diff --git a/include/boost/math/distributions/non_central_f.hpp b/include/boost/math/distributions/non_central_f.hpp index 39fdcf31f..5013c2408 100644 --- a/include/boost/math/distributions/non_central_f.hpp +++ b/include/boost/math/distributions/non_central_f.hpp @@ -22,6 +22,56 @@ namespace boost { namespace math { + namespace detail + { + /* Need to rewrite this according to `find_non_centrality` in + non_central_chi_squared.hpp */ + template + struct non_centrality_finder_f + { + non_centrality_finder_f(const RealType x_, const RealType dfn_, const RealType dfd_, const RealType p_, bool c) + : x(x_), dfn(dfn_), dfd(dfd_), p(p_), comp(c) {} + + RealType operator()(RealType nc) const + { + non_central_f_distribution d(dfn, dfd, nc); + return comp ? + RealType(p - cdf(complement(d, x))) + : RealType(cdf(d, x) - p); + } + private: + RealType x, dfn, dfd, p; + bool comp; + }; + + template + inline RealType find_non_centrality_f(const RealType dfn, const RealType dfd, const RealType p, const RealType x, const Policy& pol) + { + constexpr auto function = "non_central_f<%1%>::find_non_centrality"; + + if ( p <= 0 || p >= 1) { + return policies::raise_domain_error(function, "Can't find non centrality parameter when the probability is <=0 or >=1, only possible answer is %1%", // LCOV_EXCL_LINE + RealType(boost::math::numeric_limits::quiet_NaN()), Policy()); // LCOV_EXCL_LINE + } + + RealType guess = RealType(10); // Starting guess. + RealType factor = 1; // How big steps to take when searching. + boost::math::uintmax_t max_iter = policies::get_max_root_iterations(); + tools::eps_tolerance tol(policies::digits()); + + std::pair result_bracket = tools::bracket_and_solve_root( + detail::non_centrality_finder_f(x, dfn, dfd, p, false), guess, factor, + false, tol, max_iter, pol); + + RealType result = result_bracket.first + (result_bracket.second - result_bracket.first)/2; + if (max_iter >= policies::get_max_root_iterations()) { + return policies::raise_evaluation_error(function, "Unable to locate solution in a reasonable time:" // LCOV_EXCL_LINE + " or there is no answer to problem. Current best guess is %1%", result, Policy()); // LCOV_EXCL_LINE + } + return result; + } + } // namespace detail + template > class non_central_f_distribution { @@ -58,6 +108,26 @@ namespace boost { // Private data getter function. return ncp; } + static RealType find_non_centrality(const RealType dfn, const RealType dfd, const RealType p, const RealType x) + { + constexpr auto function = "non_central_f_distribution<%1%>::find_non_centrality"; + typedef typename policies::evaluation::type eval_type; + typedef typename policies::normalise< + Policy, + policies::promote_float, + policies::promote_double, + policies::discrete_quantile<>, + policies::assert_undefined<> >::type forwarding_policy; + eval_type result = detail::find_non_centrality_f( + static_cast(dfn), + static_cast(dfd), + static_cast(p), + static_cast(x), + forwarding_policy()); + return policies::checked_narrowing_cast( + result, + function); + } private: // Data member, initialized by constructor. RealType v1; // alpha. @@ -404,54 +474,6 @@ namespace boost Policy()); return (x / (1 - x)) * (c.dist.degrees_of_freedom2() / c.dist.degrees_of_freedom1()); } // quantile complement. - - /* Need to rewrite this according to `find_non_centrality` in - non_central_chi_squared.hpp */ - template - struct non_centrality_finder - { - non_centrality_finder(const RealType x_, const RealType dfn_, const RealType dfd_, const RealType p_, bool c) - : x(x_), dfn(dfn_), dfd(dfd_), p(p_), comp(c) {} - - RealType operator()(RealType nc) const - { - non_central_f_distribution d(dfn, dfd, nc); - return comp ? - RealType(p - cdf(complement(d, x))) - : RealType(cdf(d, x) - p); - } - private: - RealType x, dfn, dfd, p; - bool comp; - }; - - template - RealType find_non_centrality(const RealType dfn, const RealType dfd, const RealType p, const RealType x, const Policy& pol) - { - constexpr auto function = "non_central_f<%1%>::find_non_centrality"; - - if ( p =< 0 || p >= 1) { - return policies::raise_domain_error(function, "Can't find non centrality parameter when the probability is <=0 or >=1, only possible answer is %1%", // LCOV_EXCL_LINE - RealType(boost::math::numeric_limits::quiet_NaN()), Policy()); // LCOV_EXCL_LINE - } - - RealType guess = RealType(10); // Starting guess. - RealType factor = 8; // How big steps to take when searching. - boost::math::uintmax_t max_iter = policies::get_max_root_iterations(); - tools::eps_tolerance tol(policies::digits()); - - std::pair result_bracket = tools::bracket_and_solve_root( - non_centrality_finder(x, dfn, dfd, p), guess, factor, - false, tol, max_iter, pol); - - if (max_iter >= policies::get_max_root_iterations()) { - return policies::raise_evaluation_error(function, "Unable to locate solution in a reasonable time:" // LCOV_EXCL_LINE - " or there is no answer to problem. Current best guess is %1%", result, Policy()); // LCOV_EXCL_LINE - } - - RealType result = result_bracket.first + (result_bracket.second - result_bracket.first)/2; - return result; - } } // namespace math } // namespace boost diff --git a/test/test_nc_f.cpp b/test/test_nc_f.cpp index 3a582a29a..22cc667d5 100644 --- a/test/test_nc_f.cpp +++ b/test/test_nc_f.cpp @@ -141,6 +141,8 @@ void test_spot( quantile(dist, P), x, tol * 10); BOOST_CHECK_CLOSE( quantile(complement(dist, Q)), x, tol * 10); + BOOST_CHECK_CLOSE( + dist.find_non_centrality(a, b, P, x), ncp, tol * 10); } if(boost::math::tools::digits() > 50) {