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 * 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
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package org.apache.commons.statistics.distribution;

import org.apache.commons.rng.UniformRandomProvider;
import org.apache.commons.rng.sampling.distribution.ZigguratSampler;

/**
 * Implementation of the exponential distribution.
 *
 * 

The probability density function of \( X \) is: * *

\[ f(x; \mu) = \frac{1}{\mu} e^{-x / \mu} \] * *

for \( \mu > 0 \) the mean and * \( x \in [0, \infty) \). * *

This implementation uses the scale parameter \( \mu \) which is the mean of the distribution. * A common alternative parameterization uses the rate parameter \( \lambda \) which is the reciprocal * of the mean. The distribution can be be created using \( \mu = \frac{1}{\lambda} \). * * @see Exponential distribution (Wikipedia) * @see Exponential distribution (MathWorld) */ public final class ExponentialDistribution extends AbstractContinuousDistribution { /** Support lower bound. */ private static final double SUPPORT_LO = 0; /** Support upper bound. */ private static final double SUPPORT_HI = Double.POSITIVE_INFINITY; /** ln(2). */ private static final double LN_2 = 0.6931471805599453094172; /** The mean of this distribution. */ private final double mean; /** The logarithm of the mean, stored to reduce computing time. */ private final double logMean; /** * @param mean Mean of this distribution. */ private ExponentialDistribution(double mean) { this.mean = mean; logMean = Math.log(mean); } /** * Creates an exponential distribution. * * @param mean Mean of this distribution. This is a scale parameter. * @return the distribution * @throws IllegalArgumentException if {@code mean <= 0}. */ public static ExponentialDistribution of(double mean) { if (mean <= 0) { throw new DistributionException(DistributionException.NOT_STRICTLY_POSITIVE, mean); } return new ExponentialDistribution(mean); } /** {@inheritDoc} */ @Override public double density(double x) { if (x < SUPPORT_LO) { return 0; } return Math.exp(-x / mean) / mean; } /** {@inheritDoc} **/ @Override public double logDensity(double x) { if (x < SUPPORT_LO) { return Double.NEGATIVE_INFINITY; } return -x / mean - logMean; } /** {@inheritDoc} */ @Override public double cumulativeProbability(double x) { if (x <= SUPPORT_LO) { return 0; } return -Math.expm1(-x / mean); } /** {@inheritDoc} */ @Override public double survivalProbability(double x) { if (x <= SUPPORT_LO) { return 1; } return Math.exp(-x / mean); } /** * {@inheritDoc} * *

Returns {@code 0} when {@code p == 0} and * {@link Double#POSITIVE_INFINITY} when {@code p == 1}. */ @Override public double inverseCumulativeProbability(double p) { ArgumentUtils.checkProbability(p); if (p == 1) { return Double.POSITIVE_INFINITY; } // Subtract from zero to prevent returning -0.0 for p=-0.0 return 0 - mean * Math.log1p(-p); } /** * {@inheritDoc} * *

Returns {@code 0} when {@code p == 1} and * {@link Double#POSITIVE_INFINITY} when {@code p == 0}. */ @Override public double inverseSurvivalProbability(double p) { ArgumentUtils.checkProbability(p); if (p == 0) { return Double.POSITIVE_INFINITY; } // Subtract from zero to prevent returning -0.0 for p=1 return 0 - mean * Math.log(p); } /** {@inheritDoc} */ @Override public double getMean() { return mean; } /** * {@inheritDoc} * *

For mean \( \mu \), the variance is \( \mu^2 \). */ @Override public double getVariance() { return mean * mean; } /** * {@inheritDoc} * *

The lower bound of the support is always 0. * * @return 0. */ @Override public double getSupportLowerBound() { return SUPPORT_LO; } /** * {@inheritDoc} * *

The upper bound of the support is always positive infinity. * * @return {@link Double#POSITIVE_INFINITY positive infinity}. */ @Override public double getSupportUpperBound() { return SUPPORT_HI; } /** {@inheritDoc} */ @Override double getMedian() { // Overridden for the probability(double, double) method. // This is intentionally not a public method. // ln(2) / rate = mean * ln(2) return mean * LN_2; } /** {@inheritDoc} */ @Override public ContinuousDistribution.Sampler createSampler(final UniformRandomProvider rng) { // Exponential distribution sampler. return ZigguratSampler.Exponential.of(rng, getMean())::sample; } }





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