Mercurial > octave
annotate scripts/specfun/betaincinv.m @ 27923:bd51beb6205e
update formatting of copyright notices
* Use <https://octave.org/copyright/> instead of
<https://octave.org/COPYRIGHT.html/>.
* For consistency with other comments in the Octave sources, use
C++-style comments for copyright blocks in C and C++ files.
* Use delimiters above and below copyright blocks that are appropriate
for the language used in the file.
* Eliminate extra spacing inside copyright blocks.
* lex.ll (looks_like_copyright): Also allow newlines and carriage
returns before the word "Copyright".
* scripts/mk-doc.pl (gethelp): Also skip empty comment lines.
* bp-table.cc, type.m: Adjust tests.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 08 Jan 2020 11:59:41 -0500 |
parents | 1891570abac8 |
children | a4268efb7334 |
rev | line source |
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1 ######################################################################## |
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2 ## |
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3 ## Copyright (C) 2017-2020 The Octave Project Developers |
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4 ## |
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5 ## See the file COPYRIGHT.md in the top-level directory of this |
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6 ## distribution or <https://octave.org/copyright/>. |
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7 ## |
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8 ## This file is part of Octave. |
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9 ## |
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10 ## Octave is free software: you can redistribute it and/or modify it |
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11 ## under the terms of the GNU General Public License as published by |
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12 ## the Free Software Foundation, either version 3 of the License, or |
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13 ## (at your option) any later version. |
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14 ## |
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15 ## Octave is distributed in the hope that it will be useful, but |
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16 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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17 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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18 ## GNU General Public License for more details. |
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19 ## |
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20 ## You should have received a copy of the GNU General Public License |
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21 ## along with Octave; see the file COPYING. If not, see |
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22 ## <https://www.gnu.org/licenses/>. |
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23 ## |
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24 ######################################################################## |
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25 |
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26 ## Author: Michele Ginesi <michele.ginesi@gmail.com> |
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27 |
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28 ## -*- texinfo -*- |
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29 ## @deftypefn {} {} betaincinv (@var{y}, @var{a}, @var{b}) |
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30 ## @deftypefnx {} {} betaincinv (@var{y}, @var{a}, @var{b}, "lower") |
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31 ## @deftypefnx {} {} betaincinv (@var{y}, @var{a}, @var{b}, "upper") |
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32 ## Compute the inverse of the normalized incomplete beta function. |
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33 ## |
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34 ## The normalized incomplete beta function is defined as |
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35 ## @tex |
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36 ## $$ |
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37 ## I_x (a, b) = {1 \over {B(a,b)}} \displaystyle{\int_0^x t^{a-1} (1-t)^{b-1} dt} |
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38 ## $$ |
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39 ## @end tex |
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40 ## @ifnottex |
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41 ## |
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42 ## @example |
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43 ## @group |
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44 ## x |
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45 ## / |
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46 ## | |
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47 ## I_x (a, b) = | t^(a-1) (1-t)^(b-1) dt |
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48 ## | |
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49 ## / |
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50 ## 0 |
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51 ## @end group |
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52 ## @end example |
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53 ## |
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54 ## @end ifnottex |
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55 ## |
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56 ## If two inputs are scalar, then @code{betaincinv (@var{y}, @var{a}, @var{b})} |
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57 ## is returned for each of the other inputs. |
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58 ## |
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59 ## If two or more inputs are not scalar, the sizes of them must agree, and |
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60 ## @code{betaincinv} is applied element-by-element. |
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61 ## |
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62 ## The variable @var{y} must be in the interval [0,1], while @var{a} and |
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63 ## @var{b} must be real and strictly positive. |
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64 ## |
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65 ## By default, @var{tail} is @qcode{"lower"} and the inverse of the incomplete |
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66 ## beta function integrated from 0 to @var{x} is computed. If @var{tail} is |
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67 ## @qcode{"upper"} then the complementary function integrated from @var{x} to 1 |
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68 ## is inverted. |
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69 ## |
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70 ## The function is computed by standard Newton's method, by solving |
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71 ## @tex |
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72 ## $$ |
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73 ## y - I_x (a, b) = 0 |
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74 ## $$ |
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75 ## @end tex |
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76 ## @ifnottex |
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77 ## |
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78 ## @example |
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79 ## @var{y} - betainc (@var{x}, @var{a}, @var{b}) = 0 |
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80 ## @end example |
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81 ## |
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82 ## @end ifnottex |
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83 ## |
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84 ## @seealso{betainc, beta, betaln} |
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85 ## @end deftypefn |
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86 |
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87 function x = betaincinv (y, a, b, tail = "lower") |
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88 |
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89 if (nargin < 3 || nargin > 4) |
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90 print_usage (); |
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91 endif |
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92 |
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93 [err, y, a, b] = common_size (y, a, b); |
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94 if (err > 0) |
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95 error ("betaincinv: Y, A, and B must be of common size or scalars"); |
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96 endif |
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97 |
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98 if (iscomplex (y) || iscomplex (a) || iscomplex (b)) |
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99 error ("betaincinv: all inputs must be real"); |
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100 endif |
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101 |
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102 ## FIXME: Should there be isnumeric checking? Right now it accepts char |
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103 ## arrays, but then produces a weird error later on. |
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104 |
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105 ## Remember original shape of data, but convert to column vector for calcs. |
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106 orig_sz = size (y); |
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107 y = y(:); |
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108 a = a(:); |
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109 b = b(:); |
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110 |
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111 if (any ((y < 0) | (y > 1))) |
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112 error ("betaincinv: Y must be in the range [0, 1]"); |
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113 endif |
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114 |
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115 if (any (a <= 0)) |
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116 error ("betaincinv: A must be strictly positive"); |
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117 endif |
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118 |
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119 if (any (b <= 0)) |
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120 error ("betaincinv: B must be strictly positive"); |
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121 endif |
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122 |
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123 ## If any of the arguments is single then the output should be as well. |
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124 if (strcmp (class (y), "single") || strcmp (class (a), "single") |
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125 || strcmp (class (b), "single")) |
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126 y = single (y); |
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127 a = single (a); |
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128 b = single (b); |
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129 endif |
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130 |
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131 ## Convert to floating point if necessary |
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132 if (isinteger (y)) |
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133 y = double (y); |
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134 endif |
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135 if (isinteger (a)) |
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136 a = double (a); |
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137 endif |
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138 if (isinteger (b)) |
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139 b = double (b); |
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140 endif |
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141 |
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142 ## Initialize output array |
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143 x = zeros (size (y), class (y)); |
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144 |
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145 ## Parameters for the Newton method |
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146 maxit = 20; |
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147 tol = eps (class (y)); |
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148 |
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149 if (strcmpi (tail, "lower")) |
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150 p = y; |
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151 q = 1 - y; |
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152 x(y == 0) = 0; |
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153 x(y == 1) = 1; |
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154 elseif (strcmpi (tail, "upper")) |
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155 p = 1 - y; |
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156 q = y; |
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157 x(y == 0) = 1; |
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158 x(y == 1) = 0; |
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159 else |
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160 error ("betaincinv: invalid value for TAIL") |
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161 endif |
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162 |
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163 ## Special values have been already computed. |
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164 todo = (y != 0) & (y != 1); |
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165 |
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166 ## We will invert the lower version for p < 0.5 and the upper otherwise. |
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167 i_low = (p < 0.5); |
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168 i_upp = (! i_low); |
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169 |
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170 idx = todo & i_low; |
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171 if (any (idx)) |
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172 n = nnz (idx); |
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173 ## Function and derivative of the lower version. |
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174 F = @(x, a, b, y) y - betainc (x, a, b); |
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175 JF = @(x, a, b) - real (exp ((a-1) .* log (x) + (b-1) .* log1p (-x) + ... |
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176 gammaln (a+b) - gammaln (a) - gammaln (b))); |
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177 |
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178 ## Compute the initial guess with a bisection method of 10 steps. |
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179 x0 = bisection_method (F, zeros (n,1), ones (n,1), ... |
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180 a(i_low), b(i_low), p(i_low), 10); |
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181 |
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182 ## Use Newton's method to iteratively find solution. |
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183 x(i_low) = newton_method (F, JF, x0, a(i_low), b(i_low), p(i_low), ... |
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184 tol, maxit); |
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185 endif |
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186 |
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187 idx = todo & i_upp; |
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188 if (any (idx)) |
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189 n = nnz (idx); |
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190 ## Function and derivative of the upper version. |
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191 F = @(x, a, b, y) y - betainc (x, a, b, "upper"); |
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192 JF = @(x, a, b) real (exp ((a-1) .* log (x) + (b-1) .* log1p (-x) + ... |
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193 gammaln (a+b) - gammaln (a) - gammaln (b))); |
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194 |
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195 ## Compute the initial guess with a bisection method of 10 steps. |
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196 x0 = bisection_method (F, zeros (n,1), ones (n,1), ... |
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197 a(i_upp), b(i_upp), q(i_upp), 10); |
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198 |
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199 ## Use Newton's method to iteratively find solution. |
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200 x(i_upp) = newton_method (F, JF, x0, a(i_upp), b(i_upp), q(i_upp), ... |
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201 tol, maxit); |
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202 endif |
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203 |
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204 ## Restore original shape |
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205 x = reshape (x, orig_sz); |
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206 |
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207 endfunction |
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208 |
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209 |
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210 ## Subfunctions: Bisection and Newton Methods |
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211 function xc = bisection_method (F, xl, xr, a, b, y, maxit) |
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212 F_l = F (xl, a, b, y); |
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213 F_r = F (xr, a, b, y); |
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214 for it = 1:maxit |
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215 xc = (xl + xr) / 2; |
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216 F_c = F (xc, a, b, y); |
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217 flag_l = ((F_c .* F_r) < 0); |
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218 flag_r = ((F_c .* F_l) < 0); |
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219 flag_c = (F_c == 0); |
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220 xl(flag_l) = xc(flag_l); |
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221 xr(flag_r) = xc(flag_r); |
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222 xl(flag_c) = xr(flag_c) = xc(flag_c); |
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223 F_l(flag_l) = F_c(flag_l); |
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224 F_r(flag_r) = F_c(flag_r); |
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225 F_l(flag_c) = F_r(flag_c) = 0; |
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226 endfor |
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227 endfunction |
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228 |
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229 function x = newton_method (F, JF, x0, a, b, y, tol, maxit); |
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230 l = numel (y); |
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231 res = -F (x0, a, b, y) ./ JF (x0, a, b); |
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232 todo = (abs(res) >= tol * abs (x0)); |
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233 x = x0; |
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234 it = 0; |
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235 while (any (todo) && (it < maxit)) |
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236 it++; |
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237 x(todo) += res(todo); |
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238 res(todo) = -F(x(todo), a(todo), b(todo), y(todo)) ... |
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239 ./ JF (x(todo), a(todo), b(todo)); |
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240 todo = (abs(res) >= tol * abs (x)); |
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241 endwhile |
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242 x += res; |
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243 endfunction |
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244 |
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245 |
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246 %!test |
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247 %! x = linspace (0.1, 0.9, 11); |
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248 %! a = [2, 3, 4]; |
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249 %! [x,a,b] = ndgrid (x,a,a); |
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250 %! xx = betaincinv (betainc (x, a, b), a, b); |
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251 %! assert (xx, x, 3e-15); |
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252 |
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253 %!test |
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254 %! x = linspace (0.1, 0.9, 11); |
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255 %! a = [2, 3, 4]; |
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256 %! [x,a,b] = ndgrid (x,a,a); |
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257 %! xx = betaincinv (betainc (x, a, b, "upper"), a, b, "upper"); |
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258 %! assert (xx, x, 3e-15); |
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259 |
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260 %!test |
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261 %! x = linspace (0.1, 0.9, 11); |
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262 %! a = [0.1:0.1:1]; |
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263 %! [x,a,b] = ndgrid (x,a,a); |
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264 %! xx = betaincinv (betainc (x, a, b), a, b); |
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265 %! assert (xx, x, 5e-15); |
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266 |
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267 %!test |
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268 %! x = linspace (0.1, 0.9, 11); |
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269 %! a = [0.1:0.1:1]; |
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270 %! [x,a,b] = ndgrid (x,a,a); |
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271 %! xx = betaincinv (betainc (x, a, b, "upper"), a, b, "upper"); |
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272 %! assert (xx, x, 5e-15); |
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273 |
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274 ## Test the conservation of the input class |
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275 %!assert (class (betaincinv (0.5, 1, 1)), "double") |
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276 %!assert (class (betaincinv (single (0.5), 1, 1)), "single") |
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277 %!assert (class (betaincinv (0.5, single (1), 1)), "single") |
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278 %!assert (class (betaincinv (int8 (0), 1, 1)), "double") |
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279 %!assert (class (betaincinv (0.5, int8 (1), 1)), "double") |
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280 %!assert (class (betaincinv (int8 (0), single (1), 1)), "single") |
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281 %!assert (class (betaincinv (single (0.5), int8 (1), 1)), "single") |
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282 |
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283 ## Test input validation |
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284 %!error betaincinv () |
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285 %!error betaincinv (1) |
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286 %!error betaincinv (1,2) |
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287 %!error betaincinv (1,2,3,4,5) |
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288 %!error <must be of common size or scalars> |
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289 %! betaincinv (ones (2,2), ones (1,2), 1); |
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290 %!error <all inputs must be real> betaincinv (0.5i, 1, 2) |
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291 %!error <all inputs must be real> betaincinv (0, 1i, 1) |
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292 %!error <all inputs must be real> betaincinv (0, 1, 1i) |
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293 %!error <Y must be in the range \[0, 1\]> betaincinv (-0.1,1,1) |
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294 %!error <Y must be in the range \[0, 1\]> betaincinv (1.1,1,1) |
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295 %!error <Y must be in the range \[0, 1\]> |
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296 %! y = ones (1, 1, 2); |
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297 %! y(1,1,2) = -1; |
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298 %! betaincinv (y,1,1); |
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299 %!error <A must be strictly positive> betaincinv (0.5,0,1) |
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300 %!error <A must be strictly positive> |
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301 %! a = ones (1, 1, 2); |
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302 %! a(1,1,2) = 0; |
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303 %! betaincinv (1,a,1); |
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304 %!error <B must be strictly positive> betaincinv (0.5,1,0) |
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305 %!error <B must be strictly positive> |
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306 %! b = ones (1, 1, 2); |
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307 %! b(1,1,2) = 0; |
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308 %! betaincinv (1,1,b); |
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309 %!error <invalid value for TAIL> betaincinv (1,2,3, "foobar") |