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From brentwor...@apache.org
Subject svn commit: r699157 - in /commons/proper/math/trunk/src: java/org/apache/commons/math/distribution/FDistributionImpl.java site/xdoc/changes.xml test/org/apache/commons/math/distribution/FDistributionTest.java
Date Fri, 26 Sep 2008 03:09:53 GMT
Author: brentworden
Date: Thu Sep 25 20:09:53 2008
New Revision: 699157

URL: http://svn.apache.org/viewvc?rev=699157&view=rev
Log:
MATH-227.  fixed F distribution inverse CDF computation for small denominator degrees of freedom.

Modified:
    commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/FDistributionImpl.java
    commons/proper/math/trunk/src/site/xdoc/changes.xml
    commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/FDistributionTest.java

Modified: commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/FDistributionImpl.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/FDistributionImpl.java?rev=699157&r1=699156&r2=699157&view=diff
==============================================================================
--- commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/FDistributionImpl.java
(original)
+++ commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/FDistributionImpl.java
Thu Sep 25 20:09:53 2008
@@ -24,168 +24,188 @@
 /**
  * Default implementation of
  * {@link org.apache.commons.math.distribution.FDistribution}.
- *
- * @version $Revision$ $Date$
+ * 
+ * @version $Revision$ $Date: 2008-02-08 09:44:11 -0600 (Fri, 08 Feb
+ *          2008) $
  */
-public class FDistributionImpl
-    extends AbstractContinuousDistribution
-    implements FDistribution, Serializable  {
-
-    /** Serializable version identifier */
-    private static final long serialVersionUID = -8516354193418641566L;
-
-    /** The numerator degrees of freedom*/
-    private double numeratorDegreesOfFreedom;
-
-    /** The numerator degrees of freedom*/
-    private double denominatorDegreesOfFreedom;
-    
-    /**
-     * Create a F distribution using the given degrees of freedom.
-     * @param numeratorDegreesOfFreedom the numerator degrees of freedom.
-     * @param denominatorDegreesOfFreedom the denominator degrees of freedom.
-     */
-    public FDistributionImpl(double numeratorDegreesOfFreedom,
-            double denominatorDegreesOfFreedom) {
-        super();
-        setNumeratorDegreesOfFreedom(numeratorDegreesOfFreedom);
-        setDenominatorDegreesOfFreedom(denominatorDegreesOfFreedom);
-    }
-    
-    /**
-     * For this distribution, X, this method returns P(X < x).
-     * 
-     * The implementation of this method is based on:
-     * <ul>
-     * <li>
-     * <a href="http://mathworld.wolfram.com/F-Distribution.html">
-     * F-Distribution</a>, equation (4).</li>
-     * </ul>
-     * 
-     * @param x the value at which the CDF is evaluated.
-     * @return CDF for this distribution. 
-     * @throws MathException if the cumulative probability can not be
-     *            computed due to convergence or other numerical errors.
-     */
-    public double cumulativeProbability(double x) throws MathException {
-        double ret;
-        if (x <= 0.0) {
-            ret = 0.0;
-        } else {
-            double n = getNumeratorDegreesOfFreedom();
-            double m = getDenominatorDegreesOfFreedom();
-            
-            ret = Beta.regularizedBeta((n * x) / (m + n * x),
-                0.5 * n,
-                0.5 * m);
-        }
-        return ret;
-    }
-    
-    /**
-     * For this distribution, X, this method returns the critical point x, such
-     * that P(X &lt; x) = <code>p</code>.
-     * <p>
-     * Returns 0 for p=0 and <code>Double.POSITIVE_INFINITY</code> for p=1.</p>
-     *
-     * @param p the desired probability
-     * @return x, such that P(X &lt; x) = <code>p</code>
-     * @throws MathException if the inverse cumulative probability can not be
-     *         computed due to convergence or other numerical errors.
-     * @throws IllegalArgumentException if <code>p</code> is not a valid
-     *         probability.
-     */
-    public double inverseCumulativeProbability(final double p) 
-        throws MathException {
-        if (p == 0) {
-            return 0d;
-        }
-        if (p == 1) {
-            return Double.POSITIVE_INFINITY;
-        }
-        return super.inverseCumulativeProbability(p);
-    }
-        
-    /**
-     * Access the domain value lower bound, based on <code>p</code>, used to
-     * bracket a CDF root.  This method is used by
-     * {@link #inverseCumulativeProbability(double)} to find critical values.
-     * 
-     * @param p the desired probability for the critical value
-     * @return domain value lower bound, i.e.
-     *         P(X &lt; <i>lower bound</i>) &lt; <code>p</code>

-     */
-    protected double getDomainLowerBound(double p) {
-        return 0.0;
-    }
-
-    /**
-     * Access the domain value upper bound, based on <code>p</code>, used to
-     * bracket a CDF root.  This method is used by
-     * {@link #inverseCumulativeProbability(double)} to find critical values.
-     * 
-     * @param p the desired probability for the critical value
-     * @return domain value upper bound, i.e.
-     *         P(X &lt; <i>upper bound</i>) &gt; <code>p</code>

-     */
-    protected double getDomainUpperBound(double p) {
-        return Double.MAX_VALUE;
-    }
-
-    /**
-     * Access the initial domain value, based on <code>p</code>, used to
-     * bracket a CDF root.  This method is used by
-     * {@link #inverseCumulativeProbability(double)} to find critical values.
-     * 
-     * @param p the desired probability for the critical value
-     * @return initial domain value
-     */
-    protected double getInitialDomain(double p) {
-        return getDenominatorDegreesOfFreedom() /
-            (getDenominatorDegreesOfFreedom() - 2.0);
-    }
-    
-    /**
-     * Modify the numerator degrees of freedom.
-     * @param degreesOfFreedom the new numerator degrees of freedom.
-     * @throws IllegalArgumentException if <code>degreesOfFreedom</code> is not
-     *         positive.
-     */
-    public void setNumeratorDegreesOfFreedom(double degreesOfFreedom) {
-        if (degreesOfFreedom <= 0.0) {
-            throw new IllegalArgumentException(
-                "degrees of freedom must be positive.");
-        }
-        this.numeratorDegreesOfFreedom = degreesOfFreedom;
-    }
-    
-    /**
-     * Access the numerator degrees of freedom.
-     * @return the numerator degrees of freedom.
-     */
-    public double getNumeratorDegreesOfFreedom() {
-        return numeratorDegreesOfFreedom;
-    }
-    
-    /**
-     * Modify the denominator degrees of freedom.
-     * @param degreesOfFreedom the new denominator degrees of freedom.
-     * @throws IllegalArgumentException if <code>degreesOfFreedom</code> is not
-     *         positive.
-     */
-    public void setDenominatorDegreesOfFreedom(double degreesOfFreedom) {
-        if (degreesOfFreedom <= 0.0) {
-            throw new IllegalArgumentException(
-                "degrees of freedom must be positive.");
-        }
-        this.denominatorDegreesOfFreedom = degreesOfFreedom;
-    }
-    
-    /**
-     * Access the denominator degrees of freedom.
-     * @return the denominator degrees of freedom.
-     */
-    public double getDenominatorDegreesOfFreedom() {
-        return denominatorDegreesOfFreedom;
-    }
+public class FDistributionImpl extends AbstractContinuousDistribution implements
+		FDistribution, Serializable {
+
+	/** Serializable version identifier */
+	private static final long serialVersionUID = -8516354193418641566L;
+
+	/** The numerator degrees of freedom */
+	private double numeratorDegreesOfFreedom;
+
+	/** The numerator degrees of freedom */
+	private double denominatorDegreesOfFreedom;
+
+	/**
+	 * Create a F distribution using the given degrees of freedom.
+	 * 
+	 * @param numeratorDegreesOfFreedom
+	 *            the numerator degrees of freedom.
+	 * @param denominatorDegreesOfFreedom
+	 *            the denominator degrees of freedom.
+	 */
+	public FDistributionImpl(double numeratorDegreesOfFreedom,
+			double denominatorDegreesOfFreedom) {
+		super();
+		setNumeratorDegreesOfFreedom(numeratorDegreesOfFreedom);
+		setDenominatorDegreesOfFreedom(denominatorDegreesOfFreedom);
+	}
+
+	/**
+	 * For this distribution, X, this method returns P(X &lt; x).
+	 * 
+	 * The implementation of this method is based on:
+	 * <ul>
+	 * <li>
+	 * <a href="http://mathworld.wolfram.com/F-Distribution.html">
+	 * F-Distribution</a>, equation (4).</li>
+	 * </ul>
+	 * 
+	 * @param x
+	 *            the value at which the CDF is evaluated.
+	 * @return CDF for this distribution.
+	 * @throws MathException
+	 *             if the cumulative probability can not be computed due to
+	 *             convergence or other numerical errors.
+	 */
+	public double cumulativeProbability(double x) throws MathException {
+		double ret;
+		if (x <= 0.0) {
+			ret = 0.0;
+		} else {
+			double n = getNumeratorDegreesOfFreedom();
+			double m = getDenominatorDegreesOfFreedom();
+
+			ret = Beta.regularizedBeta((n * x) / (m + n * x), 0.5 * n, 0.5 * m);
+		}
+		return ret;
+	}
+
+	/**
+	 * For this distribution, X, this method returns the critical point x, such
+	 * that P(X &lt; x) = <code>p</code>.
+	 * <p>
+	 * Returns 0 for p=0 and <code>Double.POSITIVE_INFINITY</code> for p=1.
+	 * </p>
+	 * 
+	 * @param p
+	 *            the desired probability
+	 * @return x, such that P(X &lt; x) = <code>p</code>
+	 * @throws MathException
+	 *             if the inverse cumulative probability can not be computed due
+	 *             to convergence or other numerical errors.
+	 * @throws IllegalArgumentException
+	 *             if <code>p</code> is not a valid probability.
+	 */
+	public double inverseCumulativeProbability(final double p)
+			throws MathException {
+		if (p == 0) {
+			return 0d;
+		}
+		if (p == 1) {
+			return Double.POSITIVE_INFINITY;
+		}
+		return super.inverseCumulativeProbability(p);
+	}
+
+	/**
+	 * Access the domain value lower bound, based on <code>p</code>, used to
+	 * bracket a CDF root. This method is used by
+	 * {@link #inverseCumulativeProbability(double)} to find critical values.
+	 * 
+	 * @param p
+	 *            the desired probability for the critical value
+	 * @return domain value lower bound, i.e. P(X &lt; <i>lower bound</i>) &lt;
+	 *         <code>p</code>
+	 */
+	protected double getDomainLowerBound(double p) {
+		return 0.0;
+	}
+
+	/**
+	 * Access the domain value upper bound, based on <code>p</code>, used to
+	 * bracket a CDF root. This method is used by
+	 * {@link #inverseCumulativeProbability(double)} to find critical values.
+	 * 
+	 * @param p
+	 *            the desired probability for the critical value
+	 * @return domain value upper bound, i.e. P(X &lt; <i>upper bound</i>) &gt;
+	 *         <code>p</code>
+	 */
+	protected double getDomainUpperBound(double p) {
+		return Double.MAX_VALUE;
+	}
+
+	/**
+	 * Access the initial domain value, based on <code>p</code>, used to bracket
+	 * a CDF root. This method is used by
+	 * {@link #inverseCumulativeProbability(double)} to find critical values.
+	 * 
+	 * @param p
+	 *            the desired probability for the critical value
+	 * @return initial domain value
+	 */
+	protected double getInitialDomain(double p) {
+		double ret = 1.0;
+		double d = getDenominatorDegreesOfFreedom();
+		if (d > 2.0) {
+			// use mean
+			ret = d / (d - 2.0);
+		}
+		return ret;
+	}
+
+	/**
+	 * Modify the numerator degrees of freedom.
+	 * 
+	 * @param degreesOfFreedom
+	 *            the new numerator degrees of freedom.
+	 * @throws IllegalArgumentException
+	 *             if <code>degreesOfFreedom</code> is not positive.
+	 */
+	public void setNumeratorDegreesOfFreedom(double degreesOfFreedom) {
+		if (degreesOfFreedom <= 0.0) {
+			throw new IllegalArgumentException(
+					"degrees of freedom must be positive.");
+		}
+		this.numeratorDegreesOfFreedom = degreesOfFreedom;
+	}
+
+	/**
+	 * Access the numerator degrees of freedom.
+	 * 
+	 * @return the numerator degrees of freedom.
+	 */
+	public double getNumeratorDegreesOfFreedom() {
+		return numeratorDegreesOfFreedom;
+	}
+
+	/**
+	 * Modify the denominator degrees of freedom.
+	 * 
+	 * @param degreesOfFreedom
+	 *            the new denominator degrees of freedom.
+	 * @throws IllegalArgumentException
+	 *             if <code>degreesOfFreedom</code> is not positive.
+	 */
+	public void setDenominatorDegreesOfFreedom(double degreesOfFreedom) {
+		if (degreesOfFreedom <= 0.0) {
+			throw new IllegalArgumentException(
+					"degrees of freedom must be positive.");
+		}
+		this.denominatorDegreesOfFreedom = degreesOfFreedom;
+	}
+
+	/**
+	 * Access the denominator degrees of freedom.
+	 * 
+	 * @return the denominator degrees of freedom.
+	 */
+	public double getDenominatorDegreesOfFreedom() {
+		return denominatorDegreesOfFreedom;
+	}
 }

Modified: commons/proper/math/trunk/src/site/xdoc/changes.xml
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/site/xdoc/changes.xml?rev=699157&r1=699156&r2=699157&view=diff
==============================================================================
--- commons/proper/math/trunk/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/trunk/src/site/xdoc/changes.xml Thu Sep 25 20:09:53 2008
@@ -65,6 +65,9 @@
       <action dev="brentworden" type="fix" issue="MATH-204" due-to="Mick">
         Added root checks for the endpoints.
       </action>
+      <action dev="brentworden" type="fix" issue="MATH-227" due-to="Joerg Henning">
+        Fixed F distribution inverse CDF computation for small denominator degrees of freedom.
+      </action>
     </release>
     <release version="1.2" date="2008-02-24"
     description="This release combines bug fixes and new features. Most notable

Modified: commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/FDistributionTest.java
URL: http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/FDistributionTest.java?rev=699157&r1=699156&r2=699157&view=diff
==============================================================================
--- commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/FDistributionTest.java
(original)
+++ commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/FDistributionTest.java
Thu Sep 25 20:09:53 2008
@@ -105,4 +105,18 @@
         double x = fd.inverseCumulativeProbability(p);
         assertEquals(.999, x, 1.0e-5);
     }
+
+    public void testSmallDegreesOfFreedom() throws Exception {
+        org.apache.commons.math.distribution.FDistributionImpl fd =
+            new org.apache.commons.math.distribution.FDistributionImpl(
+                1.0, 1.0);
+        double p = fd.cumulativeProbability(0.975);
+        double x = fd.inverseCumulativeProbability(p);
+        assertEquals(0.975, x, 1.0e-5);
+
+        fd.setDenominatorDegreesOfFreedom(2.0);
+        p = fd.cumulativeProbability(0.975);
+        x = fd.inverseCumulativeProbability(p);
+        assertEquals(0.975, x, 1.0e-5);
+    }
 }



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