Copyright | (c) 2009 2011 2012 Bryan O'Sullivan |
---|---|
License | BSD3 |
Maintainer | bos@serpentine.com |
Stability | experimental |
Portability | portable |
Safe Haskell | Safe-Inferred |
Language | Haskell2010 |
Special functions and factorials.
Synopsis
- erf :: Double -> Double
- erfc :: Double -> Double
- invErf :: Double -> Double
- invErfc :: Double -> Double
- logGamma :: Double -> Double
- logGammaL :: Double -> Double
- incompleteGamma :: Double -> Double -> Double
- invIncompleteGamma :: Double -> Double -> Double
- digamma :: Double -> Double
- logBeta :: Double -> Double -> Double
- incompleteBeta :: Double -> Double -> Double -> Double
- incompleteBeta_ :: Double -> Double -> Double -> Double -> Double
- invIncompleteBeta :: Double -> Double -> Double -> Double
- sinc :: Double -> Double
- log1p :: Floating a => a -> a
- log1pmx :: Double -> Double
- log2 :: Int -> Int
- expm1 :: Floating a => a -> a
- factorial :: Int -> Double
- logFactorial :: Integral a => a -> Double
- stirlingError :: Double -> Double
- choose :: Int -> Int -> Double
- logChoose :: Int -> Int -> Double
Error function
erf :: Double -> Double Source #
Error function.
\[ \operatorname{erf}(x) = \frac{2}{\sqrt{\pi}} \int_{0}^{x} \exp(-t^2) dt \]
Function limits are:
\[ \begin{aligned} &\operatorname{erf}(-\infty) &=& -1 \\ &\operatorname{erf}(0) &=& \phantom{-}\,0 \\ &\operatorname{erf}(+\infty) &=& \phantom{-}\,1 \\ \end{aligned} \]
erfc :: Double -> Double Source #
Complementary error function.
\[ \operatorname{erfc}(x) = 1 - \operatorname{erf}(x) \]
Function limits are:
\[ \begin{aligned} &\operatorname{erf}(-\infty) &=&\, 2 \\ &\operatorname{erf}(0) &=&\, 1 \\ &\operatorname{erf}(+\infty) &=&\, 0 \\ \end{aligned} \]
Gamma function
logGamma :: Double -> Double Source #
Compute the logarithm of the gamma function, Γ(x).
\[ \Gamma(x) = \int_0^{\infty}t^{x-1}e^{-t}\,dt = (x - 1)! \]
This implementation uses Lanczos approximation. It gives 14 or more significant decimal digits, except around x = 1 and x = 2, where the function goes to zero.
Returns ∞ if the input is outside of the range (0 < x ≤ 1e305).
logGammaL :: Double -> Double Source #
Deprecated: Use logGamma instead
Synonym for logGamma
. Retained for compatibility
Compute the normalized lower incomplete gamma function γ(z,x). Normalization means that γ(z,∞)=1
\[ \gamma(z,x) = \frac{1}{\Gamma(z)}\int_0^{x}t^{z-1}e^{-t}\,dt \]
Uses Algorithm AS 239 by Shea.
Inverse incomplete gamma function. It's approximately inverse of
incompleteGamma
for the same z. So following equality
approximately holds:
invIncompleteGamma z . incompleteGamma z ≈ id
digamma :: Double -> Double Source #
Compute ψ(x), the first logarithmic derivative of the gamma function.
\[ \psi(x) = \frac{d}{dx} \ln \left(\Gamma(x)\right) = \frac{\Gamma'(x)}{\Gamma(x)} \]
Uses Algorithm AS 103 by Bernardo, based on Minka's C implementation.
Beta function
Compute the natural logarithm of the beta function.
\[ B(a,b) = \int_0^1 t^{a-1}(1-t)^{b-1}\,dt = \frac{\Gamma(a)\Gamma(b)}{\Gamma(a+b)} \]
Regularized incomplete beta function.
\[ I(x;a,b) = \frac{1}{B(a,b)} \int_0^x t^{a-1}(1-t)^{b-1}\,dt \]
Uses algorithm AS63 by Majumder and Bhattachrjee and quadrature approximation for large p and q.
:: Double | logarithm of beta function for given p and q |
-> Double | a > 0 |
-> Double | b > 0 |
-> Double | x, must lie in [0,1] range |
-> Double |
Regularized incomplete beta function. Same as incompleteBeta
but also takes logarithm of beta function as parameter.
Compute inverse of regularized incomplete beta function. Uses initial approximation from AS109, AS64 and Halley method to solve equation.
Sinc
Logarithm
Base starting from 4.9.0
(GHC 8.0) provides log1p
and expm1
as method of class Floating
. In this case we simply reexport
these function. Otherwise we provide our own with more restrictive
signature Double → Double
.
Exponent
Factorial
factorial :: Int -> Double Source #
Compute the factorial function n!. Returns +∞ if the input is
above 170 (above which the result cannot be represented by a
64-bit Double
).
logFactorial :: Integral a => a -> Double Source #
Compute the natural logarithm of the factorial function. Gives 16 decimal digits of precision.
stirlingError :: Double -> Double Source #
Calculate the error term of the Stirling approximation. This is only defined for non-negative values.
\[ \operatorname{stirlingError}(n) = \log(n!) - \log(\sqrt{2\pi n}\frac{n}{e}^n) \]
Combinatorics
choose :: Int -> Int -> Double Source #
Compute the binomial coefficient n `
k. For
values of k > 50, this uses an approximation for performance
reasons. The approximation is accurate to 12 decimal places in the
worst casechoose
`
Example:
7 `choose` 3 == 35
References
- Bernardo, J. (1976) Algorithm AS 103: Psi (digamma) function. /Journal of the Royal Statistical Society. Series C (Applied Statistics)/ 25(3):315-317. http://www.jstor.org/stable/2347257
- Cran, G.W., Martin, K.J., Thomas, G.E. (1977) Remark AS R19 and Algorithm AS 109: A Remark on Algorithms: AS 63: The Incomplete Beta Integral AS 64: Inverse of the Incomplete Beta Function Ratio. /Journal of the Royal Statistical Society. Series C (Applied Statistics)/ Vol. 26, No. 1 (1977), pp. 111-114 http://www.jstor.org/pss/2346887
- Lanczos, C. (1964) A precision approximation of the gamma function. SIAM Journal on Numerical Analysis B 1:86–96. http://www.jstor.org/stable/2949767
- Loader, C. (2000) Fast and Accurate Computation of Binomial Probabilities. http://projects.scipy.org/scipy/raw-attachment/ticket/620/loader2000Fast.pdf
- Macleod, A.J. (1989) Algorithm AS 245: A robust and reliable algorithm for the logarithm of the gamma function. Journal of the Royal Statistical Society, Series C (Applied Statistics) 38(2):397–402. http://www.jstor.org/stable/2348078
- Majumder, K.L., Bhattacharjee, G.P. (1973) Algorithm AS 63: The Incomplete Beta Integral. /Journal of the Royal Statistical Society. Series C (Applied Statistics)/ Vol. 22, No. 3 (1973), pp. 409-411. http://www.jstor.org/pss/2346797
- Majumder, K.L., Bhattacharjee, G.P. (1973) Algorithm AS 64: Inverse of the Incomplete Beta Function Ratio. /Journal of the Royal Statistical Society. Series C (Applied Statistics)/ Vol. 22, No. 3 (1973), pp. 411-414 http://www.jstor.org/pss/2346798
- Temme, N.M. (1992) Asymptotic inversion of the incomplete beta function. /Journal of Computational and Applied Mathematics 41(1992) 145-157.
- Temme, N.M. (1994) A set of algorithms for the incomplete gamma functions. /Probability in the Engineering and Informational Sciences/, 8, 1994, 291-307. Printed in the U.S.A.