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Posted to commits@commons.apache.org by er...@apache.org on 2019/06/09 08:01:37 UTC
[commons-statistics] branch master updated: "BrentSolver" is moved
to "Commons Numbers".
This is an automated email from the ASF dual-hosted git repository.
erans pushed a commit to branch master
in repository https://gitbox.apache.org/repos/asf/commons-statistics.git
The following commit(s) were added to refs/heads/master by this push:
new dce8454 "BrentSolver" is moved to "Commons Numbers".
dce8454 is described below
commit dce8454a29b6fcee7232286518f5c1564eb90929
Author: Gilles Sadowski <gi...@harfang.homelinux.org>
AuthorDate: Sun Jun 9 09:59:20 2019 +0200
"BrentSolver" is moved to "Commons Numbers".
Cf. JIRA: NUMBERS-112.
---
commons-statistics-distribution/pom.xml | 5 +
.../AbstractContinuousDistribution.java | 215 +--------------------
.../distribution/DistributionException.java | 2 -
pom.xml | 5 +
4 files changed, 15 insertions(+), 212 deletions(-)
diff --git a/commons-statistics-distribution/pom.xml b/commons-statistics-distribution/pom.xml
index bc9e3d9..a89b6a9 100644
--- a/commons-statistics-distribution/pom.xml
+++ b/commons-statistics-distribution/pom.xml
@@ -71,6 +71,11 @@
<dependency>
<groupId>org.apache.commons</groupId>
+ <artifactId>commons-numbers-rootfinder</artifactId>
+ </dependency>
+
+ <dependency>
+ <groupId>org.apache.commons</groupId>
<artifactId>commons-rng-simple</artifactId>
<scope>test</scope>
</dependency>
diff --git a/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/AbstractContinuousDistribution.java b/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/AbstractContinuousDistribution.java
index cdbe670..9057cbf 100644
--- a/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/AbstractContinuousDistribution.java
+++ b/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/AbstractContinuousDistribution.java
@@ -16,8 +16,7 @@
*/
package org.apache.commons.statistics.distribution;
-import java.util.function.DoubleUnaryOperator;
-import org.apache.commons.numbers.core.Precision;
+import org.apache.commons.numbers.rootfinder.BrentSolver;
import org.apache.commons.rng.UniformRandomProvider;
import org.apache.commons.rng.sampling.distribution.InverseTransformContinuousSampler;
@@ -128,10 +127,10 @@ abstract class AbstractContinuousDistribution
final double x = new BrentSolver(SOLVER_RELATIVE_ACCURACY,
SOLVER_ABSOLUTE_ACCURACY,
SOLVER_FUNCTION_VALUE_ACCURACY)
- .solve(arg -> cumulativeProbability(arg) - p,
- lowerBound,
- 0.5 * (lowerBound + upperBound),
- upperBound);
+ .findRoot(arg -> cumulativeProbability(arg) - p,
+ lowerBound,
+ 0.5 * (lowerBound + upperBound),
+ upperBound);
if (!isSupportConnected()) {
/* Test for plateau. */
@@ -178,208 +177,4 @@ abstract class AbstractContinuousDistribution
// Inversion method distribution sampler.
return new InverseTransformContinuousSampler(rng, this::inverseCumulativeProbability)::sample;
}
-
- /**
- * This class implements the <a href="http://mathworld.wolfram.com/BrentsMethod.html">
- * Brent algorithm</a> for finding zeros of real univariate functions.
- * The function should be continuous but not necessarily smooth.
- * The {@code solve} method returns a zero {@code x} of the function {@code f}
- * in the given interval {@code [a, b]} to within a tolerance
- * {@code 2 eps abs(x) + t} where {@code eps} is the relative accuracy and
- * {@code t} is the absolute accuracy.
- * <p>The given interval must bracket the root.</p>
- * <p>
- * The reference implementation is given in chapter 4 of
- * <blockquote>
- * <b>Algorithms for Minimization Without Derivatives</b>,
- * <em>Richard P. Brent</em>,
- * Dover, 2002
- * </blockquote>
- *
- * Used by {@link AbstractContinuousDistribution#inverseCumulativeProbability(double)}.
- */
- private static class BrentSolver {
- /** Relative accuracy. */
- private final double relativeAccuracy;
- /** Absolutee accuracy. */
- private final double absoluteAccuracy;
- /** Function accuracy. */
- private final double functionValueAccuracy;
-
- /**
- * Construct a solver.
- *
- * @param relativeAccuracy Relative accuracy.
- * @param absoluteAccuracy Absolute accuracy.
- * @param functionValueAccuracy Function value accuracy.
- */
- BrentSolver(double relativeAccuracy,
- double absoluteAccuracy,
- double functionValueAccuracy) {
- this.relativeAccuracy = relativeAccuracy;
- this.absoluteAccuracy = absoluteAccuracy;
- this.functionValueAccuracy = functionValueAccuracy;
- }
-
- /**
- * @param func Function to solve.
- * @param min Lower bound.
- * @param initial Initial guess.
- * @param max Upper bound.
- * @return the root.
- */
- double solve(DoubleUnaryOperator func,
- double min,
- double initial,
- double max) {
- if (min > max) {
- throw new DistributionException(DistributionException.TOO_LARGE, min, max);
- }
- if (initial < min ||
- initial > max) {
- throw new DistributionException(DistributionException.OUT_OF_RANGE, initial, min, max);
- }
-
- // Return the initial guess if it is good enough.
- final double yInitial = func.applyAsDouble(initial);
- if (Math.abs(yInitial) <= functionValueAccuracy) {
- return initial;
- }
-
- // Return the first endpoint if it is good enough.
- final double yMin = func.applyAsDouble(min);
- if (Math.abs(yMin) <= functionValueAccuracy) {
- return min;
- }
-
- // Reduce interval if min and initial bracket the root.
- if (yInitial * yMin < 0) {
- return brent(func, min, initial, yMin, yInitial);
- }
-
- // Return the second endpoint if it is good enough.
- final double yMax = func.applyAsDouble(max);
- if (Math.abs(yMax) <= functionValueAccuracy) {
- return max;
- }
-
- // Reduce interval if initial and max bracket the root.
- if (yInitial * yMax < 0) {
- return brent(func, initial, max, yInitial, yMax);
- }
-
- throw new DistributionException(DistributionException.BRACKETING, min, yMin, max, yMax);
- }
-
- /**
- * Search for a zero inside the provided interval.
- * This implementation is based on the algorithm described at page 58 of
- * the book
- * <blockquote>
- * <b>Algorithms for Minimization Without Derivatives</b>,
- * <i>Richard P. Brent</i>,
- * Dover 0-486-41998-3
- * </blockquote>
- *
- * @param func Function to solve.
- * @param lo Lower bound of the search interval.
- * @param hi Higher bound of the search interval.
- * @param fLo Function value at the lower bound of the search interval.
- * @param fHi Function value at the higher bound of the search interval.
- * @return the value where the function is zero.
- */
- private double brent(DoubleUnaryOperator func,
- double lo, double hi,
- double fLo, double fHi) {
- double a = lo;
- double fa = fLo;
- double b = hi;
- double fb = fHi;
- double c = a;
- double fc = fa;
- double d = b - a;
- double e = d;
-
- final double t = absoluteAccuracy;
- final double eps = relativeAccuracy;
-
- while (true) {
- if (Math.abs(fc) < Math.abs(fb)) {
- a = b;
- b = c;
- c = a;
- fa = fb;
- fb = fc;
- fc = fa;
- }
-
- final double tol = 2 * eps * Math.abs(b) + t;
- final double m = 0.5 * (c - b);
-
- if (Math.abs(m) <= tol ||
- Precision.equals(fb, 0)) {
- return b;
- }
- if (Math.abs(e) < tol ||
- Math.abs(fa) <= Math.abs(fb)) {
- // Force bisection.
- d = m;
- e = d;
- } else {
- double s = fb / fa;
- double p;
- double q;
- // The equality test (a == c) is intentional,
- // it is part of the original Brent's method and
- // it should NOT be replaced by proximity test.
- if (a == c) {
- // Linear interpolation.
- p = 2 * m * s;
- q = 1 - s;
- } else {
- // Inverse quadratic interpolation.
- q = fa / fc;
- final double r = fb / fc;
- p = s * (2 * m * q * (q - r) - (b - a) * (r - 1));
- q = (q - 1) * (r - 1) * (s - 1);
- }
- if (p > 0) {
- q = -q;
- } else {
- p = -p;
- }
- s = e;
- e = d;
- if (p >= 1.5 * m * q - Math.abs(tol * q) ||
- p >= Math.abs(0.5 * s * q)) {
- // Inverse quadratic interpolation gives a value
- // in the wrong direction, or progress is slow.
- // Fall back to bisection.
- d = m;
- e = d;
- } else {
- d = p / q;
- }
- }
- a = b;
- fa = fb;
-
- if (Math.abs(d) > tol) {
- b += d;
- } else if (m > 0) {
- b += tol;
- } else {
- b -= tol;
- }
- fb = func.applyAsDouble(b);
- if ((fb > 0 && fc > 0) ||
- (fb <= 0 && fc <= 0)) {
- c = a;
- fc = fa;
- d = b - a;
- e = d;
- }
- }
- }
- }
}
diff --git a/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/DistributionException.java b/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/DistributionException.java
index 86c98f5..4d6d9c5 100644
--- a/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/DistributionException.java
+++ b/commons-statistics-distribution/src/main/java/org/apache/commons/statistics/distribution/DistributionException.java
@@ -32,8 +32,6 @@ class DistributionException extends IllegalArgumentException {
static final String NEGATIVE = "Number {0} is negative";
/** Error message for "mismatch" condition. */
static final String MISMATCH = "Expected {1} but was {0}";
- /** Error message for "failed bracketing" condition. */
- static final String BRACKETING = "No bracketing: f({0})={1}, f({2})={3}";
/** Serializable version identifier. */
private static final long serialVersionUID = 20180119L;
diff --git a/pom.xml b/pom.xml
index 1d0bd58..baf9e41 100644
--- a/pom.xml
+++ b/pom.xml
@@ -161,6 +161,11 @@
</dependency>
<dependency>
<groupId>org.apache.commons</groupId>
+ <artifactId>commons-numbers-rootfinder</artifactId>
+ <version>${statistics.commons.numbers.version}</version>
+ </dependency>
+ <dependency>
+ <groupId>org.apache.commons</groupId>
<artifactId>commons-math3</artifactId>
<version>${statistics.commons.math3.version}</version>
</dependency>