fr.cnes.sirius.patrius.math.distribution

Class ExponentialDistribution

java.lang.Object

fr.cnes.sirius.patrius.math.distribution.AbstractRealDistribution

fr.cnes.sirius.patrius.math.distribution.ExponentialDistribution

All Implemented Interfaces:

RealDistribution, Serializable

public class ExponentialDistribution
extends AbstractRealDistribution

Implementation of the exponential distribution.

Version:

$Id: ExponentialDistribution.java 18108 2017-10-04 06:45:27Z bignon $

See Also:

Exponential distribution (Wikipedia), Exponential distribution (MathWorld), Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
static double	DEFAULT_INVERSE_ABSOLUTE_ACCURACY Default inverse cumulative probability accuracy.

Fields inherited from class fr.cnes.sirius.patrius.math.distribution.AbstractRealDistribution

random, SOLVER_DEFAULT_ABSOLUTE_ACCURACY

Constructor Summary

Constructors

Constructor and Description
ExponentialDistribution(double meanIn) Create an exponential distribution with the given mean.
ExponentialDistribution(double meanIn, double inverseCumAccuracy) Create an exponential distribution with the given mean.
ExponentialDistribution(RandomGenerator rng, double meanIn, double inverseCumAccuracy) Creates an exponential distribution.

Method Summary

Modifier and Type	Method and Description
double	cumulativeProbability(double x) For a random variable X whose values are distributed according to this distribution, this method returns P(X <= x).
double	density(double x) Returns the probability density function (PDF) of this distribution evaluated at the specified point x.
double	getMean() Access the mean.
double	getNumericalMean() Use this method to get the numerical value of the mean of this distribution.
double	getNumericalVariance() Use this method to get the numerical value of the variance of this distribution.
protected double	getSolverAbsoluteAccuracy() Returns the solver absolute accuracy for inverse cumulative computation.
double	getSupportLowerBound() Access the lower bound of the support.
double	getSupportUpperBound() Access the upper bound of the support.
double	inverseCumulativeProbability(double p) Computes the quantile function of this distribution.
boolean	isSupportConnected() Use this method to get information about whether the support is connected, i.e. whether all values between the lower and upper bound of the support are included in the support.
boolean	isSupportLowerBoundInclusive() Returns true if support contains lower bound.
boolean	isSupportUpperBoundInclusive() Returns true if support contains lower bound.
double	sample() Generate a random value sampled from this distribution.

Methods inherited from class fr.cnes.sirius.patrius.math.distribution.AbstractRealDistribution

probability, probability, reseedRandomGenerator, sample

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT_INVERSE_ABSOLUTE_ACCURACY

public static final double DEFAULT_INVERSE_ABSOLUTE_ACCURACY

Default inverse cumulative probability accuracy.

Since:

2.1

See Also:

Constant Field Values

Constructor Detail

ExponentialDistribution

public ExponentialDistribution(double meanIn)

Create an exponential distribution with the given mean.

Parameters:

meanIn - mean of this distribution.

ExponentialDistribution

public ExponentialDistribution(double meanIn,
                               double inverseCumAccuracy)

Create an exponential distribution with the given mean.

Parameters:

meanIn - Mean of this distribution.

inverseCumAccuracy - Maximum absolute error in inverse cumulative probability estimates (defaults to DEFAULT_INVERSE_ABSOLUTE_ACCURACY).

Throws:

NotStrictlyPositiveException - if mean <= 0.

Since:

2.1

ExponentialDistribution

public ExponentialDistribution(RandomGenerator rng,
                               double meanIn,
                               double inverseCumAccuracy)

Creates an exponential distribution.

Parameters:

rng - Random number generator.

meanIn - Mean of this distribution.

inverseCumAccuracy - Maximum absolute error in inverse cumulative probability estimates (defaults to DEFAULT_INVERSE_ABSOLUTE_ACCURACY).

Throws:

NotStrictlyPositiveException - if mean <= 0.

Since:

3.1

Method Detail

getMean

public double getMean()

Access the mean.

Returns:

the mean.

density

public double density(double x)

Returns the probability density function (PDF) of this distribution evaluated at the specified point x. In general, the PDF is the derivative of the CDF. If the derivative does not exist at x, then an appropriate replacement should be returned, e.g. Double.POSITIVE_INFINITY, Double.NaN, or the limit inferior or limit superior of the difference quotient.

Parameters:

x - the point at which the PDF is evaluated

Returns:

the value of the probability density function at point x

cumulativeProbability

public double cumulativeProbability(double x)

For a random variable X whose values are distributed according to this distribution, this method returns P(X <= x). In other words, this method represents the (cumulative) distribution function (CDF) for this distribution. The implementation of this method is based on:

• Exponential Distribution, equation (1).

Parameters:

x - the point at which the CDF is evaluated

Returns:

the probability that a random variable with this distribution takes a value less than or equal to x

inverseCumulativeProbability

public double inverseCumulativeProbability(double p)

Computes the quantile function of this distribution. For a random variable X distributed according to this distribution, the returned value is

• inf{x in R | P(X<=x) >= p} for 0 < p <= 1,
• inf{x in R | P(X<=x) > 0} for p = 0.

The default implementation returns

• RealDistribution.getSupportLowerBound() for p = 0,
• RealDistribution.getSupportUpperBound() for p = 1.

Returns 0 when p= = 0 and Double.POSITIVE_INFINITY when p == 1.

Specified by:

inverseCumulativeProbability in interface RealDistribution

Overrides:

inverseCumulativeProbability in class AbstractRealDistribution

Parameters:

p - the cumulative probability

Returns:

the smallest p-quantile of this distribution (largest 0-quantile for p = 0)

sample

public double sample()

Generate a random value sampled from this distribution. The default implementation uses the inversion method.

Algorithm Description: this implementation uses the Inversion Method to generate exponentially distributed random values from uniform deviates.

Specified by:

sample in interface RealDistribution

Overrides:

sample in class AbstractRealDistribution

Returns:

a random value.

Since:

2.2

getSolverAbsoluteAccuracy

protected double getSolverAbsoluteAccuracy()

Returns the solver absolute accuracy for inverse cumulative computation. You can override this method in order to use a Brent solver with an absolute accuracy different from the default.

Overrides:

getSolverAbsoluteAccuracy in class AbstractRealDistribution

Returns:

the maximum absolute error in inverse cumulative probability estimates

getNumericalMean

public double getNumericalMean()

Use this method to get the numerical value of the mean of this distribution. For mean parameter k, the mean is k.

Returns:

the mean or Double.NaN if it is not defined

getNumericalVariance

public double getNumericalVariance()

Use this method to get the numerical value of the variance of this distribution. For mean parameter k, the variance is k^2.

Returns:

the variance (possibly Double.POSITIVE_INFINITY as for certain cases in TDistribution) or Double.NaN if it is not defined

getSupportLowerBound

public double getSupportLowerBound()

Access the lower bound of the support. This method must return the same value as inverseCumulativeProbability(0). In other words, this method must return

inf {x in R | P(X <= x) > 0}.

The lower bound of the support is always 0 no matter the mean parameter.

Returns:

lower bound of the support (always 0)

getSupportUpperBound

public double getSupportUpperBound()

Access the upper bound of the support. This method must return the same value as inverseCumulativeProbability(1). In other words, this method must return

inf {x in R | P(X <= x) = 1}.

The upper bound of the support is always positive infinity no matter the mean parameter.

Returns:

upper bound of the support (always Double.POSITIVE_INFINITY)

isSupportLowerBoundInclusive

public boolean isSupportLowerBoundInclusive()

Returns true if support contains lower bound.

Returns:

true

isSupportUpperBoundInclusive

public boolean isSupportUpperBoundInclusive()

Returns true if support contains lower bound.

Returns:

false

isSupportConnected

public boolean isSupportConnected()

Use this method to get information about whether the support is connected, i.e. whether all values between the lower and upper bound of the support are included in the support. The support of this distribution is connected.

Returns:

true