Probability Distribution and Statistical Functions -- Exponential Distribution Module

doc/specs/index.md

@@ -26,6 +26,7 @@ This is and index/directory of the specifications (specs) for each new module/fe
  - [stats](./stdlib_stats.html) - Descriptive Statistics
  - [stats_distributions_uniform](./stdlib_stats_distribution_uniform.html) - Uniform Probability Distribution
  - [stats_distributions_normal](./stdlib_stats_distribution_normal.html) - Normal Probability Distribution
+ - [stats_distributions_exponential](./stdlib_stats_distribution_exponential.html) - Exponential Probability Distribution
  - [string\_type](./stdlib_string_type.html) - Basic string support
  - [strings](./stdlib_strings.html) - String handling and manipulation routines
  - [stringlist_type](./stdlib_stringlist_type.html) - 1-Dimensional list of strings

doc/specs/stdlib_stats_distribution_exponential.md

@@ -0,0 +1,243 @@
+---
+title: stats_distribution_exponential
+---
+
+# Statistical Distributions -- Exponential Distribution Module
+
+[TOC]
+
+## `rvs_expon` - exponential distribution random variates
+
+### Status
+
+Experimental
+
+### Description
+
+An exponentially distributed random variate distribution is the distribution of time between events in a Poisson point process. The inverse scale parameter `lambda` specifies the rate of change.
+
+Without argument the function returns a standard exponential distributed random variate E(1) with `lambda = 1`.
+
+With single argument, the function returns an exponential distributed random variate E(lambda). For complex arguments, the real and imaginary parts are independent of each other.
+
+With two arguments the function returns a rank one array of exponential distributed random variates.
+
+Note: the algorithm used for generating normal random variates is fundamentally limited to double precision.
+
+### Syntax
+
+`result = [[stdlib_stats_distribution_exponential(module):rvs_expon(interface)]]([lambda] [[, array_size]])`
+
+### Class
+
+Function
+
+### Arguments
+
+`lambda`: optional argument has `intent(in)` and is a scalar of type `real` or `complex`.
+
+`array_size`: optional argument has `intent(in)` and is a scalar of type `integer` with default kind.
+
+### Return value
+
+The result is a scalar or rank one array with a size of `array_size`, and as the same type of `lambda`.
+
+### Example
+
+```fortran
+program demo_exponential_rvs
+    use stdlib_random, only : random_seed
+    use stdlib_stats_distribution_exponential, only: rexp => rvs_expon
+
+    implicit none
+    real ::  a(2,3,4)
+    complex :: scale
+    integer :: seed_put, seed_get
+
+    seed_put = 1234567
+    call random_seed(seed_put, seed_get)
+
+    print *, rexp( )         !single standard exponential random variate
+
+! 0.358690143
+
+    print *, rexp(2.0)       !exponential random variate with lambda=2.0
+
+! 0.816459715
+
+    print *, rexp(0.3, 10)   !an array of 10 variates with lambda=0.3
+
+!  1.84008647E-02  3.59742008E-02  0.136567295  0.262772143  3.62352766E-02 
+!  0.547133625  0.213591918  4.10784185E-02  0.583882213  0.671128035
+
+    scale = (2.0, 0.7)
+    print *, rexp(scale)
+    !single complex exponential random variate with real part of lambda=2.0;
+    !imagainary part of lambda=0.7
+
+! (1.41435969,4.081114382E-02)
+
+end program demo_exponential_rvs
+```
+
+## `pdf_expon` - exponential distribution probability density function
+
+### Status
+
+Experimental
+
+### Description
+
+The probability density function (pdf) of the single real variable exponential distribution:
+
+$$f(x)=\begin{cases} \lambda e^{-\lambda x} &x\geqslant 0 \\\\ 0 &x< 0\end{}$$
+
+For complex varible (x + y i) with independent real x and imaginary y parts, the joint probability density function is the product of corresponding marginal pdf of real and imaginary pdf (ref. "Probability and Random Processes with Applications to Signal Processing and Communications", 2nd ed., Scott L. Miller and Donald Childers, 2012, p.197):
+
+$$f(x+\mathit{i}y)=f(x)f(y)=\begin{cases} \lambda_{x} \lambda_{y} e^{-(\lambda_{x} x + \lambda_{y} y)} &x\geqslant 0, y\geqslant 0 \\\\ 0 &otherwise\end{}$$
+
+### Syntax
+
+`result = [[stdlib_stats_distribution_exponential(module):pdf_expon(interface)]](x, lambda)`
+
+### Class
+
+Elemental function
+
+### Arguments
+
+`x`: has `intent(in)` and is a scalar of type `real` or `complex`.
+
+`lambda`: has `intent(in)` and is a scalar of type `real` or `complex`.
+
+All arguments must have the same type.
+
+### Return value
+
+The result is a scalar or an array, with a shape conformable to arguments, and as the same type of input arguments.
+
+### Example
+
+```fortran
+program demo_exponential_pdf
+    use stdlib_random, only : random_seed
+    use stdlib_stats_distribution_exponential, only: exp_pdf => pdf_expon,     &
+                                                     rexp => rvs_expon
+
+    implicit none
+    real :: x(2,3,4),a(2,3,4)
+    complex :: scale
+    integer :: seed_put, seed_get
+
+    seed_put = 1234567
+    call random_seed(seed_put, seed_get)
+
+    print *, exp_pdf(1.0,1.0) !a probability density at 1.0 in standard expon
+
+! 0.367879450
+
+    print *, exp_pdf(2.0,2.0) !a probability density at 2.0 with lambda=2.0
+
+! 3.66312787E-02
+
+    x = reshape(rexp(0.5, 24),[2,3,4]) ! standard expon random variates array
+    a(:,:,:) = 0.5
+    print *, exp_pdf(x, a)     ! a rank 3 standard expon probability density
+
+!  0.457115263  0.451488823  0.492391467  0.485233188  0.446215510 
+!  0.401670188  0.485127628  0.316924453  0.418474048  0.483173639 
+!  0.307366133  0.285812140  0.448017836  0.426440030  0.403896868 
+!  0.334653258  0.410376132  0.485370994  0.333617479  0.263791025 
+!  0.249779820  0.457159877  0.495636940  0.482243657
+
+    scale = (1.0, 2.)
+    print *, exp_pdf((1.5,1.0), scale)
+    ! a complex expon probability density function at (1.5,1.0) with real part
+    !of lambda=1.0 and imaginary part of lambda=2.0
+
+! 6.03947677E-02
+
+end program demo_exponential_pdf
+```
+
+## `cdf_expon` - exponential distribution cumulative distribution function
+
+### Status
+
+Experimental
+
+### Description
+
+Cumulative distribution function (cdf) of the single real variable exponential distribution:
+
+$$F(x)=\begin{cases}1 - e^{-\lambda x} &x\geqslant 0 \\\\ 0 &x< 0\end{}$$
+
+For the complex variable (x + y i) with independent real x and imaginary y parts, the joint cumulative distribution function is the product of corresponding marginal cdf of real and imaginary cdf (ref. "Probability and Random Processes with Applications to Signal Processing and Communications", 2nd ed., Scott L. Miller and Donald Childers, 2012, p.197):
+
+$$F(x+\mathit{i}y)=F(x)F(y)=\begin{cases} (1 - e^{-\lambda_{x} x})(1 - e^{-\lambda_{y} y}) &x\geqslant 0, \;\; y\geqslant 0 \\\\ 0 &otherwise \end{}$$
+
+### Syntax
+
+`result = [[stdlib_stats_distribution_exponential(module):cdf_expon(interface)]](x, lambda)`
+
+### Class
+
+Elemental function
+
+### Arguments
+
+`x`: has `intent(in)` and is a scalar of type `real` or `complex`.
+
+`lambda`: has `intent(in)` and is a scalar of type `real` or `complex`.
+
+All arguments must have the same type.
+
+### Return value
+
+The result is a scalar or an array, with a shape conformable to arguments, and as the same type of input arguments.
+
+### Example
+
+```fortran
+program demo_exponential_cdf
+    use stdlib_random, only : random_seed
+    use stdlib_stats_distribution_exponential, only : exp_cdf => cdf_expon,    &
+                                                      rexp => rvs_expon
+
+    implicit none
+    real :: x(2,3,4),a(2,3,4)
+    complex :: scale
+    integer :: seed_put, seed_get
+
+    seed_put = 1234567
+    call random_seed(seed_put, seed_get)
+
+    print *, exp_cdf(1.0, 1.0)  ! a standard exponential cumulative at 1.0
+
+! 0.632120550
+
+    print *, exp_cdf(2.0, 2.0) ! a cumulative at 2.0 with lambda=2
+
+! 0.981684387
+
+    x = reshape(rexp(0.5, 24),[2,3,4])
+    ! standard exponential random variates array
+    a(:,:,:) = 0.5
+    print *, exp_cdf(x, a)  ! a rank 3 array of standard exponential cumulative
+
+!  8.57694745E-02  9.70223546E-02  1.52170658E-02  2.95336246E-02 
+!  0.107568979  0.196659625  2.97447443E-02  0.366151094  0.163051903 
+!  3.36527228E-02  0.385267735  0.428375721  0.103964329  0.147119939 
+!  0.192206264  0.330693483  0.179247737  2.92580128E-02  0.332765043 
+!  0.472417951  0.500440359  8.56802464E-02  8.72612000E-03  3.55126858E-02
+
+    scale = (0.5,1.0)
+    print *, exp_cdf((0.5,0.5),scale)
+    !complex exponential cumulative distribution at (0.5,0.5) with real part of
+    !lambda=0.5 and imaginary part of lambda=1.0
+
+! 8.70351046E-02
+
+end program demo_exponential_cdf
+
+```

src/CMakeLists.txt

@@ -31,6 +31,7 @@ set(fppFiles
     stdlib_stats_moment_scalar.fypp
     stdlib_stats_distribution_uniform.fypp
     stdlib_stats_distribution_normal.fypp
+    stdlib_stats_distribution_exponential.fypp
     stdlib_stats_var.fypp
     stdlib_quadrature.fypp
     stdlib_quadrature_trapz.fypp

src/Makefile.manual

@@ -33,6 +33,7 @@ SRCFYPP = \
         stdlib_stats_moment_scalar.fypp \
         stdlib_stats_distribution_uniform.fypp \
         stdlib_stats_distribution_normal.fypp \
+        stdlib_stats_distribution_exponential.fypp \
         stdlib_stats_var.fypp \
         stdlib_math.fypp \
 	stdlib_math_linspace.fypp \
@@ -173,6 +174,11 @@ stdlib_stats_distribution_normal.o: \
     stdlib_error.o \
     stdlib_random.o \
     stdlib_stats_distribution_uniform.o
+stdlib_stats_distribution_exponential.o: \
+    stdlib_kinds.o \
+    stdlib_error.o \
+    stdlib_random.o \
+    stdlib_stats_distribution_uniform.o
 stdlib_random.o: \
     stdlib_kinds.o \
     stdlib_error.o