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| '************************************************************************ | |
| 'Cephes Math Library Release 2.8: June, 2000 | |
| 'Copyright by Stephen L. Moshier | |
| ' | |
| 'Contributors: | |
| ' * Sergey Bochkanov (ALGLIB project). Translation from C to | |
| ' pseudocode. | |
| ' | |
| 'See subroutines comments for additional copyrights. | |
| ' | |
| 'Redistribution and use in source and binary forms, with or without | |
| 'modification, are permitted provided that the following conditions are | |
| 'met: | |
| ' | |
| '- Redistributions of source code must retain the above copyright | |
| ' notice, this list of conditions and the following disclaimer. | |
| ' | |
| '- Redistributions in binary form must reproduce the above copyright | |
| ' notice, this list of conditions and the following disclaimer listed | |
| ' in this license in the documentation and/or other materials | |
| ' provided with the distribution. | |
| ' | |
| '- Neither the name of the copyright holders nor the names of its | |
| ' contributors may be used to endorse or promote products derived from | |
| ' this software without specific prior written permission. | |
| ' | |
| 'THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS | |
| '"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT | |
| 'LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR | |
| 'A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT | |
| 'OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, | |
| 'SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT | |
| 'LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, | |
| 'DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY | |
| 'THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT | |
| '(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE | |
| 'OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. | |
| '************************************************************************ | |
| Imports System | |
| Namespace MathEx.GammaFunctions | |
| Public Class igammaf | |
| '************************************************************************ | |
| ' Incomplete gamma integral | |
| ' | |
| ' The function is defined by | |
| ' | |
| ' x | |
| ' - | |
| ' 1 | | -t a-1 | |
| ' igam(a,x) = ----- | e t dt. | |
| ' - | | | |
| ' | (a) - | |
| ' 0 | |
| ' | |
| ' | |
| ' In this implementation both arguments must be positive. | |
| ' The integral is evaluated by either a power series or | |
| ' continued fraction expansion, depending on the relative | |
| ' values of a and x. | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE 0,30 200000 3.6e-14 2.9e-15 | |
| ' IEEE 0,100 300000 9.9e-14 1.5e-14 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1985, 1987, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function incompletegamma(ByVal a As Double, ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim igammaepsilon As Double = 0 | |
| Dim ans As Double = 0 | |
| Dim ax As Double = 0 | |
| Dim c As Double = 0 | |
| Dim r As Double = 0 | |
| Dim tmp As Double = 0 | |
| igammaepsilon = 0.000000000000001R | |
| If x <= 0 Or a <= 0 Then | |
| result = 0 | |
| Return result | |
| End If | |
| If x > 1 And x > a Then | |
| result = 1 - incompletegammac(a, x) | |
| Return result | |
| End If | |
| ax = a * Math.Log(x) - x - gammaf.lngamma(a, tmp) | |
| If ax < -709.782712893384R Then | |
| result = 0 | |
| Return result | |
| End If | |
| ax = Math.Exp(ax) | |
| r = a | |
| c = 1 | |
| ans = 1 | |
| Do | |
| r = r + 1 | |
| c = c * x / r | |
| ans = ans + c | |
| Loop While c / ans > igammaepsilon | |
| result = ans * ax / a | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Complemented incomplete gamma integral | |
| ' | |
| ' The function is defined by | |
| ' | |
| ' | |
| ' igamc(a,x) = 1 - igam(a,x) | |
| ' | |
| ' inf. | |
| ' - | |
| ' 1 | | -t a-1 | |
| ' = ----- | e t dt. | |
| ' - | | | |
| ' | (a) - | |
| ' x | |
| ' | |
| ' | |
| ' In this implementation both arguments must be positive. | |
| ' The integral is evaluated by either a power series or | |
| ' continued fraction expansion, depending on the relative | |
| ' values of a and x. | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Tested at random a, x. | |
| ' a x Relative error: | |
| ' arithmetic domain domain # trials peak rms | |
| ' IEEE 0.5,100 0,100 200000 1.9e-14 1.7e-15 | |
| ' IEEE 0.01,0.5 0,100 200000 1.4e-13 1.6e-15 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1985, 1987, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function incompletegammac(ByVal a As Double, ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim igammaepsilon As Double = 0 | |
| Dim igammabignumber As Double = 0 | |
| Dim igammabignumberinv As Double = 0 | |
| Dim ans As Double = 0 | |
| Dim ax As Double = 0 | |
| Dim c As Double = 0 | |
| Dim yc As Double = 0 | |
| Dim r As Double = 0 | |
| Dim t As Double = 0 | |
| Dim y As Double = 0 | |
| Dim z As Double = 0 | |
| Dim pk As Double = 0 | |
| Dim pkm1 As Double = 0 | |
| Dim pkm2 As Double = 0 | |
| Dim qk As Double = 0 | |
| Dim qkm1 As Double = 0 | |
| Dim qkm2 As Double = 0 | |
| Dim tmp As Double = 0 | |
| igammaepsilon = 0.000000000000001R | |
| igammabignumber = 4.5035996273705E+15 | |
| igammabignumberinv = 2.22044604925031R * 0.0000000000000001R | |
| If x <= 0 Or a <= 0 Then | |
| result = 1 | |
| Return result | |
| End If | |
| If x < 1 Or x < a Then | |
| result = 1 - incompletegamma(a, x) | |
| Return result | |
| End If | |
| ax = a * Math.Log(x) - x - gammaf.lngamma(a, tmp) | |
| If ax < -709.782712893384R Then | |
| result = 0 | |
| Return result | |
| End If | |
| ax = Math.Exp(ax) | |
| y = 1 - a | |
| z = x + y + 1 | |
| c = 0 | |
| pkm2 = 1 | |
| qkm2 = x | |
| pkm1 = x + 1 | |
| qkm1 = z * x | |
| ans = pkm1 / qkm1 | |
| Do | |
| c = c + 1 | |
| y = y + 1 | |
| z = z + 2 | |
| yc = y * c | |
| pk = pkm1 * z - pkm2 * yc | |
| qk = qkm1 * z - qkm2 * yc | |
| If qk <> 0 Then | |
| r = pk / qk | |
| t = Math.Abs((ans - r) / r) | |
| ans = r | |
| Else | |
| t = 1 | |
| End If | |
| pkm2 = pkm1 | |
| pkm1 = pk | |
| qkm2 = qkm1 | |
| qkm1 = qk | |
| If Math.Abs(pk) > igammabignumber Then | |
| pkm2 = pkm2 * igammabignumberinv | |
| pkm1 = pkm1 * igammabignumberinv | |
| qkm2 = qkm2 * igammabignumberinv | |
| qkm1 = qkm1 * igammabignumberinv | |
| End If | |
| Loop While t > igammaepsilon | |
| result = ans * ax | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Inverse of complemented imcomplete gamma integral | |
| ' | |
| ' Given p, the function finds x such that | |
| ' | |
| ' igamc( a, x ) = p. | |
| ' | |
| ' Starting with the approximate value | |
| ' | |
| ' 3 | |
| ' x = a t | |
| ' | |
| ' where | |
| ' | |
| ' t = 1 - d - ndtri(p) sqrt(d) | |
| ' | |
| ' and | |
| ' | |
| ' d = 1/9a, | |
| ' | |
| ' the routine performs up to 10 Newton iterations to find the | |
| ' root of igamc(a,x) - p = 0. | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Tested at random a, p in the intervals indicated. | |
| ' | |
| ' a p Relative error: | |
| ' arithmetic domain domain # trials peak rms | |
| ' IEEE 0.5,100 0,0.5 100000 1.0e-14 1.7e-15 | |
| ' IEEE 0.01,0.5 0,0.5 100000 9.0e-14 3.4e-15 | |
| ' IEEE 0.5,10000 0,0.5 20000 2.3e-13 3.8e-14 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1995, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function invincompletegammac(ByVal a As Double, ByVal y0 As Double) As Double | |
| Dim result As Double = 0 | |
| Dim igammaepsilon As Double = 0 | |
| Dim iinvgammabignumber As Double = 0 | |
| Dim x0 As Double = 0 | |
| Dim x1 As Double = 0 | |
| Dim x As Double = 0 | |
| Dim yl As Double = 0 | |
| Dim yh As Double = 0 | |
| Dim y As Double = 0 | |
| Dim d As Double = 0 | |
| Dim lgm As Double = 0 | |
| Dim dithresh As Double = 0 | |
| Dim i As Integer = 0 | |
| Dim dir As Integer = 0 | |
| Dim tmp As Double = 0 | |
| igammaepsilon = 0.000000000000001R | |
| iinvgammabignumber = 4.5035996273705E+15 | |
| x0 = iinvgammabignumber | |
| yl = 0 | |
| x1 = 0 | |
| yh = 1 | |
| dithresh = 5 * igammaepsilon | |
| d = 1 / (9 * a) | |
| y = 1 - d - normaldistr.invnormaldistribution(y0) * Math.Sqrt(d) | |
| x = a * y * y * y | |
| lgm = gammaf.lngamma(a, tmp) | |
| i = 0 | |
| While i < 10 | |
| If x > x0 Or x < x1 Then | |
| d = 0.0625 | |
| Exit While | |
| End If | |
| y = incompletegammac(a, x) | |
| If y < yl Or y > yh Then | |
| d = 0.0625 | |
| Exit While | |
| End If | |
| If y < y0 Then | |
| x0 = x | |
| yl = y | |
| Else | |
| x1 = x | |
| yh = y | |
| End If | |
| d = (a - 1) * Math.Log(x) - x - lgm | |
| If d < -709.782712893384R Then | |
| d = 0.0625 | |
| Exit While | |
| End If | |
| d = -Math.Exp(d) | |
| d = (y - y0) / d | |
| If Math.Abs(d / x) < igammaepsilon Then | |
| result = x | |
| Return result | |
| End If | |
| x = x - d | |
| i = i + 1 | |
| End While | |
| If x0 = iinvgammabignumber Then | |
| If x <= 0 Then | |
| x = 1 | |
| End If | |
| While x0 = iinvgammabignumber | |
| x = (1 + d) * x | |
| y = incompletegammac(a, x) | |
| If y < y0 Then | |
| x0 = x | |
| yl = y | |
| Exit While | |
| End If | |
| d = d + d | |
| End While | |
| End If | |
| d = 0.5 | |
| dir = 0 | |
| i = 0 | |
| While i < 400 | |
| x = x1 + d * (x0 - x1) | |
| y = incompletegammac(a, x) | |
| lgm = (x0 - x1) / (x1 + x0) | |
| If Math.Abs(lgm) < dithresh Then | |
| Exit While | |
| End If | |
| lgm = (y - y0) / y0 | |
| If Math.Abs(lgm) < dithresh Then | |
| Exit While | |
| End If | |
| If x <= 0.0R Then | |
| Exit While | |
| End If | |
| If y >= y0 Then | |
| x1 = x | |
| yh = y | |
| If dir < 0 Then | |
| dir = 0 | |
| d = 0.5 | |
| Else | |
| If dir > 1 Then | |
| d = 0.5 * d + 0.5 | |
| Else | |
| d = (y0 - yl) / (yh - yl) | |
| End If | |
| End If | |
| dir = dir + 1 | |
| Else | |
| x0 = x | |
| yl = y | |
| If dir > 0 Then | |
| dir = 0 | |
| d = 0.5 | |
| Else | |
| If dir < -1 Then | |
| d = 0.5 * d | |
| Else | |
| d = (y0 - yl) / (yh - yl) | |
| End If | |
| End If | |
| dir = dir - 1 | |
| End If | |
| i = i + 1 | |
| End While | |
| result = x | |
| Return result | |
| End Function | |
| End Class | |
| Public Class gammaf | |
| '************************************************************************ | |
| ' Gamma function | |
| ' | |
| ' Input parameters: | |
| ' X - argument | |
| ' | |
| ' Domain: | |
| ' 0 < X < 171.6 | |
| ' -170 < X < 0, X is not an integer. | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE -170,-33 20000 2.3e-15 3.3e-16 | |
| ' IEEE -33, 33 20000 9.4e-16 2.2e-16 | |
| ' IEEE 33, 171.6 20000 2.3e-15 3.2e-16 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Original copyright 1984, 1987, 1989, 1992, 2000 by Stephen L. Moshier | |
| ' Translated to AlgoPascal by Bochkanov Sergey (2005, 2006, 2007). | |
| ' ************************************************************************ | |
| Public Shared Function gamma(ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim p As Double = 0 | |
| Dim pp As Double = 0 | |
| Dim q As Double = 0 | |
| Dim qq As Double = 0 | |
| Dim z As Double = 0 | |
| Dim i As Integer = 0 | |
| Dim sgngam As Double = 0 | |
| sgngam = 1 | |
| q = Math.Abs(x) | |
| If q > 33.0R Then | |
| If x < 0.0R Then | |
| p = Convert.ToInt32(Math.Floor(q)) | |
| i = Convert.ToInt32(Math.Round(p)) | |
| If i Mod 2 = 0 Then | |
| sgngam = -1 | |
| End If | |
| z = q - p | |
| If z > 0.5 Then | |
| p = p + 1 | |
| z = q - p | |
| End If | |
| z = q * Math.Sin(Math.PI * z) | |
| z = Math.Abs(z) | |
| z = Math.PI / (z * gammastirf(q)) | |
| Else | |
| z = gammastirf(x) | |
| End If | |
| result = sgngam * z | |
| Return result | |
| End If | |
| z = 1 | |
| While x >= 3 | |
| x = x - 1 | |
| z = z * x | |
| End While | |
| While x < 0 | |
| If x > -0.000000001R Then | |
| result = z / ((1 + 0.577215664901533R * x) * x) | |
| Return result | |
| End If | |
| z = z / x | |
| x = x + 1 | |
| End While | |
| While x < 2 | |
| If x < 0.000000001R Then | |
| result = z / ((1 + 0.577215664901533R * x) * x) | |
| Return result | |
| End If | |
| z = z / x | |
| x = x + 1.0R | |
| End While | |
| If x = 2 Then | |
| result = z | |
| Return result | |
| End If | |
| x = x - 2.0R | |
| pp = 0.000160119522476752R | |
| pp = 0.00119135147006586R + x * pp | |
| pp = 0.0104213797561762R + x * pp | |
| pp = 0.0476367800457137R + x * pp | |
| pp = 0.207448227648436R + x * pp | |
| pp = 0.494214826801497R + x * pp | |
| pp = 1.0R + x * pp | |
| qq = -0.000023158187332412R | |
| qq = 0.000539605580493303R + x * qq | |
| qq = -0.00445641913851797R + x * qq | |
| qq = 0.011813978522206R + x * qq | |
| qq = 0.0358236398605499R + x * qq | |
| qq = -0.234591795718243R + x * qq | |
| qq = 0.0714304917030273R + x * qq | |
| qq = 1.0R + x * qq | |
| result = z * pp / qq | |
| Return result | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Natural logarithm of gamma function | |
| ' | |
| ' Input parameters: | |
| ' X - argument | |
| ' | |
| ' Result: | |
| ' logarithm of the absolute value of the Gamma(X). | |
| ' | |
| ' Output parameters: | |
| ' SgnGam - sign(Gamma(X)) | |
| ' | |
| ' Domain: | |
| ' 0 < X < 2.55e305 | |
| ' -2.55e305 < X < 0, X is not an integer. | |
| ' | |
| ' ACCURACY: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE 0, 3 28000 5.4e-16 1.1e-16 | |
| ' IEEE 2.718, 2.556e305 40000 3.5e-16 8.3e-17 | |
| ' The error criterion was relative when the function magnitude | |
| ' was greater than one but absolute when it was less than one. | |
| ' | |
| ' The following test used the relative error criterion, though | |
| ' at certain points the relative error could be much higher than | |
| ' indicated. | |
| ' IEEE -200, -4 10000 4.8e-16 1.3e-16 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1989, 1992, 2000 by Stephen L. Moshier | |
| ' Translated to AlgoPascal by Bochkanov Sergey (2005, 2006, 2007). | |
| ' ************************************************************************ | |
| Public Shared Function lngamma(ByVal x As Double, ByRef sgngam As Double) As Double | |
| Dim result As Double = 0 | |
| Dim a As Double = 0 | |
| Dim b As Double = 0 | |
| Dim c As Double = 0 | |
| Dim p As Double = 0 | |
| Dim q As Double = 0 | |
| Dim u As Double = 0 | |
| Dim w As Double = 0 | |
| Dim z As Double = 0 | |
| Dim i As Integer = 0 | |
| Dim logpi As Double = 0 | |
| Dim ls2pi As Double = 0 | |
| Dim tmp As Double = 0 | |
| sgngam = 1 | |
| logpi = 1.1447298858494R | |
| ls2pi = 0.918938533204673R | |
| If x < -34.0R Then | |
| q = -x | |
| w = lngamma(q, tmp) | |
| p = Convert.ToInt32(Math.Floor(q)) | |
| i = Convert.ToInt32(Math.Round(p)) | |
| If i Mod 2 = 0 Then | |
| sgngam = -1 | |
| Else | |
| sgngam = 1 | |
| End If | |
| z = q - p | |
| If z > 0.5 Then | |
| p = p + 1 | |
| z = p - q | |
| End If | |
| z = q * Math.Sin(Math.PI * z) | |
| result = logpi - Math.Log(z) - w | |
| Return result | |
| End If | |
| If x < 13 Then | |
| z = 1 | |
| p = 0 | |
| u = x | |
| While u >= 3 | |
| p = p - 1 | |
| u = x + p | |
| z = z * u | |
| End While | |
| While u < 2 | |
| z = z / u | |
| p = p + 1 | |
| u = x + p | |
| End While | |
| If z < 0 Then | |
| sgngam = -1 | |
| z = -z | |
| Else | |
| sgngam = 1 | |
| End If | |
| If u = 2 Then | |
| result = Math.Log(z) | |
| Return result | |
| End If | |
| p = p - 2 | |
| x = x + p | |
| b = -1378.25152569121R | |
| b = -38801.6315134638R + x * b | |
| b = -331612.992738871R + x * b | |
| b = -1162370.97492762R + x * b | |
| b = -1721737.0082084R + x * b | |
| b = -853555.664245765R + x * b | |
| c = 1 | |
| c = -351.815701436523R + x * c | |
| c = -17064.2106651881R + x * c | |
| c = -220528.590553854R + x * c | |
| c = -1139334.44367983R + x * c | |
| c = -2532523.07177583R + x * c | |
| c = -2018891.41433533R + x * c | |
| p = x * b / c | |
| result = Math.Log(z) + p | |
| Return result | |
| End If | |
| q = (x - 0.5) * Math.Log(x) - x + ls2pi | |
| If x > 100000000 Then | |
| result = q | |
| Return result | |
| End If | |
| p = 1 / (x * x) | |
| If x >= 1000.0R Then | |
| q = q + ((7.93650793650794R * 0.0001 * p - 2.77777777777778R * 0.001) * p + 0.0833333333333333R) / x | |
| Else | |
| a = 8.11614167470508R * 0.0001 | |
| a = -(5.95061904284301R * 0.0001) + p * a | |
| a = 7.93650340457717R * 0.0001 + p * a | |
| a = -(2.777777777301R * 0.001) + p * a | |
| a = 8.33333333333332R * 0.01 + p * a | |
| q = q + a / x | |
| End If | |
| result = q | |
| Return result | |
| End Function | |
| Private Shared Function gammastirf(ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim y As Double = 0 | |
| Dim w As Double = 0 | |
| Dim v As Double = 0 | |
| Dim stir As Double = 0 | |
| w = 1 / x | |
| stir = 0.000787311395793094R | |
| stir = -0.000229549961613378R + w * stir | |
| stir = -0.00268132617805781R + w * stir | |
| stir = 0.00347222221605459R + w * stir | |
| stir = 0.0833333333333482R + w * stir | |
| w = 1 + w * stir | |
| y = Math.Exp(x) | |
| If x > 143.01608 Then | |
| v = Math.Pow(x, 0.5 * x - 0.25) | |
| y = v * (v / y) | |
| Else | |
| y = Math.Pow(x, x - 0.5) / y | |
| End If | |
| result = 2.506628274631R * y * w | |
| Return result | |
| End Function | |
| End Class | |
| Class normaldistr | |
| '************************************************************************ | |
| ' Error function | |
| ' | |
| ' The integral is | |
| ' | |
| ' x | |
| ' - | |
| ' 2 | | 2 | |
| ' erf(x) = -------- | exp( - t ) dt. | |
| ' sqrt(pi) | | | |
| ' - | |
| ' 0 | |
| ' | |
| ' For 0 <= |x| < 1, erf(x) = x * P4(x**2)/Q5(x**2); otherwise | |
| ' erf(x) = 1 - erfc(x). | |
| ' | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE 0,1 30000 3.7e-16 1.0e-16 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function erf(ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim xsq As Double = 0 | |
| Dim s As Double = 0 | |
| Dim p As Double = 0 | |
| Dim q As Double = 0 | |
| s = Math.Sign(x) | |
| x = Math.Abs(x) | |
| If x < 0.5 Then | |
| xsq = x * x | |
| p = 0.00754772803341863R | |
| p = 0.288805137207594R + xsq * p | |
| p = 14.3383842191748R + xsq * p | |
| p = 38.0140318123903R + xsq * p | |
| p = 3017.82788536508R + xsq * p | |
| p = 7404.07142710151R + xsq * p | |
| p = 80437.363096084R + xsq * p | |
| q = 0.0R | |
| q = 1.0R + xsq * q | |
| q = 38.0190713951939R + xsq * q | |
| q = 658.07015545924R + xsq * q | |
| q = 6379.60017324428R + xsq * q | |
| q = 34216.5257924629R + xsq * q | |
| q = 80437.363096084R + xsq * q | |
| result = s * 1.12837916709551R * x * p / q | |
| Return result | |
| End If | |
| If x >= 10 Then | |
| result = s | |
| Return result | |
| End If | |
| result = s * (1 - erfc(x)) | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Complementary error function | |
| ' | |
| ' 1 - erf(x) = | |
| ' | |
| ' inf. | |
| ' - | |
| ' 2 | | 2 | |
| ' erfc(x) = -------- | exp( - t ) dt | |
| ' sqrt(pi) | | | |
| ' - | |
| ' x | |
| ' | |
| ' | |
| ' For small x, erfc(x) = 1 - erf(x); otherwise rational | |
| ' approximations are computed. | |
| ' | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE 0,26.6417 30000 5.7e-14 1.5e-14 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function erfc(ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| Dim p As Double = 0 | |
| Dim q As Double = 0 | |
| If x < 0 Then | |
| result = 2 - erfc(-x) | |
| Return result | |
| End If | |
| If x < 0.5 Then | |
| result = 1.0R - erf(x) | |
| Return result | |
| End If | |
| If x >= 10 Then | |
| result = 0 | |
| Return result | |
| End If | |
| p = 0.0R | |
| p = 0.56418778255074R + x * p | |
| p = 9.67580788298727R + x * p | |
| p = 77.0816173036843R + x * p | |
| p = 368.519615471001R + x * p | |
| p = 1143.26207070389R + x * p | |
| p = 2320.43959025164R + x * p | |
| p = 2898.02932921677R + x * p | |
| p = 1826.33488422951R + x * p | |
| q = 1.0R | |
| q = 17.1498094362761R + x * q | |
| q = 137.125596050062R + x * q | |
| q = 661.736120710765R + x * q | |
| q = 2094.38436778954R + x * q | |
| q = 4429.61280388368R + x * q | |
| q = 6089.54242327244R + x * q | |
| q = 4958.82756472114R + x * q | |
| q = 1826.33488422951R + x * q | |
| result = Math.Exp(-AP.MathEx.Sqr(x)) * p / q | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Normal distribution function | |
| ' | |
| ' Returns the area under the Gaussian probability density | |
| ' function, integrated from minus infinity to x: | |
| ' | |
| ' x | |
| ' - | |
| ' 1 | | 2 | |
| ' ndtr(x) = --------- | exp( - t /2 ) dt | |
| ' sqrt(2pi) | | | |
| ' - | |
| ' -inf. | |
| ' | |
| ' = ( 1 + erf(z) ) / 2 | |
| ' = erfc(z) / 2 | |
| ' | |
| ' where z = x/sqrt(2). Computation is via the functions | |
| ' erf and erfc. | |
| ' | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE -13,0 30000 3.4e-14 6.7e-15 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function normaldistribution(ByVal x As Double) As Double | |
| Dim result As Double = 0 | |
| result = 0.5 * (erf(x / 1.4142135623731R) + 1) | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Inverse of the error function | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function inverf(ByVal e As Double) As Double | |
| Dim result As Double = 0 | |
| result = invnormaldistribution(0.5 * (e + 1)) / Math.Sqrt(2) | |
| Return result | |
| End Function | |
| '************************************************************************ | |
| ' Inverse of Normal distribution function | |
| ' | |
| ' Returns the argument, x, for which the area under the | |
| ' Gaussian probability density function (integrated from | |
| ' minus infinity to x) is equal to y. | |
| ' | |
| ' | |
| ' For small arguments 0 < y < exp(-2), the program computes | |
| ' z = sqrt( -2.0 * log(y) ); then the approximation is | |
| ' x = z - log(z)/z - (1/z) P(1/z) / Q(1/z). | |
| ' There are two rational functions P/Q, one for 0 < y < exp(-32) | |
| ' and the other for y up to exp(-2). For larger arguments, | |
| ' w = y - 0.5, and x/sqrt(2pi) = w + w**3 R(w**2)/S(w**2)). | |
| ' | |
| ' ACCURACY: | |
| ' | |
| ' Relative error: | |
| ' arithmetic domain # trials peak rms | |
| ' IEEE 0.125, 1 20000 7.2e-16 1.3e-16 | |
| ' IEEE 3e-308, 0.135 50000 4.6e-16 9.8e-17 | |
| ' | |
| ' Cephes Math Library Release 2.8: June, 2000 | |
| ' Copyright 1984, 1987, 1988, 1992, 2000 by Stephen L. Moshier | |
| ' ************************************************************************ | |
| Public Shared Function invnormaldistribution(ByVal y0 As Double) As Double | |
| Dim result As Double = 0 | |
| Dim expm2 As Double = 0 | |
| Dim s2pi As Double = 0 | |
| Dim x As Double = 0 | |
| Dim y As Double = 0 | |
| Dim z As Double = 0 | |
| Dim y2 As Double = 0 | |
| Dim x0 As Double = 0 | |
| Dim x1 As Double = 0 | |
| Dim code As Integer = 0 | |
| Dim p0 As Double = 0 | |
| Dim q0 As Double = 0 | |
| Dim p1 As Double = 0 | |
| Dim q1 As Double = 0 | |
| Dim p2 As Double = 0 | |
| Dim q2 As Double = 0 | |
| expm2 = 0.135335283236613R | |
| s2pi = 2.506628274631R | |
| If y0 <= 0 Then | |
| result = -AP.MathEx.MaxRealNumber | |
| Return result | |
| End If | |
| If y0 >= 1 Then | |
| result = AP.MathEx.MaxRealNumber | |
| Return result | |
| End If | |
| code = 1 | |
| y = y0 | |
| If y > 1.0R - expm2 Then | |
| y = 1.0R - y | |
| code = 0 | |
| End If | |
| If y > expm2 Then | |
| y = y - 0.5 | |
| y2 = y * y | |
| p0 = -59.9633501014108R | |
| p0 = 98.0010754186R + y2 * p0 | |
| p0 = -56.676285746907R + y2 * p0 | |
| p0 = 13.931260938728R + y2 * p0 | |
| p0 = -1.23916583867381R + y2 * p0 | |
| q0 = 1 | |
| q0 = 1.95448858338142R + y2 * q0 | |
| q0 = 4.67627912898882R + y2 * q0 | |
| q0 = 86.3602421390891R + y2 * q0 | |
| q0 = -225.462687854119R + y2 * q0 | |
| q0 = 200.260212380061R + y2 * q0 | |
| q0 = -82.0372256168333R + y2 * q0 | |
| q0 = 15.9056225126212R + y2 * q0 | |
| q0 = -1.1833162112133R + y2 * q0 | |
| x = y + y * y2 * p0 / q0 | |
| x = x * s2pi | |
| result = x | |
| Return result | |
| End If | |
| x = Math.Sqrt(-(2.0R * Math.Log(y))) | |
| x0 = x - Math.Log(x) / x | |
| z = 1.0R / x | |
| If x < 8.0R Then | |
| p1 = 4.05544892305962R | |
| p1 = 31.5251094599894R + z * p1 | |
| p1 = 57.1628192246421R + z * p1 | |
| p1 = 44.0805073893201R + z * p1 | |
| p1 = 14.6849561928858R + z * p1 | |
| p1 = 2.1866330685079R + z * p1 | |
| p1 = -(1.40256079171355R * 0.1) + z * p1 | |
| p1 = -(3.50424626827848R * 0.01) + z * p1 | |
| p1 = -(8.57456785154685R * 0.0001) + z * p1 | |
| q1 = 1 | |
| q1 = 15.7799883256467R + z * q1 | |
| q1 = 45.3907635128879R + z * q1 | |
| q1 = 41.3172038254672R + z * q1 | |
| q1 = 15.0425385692908R + z * q1 | |
| q1 = 2.50464946208309R + z * q1 | |
| q1 = -(1.42182922854788R * 0.1) + z * q1 | |
| q1 = -(3.80806407691578R * 0.01) + z * q1 | |
| q1 = -(9.33259480895457R * 0.0001) + z * q1 | |
| x1 = z * p1 / q1 | |
| Else | |
| p2 = 3.23774891776946R | |
| p2 = 6.91522889068984R + z * p2 | |
| p2 = 3.93881025292474R + z * p2 | |
| p2 = 1.33303460815808R + z * p2 | |
| p2 = 2.01485389549179R * 0.1 + z * p2 | |
| p2 = 1.2371663481782R * 0.01 + z * p2 | |
| p2 = 3.01581553508235R * 0.0001 + z * p2 | |
| p2 = 2.65806974686738R * 0.000001R + z * p2 | |
| p2 = 6.23974539184983R * 0.000000001R + z * p2 | |
| q2 = 1 | |
| q2 = 6.02427039364742R + z * q2 | |
| q2 = 3.67983563856161R + z * q2 | |
| q2 = 1.37702099489081R + z * q2 | |
| q2 = 2.16236993594497R * 0.1 + z * q2 | |
| q2 = 1.34204006088543R * 0.01 + z * q2 | |
| q2 = 3.28014464682128R * 0.0001 + z * q2 | |
| q2 = 2.89247864745381R * 0.000001R + z * q2 | |
| q2 = 6.79019408009981R * 0.000000001R + z * q2 | |
| x1 = z * p2 / q2 | |
| End If | |
| x = x0 - x1 | |
| If code <> 0 Then | |
| x = -x | |
| End If | |
| result = x | |
| Return result | |
| End Function | |
| End Class | |
| End Namespace | |