/** {@inheritDoc} */
public double solve(final UnivariateRealFunction f, double min, double max)
throws MaxIterationsExceededException, FunctionEvaluationException {
clearResult();
verifyInterval(min, max);
double m;
double fm;
double fmin;
int i = 0;
while (i < maximalIterationCount) {
m = UnivariateRealSolverUtils.midpoint(min, max);
fmin = f.value(min);
fm = f.value(m);
if (fm * fmin > 0.0) {
// max and m bracket the root.
min = m;
} else {
// min and m bracket the root.
max = m;
}
if (Math.abs(max - min) <= absoluteAccuracy) {
m = UnivariateRealSolverUtils.midpoint(min, max);
setResult(m, i);
return m;
}
++i;
}
throw new MaxIterationsExceededException(maximalIterationCount);
}
/**
* For this distribution, X, this method returns the critical point x, such that P(X < x) =
* <code>p</code>.
*
* @param p the desired probability
* @return x, such that P(X < x) = <code>p</code>
* @throws MathException if the inverse cumulative probability can not be computed due to
* convergence or other numerical errors.
* @throws IllegalArgumentException if <code>p</code> is not a valid probability.
*/
public double inverseCumulativeProbability(final double p) throws MathException {
if (p < 0.0 || p > 1.0) {
throw MathRuntimeException.createIllegalArgumentException(
"{0} out of [{1}, {2}] range", p, 0.0, 1.0);
}
// by default, do simple root finding using bracketing and default solver.
// subclasses can overide if there is a better method.
UnivariateRealFunction rootFindingFunction =
new UnivariateRealFunction() {
private static final long serialVersionUID = 1043729002768873023L;
public double value(double x) throws FunctionEvaluationException {
try {
return cumulativeProbability(x) - p;
} catch (MathException ex) {
throw new FunctionEvaluationException(ex, x, ex.getPattern(), ex.getArguments());
}
}
};
// Try to bracket root, test domain endoints if this fails
double lowerBound = getDomainLowerBound(p);
double upperBound = getDomainUpperBound(p);
double[] bracket = null;
try {
bracket =
UnivariateRealSolverUtils.bracket(
rootFindingFunction, getInitialDomain(p), lowerBound, upperBound);
} catch (ConvergenceException ex) {
/*
* Check domain endpoints to see if one gives value that is within
* the default solver's defaultAbsoluteAccuracy of 0 (will be the
* case if density has bounded support and p is 0 or 1).
*
* TODO: expose the default solver, defaultAbsoluteAccuracy as
* a constant.
*/
if (Math.abs(rootFindingFunction.value(lowerBound)) < 1E-6) {
return lowerBound;
}
if (Math.abs(rootFindingFunction.value(upperBound)) < 1E-6) {
return upperBound;
}
// Failed bracket convergence was not because of corner solution
throw new MathException(ex);
}
// find root
double root = UnivariateRealSolverUtils.solve(rootFindingFunction, bracket[0], bracket[1]);
return root;
}
