001/*
002 * Licensed to the Apache Software Foundation (ASF) under one or more
003 * contributor license agreements.  See the NOTICE file distributed with
004 * this work for additional information regarding copyright ownership.
005 * The ASF licenses this file to You under the Apache License, Version 2.0
006 * (the "License"); you may not use this file except in compliance with
007 * the License.  You may obtain a copy of the License at
008 *
009 *      http://www.apache.org/licenses/LICENSE-2.0
010 *
011 * Unless required by applicable law or agreed to in writing, software
012 * distributed under the License is distributed on an "AS IS" BASIS,
013 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
014 * See the License for the specific language governing permissions and
015 * limitations under the License.
016 */
017package org.apache.commons.statistics.distribution;
018
019import org.apache.commons.rng.UniformRandomProvider;
020import org.apache.commons.rng.sampling.distribution.ZigguratSampler;
021
022/**
023 * Implementation of the exponential distribution.
024 *
025 * <p>The probability density function of \( X \) is:
026 *
027 * <p>\[ f(x; \mu) = \frac{1}{\mu} e^{-x / \mu} \]
028 *
029 * <p>for \( \mu &gt; 0 \) the mean and
030 * \( x \in [0, \infty) \).
031 *
032 * <p>This implementation uses the scale parameter \( \mu \) which is the mean of the distribution.
033 * A common alternative parameterization uses the rate parameter \( \lambda \) which is the reciprocal
034 * of the mean. The distribution can be be created using \( \mu  = \frac{1}{\lambda} \).
035 *
036 * @see <a href="https://en.wikipedia.org/wiki/Exponential_distribution">Exponential distribution (Wikipedia)</a>
037 * @see <a href="https://mathworld.wolfram.com/ExponentialDistribution.html">Exponential distribution (MathWorld)</a>
038 */
039public final class ExponentialDistribution extends AbstractContinuousDistribution {
040    /** Support lower bound. */
041    private static final double SUPPORT_LO = 0;
042    /** Support upper bound. */
043    private static final double SUPPORT_HI = Double.POSITIVE_INFINITY;
044    /** ln(2). */
045    private static final double LN_2 = 0.6931471805599453094172;
046    /** The mean of this distribution. */
047    private final double mean;
048    /** The logarithm of the mean, stored to reduce computing time. */
049    private final double logMean;
050
051    /**
052     * @param mean Mean of this distribution.
053     */
054    private ExponentialDistribution(double mean) {
055        this.mean = mean;
056        logMean = Math.log(mean);
057    }
058
059    /**
060     * Creates an exponential distribution.
061     *
062     * @param mean Mean of this distribution. This is a scale parameter.
063     * @return the distribution
064     * @throws IllegalArgumentException if {@code mean <= 0}.
065     */
066    public static ExponentialDistribution of(double mean) {
067        if (mean <= 0) {
068            throw new DistributionException(DistributionException.NOT_STRICTLY_POSITIVE, mean);
069        }
070        return new ExponentialDistribution(mean);
071    }
072
073    /** {@inheritDoc} */
074    @Override
075    public double density(double x) {
076        if (x < SUPPORT_LO) {
077            return 0;
078        }
079        return Math.exp(-x / mean) / mean;
080    }
081
082    /** {@inheritDoc} **/
083    @Override
084    public double logDensity(double x) {
085        if (x < SUPPORT_LO) {
086            return Double.NEGATIVE_INFINITY;
087        }
088        return -x / mean - logMean;
089    }
090
091    /** {@inheritDoc} */
092    @Override
093    public double cumulativeProbability(double x)  {
094        if (x <= SUPPORT_LO) {
095            return 0;
096        }
097        return -Math.expm1(-x / mean);
098    }
099
100    /** {@inheritDoc} */
101    @Override
102    public double survivalProbability(double x)  {
103        if (x <= SUPPORT_LO) {
104            return 1;
105        }
106        return Math.exp(-x / mean);
107    }
108
109    /**
110     * {@inheritDoc}
111     *
112     * <p>Returns {@code 0} when {@code p == 0} and
113     * {@link Double#POSITIVE_INFINITY} when {@code p == 1}.
114     */
115    @Override
116    public double inverseCumulativeProbability(double p) {
117        ArgumentUtils.checkProbability(p);
118        if (p == 1) {
119            return Double.POSITIVE_INFINITY;
120        }
121        // Subtract from zero to prevent returning -0.0 for p=-0.0
122        return 0 - mean * Math.log1p(-p);
123    }
124
125    /**
126     * {@inheritDoc}
127     *
128     * <p>Returns {@code 0} when {@code p == 1} and
129     * {@link Double#POSITIVE_INFINITY} when {@code p == 0}.
130     */
131    @Override
132    public double inverseSurvivalProbability(double p) {
133        ArgumentUtils.checkProbability(p);
134        if (p == 0) {
135            return Double.POSITIVE_INFINITY;
136        }
137        // Subtract from zero to prevent returning -0.0 for p=1
138        return 0 - mean * Math.log(p);
139    }
140
141    /** {@inheritDoc} */
142    @Override
143    public double getMean() {
144        return mean;
145    }
146
147    /**
148     * {@inheritDoc}
149     *
150     * <p>For mean \( \mu \), the variance is \( \mu^2 \).
151     */
152    @Override
153    public double getVariance() {
154        return mean * mean;
155    }
156
157    /**
158     * {@inheritDoc}
159     *
160     * <p>The lower bound of the support is always 0.
161     *
162     * @return 0.
163     */
164    @Override
165    public double getSupportLowerBound() {
166        return SUPPORT_LO;
167    }
168
169    /**
170     * {@inheritDoc}
171     *
172     * <p>The upper bound of the support is always positive infinity.
173     *
174     * @return {@link Double#POSITIVE_INFINITY positive infinity}.
175     */
176    @Override
177    public double getSupportUpperBound() {
178        return SUPPORT_HI;
179    }
180
181    /** {@inheritDoc} */
182    @Override
183    double getMedian() {
184        // Overridden for the probability(double, double) method.
185        // This is intentionally not a public method.
186        // ln(2) / rate = mean * ln(2)
187        return mean * LN_2;
188    }
189
190    /** {@inheritDoc} */
191    @Override
192    public ContinuousDistribution.Sampler createSampler(final UniformRandomProvider rng) {
193        // Exponential distribution sampler.
194        return ZigguratSampler.Exponential.of(rng, getMean())::sample;
195    }
196}