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Java example source code file (GammaDistribution.java)

This example Java source code file (GammaDistribution.java) is included in the alvinalexander.com "Java Source Code Warehouse" project. The intent of this project is to help you "Learn Java by Example" TM.

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Java - Java tags/keywords

abstractrealdistribution, default_inverse_absolute_accuracy, deprecated, gammadistribution, notstrictlypositiveexception, override, well19937c

The GammaDistribution.java Java example source code

/*
 * Licensed to the Apache Software Foundation (ASF) under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The ASF licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *      http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
package org.apache.commons.math3.distribution;

import org.apache.commons.math3.exception.NotStrictlyPositiveException;
import org.apache.commons.math3.exception.util.LocalizedFormats;
import org.apache.commons.math3.random.RandomGenerator;
import org.apache.commons.math3.random.Well19937c;
import org.apache.commons.math3.special.Gamma;
import org.apache.commons.math3.util.FastMath;

/**
 * Implementation of the Gamma distribution.
 *
 * @see <a href="http://en.wikipedia.org/wiki/Gamma_distribution">Gamma distribution (Wikipedia)
 * @see <a href="http://mathworld.wolfram.com/GammaDistribution.html">Gamma distribution (MathWorld)
 */
public class GammaDistribution extends AbstractRealDistribution {
    /**
     * Default inverse cumulative probability accuracy.
     * @since 2.1
     */
    public static final double DEFAULT_INVERSE_ABSOLUTE_ACCURACY = 1e-9;
    /** Serializable version identifier. */
    private static final long serialVersionUID = 20120524L;
    /** The shape parameter. */
    private final double shape;
    /** The scale parameter. */
    private final double scale;
    /**
     * The constant value of {@code shape + g + 0.5}, where {@code g} is the
     * Lanczos constant {@link Gamma#LANCZOS_G}.
     */
    private final double shiftedShape;
    /**
     * The constant value of
     * {@code shape / scale * sqrt(e / (2 * pi * (shape + g + 0.5))) / L(shape)},
     * where {@code L(shape)} is the Lanczos approximation returned by
     * {@link Gamma#lanczos(double)}. This prefactor is used in
     * {@link #density(double)}, when no overflow occurs with the natural
     * calculation.
     */
    private final double densityPrefactor1;
    /**
     * The constant value of
     * {@code log(shape / scale * sqrt(e / (2 * pi * (shape + g + 0.5))) / L(shape))},
     * where {@code L(shape)} is the Lanczos approximation returned by
     * {@link Gamma#lanczos(double)}. This prefactor is used in
     * {@link #logDensity(double)}, when no overflow occurs with the natural
     * calculation.
     */
    private final double logDensityPrefactor1;
    /**
     * The constant value of
     * {@code shape * sqrt(e / (2 * pi * (shape + g + 0.5))) / L(shape)},
     * where {@code L(shape)} is the Lanczos approximation returned by
     * {@link Gamma#lanczos(double)}. This prefactor is used in
     * {@link #density(double)}, when overflow occurs with the natural
     * calculation.
     */
    private final double densityPrefactor2;
    /**
     * The constant value of
     * {@code log(shape * sqrt(e / (2 * pi * (shape + g + 0.5))) / L(shape))},
     * where {@code L(shape)} is the Lanczos approximation returned by
     * {@link Gamma#lanczos(double)}. This prefactor is used in
     * {@link #logDensity(double)}, when overflow occurs with the natural
     * calculation.
     */
    private final double logDensityPrefactor2;
    /**
     * Lower bound on {@code y = x / scale} for the selection of the computation
     * method in {@link #density(double)}. For {@code y <= minY}, the natural
     * calculation overflows.
     */
    private final double minY;
    /**
     * Upper bound on {@code log(y)} ({@code y = x / scale}) for the selection
     * of the computation method in {@link #density(double)}. For
     * {@code log(y) >= maxLogY}, the natural calculation overflows.
     */
    private final double maxLogY;
    /** Inverse cumulative probability accuracy. */
    private final double solverAbsoluteAccuracy;

    /**
     * Creates a new gamma distribution with specified values of the shape and
     * scale parameters.
     * <p>
     * <b>Note: this constructor will implicitly create an instance of
     * {@link Well19937c} as random generator to be used for sampling only (see
     * {@link #sample()} and {@link #sample(int)}). In case no sampling is
     * needed for the created distribution, it is advised to pass {@code null}
     * as random generator via the appropriate constructors to avoid the
     * additional initialisation overhead.
     *
     * @param shape the shape parameter
     * @param scale the scale parameter
     * @throws NotStrictlyPositiveException if {@code shape <= 0} or
     * {@code scale <= 0}.
     */
    public GammaDistribution(double shape, double scale) throws NotStrictlyPositiveException {
        this(shape, scale, DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
    }

    /**
     * Creates a new gamma distribution with specified values of the shape and
     * scale parameters.
     * <p>
     * <b>Note: this constructor will implicitly create an instance of
     * {@link Well19937c} as random generator to be used for sampling only (see
     * {@link #sample()} and {@link #sample(int)}). In case no sampling is
     * needed for the created distribution, it is advised to pass {@code null}
     * as random generator via the appropriate constructors to avoid the
     * additional initialisation overhead.
     *
     * @param shape the shape parameter
     * @param scale the scale parameter
     * @param inverseCumAccuracy the maximum absolute error in inverse
     * cumulative probability estimates (defaults to
     * {@link #DEFAULT_INVERSE_ABSOLUTE_ACCURACY}).
     * @throws NotStrictlyPositiveException if {@code shape <= 0} or
     * {@code scale <= 0}.
     * @since 2.1
     */
    public GammaDistribution(double shape, double scale, double inverseCumAccuracy)
        throws NotStrictlyPositiveException {
        this(new Well19937c(), shape, scale, inverseCumAccuracy);
    }

    /**
     * Creates a Gamma distribution.
     *
     * @param rng Random number generator.
     * @param shape the shape parameter
     * @param scale the scale parameter
     * @throws NotStrictlyPositiveException if {@code shape <= 0} or
     * {@code scale <= 0}.
     * @since 3.3
     */
    public GammaDistribution(RandomGenerator rng, double shape, double scale)
        throws NotStrictlyPositiveException {
        this(rng, shape, scale, DEFAULT_INVERSE_ABSOLUTE_ACCURACY);
    }

    /**
     * Creates a Gamma distribution.
     *
     * @param rng Random number generator.
     * @param shape the shape parameter
     * @param scale the scale parameter
     * @param inverseCumAccuracy the maximum absolute error in inverse
     * cumulative probability estimates (defaults to
     * {@link #DEFAULT_INVERSE_ABSOLUTE_ACCURACY}).
     * @throws NotStrictlyPositiveException if {@code shape <= 0} or
     * {@code scale <= 0}.
     * @since 3.1
     */
    public GammaDistribution(RandomGenerator rng,
                             double shape,
                             double scale,
                             double inverseCumAccuracy)
        throws NotStrictlyPositiveException {
        super(rng);

        if (shape <= 0) {
            throw new NotStrictlyPositiveException(LocalizedFormats.SHAPE, shape);
        }
        if (scale <= 0) {
            throw new NotStrictlyPositiveException(LocalizedFormats.SCALE, scale);
        }

        this.shape = shape;
        this.scale = scale;
        this.solverAbsoluteAccuracy = inverseCumAccuracy;
        this.shiftedShape = shape + Gamma.LANCZOS_G + 0.5;
        final double aux = FastMath.E / (2.0 * FastMath.PI * shiftedShape);
        this.densityPrefactor2 = shape * FastMath.sqrt(aux) / Gamma.lanczos(shape);
        this.logDensityPrefactor2 = FastMath.log(shape) + 0.5 * FastMath.log(aux) -
                                    FastMath.log(Gamma.lanczos(shape));
        this.densityPrefactor1 = this.densityPrefactor2 / scale *
                FastMath.pow(shiftedShape, -shape) *
                FastMath.exp(shape + Gamma.LANCZOS_G);
        this.logDensityPrefactor1 = this.logDensityPrefactor2 - FastMath.log(scale) -
                FastMath.log(shiftedShape) * shape +
                shape + Gamma.LANCZOS_G;
        this.minY = shape + Gamma.LANCZOS_G - FastMath.log(Double.MAX_VALUE);
        this.maxLogY = FastMath.log(Double.MAX_VALUE) / (shape - 1.0);
    }

    /**
     * Returns the shape parameter of {@code this} distribution.
     *
     * @return the shape parameter
     * @deprecated as of version 3.1, {@link #getShape()} should be preferred.
     * This method will be removed in version 4.0.
     */
    @Deprecated
    public double getAlpha() {
        return shape;
    }

    /**
     * Returns the shape parameter of {@code this} distribution.
     *
     * @return the shape parameter
     * @since 3.1
     */
    public double getShape() {
        return shape;
    }

    /**
     * Returns the scale parameter of {@code this} distribution.
     *
     * @return the scale parameter
     * @deprecated as of version 3.1, {@link #getScale()} should be preferred.
     * This method will be removed in version 4.0.
     */
    @Deprecated
    public double getBeta() {
        return scale;
    }

    /**
     * Returns the scale parameter of {@code this} distribution.
     *
     * @return the scale parameter
     * @since 3.1
     */
    public double getScale() {
        return scale;
    }

    /** {@inheritDoc} */
    public double density(double x) {
       /* The present method must return the value of
        *
        *     1       x a     - x
        * ---------- (-)  exp(---)
        * x Gamma(a)  b        b
        *
        * where a is the shape parameter, and b the scale parameter.
        * Substituting the Lanczos approximation of Gamma(a) leads to the
        * following expression of the density
        *
        * a              e            1         y      a
        * - sqrt(------------------) ---- (-----------)  exp(a - y + g),
        * x      2 pi (a + g + 0.5)  L(a)  a + g + 0.5
        *
        * where y = x / b. The above formula is the "natural" computation, which
        * is implemented when no overflow is likely to occur. If overflow occurs
        * with the natural computation, the following identity is used. It is
        * based on the BOOST library
        * http://www.boost.org/doc/libs/1_35_0/libs/math/doc/sf_and_dist/html/math_toolkit/special/sf_gamma/igamma.html
        * Formula (15) needs adaptations, which are detailed below.
        *
        *       y      a
        * (-----------)  exp(a - y + g)
        *  a + g + 0.5
        *                              y - a - g - 0.5    y (g + 0.5)
        *               = exp(a log1pm(---------------) - ----------- + g),
        *                                a + g + 0.5      a + g + 0.5
        *
        *  where log1pm(z) = log(1 + z) - z. Therefore, the value to be
        *  returned is
        *
        * a              e            1
        * - sqrt(------------------) ----
        * x      2 pi (a + g + 0.5)  L(a)
        *                              y - a - g - 0.5    y (g + 0.5)
        *               * exp(a log1pm(---------------) - ----------- + g).
        *                                a + g + 0.5      a + g + 0.5
        */
        if (x < 0) {
            return 0;
        }
        final double y = x / scale;
        if ((y <= minY) || (FastMath.log(y) >= maxLogY)) {
            /*
             * Overflow.
             */
            final double aux1 = (y - shiftedShape) / shiftedShape;
            final double aux2 = shape * (FastMath.log1p(aux1) - aux1);
            final double aux3 = -y * (Gamma.LANCZOS_G + 0.5) / shiftedShape +
                    Gamma.LANCZOS_G + aux2;
            return densityPrefactor2 / x * FastMath.exp(aux3);
        }
        /*
         * Natural calculation.
         */
        return densityPrefactor1 * FastMath.exp(-y) * FastMath.pow(y, shape - 1);
    }

    /** {@inheritDoc} **/
    @Override
    public double logDensity(double x) {
        /*
         * see the comment in {@link #density(double)} for computation details
         */
        if (x < 0) {
            return Double.NEGATIVE_INFINITY;
        }
        final double y = x / scale;
        if ((y <= minY) || (FastMath.log(y) >= maxLogY)) {
            /*
             * Overflow.
             */
            final double aux1 = (y - shiftedShape) / shiftedShape;
            final double aux2 = shape * (FastMath.log1p(aux1) - aux1);
            final double aux3 = -y * (Gamma.LANCZOS_G + 0.5) / shiftedShape +
                    Gamma.LANCZOS_G + aux2;
            return logDensityPrefactor2 - FastMath.log(x) + aux3;
        }
        /*
         * Natural calculation.
         */
        return logDensityPrefactor1 - y + FastMath.log(y) * (shape - 1);
    }

    /**
     * {@inheritDoc}
     *
     * The implementation of this method is based on:
     * <ul>
     *  <li>
     *   <a href="http://mathworld.wolfram.com/Chi-SquaredDistribution.html">
     *    Chi-Squared Distribution</a>, equation (9).
     *  </li>
     *  <li>Casella, G., & Berger, R. (1990). Statistical Inference.
     *    Belmont, CA: Duxbury Press.
     *  </li>
     * </ul>
     */
    public double cumulativeProbability(double x) {
        double ret;

        if (x <= 0) {
            ret = 0;
        } else {
            ret = Gamma.regularizedGammaP(shape, x / scale);
        }

        return ret;
    }

    /** {@inheritDoc} */
    @Override
    protected double getSolverAbsoluteAccuracy() {
        return solverAbsoluteAccuracy;
    }

    /**
     * {@inheritDoc}
     *
     * For shape parameter {@code alpha} and scale parameter {@code beta}, the
     * mean is {@code alpha * beta}.
     */
    public double getNumericalMean() {
        return shape * scale;
    }

    /**
     * {@inheritDoc}
     *
     * For shape parameter {@code alpha} and scale parameter {@code beta}, the
     * variance is {@code alpha * beta^2}.
     *
     * @return {@inheritDoc}
     */
    public double getNumericalVariance() {
        return shape * scale * scale;
    }

    /**
     * {@inheritDoc}
     *
     * The lower bound of the support is always 0 no matter the parameters.
     *
     * @return lower bound of the support (always 0)
     */
    public double getSupportLowerBound() {
        return 0;
    }

    /**
     * {@inheritDoc}
     *
     * The upper bound of the support is always positive infinity
     * no matter the parameters.
     *
     * @return upper bound of the support (always Double.POSITIVE_INFINITY)
     */
    public double getSupportUpperBound() {
        return Double.POSITIVE_INFINITY;
    }

    /** {@inheritDoc} */
    public boolean isSupportLowerBoundInclusive() {
        return true;
    }

    /** {@inheritDoc} */
    public boolean isSupportUpperBoundInclusive() {
        return false;
    }

    /**
     * {@inheritDoc}
     *
     * The support of this distribution is connected.
     *
     * @return {@code true}
     */
    public boolean isSupportConnected() {
        return true;
    }

    /**
     * <p>This implementation uses the following algorithms: 

* * <p>For 0 < shape < 1:
* Ahrens, J. H. and Dieter, U., <i>Computer methods for * sampling from gamma, beta, Poisson and binomial distributions.</i> * Computing, 12, 223-246, 1974.</p> * * <p>For shape >= 1:
* Marsaglia and Tsang, <i>A Simple Method for Generating * Gamma Variables.</i> ACM Transactions on Mathematical Software, * Volume 26 Issue 3, September, 2000.</p> * * @return random value sampled from the Gamma(shape, scale) distribution */ @Override public double sample() { if (shape < 1) { // [1]: p. 228, Algorithm GS while (true) { // Step 1: final double u = random.nextDouble(); final double bGS = 1 + shape / FastMath.E; final double p = bGS * u; if (p <= 1) { // Step 2: final double x = FastMath.pow(p, 1 / shape); final double u2 = random.nextDouble(); if (u2 > FastMath.exp(-x)) { // Reject continue; } else { return scale * x; } } else { // Step 3: final double x = -1 * FastMath.log((bGS - p) / shape); final double u2 = random.nextDouble(); if (u2 > FastMath.pow(x, shape - 1)) { // Reject continue; } else { return scale * x; } } } } // Now shape >= 1 final double d = shape - 0.333333333333333333; final double c = 1 / (3 * FastMath.sqrt(d)); while (true) { final double x = random.nextGaussian(); final double v = (1 + c * x) * (1 + c * x) * (1 + c * x); if (v <= 0) { continue; } final double x2 = x * x; final double u = random.nextDouble(); // Squeeze if (u < 1 - 0.0331 * x2 * x2) { return scale * d * v; } if (FastMath.log(u) < 0.5 * x2 + d * (1 - v + FastMath.log(v))) { return scale * d * v; } } } }

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