// Copyright 2017 The Abseil Authors.
//
// Licensed 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
//
// https://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.
#include "absl/random/internal/distribution_test_util.h"
#include <cassert>
#include <cmath>
#include <string>
#include <vector>
#include "absl/base/internal/raw_logging.h"
#include "absl/base/macros.h"
#include "absl/strings/str_cat.h"
#include "absl/strings/str_format.h"
namespace absl {
ABSL_NAMESPACE_BEGIN
namespace random_internal {
namespace {
#if defined(__EMSCRIPTEN__)
// Workaround __EMSCRIPTEN__ error: llvm_fma_f64 not found.
inline double fma(double x, double y, double z) { return (x * y) + z; }
#endif
} // namespace
DistributionMoments ComputeDistributionMoments(
absl::Span<const double> data_points) {
DistributionMoments result;
// Compute m1
for (double x : data_points) {
result.n++;
result.mean += x;
}
result.mean /= static_cast<double>(result.n);
// Compute m2, m3, m4
for (double x : data_points) {
double v = x - result.mean;
result.variance += v * v;
result.skewness += v * v * v;
result.kurtosis += v * v * v * v;
}
result.variance /= static_cast<double>(result.n - 1);
result.skewness /= static_cast<double>(result.n);
result.skewness /= std::pow(result.variance, 1.5);
result.kurtosis /= static_cast<double>(result.n);
result.kurtosis /= std::pow(result.variance, 2.0);
return result;
// When validating the min/max count, the following confidence intervals may
// be of use:
// 3.291 * stddev = 99.9% CI
// 2.576 * stddev = 99% CI
// 1.96 * stddev = 95% CI
// 1.65 * stddev = 90% CI
}
std::ostream& operator<<(std::ostream& os, const DistributionMoments& moments) {
return os << absl::StrFormat("mean=%f, stddev=%f, skewness=%f, kurtosis=%f",
moments.mean, std::sqrt(moments.variance),
moments.skewness, moments.kurtosis);
}
double InverseNormalSurvival(double x) {
// inv_sf(u) = -sqrt(2) * erfinv(2u-1)
static constexpr double kSqrt2 = 1.4142135623730950488;
return -kSqrt2 * absl::random_internal::erfinv(2 * x - 1.0);
}
bool Near(absl::string_view msg, double actual, double expected, double bound) {
assert(bound > 0.0);
double delta = fabs(expected - actual);
if (delta < bound) {
return true;
}
std::string formatted = absl::StrCat(
msg, " actual=", actual, " expected=", expected, " err=", delta / bound);
ABSL_RAW_LOG(INFO, "%s", formatted.c_str());
return false;
}
// TODO(absl-team): Replace with an "ABSL_HAVE_SPECIAL_MATH" and try
// to use std::beta(). As of this writing P0226R1 is not implemented
// in libc++: http://libcxx.llvm.org/cxx1z_status.html
double beta(double p, double q) {
// Beta(x, y) = Gamma(x) * Gamma(y) / Gamma(x+y)
double lbeta = std::lgamma(p) + std::lgamma(q) - std::lgamma(p + q);
return std::exp(lbeta);
}
// Approximation to inverse of the Error Function in double precision.
// (http://people.maths.ox.ac.uk/gilesm/files/gems_erfinv.pdf)
double erfinv(double x) {
#if !defined(__EMSCRIPTEN__)
using std::fma;
#endif
double w = 0.0;
double p = 0.0;
w = -std::log((1.0 - x) * (1.0 + x));
if (w < 6.250000) {
w = w - 3.125000;
p = -3.6444120640178196996e-21;
p = fma(p, w, -1.685059138182016589e-19);
p = fma(p, w, 1.2858480715256400167e-18);
p = fma(p, w, 1.115787767802518096e-17);
p = fma(p, w, -1.333171662854620906e-16);
p = fma(p, w, 2.0972767875968561637e-17);
p = fma(p, w, 6.6376381343583238325e-15);
p = fma(p, w, -4.0545662729752068639e-14);
p = fma(p, w, -8.1519341976054721522e-14);
p = fma(p, w, 2.6335093153082322977e-12);
p = fma(p, w, -1.2975133253453532498e-11);
p = fma(p, w, -5.4154120542946279317e-11);
p = fma(p, w, 1.051212273321532285e-09);
p = fma(p, w, -4.1126339803469836976e-09);
p = fma(p, w, -2.9070369957882005086e-08);
p = fma(p, w, 4.2347877827932403518e-07);
p = fma(p, w, -1.3654692000834678645e-06);
p = fma(p, w, -1.3882523362786468719e-05);
p = fma(p, w, 0.0001867342080340571352);
p = fma(p, w, -0.00074070253416626697512);
p = fma(p, w, -0.0060336708714301490533);
p = fma(p, w, 0.24015818242558961693);
p = fma(p, w, 1.6536545626831027356);
} else if (w < 16.000000) {
w = std::sqrt(w) - 3.250000;
p = 2.2137376921775787049e-09;
p = fma(p, w, 9.0756561938885390979e-08);
p = fma(p, w, -2.7517406297064545428e-07);
p = fma(p, w, 1.8239629214389227755e-08);
p = fma(p, w, 1.5027403968909827627e-06);
p = fma(p, w, -4.013867526981545969e-06);
p = fma(p, w, 2.9234449089955446044e-06);
p = fma(p, w, 1.2475304481671778723e-05);
p = fma(p, w, -4.7318229009055733981e-05);
p = fma(p, w, 6.8284851459573175448e-05);
p = fma(p, w, 2.4031110387097893999e-05);
p = fma(p, w, -0.0003550375203628474796);
p = fma(p, w, 0.00095328937973738049703);
p = fma(p, w, -0.0016882755560235047313);
p = fma(p, w, 0.0024914420961078508066);
p = fma(p, w, -0.0037512085075692412107);
p = fma(p, w, 0.005370914553590063617);
p = fma(p, w, 1.0052589676941592334);
p = fma(p, w, 3.0838856104922207635);
} else {
w = std::sqrt(w) - 5.000000;
p = -2.7109920616438573243e-11;
p = fma(p, w, -2.5556418169965252055e-10);
p = fma(p, w, 1.5076572693500548083e-09);
p = fma(p, w, -3.7894654401267369937e-09);
p = fma(p, w, 7.6157012080783393804e-09);
p = fma(p, w, -1.4960026627149240478e-08);
p = fma(p, w, 2.9147953450901080826e-08);
p = fma(p, w, -6.7711997758452339498e-08);
p = fma(p, w, 2.2900482228026654717e-07);
p = fma(p, w, -9.9298272942317002539e-07);
p = fma(p, w, 4.5260625972231537039e-06);
p = fma(p, w, -1.9681778105531670567e-05);
p = fma(p, w, 7.5995277030017761139e-05);
p = fma(p, w, -0.00021503011930044477347);
p = fma(p, w, -0.00013871931833623122026);
p = fma(p, w, 1.0103004648645343977);
p = fma(p, w, 4.8499064014085844221);
}
return p * x;
}
namespace {
// Direct implementation of AS63, BETAIN()
// https://www.jstor.org/stable/2346797?seq=3#page_scan_tab_contents.
//
// BETAIN(x, p, q, beta)
// x: the value of the upper limit x.
// p: the value of the parameter p.
// q: the value of the parameter q.
// beta: the value of ln B(p, q)
//
double BetaIncompleteImpl(const double x, const double p, const double q,
const double beta) {
if (p < (p + q) * x) {
// Incomplete beta function is symmetrical, so return the complement.
return 1. - BetaIncompleteImpl(1.0 - x, q, p, beta);
}
double psq = p + q;
const double kErr = 1e-14;
const double xc = 1. - x;
const double pre =
std::exp(p * std::log(x) + (q - 1.) * std::log(xc) - beta) / p;
double term = 1.;
double ai = 1.;
double result = 1.;
int ns = static_cast<int>(q + xc * psq);
// Use the soper reduction forumla.
double rx = (ns == 0) ? x : x / xc;
double temp = q - ai;
for (;;) {
term = term * temp * rx / (p + ai);
result = result + term;
temp = std::fabs(term);
if (temp < kErr && temp < kErr * result) {
return result * pre;
}
ai = ai + 1.;
--ns;
if (ns >= 0) {
temp = q - ai;
if (ns == 0) {
rx = x;
}
} else {
temp = psq;
psq = psq + 1.;
}
}
// NOTE: See also TOMS Alogrithm 708.
// http://www.netlib.org/toms/index.html
//
// NOTE: The NWSC library also includes BRATIO / ISUBX (p87)
// https://archive.org/details/DTIC_ADA261511/page/n75
}
// Direct implementation of AS109, XINBTA(p, q, beta, alpha)
// https://www.jstor.org/stable/2346798?read-now=1&seq=4#page_scan_tab_contents
// https://www.jstor.org/stable/2346887?seq=1#page_scan_tab_contents
//
// XINBTA(p, q, beta, alhpa)
// p: the value of the parameter p.
// q: the value of the parameter q.
// beta: the value of ln B(p, q)
// alpha: the value of the lower tail area.
//
double BetaIncompleteInvImpl(const double p, const double q, const double beta,
const double alpha) {
if (alpha < 0.5) {
// Inverse Incomplete beta function is symmetrical, return the complement.
return 1. - BetaIncompleteInvImpl(q, p, beta, 1. - alpha);
}
const double kErr = 1e-14;
double value = kErr;
// Compute the initial estimate.
{
double r = std::sqrt(-std::log(alpha * alpha));
double y =
r - fma(r, 0.27061, 2.30753) / fma(r, fma(r, 0.04481, 0.99229), 1.0);
if (p > 1. && q > 1.) {
r = (y * y - 3.) / 6.;
double s = 1. / (p + p - 1.);
double t = 1. / (q + q - 1.);
double h = 2. / s + t;
double w =
y * std::sqrt(h + r) / h - (t - s) * (r + 5. / 6. - t / (3. * h));
value = p / (p + q * std::exp(w + w));
} else {
r = q + q;
double t = 1.0 / (9. * q);
double u = 1.0 - t + y * std::sqrt(t);
t = r * (u * u * u);
if (t <= 0) {
value = 1.0 - std::exp((std::log((1.0 - alpha) * q) + beta) / q);
} else {
t = (4.0 * p + r - 2.0) / t;
if (t <= 1) {
value = std::exp((std::log(alpha * p) + beta) / p);
} else {
value = 1.0 - 2.0 / (t + 1.0);
}
}
}
}
// Solve for x using a modified newton-raphson method using the function
// BetaIncomplete.
{
value = std::max(value, kErr);
value = std::min(value, 1.0 - kErr);
const double r = 1.0 - p;
const double t = 1.0 - q;
double y;
double yprev = 0;
double sq = 1;
double prev = 1;
for (;;) {
if (value < 0 || value > 1.0) {
// Error case; value went infinite.
return std::numeric_limits<double>::infinity();
} else if (value == 0 || value == 1) {
y = value;
} else {
y = BetaIncompleteImpl(value, p, q, beta);
if (!std::isfinite(y)) {
return y;
}
}
y = (y - alpha) *
std::exp(beta + r * std::log(value) + t * std::log(1.0 - value));
if (y * yprev <= 0) {
prev = std::max(sq, std::numeric_limits<double>::min());
}
double g = 1.0;
for (;;) {
const double adj = g * y;
const double adj_sq = adj * adj;
if (adj_sq >= prev) {
g = g / 3.0;
continue;
}
const double tx = value - adj;
if (tx < 0 || tx > 1) {
g = g / 3.0;
continue;
}
if (prev < kErr) {
return value;
}
if (y * y < kErr) {
return value;
}
if (tx == value) {
return value;
}
if (tx == 0 || tx == 1) {
g = g / 3.0;
continue;
}
value = tx;
yprev = y;
break;
}
}
}
// NOTES: See also: Asymptotic inversion of the incomplete beta function.
// https://core.ac.uk/download/pdf/82140723.pdf
//
// NOTE: See the Boost library documentation as well:
// https://www.boost.org/doc/libs/1_52_0/libs/math/doc/sf_and_dist/html/math_toolkit/special/sf_beta/ibeta_function.html
}
} // namespace
double BetaIncomplete(const double x, const double p, const double q) {
// Error cases.
if (p < 0 || q < 0 || x < 0 || x > 1.0) {
return std::numeric_limits<double>::infinity();
}
if (x == 0 || x == 1) {
return x;
}
// ln(Beta(p, q))
double beta = std::lgamma(p) + std::lgamma(q) - std::lgamma(p + q);
return BetaIncompleteImpl(x, p, q, beta);
}
double BetaIncompleteInv(const double p, const double q, const double alpha) {
// Error cases.
if (p < 0 || q < 0 || alpha < 0 || alpha > 1.0) {
return std::numeric_limits<double>::infinity();
}
if (alpha == 0 || alpha == 1) {
return alpha;
}
// ln(Beta(p, q))
double beta = std::lgamma(p) + std::lgamma(q) - std::lgamma(p + q);
return BetaIncompleteInvImpl(p, q, beta, alpha);
}
// Given `num_trials` trials each with probability `p` of success, the
// probability of no failures is `p^k`. To ensure the probability of a failure
// is no more than `p_fail`, it must be that `p^k == 1 - p_fail`. This function
// computes `p` from that equation.
double RequiredSuccessProbability(const double p_fail, const int num_trials) {
double p = std::exp(std::log(1.0 - p_fail) / static_cast<double>(num_trials));
ABSL_ASSERT(p > 0);
return p;
}
double ZScore(double expected_mean, const DistributionMoments& moments) {
return (moments.mean - expected_mean) /
(std::sqrt(moments.variance) /
std::sqrt(static_cast<double>(moments.n)));
}
double MaxErrorTolerance(double acceptance_probability) {
double one_sided_pvalue = 0.5 * (1.0 - acceptance_probability);
const double max_err = InverseNormalSurvival(one_sided_pvalue);
ABSL_ASSERT(max_err > 0);
return max_err;
}
} // namespace random_internal
ABSL_NAMESPACE_END
} // namespace absl
