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1   /*
2    * Licensed to the Apache Software Foundation (ASF) under one or more
3    * contributor license agreements.  See the NOTICE file distributed with
4    * this work for additional information regarding copyright ownership.
5    * The ASF licenses this file to You under the Apache License, Version 2.0
6    * (the "License"); you may not use this file except in compliance with
7    * the License.  You may obtain a copy of the License at
8    *
9    *      http://www.apache.org/licenses/LICENSE-2.0
10   *
11   * Unless required by applicable law or agreed to in writing, software
12   * distributed under the License is distributed on an "AS IS" BASIS,
13   * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
14   * See the License for the specific language governing permissions and
15   * limitations under the License.
16   */
17  
18  package org.apache.commons.statistics.distribution;
19  
20  import org.apache.commons.rng.UniformRandomProvider;
21  import org.apache.commons.rng.sampling.distribution.ContinuousUniformSampler;
22  import org.apache.commons.rng.sampling.distribution.SharedStateContinuousSampler;
23  
24  /**
25   * Implementation of the log-uniform distribution. This is also known as the reciprocal distribution.
26   *
27   * <p>The probability density function of \( X \) is:
28   *
29   * <p>\[ f(x; a, b) = \frac{1}{x \ln \frac b a} \]
30   *
31   * <p>for \( 0 \lt a \lt b \lt \infty \) and
32   * \( x \in [a, b] \).
33   *
34   * @see <a href="https://en.wikipedia.org/wiki/Reciprocal_distribution">Reciprocal distribution (Wikipedia)</a>
35   * @since 1.1
36   */
37  public final class LogUniformDistribution extends AbstractContinuousDistribution {
38      /** Lower bound (a) of this distribution (inclusive). */
39      private final double lower;
40      /** Upper bound (b) of this distribution (exclusive). */
41      private final double upper;
42      /** log(a). */
43      private final double logA;
44      /** log(b). */
45      private final double logB;
46      /** log(b) - log(a). */
47      private final double logBmLogA;
48      /** log(log(b) - log(a)). */
49      private final double logLogBmLogA;
50  
51      /**
52       * @param lower Lower bound of this distribution (inclusive).
53       * @param upper Upper bound of this distribution (inclusive).
54       */
55      private LogUniformDistribution(double lower,
56                                     double upper) {
57          this.lower = lower;
58          this.upper = upper;
59          logA = Math.log(lower);
60          logB = Math.log(upper);
61          logBmLogA = logB - logA;
62          logLogBmLogA = Math.log(logBmLogA);
63      }
64  
65      /**
66       * Creates a log-uniform distribution.
67       *
68       * @param lower Lower bound of this distribution (inclusive).
69       * @param upper Upper bound of this distribution (inclusive).
70       * @return the distribution
71       * @throws IllegalArgumentException if {@code lower >= upper}; the range between the bounds
72       * is not finite; or {@code lower <= 0}
73       */
74      public static LogUniformDistribution of(double lower,
75                                              double upper) {
76          if (lower >= upper) {
77              throw new DistributionException(DistributionException.INVALID_RANGE_LOW_GTE_HIGH,
78                                              lower, upper);
79          }
80          if (!Double.isFinite(upper - lower)) {
81              throw new DistributionException("Range %s is not finite", upper - lower);
82          }
83          if (lower <= 0) {
84              throw new DistributionException(DistributionException.NOT_STRICTLY_POSITIVE, lower);
85          }
86          return new LogUniformDistribution(lower, upper);
87      }
88  
89      /** {@inheritDoc} */
90      @Override
91      public double density(double x) {
92          if (x < lower || x > upper) {
93              return 0;
94          }
95          return Math.exp(logDensity(x));
96      }
97  
98      /** {@inheritDoc} */
99      @Override
100     public double logDensity(double x) {
101         if (x < lower || x > upper) {
102             return Double.NEGATIVE_INFINITY;
103         }
104         return -Math.log(x) - logLogBmLogA;
105     }
106 
107     /** {@inheritDoc} */
108     @Override
109     public double cumulativeProbability(double x)  {
110         if (x <= lower) {
111             return 0;
112         }
113         if (x >= upper) {
114             return 1;
115         }
116         return (Math.log(x) - logA) / logBmLogA;
117     }
118 
119     /** {@inheritDoc} */
120     @Override
121     public double survivalProbability(double x) {
122         if (x <= lower) {
123             return 1;
124         }
125         if (x >= upper) {
126             return 0;
127         }
128         return (logB - Math.log(x)) / logBmLogA;
129     }
130 
131     /** {@inheritDoc} */
132     @Override
133     public double inverseCumulativeProbability(double p) {
134         ArgumentUtils.checkProbability(p);
135         // Avoid floating-point error at the bounds
136         return clipToRange(Math.exp(logA + p * logBmLogA));
137     }
138 
139     @Override
140     public double inverseSurvivalProbability(double p) {
141         ArgumentUtils.checkProbability(p);
142         // Avoid floating-point error at the bounds
143         return clipToRange(Math.exp(logB - p * logBmLogA));
144     }
145 
146     /**
147      * {@inheritDoc}
148      *
149      * <p>For lower bound \( a \) and upper bound \( b \), the mean is:
150      *
151      * <p>\[ \frac{b - a}{\ln \frac b a} \]
152      */
153     @Override
154     public double getMean() {
155         return (upper - lower) / logBmLogA;
156     }
157 
158     /**
159      * {@inheritDoc}
160      *
161      * <p>For lower bound \( a \) and upper bound \( b \), the variance is:
162      *
163      * <p>\[ \frac{b^2 - a^2}{2 \ln \frac b a} - \left( \frac{b - a}{\ln \frac b a} \right)^2 \]
164      */
165     @Override
166     public double getVariance() {
167         // Compute u_2 via a stabilising rearrangement:
168         // https://docs.scipy.org/doc/scipy/tutorial/stats/continuous_loguniform.html
169         final double a = lower;
170         final double b = upper;
171         final double d = -logBmLogA;
172         return (a - b) * (a * (d - 2) + b * (d + 2)) / (2 * d * d);
173     }
174 
175     /**
176      * {@inheritDoc}
177      *
178      * <p>The lower bound of the support is equal to the lower bound parameter
179      * of the distribution.
180      */
181     @Override
182     public double getSupportLowerBound() {
183         return lower;
184     }
185 
186     /**
187      * {@inheritDoc}
188      *
189      * <p>The upper bound of the support is equal to the upper bound parameter
190      * of the distribution.
191      */
192     @Override
193     public double getSupportUpperBound() {
194         return upper;
195     }
196 
197     /**
198      * Clip the value to the range [lower, upper].
199      * This is used to handle floating-point error at the support bound.
200      *
201      * @param x Value x
202      * @return x clipped to the range
203      */
204     private double clipToRange(double x) {
205         return clip(x, lower, upper);
206     }
207 
208     /**
209      * Clip the value to the range [lower, upper].
210      *
211      * @param x Value x
212      * @param lower Lower bound (inclusive)
213      * @param upper Upper bound (inclusive)
214      * @return x clipped to the range
215      */
216     private static double clip(double x, double lower, double upper) {
217         if (x <= lower) {
218             return lower;
219         }
220         return x < upper ? x : upper;
221     }
222 
223     /** {@inheritDoc} */
224     @Override
225     double getMedian() {
226         // Overridden for the probability(double, double) method.
227         // This is intentionally not a public method.
228         // sqrt(ab) avoiding overflow
229         return Math.exp(0.5 * (logA + logB));
230     }
231 
232     /** {@inheritDoc} */
233     @Override
234     public ContinuousDistribution.Sampler createSampler(final UniformRandomProvider rng) {
235         // Exponentiate a uniform distribution sampler of the logarithmic range.
236         final SharedStateContinuousSampler s = ContinuousUniformSampler.of(rng, logA, logB);
237         return () -> Math.exp(s.sample());
238     }
239 }