beta.hpp
+// after it has defined it's definitions. This inverts the incomplete
+// beta functions ibeta and ibetac on the first parameters "a"
+// and "b" using a generic root finding algorithm (TOMS Algorithm 748).
+//
+
+#ifndef BOOST_MATH_SP_DETAIL_BETA_INV_AB
+#define BOOST_MATH_SP_DETAIL_BETA_INV_AB
+
+#ifdef _MSC_VER
+#pragma once
+#endif
+
+#include <boost/math/tools/toms748_solve.hpp>
+#include <boost/cstdint.hpp>
+
+namespace boost{ namespace math{ namespace detail{
+
+template <class T, class Policy>
+struct beta_inv_ab_t
+{
+ beta_inv_ab_t(T b_, T z_, T p_, bool invert_, bool swap_ab_) : b(b_), z(z_), p(p_), invert(invert_), swap_ab(swap_ab_) {}
+ T operator()(T a)
+ {
+ return invert ?
+ p - boost::math::ibetac(swap_ab ? b : a, swap_ab ? a : b, z, Policy())
+ : boost::math::ibeta(swap_ab ? b : a, swap_ab ? a : b, z, Policy()) - p;
+ }
+private:
+ T b, z, p;
+ bool invert, swap_ab;
+};
+
+template <class T, class Policy>
+T inverse_negative_binomial_cornish_fisher(T n, T sf, T sfc, T p, T q, const Policy& pol)
+{
+ BOOST_MATH_STD_USING
+ // mean:
+ T m = n * (sfc) / sf;
+ T t = sqrt(n * (sfc));
+ // standard deviation:
+ T sigma = t / sf;
+ // skewness
+ T sk = (1 + sfc) / t;
+ // kurtosis:
+ T k = (6 - sf * (5+sfc)) / (n * (sfc));
+ // Get the inverse of a std normal distribution:
+ T x = boost::math::erfc_inv(p > q ? 2 * q : 2 * p, pol) * constants::root_two<T>();
+ // Set the sign:
+ if(p < 0.5)
+ x = -x;
+ T x2 = x * x;
+ // w is correction term due to skewness
+ T w = x + sk * (x2 - 1) / 6;
+ //
+ // Add on correction due to kurtosis.
+ //
+ if(n >= 10)
+ w += k * x * (x2 - 3) / 24 + sk * sk * x * (2 * x2 - 5) / -36;
+
+ w = m + sigma * w;
+ if(w < tools::min_value<T>())
+ return tools::min_value<T>();
+ return w;
+}
+
+template <class T, class Policy>
+T ibeta_inv_ab_imp(const T& b, const T& z, const T& p, const T& q, bool swap_ab, const Policy& pol)
+{
+ BOOST_MATH_STD_USING // for ADL of std lib math functions
+ //
+ // Special cases first:
+ //
+ BOOST_MATH_INSTRUMENT_CODE("b = " << b << " z = " << z << " p = " << p << " q = " << " swap = " << swap_ab);
+ if(p == 0)
+ {
+ return swap_ab ? tools::min_value<T>() : tools::max_value<T>();
+ }
+ if(q == 0)
+ {
+ return swap_ab ? tools::max_value<T>() : tools::min_value<T>();
+ }
+ //
+ // Function object, this is the functor whose root
+ // we have to solve:
+ //
+ beta_inv_ab_t<T, Policy> f(b, z, (p < q) ? p : q, (p < q) ? false : true, swap_ab);
+ //
+ // Tolerance: full precision.
+ //
+ tools::eps_tolerance<T> tol(policies::digits<T, Policy>());
+ //
+ // Now figure out a starting guess for what a may be,
+ // we'll start out with a value that'll put p or q
+ // right bang in the middle of their range, the functions
+ // are quite sensitive so we should need too many steps
+ // to bracket the root from there:
+ //
+ T guess = 0;
+ T factor = 5;
+ //
+ // Convert variables to parameters of a negative binomial distribution:
+ //
+ T n = b;
+ T sf = swap_ab ? z : 1-z;
+ T sfc = swap_ab ? 1-z : z;
+ T u = swap_ab ? p : q;
+ T v = swap_ab ? q : p;
+ if(u <= pow(sf, n))
+ {
+ //
+ // Result is less than 1, negative binomial approximation
+ // is useless....
+ //
+ if((p < q) != swap_ab)
+ {
+ guess = (std::min)(T(b * 2), T(1));
+ }
+ else
+ {
+ guess = (std::min)(T(b / 2), T(1));
+ }
+ }
+ if(n * n * n * u * sf > 0.005)
+ guess = 1 + inverse_negative_binomial_cornish_fisher(n, sf, sfc, u, v, pol);
+
+ if(guess < 10)
+ {
+ //
+ // Negative binomial approximation not accurate in this area:
+ //
+ if((p < q) != swap_ab)
+ {
+ guess = (std::min)(T(b * 2), T(10));
+ }
+ else
+ {
+ guess = (std::min)(T(b / 2), T(10));
+ }
+ }
+ else
+ factor = (v < sqrt(tools::epsilon<T>())) ? 2 : (guess < 20 ? 1.2f : 1.1f);
+ BOOST_MATH_INSTRUMENT_CODE("guess = " << guess);
+ //
+ // Max iterations permitted:
+ //
+ boost::uintmax_t max_iter = policies::get_max_root_iterations<Policy>();
+ std::pair<T, T> r = bracket_and_solve_root(f, guess, factor, swap_ab ? true : false, tol, max_iter, pol);
+ if(max_iter >= policies::get_max_root_iterations<Policy>())
+ policies::raise_evaluation_error<T>("boost::math::ibeta_invab_imp<%1%>(%1%,%1%,%1%)", "Unable to locate the root within a reasonable number of iterations, closest approximation so far was %1%", r.first, pol);
+ return (r.first + r.second) / 2;
+}
+
+} // namespace detail
+
+template <class RT1, class RT2, class RT3, class Policy>
+typename tools::promote_args<RT1, RT2, RT3>::type
+ ibeta_inva(RT1 b, RT2 x, RT3 p, const Policy& pol)
+{
+ typedef typename tools::promote_args<RT1, RT2, RT3>::type result_type;
+ typedef typename policies::evaluation<result_type, Policy>::type value_type;
+ typedef typename policies::normalise<
+ Policy,
+ policies::promote_float<false>,
+ policies::promote_double<false>,
+ policies::discrete_quantile<>,
+ policies::assert_undefined<> >::type forwarding_policy;
+
+ if(p == 0)
+ {
+ return tools::max_value<result_type>();
+ }
+ if(p == 1)
+ {
+ return tools::min_value<result_type>();
+ }
+
+ return policies::checked_narrowing_cast<result_type, forwarding_policy>(
+ detail::ibeta_inv_ab_imp(
+ static_cast<value_type>(b),
+ static_cast<value_type>(x),
+ static_cast<value_type>(p),
+ static_cast<value_type>(1 - static_cast<value_type>(p)),
+ false, pol),
+ "boost::math::ibeta_inva<%1%>(%1%,%1%,%1%)");
+}
+
+template <class RT1, class RT2, class RT3, class Policy>
+typename tools::promote_args<RT1, RT2, RT3>::type
+ ibetac_inva(RT1 b, RT2 x, RT3 q, const Policy& pol)
+{
+ typedef typename tools::promote_args<RT1, RT2, RT3>::type result_type;
+ typedef typename policies::evaluation<result_type, Policy>::type value_type;
+ typedef typename policies::normalise<
+ Policy,
+ policies::promote_float<false>,
+ policies::promote_double<false>,
+ policies::discrete_quantile<>,
+ policies::assert_undefined<> >::type forwarding_policy;
+
+ if(q == 1)
+ {
+ return tools::max_value<result_type>();
+ }
+ if(q == 0)
+ {
+ return tools::min_value<result_type>();
+ }
+
+ return policies::checked_narrowing_cast<result_type, forwarding_policy>(
+ detail::ibeta_inv_ab_imp(
+ static_cast<value_type>(b),
+ static_cast<value_type>(x),
+ static_cast<value_type>(1 - static_cast<value_type>(q)),
+ static_cast<value_type>(q),
+ false, pol),
+ "boost::math::ibetac_inva<%1%>(%1%,%1%,%1%)");
+}
+
+template <class RT1, class RT2, class RT3, class Policy>
+typename tools::promote_args<RT1, RT2, RT3>::type
+ ibeta_invb(RT1 a, RT2 x, RT3 p, const Policy& pol)
+{
+ typedef typename tools::promote_args<RT1, RT2, RT3>::type result_type;
+ typedef typename policies::evaluation<result_type, Policy>::type value_type;
+ typedef typename policies::normalise<
+ Policy,
+ policies::promote_float<false>,
+ policies::promote_double<false>,
+ policies::discrete_quantile<>,
+ policies::assert_undefined<> >::type forwarding_policy;
+
+ if(p == 0)
+ {
+ return tools::min_value<result_type>();
+ }
+ if(p == 1)
+ {
+ return tools::max_value<result_type>();
+ }
+
+ return policies::checked_narrowing_cast<result_type, forwarding_policy>(
+ detail::ibeta_inv_ab_imp(
+ static_cast<value_type>(a),
+ static_cast<value_type>(x),
+ static_cast<value_type>(p),
+ static_cast<value_type>(1 - static_cast<value_type>(p)),
+ true, pol),
+ "boost::math::ibeta_invb<%1%>(%1%,%1%,%1%)");
+}
+
+template <class RT1, class RT2, class RT3, class Policy>
+typename tools::promote_args<RT1, RT2, RT3>::type
+ ibetac_invb(RT1 a, RT2 x, RT3 q, const Policy& pol)
+{
+ typedef typename tools::promote_args<RT1, RT2, RT3>::type result_type;
+ typedef typename policies::evaluation<result_type, Policy>::type value_type;
+ typedef typename policies::normalise<
+ Policy,
+ policies::promote_float<false>,
+ policies::promote_double<false>,
+ policies::discrete_quantile<>,
+ policies::assert_undefined<> >::type forwarding_policy;
+
+ if(q == 1)
+ {
+ return tools::min_value<result_type>();
+ }
+ if(q == 0)
+ {
+ return tools::max_value<result_type>();
+ }
+
+ return policies::checked_narrowing_cast<result_type, forwarding_policy>(
+ detail::ibeta_inv_ab_imp(
+ static_cast<value_type>(a),
+ static_cast<value_type>(x),
+ static_cast<value_type>(1 - static_cast<value_type>(q)),
+ static_cast<value_type>(q),
+ true, pol),
+ "boost::math::ibetac_invb<%1%>(%1%,%1%,%1%)");
+}
+
+template <class RT1, class RT2, class RT3>
+inline typename tools::promote_args<RT1, RT2, RT3>::type
+ ibeta_inva(RT1 b, RT2 x, RT3 p)
+{
+ return boost::math::ibeta_inva(b, x, p, policies::policy<>());
+}
+
+template <class RT1, class RT2, class RT3>
+inline typename tools::promote_args<RT1, RT2, RT3>::type
+ ibetac_inva(RT1 b, RT2 x, RT3 q)
+{
+ return boost::math::ibetac_inva(b, x, q, policies::policy<>());
+}
+
+template <class RT1, class RT2, class RT3>
+inline typename tools::promote_args<RT1, RT2, RT3>::type
+ ibeta_invb(RT1 a, RT2 x, RT3 p)
+{
+ return boost::math::ibeta_invb(a, x, p, policies::policy<>());
+}
+
+template <class RT1, class RT2, class RT3>
+inline typename tools::promote_args<RT1, RT2, RT3>::type
+ ibetac_invb(RT1 a, RT2 x, RT3 q)
+{
+ return boost::math::ibetac_invb(a, x, q, policies::policy<>());
+}
+
+} // namespace math
+} // namespace boost
+
+#endif // BOOST_MATH_SP_DETAIL_BETA_INV_AB
+
+
+
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