diff options
author | Peter Palfrader <peter@palfrader.org> | 2003-06-06 11:27:59 +0000 |
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committer | Peter Palfrader <peter@palfrader.org> | 2003-06-06 11:27:59 +0000 |
commit | ec8e6ce0a114a35f13c019b4fcc6a22d5b429a95 (patch) | |
tree | 49ad0f257d58d4b75a0f3c25a7b6612538fb5dd0 /lib/Math | |
parent | ef0f8116e7f1039887ac185c79254f374ce51371 (diff) |
We no longer assume a normal distribution of latencies but instead use
percentiles when calculating a life probability of an outstanding ping. Also
we do not show the mean of latency but the median as this seems to be 'more
correct'.
This also means we no longer need the normal distribution libraries from lib/
Diffstat (limited to 'lib/Math')
-rw-r--r-- | lib/Math/SpecFun/Erf.pm | 565 |
1 files changed, 0 insertions, 565 deletions
diff --git a/lib/Math/SpecFun/Erf.pm b/lib/Math/SpecFun/Erf.pm deleted file mode 100644 index c913792..0000000 --- a/lib/Math/SpecFun/Erf.pm +++ /dev/null @@ -1,565 +0,0 @@ -# -# Author: Peter J. Acklam -# Time-stamp: 2000-11-29 23:04:53 -# E-mail: pjacklam@online.no -# URL: http://home.online.no/~pjacklam - -=head1 NAME - -Math::SpecFun::Erf - error and scaled and unscaled complementary error -functions and their inverses - -=head1 SYNOPSIS - - use Math::SpecFun::Erf qw(erf erfc erfcx erfinv erfcinv erfcxinv); - -Imports all the routines explicitly. Use a subset of the list for the -routines you want. - - use Math::SpecFun::Erf qw(:all); - -Imports all the routines, as well. - -=head1 DESCRIPTION - -This module implements the error function, C<erf>, and its inverse -C<erfinv>, the complementary error function, C<erfc>, and its inverse -C<erfcinv>, and the scaled complementary error function, C<erfcx>, and its -inverse C<erfcxinv>. - -For references and details about the algorithms, see the comments inside -this module. - -=head1 FUNCTIONS - -=over 8 - -=item erf EXPR - -=item erf - -Returns the error function evaluated at EXPR. If EXPR is omitted, C<$_> is -used. The error function is - - erf(x) = 2/sqrt(PI) * integral from 0 to x of exp(-t*t) dt - -=item erfinv EXPR - -=item erfinv - -Returns the inverse of the error function evaluated at EXPR. If EXPR is -omitted, C<$_> is used. - -=item erfc EXPR - -=item erfc - -Returns the complementary error function evaluated at EXPR. If EXPR is -omitted, C<$_> is used. The complementary error function is - - erfc(x) = 2/sqrt(PI) * integral from x to infinity of exp(-t*t) dt - = 1 - erf(x) - -Here is a function returning the lower tail probability of the standard -normal distribution function - - use Math::SpecFun::Erf qw(erfc); - - sub ltpnorm ($) { - erfc( - $_[0] / sqrt(2) )/2; - } - -=item erfcinv EXPR - -=item erfcinv - -Returns the inverse complementary error function evaluated at EXPR. If EXPR -is omitted, C<$_> is used. - -Here is a function returning the lower tail quantile of the standard normal -distribution function - - use Math::SpecFun::Erf qw(erfcinv); - - sub ltqnorm ($) { - -sqrt(2) * erfcinv( 2 * $_[0] ); - } - -=item erfcx EXPR - -=item erfcx - -Returns the scaled complementary error function evaluated at EXPR. If EXPR -is omitted, C<$_> is used. The scaled complementary error function is - - erfcx(x) = exp(x*x) * erfc(x) - -=item erfcxinv EXPR - -=item erfcxinv - -Returns the inverse scaled complementary error function evaluated at EXPR. -If EXPR is omitted, C<$_> is used. - -=back - -=head1 HISTORY - -=over 4 - -=item Version 0.03 - -Added the inverse functions. - -=item Version 0.02 - -Minor code tweaking. - -=item Version 0.01 - -First release. - -=back - -=head1 AUTHOR - -Perl translation by Peter J. Acklam E<lt>pjacklam@online.noE<gt> - -FORTRAN code by W. J. Cody, Argonne National Laboratory, March 19, 1990. -FORTRAN code can be found at http://www.netlib.org/specfun/erf - -=head1 COPYRIGHT - -Copyright (c) 1999-2000 Peter J. Acklam. All rights reserved. -This program is free software; you can redistribute it and/or -modify it under the same terms as Perl itself. - -=cut - -package Math::SpecFun::Erf; -require 5.000; -require Exporter; - -use strict; -use vars qw($VERSION @ISA @EXPORT_OK %EXPORT_TAGS); - -$VERSION = '0.02'; -@ISA = qw(Exporter); -@EXPORT_OK = qw(erf erfc erfcx erfinv erfcinv erfcxinv); -%EXPORT_TAGS = ( all => [ @EXPORT_OK ] ); - -######################################################################## -## Internal functions. -######################################################################## - -sub calerf { - my ($arg, $result, $jint) = @_; - local $[ = 1; -#------------------------------------------------------------------ -# -# This packet evaluates erf(x), erfc(x), and exp(x*x)*erfc(x) -# for a real argument x. It contains three FUNCTION type -# subprograms: ERF, ERFC, and ERFCX (or DERF, DERFC, and DERFCX), -# and one SUBROUTINE type subprogram, CALERF. The calling -# statements for the primary entries are: -# -# Y=ERF(X) (or Y=DERF(X)), -# -# Y=ERFC(X) (or Y=DERFC(X)), -# and -# Y=ERFCX(X) (or Y=DERFCX(X)). -# -# The routine CALERF is intended for internal packet use only, -# all computations within the packet being concentrated in this -# routine. The function subprograms invoke CALERF with the -# statement -# -# CALL CALERF(ARG,RESULT,JINT) -# -# where the parameter usage is as follows -# -# Function Parameters for CALERF -# call ARG Result JINT -# -# ERF(ARG) ANY REAL ARGUMENT ERF(ARG) 0 -# ERFC(ARG) ABS(ARG) < XBIG ERFC(ARG) 1 -# ERFCX(ARG) XNEG < ARG < XMAX ERFCX(ARG) 2 -# -# The main computation evaluates near-minimax approximations -# from "Rational Chebyshev approximations for the error function" -# by W. J. Cody, Math. Comp., 1969, PP. 631-638. This -# transportable program uses rational functions that theoretically -# approximate erf(x) and erfc(x) to at least 18 significant -# decimal digits. The accuracy achieved depends on the arithmetic -# system, the compiler, the intrinsic functions, and proper -# selection of the machine-dependent constants. -# -#******************************************************************* -#******************************************************************* -# -# Explanation of machine-dependent constants -# -# XMIN = the smallest positive floating-point number. -# XINF = the largest positive finite floating-point number. -# XNEG = the largest negative argument acceptable to ERFCX; -# the negative of the solution to the equation -# 2*exp(x*x) = XINF. -# XSMALL = argument below which erf(x) may be represented by -# 2*x/sqrt(pi) and above which x*x will not underflow. -# A conservative value is the largest machine number X -# such that 1.0 + X = 1.0 to machine precision. -# XBIG = largest argument acceptable to ERFC; solution to -# the equation: W(x) * (1-0.5/x**2) = XMIN, where -# W(x) = exp(-x*x)/[x*sqrt(pi)]. -# XHUGE = argument above which 1.0 - 1/(2*x*x) = 1.0 to -# machine precision. A conservative value is -# 1/[2*sqrt(XSMALL)] -# XMAX = largest acceptable argument to ERFCX; the minimum -# of XINF and 1/[sqrt(pi)*XMIN]. -# -# Approximate values for some important machines are: -# -# XMIN XINF XNEG XSMALL -# -# CDC 7600 (S.P.) 3.13E-294 1.26E+322 -27.220 7.11E-15 -# CRAY-1 (S.P.) 4.58E-2467 5.45E+2465 -75.345 7.11E-15 -# IEEE (IBM/XT, -# SUN, etc.) (S.P.) 1.18E-38 3.40E+38 -9.382 5.96E-8 -# IEEE (IBM/XT, -# SUN, etc.) (D.P.) 2.23D-308 1.79D+308 -26.628 1.11D-16 -# IBM 195 (D.P.) 5.40D-79 7.23E+75 -13.190 1.39D-17 -# UNIVAC 1108 (D.P.) 2.78D-309 8.98D+307 -26.615 1.73D-18 -# VAX D-Format (D.P.) 2.94D-39 1.70D+38 -9.345 1.39D-17 -# VAX G-Format (D.P.) 5.56D-309 8.98D+307 -26.615 1.11D-16 -# -# -# XBIG XHUGE XMAX -# -# CDC 7600 (S.P.) 25.922 8.39E+6 1.80X+293 -# CRAY-1 (S.P.) 75.326 8.39E+6 5.45E+2465 -# IEEE (IBM/XT, -# SUN, etc.) (S.P.) 9.194 2.90E+3 4.79E+37 -# IEEE (IBM/XT, -# SUN, etc.) (D.P.) 26.543 6.71D+7 2.53D+307 -# IBM 195 (D.P.) 13.306 1.90D+8 7.23E+75 -# UNIVAC 1108 (D.P.) 26.582 5.37D+8 8.98D+307 -# VAX D-Format (D.P.) 9.269 1.90D+8 1.70D+38 -# VAX G-Format (D.P.) 26.569 6.71D+7 8.98D+307 -# -#******************************************************************* -#******************************************************************* -# -# Error returns -# -# The program returns ERFC = 0 for ARG >= XBIG; -# -# ERFCX = XINF for ARG < XNEG; -# and -# ERFCX = 0 for ARG >= XMAX. -# -# -# Intrinsic functions required are: -# -# ABS, AINT, EXP -# -# -# Author: W. J. Cody -# Mathematics and Computer Science Division -# Argonne National Laboratory -# Argonne, IL 60439 -# -# Latest modification: March 19, 1990 -# -# Translation to Perl by Peter J. Acklam, December 3, 1999 -# -#------------------------------------------------------------------ - my ($i); - my ($x, $del, $xden, $xnum, $y, $ysq); -#------------------------------------------------------------------ -# Mathematical constants -#------------------------------------------------------------------ - my ($four, $one, $half, $two, $zero) = (4, 1, 0.5, 2, 0); - my $sqrpi = 5.6418958354775628695e-1; - my $thresh = 0.46875; - my $sixten = 16; -#------------------------------------------------------------------ -# Machine-dependent constants -#------------------------------------------------------------------ - my ($xinf, $xneg, $xsmall) = (1.79e308, -26.628, 1.11e-16); - my ($xbig, $xhuge, $xmax) = (26.543, 6.71e7, 2.53e307); -#------------------------------------------------------------------ -# Coefficients for approximation to erf in first interval -#------------------------------------------------------------------ - my @a = (3.16112374387056560e00, 1.13864154151050156e02, - 3.77485237685302021e02, 3.20937758913846947e03, - 1.85777706184603153e-1); - my @b = (2.36012909523441209e01, 2.44024637934444173e02, - 1.28261652607737228e03, 2.84423683343917062e03); -#------------------------------------------------------------------ -# Coefficients for approximation to erfc in second interval -#------------------------------------------------------------------ - my @c = (5.64188496988670089e-1, 8.88314979438837594e0, - 6.61191906371416295e01, 2.98635138197400131e02, - 8.81952221241769090e02, 1.71204761263407058e03, - 2.05107837782607147e03, 1.23033935479799725e03, - 2.15311535474403846e-8); - my @d = (1.57449261107098347e01, 1.17693950891312499e02, - 5.37181101862009858e02, 1.62138957456669019e03, - 3.29079923573345963e03, 4.36261909014324716e03, - 3.43936767414372164e03, 1.23033935480374942e03); -#------------------------------------------------------------------ -# Coefficients for approximation to erfc in third interval -#------------------------------------------------------------------ - my @p = (3.05326634961232344e-1, 3.60344899949804439e-1, - 1.25781726111229246e-1, 1.60837851487422766e-2, - 6.58749161529837803e-4, 1.63153871373020978e-2); - my @q = (2.56852019228982242e00, 1.87295284992346047e00, - 5.27905102951428412e-1, 6.05183413124413191e-2, - 2.33520497626869185e-3); -#------------------------------------------------------------------ - $x = $arg; - $y = abs($x); - if ($y <= $thresh) { -#------------------------------------------------------------------ -# Evaluate erf for |X| <= 0.46875 -#------------------------------------------------------------------ - $ysq = $zero; - if ($y > $xsmall) { $ysq = $y * $y } - $xnum = $a[5]*$ysq; - $xden = $ysq; - for (my $i = 1 ; $i <= 3 ; ++$i) { - $xnum = ($xnum + $a[$i]) * $ysq; - $xden = ($xden + $b[$i]) * $ysq; - } - $$result = $x * ($xnum + $a[4]) / ($xden + $b[4]); - if ($jint != 0) { $$result = $one - $$result } - if ($jint == 2) { $$result = exp($ysq) * $$result } - goto x800; -#------------------------------------------------------------------ -# Evaluate erfc for 0.46875 <= |X| <= 4.0 -#------------------------------------------------------------------ - } elsif ($y <= $four) { - $xnum = $c[9]*$y; - $xden = $y; - for (my $i = 1 ; $i <= 7 ; ++$i) { - $xnum = ($xnum + $c[$i]) * $y; - $xden = ($xden + $d[$i]) * $y; - } - $$result = ($xnum + $c[8]) / ($xden + $d[8]); - if ($jint != 2) { - $ysq = int($y*$sixten)/$sixten; - $del = ($y-$ysq)*($y+$ysq); - $$result = exp(-$ysq*$ysq) * exp(-$del) * $$result; - } -#------------------------------------------------------------------ -# Evaluate erfc for |X| > 4.0 -#------------------------------------------------------------------ - } else { - $$result = $zero; - if ($y >= $xbig) { - if (($jint != 2) || ($y >= $xmax)) { goto x300 } - if ($y >= $xhuge) { - $$result = $sqrpi / $y; - goto x300; - } - } - $ysq = $one / ($y * $y); - $xnum = $p[6]*$ysq; - $xden = $ysq; - for (my $i = 1 ; $i <= 4 ; ++$i) { - $xnum = ($xnum + $p[$i]) * $ysq; - $xden = ($xden + $q[$i]) * $ysq; - } - $$result = $ysq *($xnum + $p[5]) / ($xden + $q[5]); - $$result = ($sqrpi - $$result) / $y; - if ($jint != 2) { - $ysq = int($y*$sixten)/$sixten; - $del = ($y-$ysq)*($y+$ysq); - $$result = exp(-$ysq*$ysq) * exp(-$del) * $$result; - } - } -#------------------------------------------------------------------ -# Fix up for negative argument, erf, etc. -#------------------------------------------------------------------ - x300: - if ($jint == 0) { - $$result = ($half - $$result) + $half; - if ($x < $zero) { $$result = -$$result } - } elsif ($jint == 1) { - if ($x < $zero) { $$result = $two - $$result } - } else { - if ($x < $zero) { - if ($x < $xneg) { - $$result = $xinf; - } else { - $ysq = int($x*$sixten)/$sixten; - $del = ($x-$ysq)*($x+$ysq); - $y = exp($ysq*$ysq) * exp($del); - $$result = ($y+$y) - $$result; - } - } - } - x800: - return 1; -#---------- Last card of CALERF ---------- -} - -sub erf { - my $x = @_ ? $_[0] : $_; -#-------------------------------------------------------------------- -# -# This subprogram computes approximate values for erf(x). -# (see comments heading CALERF). -# -# Author/date: W. J. Cody, January 8, 1985 -# -# Translation to Perl by Peter J. Acklam, December 3, 1999 -# -#-------------------------------------------------------------------- - my $result; - my $jint = 0; - calerf($x, \$result, $jint); - my $erf = $result; - return $erf; -#---------- Last card of ERF ---------- -} - -######################################################################## -## User functions. -######################################################################## - -sub erfc { - my $x = @_ ? $_[0] : $_; -#-------------------------------------------------------------------- -# -# This subprogram computes approximate values for erfc(x). -# (see comments heading CALERF). -# -# Author/date: W. J. Cody, January 8, 1985 -# -# Translation to Perl by Peter J. Acklam, December 3, 1999 -# -#-------------------------------------------------------------------- - my ($result); - my $jint = 1; - calerf($x, \$result, $jint); - my $erfc = $result; - return $erfc; -#---------- Last card of ERFC ---------- -} - -sub erfcx { - my $x = @_ ? $_[0] : $_; -#------------------------------------------------------------------ -# -# This subprogram computes approximate values for exp(x*x) * erfc(x). -# (see comments heading CALERF). -# -# Author/date: W. J. Cody, March 30, 1987 -# -# Translation to Perl by Peter J. Acklam, December 3, 1999 -# -#------------------------------------------------------------------ - my ($result); - my $jint = 2; - calerf($x, \$result, $jint); - my $erfcx = $result; - return $erfcx; -#---------- Last card of ERFCX ---------- -} - -sub erfinv { - my $y = @_ ? $_[0] : $_; - - return 0 if $y == 0; - return erfcinv(1-$y) if $y > 0.5; - return -erfcinv(1+$y) if $y < -0.5; - - # - # Halley's rational 3rd order method: - # u <- f(x)/f'(x) - # v <- f''(x)/f'(x) - # x <- x - u/(1-u*v/2) - # - # Here: - # f(x) = erf(x) - y - # f'(x) = 2/sqrt(pi)*exp(-x*x) - # f''(x) = -4/sqrt(pi)*x*exp(-x*x) - # - my $x = 0; - my $dx; - my $c = .88622692545275801364908374167055; # sqrt(pi)/2 - my $eps = 5e-15; - do { - my $f = erf($x) - $y; - my $u = $c*$f*exp($x*$x); - $dx = -$u/(1+$u*$x); - $x += $dx; - } until abs($dx/$x) <= $eps; - return $x; -} - -sub erfcinv { - my $y = @_ ? $_[0] : $_; - - return 0 if $y == 1; - - my $flag = $y > 1; - $y = 2 - $y if $flag; - - # - # Halley's rational 3rd order method: - # u <- f(x)/f'(x) - # v <- f''(x)/f'(x) - # x <- x - u/(1-u*v/2) - # - # Here: - # f(x) = erfc(x) - y - # f'(x) = -2/sqrt(pi)*exp(-x*x) - # f''(x) = 4/sqrt(pi)*x*exp(-x*x) - # - my $x = 0; - my $dx; - my $c = -.88622692545275801364908374167055; # sqrt(pi)/2 - my $eps = 5e-15; - do { - my $u = $c*(erfcx($x) - $y*exp($x*$x)); - $dx = -$u/(1+$u*$x); - $x += $dx; - } until abs($dx/$x) <= $eps; - - return $flag ? -$x : $x; -} - -sub erfcxinv { - my $y = @_ ? $_[0] : $_; - - return 0 if $y == 1; - - # - # Halley's 3rd order method: - # u <- f(x)/f'(x) - # v <- f''(x)/f'(x) - # x <- x - u/(1-u*v/2) - # - # Here: - # f(x) = erfcx(x) - y - # f'(x) = 2*(x*erfcx(x)-1/sqrt(pi)); - # f''(x) = (2+4*x*x)*erfcx(x) - 4*x/sqrt(pi); - # - my $x = 0; - my $dx; - my $c = .56418958354775628694807945156079; # 1/sqrt(pi) - my $d = 2.2567583341910251477923178062432; # 4/sqrt(pi) - my $eps = 5e-15; - do { - my $f = erfcx($x) - $y; - my $df = 2*($x*erfcx($x)-$c); - my $ddf = (2+4*$x*$x)*erfcx($x) - $x*$d; - my $u = $f/$df; - my $v = $ddf/$df; - $dx = -$u/(1-$u*$v/2); - $x += $dx; - } until abs($dx/$x) <= $eps; - return $x; -} |