org.apache.commons.statistics.distribution.ExponentialDistribution Maven / Gradle / Ivy
/*
* 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.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;
}
}