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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
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1 ## Copyright (C) 2012 Rik Wehbring
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2 ## Copyright (C) 1995-2015 Kurt Hornik
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3 ##
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4 ## This file is part of Octave.
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5 ##
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6 ## Octave is free software; you can redistribute it and/or modify it
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7 ## under the terms of the GNU General Public License as published by
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8 ## the Free Software Foundation; either version 3 of the License, or (at
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9 ## your option) any later version.
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10 ##
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11 ## Octave is distributed in the hope that it will be useful, but
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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14 ## General Public License for more details.
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15 ##
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16 ## You should have received a copy of the GNU General Public License
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17 ## along with Octave; see the file COPYING. If not, see
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18 ## <http://www.gnu.org/licenses/>.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {} logncdf (@var{x})
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22 ## @deftypefnx {Function File} {} logncdf (@var{x}, @var{mu}, @var{sigma})
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23 ## For each element of @var{x}, compute the cumulative distribution function
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24 ## (CDF) at @var{x} of the lognormal distribution with parameters
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25 ## @var{mu} and @var{sigma}.
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26 ##
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27 ## If a random variable follows this distribution, its logarithm is normally
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28 ## distributed with mean @var{mu} and standard deviation @var{sigma}.
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29 ##
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30 ## Default values are @var{mu} = 0, @var{sigma} = 1.
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31 ## @end deftypefn
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32
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33 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
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34 ## Description: CDF of the log normal distribution
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35
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36 function cdf = logncdf (x, mu = 0, sigma = 1)
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37
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38 if (nargin != 1 && nargin != 3)
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39 print_usage ();
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40 endif
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41
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42 if (! isscalar (mu) || ! isscalar (sigma))
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43 [retval, x, mu, sigma] = common_size (x, mu, sigma);
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44 if (retval > 0)
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45 error ("logncdf: X, MU, and SIGMA must be of common size or scalars");
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46 endif
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47 endif
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48
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49 if (iscomplex (x) || iscomplex (mu) || iscomplex (sigma))
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50 error ("logncdf: X, MU, and SIGMA must not be complex");
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51 endif
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52
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53 if (isa (x, "single") || isa (mu, "single") || isa (sigma, "single"))
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54 cdf = zeros (size (x), "single");
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55 else
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56 cdf = zeros (size (x));
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57 endif
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58
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59 k = isnan (x) | !(sigma > 0) | !(sigma < Inf);
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60 cdf(k) = NaN;
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61
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62 k = (x == Inf) & (sigma > 0) & (sigma < Inf);
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63 cdf(k) = 1;
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64
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65 k = (x > 0) & (x < Inf) & (sigma > 0) & (sigma < Inf);
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66 if (isscalar (mu) && isscalar (sigma))
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67 cdf(k) = stdnormal_cdf ((log (x(k)) - mu) / sigma);
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68 else
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69 cdf(k) = stdnormal_cdf ((log (x(k)) - mu(k)) ./ sigma(k));
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70 endif
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71
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72 endfunction
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73
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74
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75 %!shared x,y
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76 %! x = [-1 0 1 e Inf];
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77 %! y = [0, 0, 0.5, 1/2+1/2*erf(1/2), 1];
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78 %!assert (logncdf (x, zeros (1,5), sqrt(2)*ones (1,5)), y, eps)
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79 %!assert (logncdf (x, 0, sqrt(2)*ones (1,5)), y, eps)
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80 %!assert (logncdf (x, zeros (1,5), sqrt(2)), y, eps)
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81 %!assert (logncdf (x, [0 1 NaN 0 1], sqrt(2)), [0 0 NaN y(4:5)], eps)
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82 %!assert (logncdf (x, 0, sqrt(2)*[0 NaN Inf 1 1]), [NaN NaN NaN y(4:5)], eps)
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83 %!assert (logncdf ([x(1:3) NaN x(5)], 0, sqrt(2)), [y(1:3) NaN y(5)], eps)
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84
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85 ## Test class of input preserved
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86 %!assert (logncdf ([x, NaN], 0, sqrt(2)), [y, NaN], eps)
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87 %!assert (logncdf (single ([x, NaN]), 0, sqrt(2)), single ([y, NaN]), eps ("single"))
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88 %!assert (logncdf ([x, NaN], single (0), sqrt(2)), single ([y, NaN]), eps ("single"))
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89 %!assert (logncdf ([x, NaN], 0, single (sqrt(2))), single ([y, NaN]), eps ("single"))
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90
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91 ## Test input validation
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92 %!error logncdf ()
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93 %!error logncdf (1,2)
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94 %!error logncdf (1,2,3,4)
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95 %!error logncdf (ones (3), ones (2), ones (2))
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96 %!error logncdf (ones (2), ones (3), ones (2))
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97 %!error logncdf (ones (2), ones (2), ones (3))
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98 %!error logncdf (i, 2, 2)
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99 %!error logncdf (2, i, 2)
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100 %!error logncdf (2, 2, i)
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101