octave-nkf: scripts/statistics/distributions/gaminv.m annotate

annotate scripts/statistics/distributions/gaminv.m @ 20641:c3c052b9192a

Improve performance and error reporting of betainv, gaminv (bug #34363). * betainv.m: Replace for loop with do-until loop. Shorten max loop cycles to 40, rather than 10,000. Issue warning if algorithm fails. * gaminv.m: Replace for loop with do-until loop. Shorten max loop cycles to 40, rather than 100. Issue warning if algorithm fails.

author	Rik <rik@octave.org>
date	Sun, 11 Oct 2015 16:55:17 -0700
parents	d9341b422488
children	4e307c55a2b5

rev	line source
14138 72c96de7a403 maint: update copyright notices for 2012 John W. Eaton <jwe@octave.org> parents: 13949 diff changeset	1 ## Copyright (C) 2012 Rik Wehbring
19731 4197fc428c7d maint: Update copyright notices for 2015. John W. Eaton <jwe@octave.org> parents: 17744 diff changeset	2 ## Copyright (C) 1995-2015 Kurt Hornik
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	3 ##
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	4 ## This file is part of Octave.
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	5 ##
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	6 ## Octave is free software; you can redistribute it and/or modify it
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	7 ## under the terms of the GNU General Public License as published by
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6777 diff changeset	8 ## the Free Software Foundation; either version 3 of the License, or (at
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6777 diff changeset	9 ## your option) any later version.
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	10 ##
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	11 ## Octave is distributed in the hope that it will be useful, but
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	14 ## General Public License for more details.
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	15 ##
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	16 ## You should have received a copy of the GNU General Public License
7016 93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6777 diff changeset	17 ## along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe] jwe parents: 6777 diff changeset	18 ## <http://www.gnu.org/licenses/>.
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	19
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	20 ## -- texinfo --
5411 bee21f388110 [project @ 2005-07-13 17:53:44 by jwe] jwe parents: 5410 diff changeset	21 ## @deftypefn {Function File} {} gaminv (@var{x}, @var{a}, @var{b})
20209 d9341b422488 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19867 diff changeset	22 ## For each element of @var{x}, compute the quantile (the inverse of the CDF)
d9341b422488 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19867 diff changeset	23 ## at @var{x} of the Gamma distribution with shape parameter @var{a} and
d9341b422488 doc: Update more docstrings to have one sentence summary as first line. Rik <rik@octave.org> parents: 19867 diff changeset	24 ## scale @var{b}.
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	25 ## @end deftypefn
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	26
5428 2a16423e4aa0 [project @ 2005-08-23 18:38:27 by jwe] jwe parents: 5411 diff changeset	27 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	28 ## Description: Quantile function of the Gamma distribution
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	29
5411 bee21f388110 [project @ 2005-07-13 17:53:44 by jwe] jwe parents: 5410 diff changeset	30 function inv = gaminv (x, a, b)
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	31
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	32 if (nargin != 3)
6046 34f96dd5441b [project @ 2006-10-10 16:10:25 by jwe] jwe parents: 5642 diff changeset	33 print_usage ();
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	34 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	35
19867 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19731 diff changeset	36 if (! isscalar (a) \|\| ! isscalar (b))
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	37 [retval, x, a, b] = common_size (x, a, b);
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	38 if (retval > 0)
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	39 error ("gaminv: X, A, and B must be of common size or scalars");
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	40 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	41 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	42
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	43 if (iscomplex (x) \|\| iscomplex (a) \|\| iscomplex (b))
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	44 error ("gaminv: X, A, and B must not be complex");
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	45 endif
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	46
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	47 if (isa (x, "single") \|\| isa (a, "single") \|\| isa (b, "single"))
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	48 inv = zeros (size (x), "single");
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	49 else
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	50 inv = zeros (size (x));
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	51 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	52
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	53 k = ((x < 0) \| (x > 1) \| isnan (x)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	54 \| !(a > 0) \| !(a < Inf) \| !(b > 0) \| !(b < Inf));
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	55 inv(k) = NaN;
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	56
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	57 k = (x == 1) & (a > 0) & (a < Inf) & (b > 0) & (b < Inf);
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	58 inv(k) = Inf;
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	59
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	60 k = find ((x > 0) & (x < 1) & (a > 0) & (a < Inf) & (b > 0) & (b < Inf));
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	61 if (any (k))
19867 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19731 diff changeset	62 if (! isscalar (a) \|\| ! isscalar (b))
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	63 a = a(k);
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	64 b = b(k);
6777 4775fc1aa728 [project @ 2007-07-18 16:32:51 by dbateman] dbateman parents: 6046 diff changeset	65 y = a .* b;
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	66 else
6777 4775fc1aa728 [project @ 2007-07-18 16:32:51 by dbateman] dbateman parents: 6046 diff changeset	67 y = a * b * ones (size (k));
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	68 endif
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	69 x = x(k);
7795 df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	70
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	71 if (isa (x, "single"))
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	72 myeps = eps ("single");
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	73 else
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	74 myeps = eps;
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	75 endif
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	76
df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	77 l = find (x < myeps);
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	78 if (any (l))
7795 df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	79 y(l) = sqrt (myeps) * ones (length (l), 1);
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	80 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	81
20641 c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	82 y_new = y;
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	83 loopcnt = 0;
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	84 do
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	85 y_old = y_new;
5411 bee21f388110 [project @ 2005-07-13 17:53:44 by jwe] jwe parents: 5410 diff changeset	86 h = (gamcdf (y_old, a, b) - x) ./ gampdf (y_old, a, b);
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	87 y_new = y_old - h;
7795 df9519e9990c Handle single precision eps values David Bateman <dbateman@free.fr> parents: 7017 diff changeset	88 ind = find (y_new <= myeps);
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	89 if (any (ind))
19867 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19731 diff changeset	90 y_new(ind) = y_old(ind) / 10;
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	91 h = y_old - y_new;
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	92 endif
20641 c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	93 until (max (abs (h)) < sqrt (myeps) \|\| ++loopcnt == 40)
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	94
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	95 if (loopcnt == 40)
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	96 warning ("gaminv: calculation failed to converge for some values");
c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	97 endif
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	98
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	99 inv(k) = y_new;
20641 c3c052b9192a Improve performance and error reporting of betainv, gaminv (bug #34363). Rik <rik@octave.org> parents: 20209 diff changeset	100
5410 56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	101 endif
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	102
56e066f5efc1 [project @ 2005-07-13 17:43:35 by jwe] jwe parents: diff changeset	103 endfunction
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	104
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	105
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	106 %!shared x
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	107 %! x = [-1 0 0.63212055882855778 1 2];
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	108 %!assert (gaminv (x, ones (1,5), ones (1,5)), [NaN 0 1 Inf NaN], eps)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	109 %!assert (gaminv (x, 1, ones (1,5)), [NaN 0 1 Inf NaN], eps)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	110 %!assert (gaminv (x, ones (1,5), 1), [NaN 0 1 Inf NaN], eps)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	111 %!assert (gaminv (x, [1 -Inf NaN Inf 1], 1), [NaN NaN NaN NaN NaN])
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	112 %!assert (gaminv (x, 1, [1 -Inf NaN Inf 1]), [NaN NaN NaN NaN NaN])
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	113 %!assert (gaminv ([x(1:2) NaN x(4:5)], 1, 1), [NaN 0 NaN Inf NaN])
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	114
19867 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19731 diff changeset	115 ## Test class of input preserved
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	116 %!assert (gaminv ([x, NaN], 1, 1), [NaN 0 1 Inf NaN NaN], eps)
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	117 %!assert (gaminv (single ([x, NaN]), 1, 1), single ([NaN 0 1 Inf NaN NaN]), eps ("single"))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	118 %!assert (gaminv ([x, NaN], single (1), 1), single ([NaN 0 1 Inf NaN NaN]), eps ("single"))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	119 %!assert (gaminv ([x, NaN], 1, single (1)), single ([NaN 0 1 Inf NaN NaN]), eps ("single"))
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	120
19867 9fc020886ae9 maint: Clean up m-files to follow Octave coding conventions. Rik <rik@octave.org> parents: 19731 diff changeset	121 ## Test input validation
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	122 %!error gaminv ()
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	123 %!error gaminv (1)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	124 %!error gaminv (1,2)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	125 %!error gaminv (1,2,3,4)
14363 f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	126 %!error gaminv (ones (3), ones (2), ones (2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	127 %!error gaminv (ones (2), ones (3), ones (2))
f3d52523cde1 Use Octave coding conventions in all m-file %!test blocks Rik <octave@nomad.inbox5.com> parents: 14138 diff changeset	128 %!error gaminv (ones (2), ones (2), ones (3))
13171 19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	129 %!error gaminv (i, 2, 2)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	130 %!error gaminv (2, i, 2)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	131 %!error gaminv (2, 2, i)
19b9f17d22af Overhaul of statistical distribution functions Rik <octave@nomad.inbox5.com> parents: 11523 diff changeset	132

Mercurial > octave-nkf

annotate scripts/statistics/distributions/gaminv.m @ 20641:c3c052b9192a