3 <meta http-equiv="Content-Type" content="text/html; charset=US-ASCII">
4 <title>Find Scale (Standard Deviation) Example</title>
5 <link rel="stylesheet" href="../../../../math.css" type="text/css">
6 <meta name="generator" content="DocBook XSL Stylesheets V1.79.1">
7 <link rel="home" href="../../../../index.html" title="Math Toolkit 2.11.0">
8 <link rel="up" href="../find_eg.html" title="Find Location and Scale Examples">
9 <link rel="prev" href="find_location_eg.html" title="Find Location (Mean) Example">
10 <link rel="next" href="find_mean_and_sd_eg.html" title="Find mean and standard deviation example">
12 <body bgcolor="white" text="black" link="#0000FF" vlink="#840084" alink="#0000FF">
13 <table cellpadding="2" width="100%"><tr>
14 <td valign="top"><img alt="Boost C++ Libraries" width="277" height="86" src="../../../../../../../../boost.png"></td>
15 <td align="center"><a href="../../../../../../../../index.html">Home</a></td>
16 <td align="center"><a href="../../../../../../../../libs/libraries.htm">Libraries</a></td>
17 <td align="center"><a href="http://www.boost.org/users/people.html">People</a></td>
18 <td align="center"><a href="http://www.boost.org/users/faq.html">FAQ</a></td>
19 <td align="center"><a href="../../../../../../../../more/index.htm">More</a></td>
22 <div class="spirit-nav">
23 <a accesskey="p" href="find_location_eg.html"><img src="../../../../../../../../doc/src/images/prev.png" alt="Prev"></a><a accesskey="u" href="../find_eg.html"><img src="../../../../../../../../doc/src/images/up.png" alt="Up"></a><a accesskey="h" href="../../../../index.html"><img src="../../../../../../../../doc/src/images/home.png" alt="Home"></a><a accesskey="n" href="find_mean_and_sd_eg.html"><img src="../../../../../../../../doc/src/images/next.png" alt="Next"></a>
26 <div class="titlepage"><div><div><h5 class="title">
27 <a name="math_toolkit.stat_tut.weg.find_eg.find_scale_eg"></a><a class="link" href="find_scale_eg.html" title="Find Scale (Standard Deviation) Example">Find
28 Scale (Standard Deviation) Example</a>
29 </h5></div></div></div>
31 First we need some includes to access the <a class="link" href="../../../dist_ref/dists/normal_dist.html" title="Normal (Gaussian) Distribution">Normal
32 Distribution</a>, the algorithms to find scale (and some std output
35 <pre class="programlisting"><span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">normal</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span> <span class="comment">// for normal_distribution</span>
36 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">normal</span><span class="special">;</span> <span class="comment">// typedef provides default type is double.</span>
37 <span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">boost</span><span class="special">/</span><span class="identifier">math</span><span class="special">/</span><span class="identifier">distributions</span><span class="special">/</span><span class="identifier">find_scale</span><span class="special">.</span><span class="identifier">hpp</span><span class="special">></span>
38 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">find_scale</span><span class="special">;</span>
39 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">complement</span><span class="special">;</span> <span class="comment">// Needed if you want to use the complement version.</span>
40 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">policies</span><span class="special">::</span><span class="identifier">policy</span><span class="special">;</span> <span class="comment">// Needed to specify the error handling policy.</span>
42 <span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">iostream</span><span class="special">></span>
43 <span class="keyword">using</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">cout</span><span class="special">;</span> <span class="keyword">using</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">endl</span><span class="special">;</span>
44 <span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">iomanip</span><span class="special">></span>
45 <span class="keyword">using</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">setw</span><span class="special">;</span> <span class="keyword">using</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">setprecision</span><span class="special">;</span>
46 <span class="preprocessor">#include</span> <span class="special"><</span><span class="identifier">limits</span><span class="special">></span>
47 <span class="keyword">using</span> <span class="identifier">std</span><span class="special">::</span><span class="identifier">numeric_limits</span><span class="special">;</span>
50 For this example, we will use the standard <a class="link" href="../../../dist_ref/dists/normal_dist.html" title="Normal (Gaussian) Distribution">Normal
51 Distribution</a>, with location (mean) zero and standard deviation
52 (scale) unity. Conveniently, this is also the default for this implementation's
55 <pre class="programlisting"><span class="identifier">normal</span> <span class="identifier">N01</span><span class="special">;</span> <span class="comment">// Default 'standard' normal distribution with zero mean</span>
56 <span class="keyword">double</span> <span class="identifier">sd</span> <span class="special">=</span> <span class="number">1.</span><span class="special">;</span> <span class="comment">// and standard deviation is 1.</span>
59 Suppose we want to find a different normal distribution with standard
60 deviation so that only fraction p (here 0.001 or 0.1%) are below a certain
61 chosen limit (here -2. standard deviations).
63 <pre class="programlisting"><span class="keyword">double</span> <span class="identifier">z</span> <span class="special">=</span> <span class="special">-</span><span class="number">2.</span><span class="special">;</span> <span class="comment">// z to give prob p</span>
64 <span class="keyword">double</span> <span class="identifier">p</span> <span class="special">=</span> <span class="number">0.001</span><span class="special">;</span> <span class="comment">// only 0.1% below z = -2</span>
66 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">N01</span><span class="special">.</span><span class="identifier">location</span><span class="special">()</span> <span class="comment">// aka N01.mean()</span>
67 <span class="special"><<</span> <span class="string">", standard deviation "</span> <span class="special"><<</span> <span class="identifier">N01</span><span class="special">.</span><span class="identifier">scale</span><span class="special">()</span> <span class="comment">// aka N01.standard_deviation()</span>
68 <span class="special"><<</span> <span class="string">", has "</span> <span class="special"><<</span> <span class="string">"fraction <= "</span> <span class="special"><<</span> <span class="identifier">z</span>
69 <span class="special"><<</span> <span class="string">", p = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">N01</span><span class="special">,</span> <span class="identifier">z</span><span class="special">)</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
70 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">N01</span><span class="special">.</span><span class="identifier">location</span><span class="special">()</span>
71 <span class="special"><<</span> <span class="string">", standard deviation "</span> <span class="special"><<</span> <span class="identifier">N01</span><span class="special">.</span><span class="identifier">scale</span><span class="special">()</span>
72 <span class="special"><<</span> <span class="string">", has "</span> <span class="special"><<</span> <span class="string">"fraction > "</span> <span class="special"><<</span> <span class="identifier">z</span>
73 <span class="special"><<</span> <span class="string">", p = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">N01</span><span class="special">,</span> <span class="identifier">z</span><span class="special">))</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span> <span class="comment">// Note: uses complement.</span>
75 <pre class="programlisting">Normal distribution with mean = 0 has fraction <= -2, p = 0.0227501
76 Normal distribution with mean = 0 has fraction > -2, p = 0.97725
79 Noting that p = 0.02 instead of our target of 0.001, we can now use
80 <code class="computeroutput"><span class="identifier">find_scale</span></code> to give a
81 new standard deviation.
83 <pre class="programlisting"><span class="keyword">double</span> <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">N01</span><span class="special">.</span><span class="identifier">location</span><span class="special">();</span>
84 <span class="keyword">double</span> <span class="identifier">s</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">p</span><span class="special">,</span> <span class="identifier">l</span><span class="special">);</span>
85 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"scale (standard deviation) = "</span> <span class="special"><<</span> <span class="identifier">s</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
90 <pre class="programlisting">scale (standard deviation) = 0.647201
93 showing that we need to reduce the standard deviation from 1. to 0.65.
96 Then we can check that we have achieved our objective by constructing
97 a new distribution with the new standard deviation (but same zero mean):
99 <pre class="programlisting"><span class="identifier">normal</span> <span class="identifier">np001pc</span><span class="special">(</span><span class="identifier">N01</span><span class="special">.</span><span class="identifier">location</span><span class="special">(),</span> <span class="identifier">s</span><span class="special">);</span>
102 And re-calculating the fraction below (and above) our chosen limit.
104 <pre class="programlisting"><span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">l</span>
105 <span class="special"><<</span> <span class="string">" has "</span> <span class="special"><<</span> <span class="string">"fraction <= "</span> <span class="special"><<</span> <span class="identifier">z</span>
106 <span class="special"><<</span> <span class="string">", p = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">np001pc</span><span class="special">,</span> <span class="identifier">z</span><span class="special">)</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
107 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">l</span>
108 <span class="special"><<</span> <span class="string">" has "</span> <span class="special"><<</span> <span class="string">"fraction > "</span> <span class="special"><<</span> <span class="identifier">z</span>
109 <span class="special"><<</span> <span class="string">", p = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">np001pc</span><span class="special">,</span> <span class="identifier">z</span><span class="special">))</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
111 <pre class="programlisting">Normal distribution with mean = 0 has fraction <= -2, p = 0.001
112 Normal distribution with mean = 0 has fraction > -2, p = 0.999
115 <a name="math_toolkit.stat_tut.weg.find_eg.find_scale_eg.h0"></a>
116 <span class="phrase"><a name="math_toolkit.stat_tut.weg.find_eg.find_scale_eg.controlling_how_errors_from_find"></a></span><a class="link" href="find_scale_eg.html#math_toolkit.stat_tut.weg.find_eg.find_scale_eg.controlling_how_errors_from_find">Controlling
117 how Errors from find_scale are handled</a>
120 We can also control the policy for handling various errors. For example,
121 we can define a new (possibly unwise) policy to ignore domain errors
125 Unless we are using the boost::math namespace, we will need:
127 <pre class="programlisting"><span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">policies</span><span class="special">::</span><span class="identifier">policy</span><span class="special">;</span>
128 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">policies</span><span class="special">::</span><span class="identifier">domain_error</span><span class="special">;</span>
129 <span class="keyword">using</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">policies</span><span class="special">::</span><span class="identifier">ignore_error</span><span class="special">;</span>
132 Using a typedef is convenient, especially if it is re-used, although
133 it is not required, as the various examples below show.
135 <pre class="programlisting"><span class="keyword">typedef</span> <span class="identifier">policy</span><span class="special"><</span><span class="identifier">domain_error</span><span class="special"><</span><span class="identifier">ignore_error</span><span class="special">></span> <span class="special">></span> <span class="identifier">ignore_domain_policy</span><span class="special">;</span>
136 <span class="comment">// find_scale with new policy, using typedef.</span>
137 <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">p</span><span class="special">,</span> <span class="identifier">l</span><span class="special">,</span> <span class="identifier">ignore_domain_policy</span><span class="special">());</span>
138 <span class="comment">// Default policy policy<>, needs using boost::math::policies::policy;</span>
140 <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">p</span><span class="special">,</span> <span class="identifier">l</span><span class="special">,</span> <span class="identifier">policy</span><span class="special"><>());</span>
141 <span class="comment">// Default policy, fully specified.</span>
142 <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">p</span><span class="special">,</span> <span class="identifier">l</span><span class="special">,</span> <span class="identifier">boost</span><span class="special">::</span><span class="identifier">math</span><span class="special">::</span><span class="identifier">policies</span><span class="special">::</span><span class="identifier">policy</span><span class="special"><>());</span>
143 <span class="comment">// New policy, without typedef.</span>
144 <span class="identifier">l</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">p</span><span class="special">,</span> <span class="identifier">l</span><span class="special">,</span> <span class="identifier">policy</span><span class="special"><</span><span class="identifier">domain_error</span><span class="special"><</span><span class="identifier">ignore_error</span><span class="special">></span> <span class="special">>());</span>
147 If we want to express a probability, say 0.999, that is a complement,
148 <code class="computeroutput"><span class="number">1</span> <span class="special">-</span>
149 <span class="identifier">p</span></code> we should not even think
150 of writing <code class="computeroutput"><span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">z</span><span class="special">,</span> <span class="number">1</span> <span class="special">-</span>
151 <span class="identifier">p</span><span class="special">,</span>
152 <span class="identifier">l</span><span class="special">)</span></code>,
153 but use the <a class="link" href="../../overview/complements.html" title="Complements are supported too - and when to use them">complements</a>
154 version (see <a class="link" href="../../overview/complements.html#why_complements">why complements?</a>).
156 <pre class="programlisting"><span class="identifier">z</span> <span class="special">=</span> <span class="special">-</span><span class="number">2.</span><span class="special">;</span>
157 <span class="keyword">double</span> <span class="identifier">q</span> <span class="special">=</span> <span class="number">0.999</span><span class="special">;</span> <span class="comment">// = 1 - p; // complement of 0.001.</span>
158 <span class="identifier">sd</span> <span class="special">=</span> <span class="identifier">find_scale</span><span class="special"><</span><span class="identifier">normal</span><span class="special">>(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">z</span><span class="special">,</span> <span class="identifier">q</span><span class="special">,</span> <span class="identifier">l</span><span class="special">));</span>
160 <span class="identifier">normal</span> <span class="identifier">np95pc</span><span class="special">(</span><span class="identifier">l</span><span class="special">,</span> <span class="identifier">sd</span><span class="special">);</span> <span class="comment">// Same standard_deviation (scale) but with mean(scale) shifted</span>
161 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">l</span> <span class="special"><<</span> <span class="string">" has "</span>
162 <span class="special"><<</span> <span class="string">"fraction <= "</span> <span class="special"><<</span> <span class="identifier">z</span> <span class="special"><<</span> <span class="string">" = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">np95pc</span><span class="special">,</span> <span class="identifier">z</span><span class="special">)</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
163 <span class="identifier">cout</span> <span class="special"><<</span> <span class="string">"Normal distribution with mean = "</span> <span class="special"><<</span> <span class="identifier">l</span> <span class="special"><<</span> <span class="string">" has "</span>
164 <span class="special"><<</span> <span class="string">"fraction > "</span> <span class="special"><<</span> <span class="identifier">z</span> <span class="special"><<</span> <span class="string">" = "</span> <span class="special"><<</span> <span class="identifier">cdf</span><span class="special">(</span><span class="identifier">complement</span><span class="special">(</span><span class="identifier">np95pc</span><span class="special">,</span> <span class="identifier">z</span><span class="special">))</span> <span class="special"><<</span> <span class="identifier">endl</span><span class="special">;</span>
167 Sadly, it is all too easy to get probabilities the wrong way round, when
168 you may get a warning like this:
170 <pre class="programlisting">Message from thrown exception was:
171 Error in function boost::math::find_scale<Dist, Policy>(complement(double, double, double, Policy)):
172 Computed scale (-0.48043523852179076) is <= 0! Was the complement intended?
175 The default error handling policy is to throw an exception with this
176 message, but if you chose a policy to ignore the error, the (impossible)
177 negative scale is quietly returned.
180 See <a href="../../../../../../example/find_scale_example.cpp" target="_top">find_scale_example.cpp</a>
181 for full source code: the program output looks like this:
183 <pre class="programlisting">Example: Find scale (standard deviation).
184 Normal distribution with mean = 0, standard deviation 1, has fraction <= -2, p = 0.0227501
185 Normal distribution with mean = 0, standard deviation 1, has fraction > -2, p = 0.97725
186 scale (standard deviation) = 0.647201
187 Normal distribution with mean = 0 has fraction <= -2, p = 0.001
188 Normal distribution with mean = 0 has fraction > -2, p = 0.999
189 Normal distribution with mean = 0.946339 has fraction <= -2 = 0.001
190 Normal distribution with mean = 0.946339 has fraction > -2 = 0.999
193 <table xmlns:rev="http://www.cs.rpi.edu/~gregod/boost/tools/doc/revision" width="100%"><tr>
194 <td align="left"></td>
195 <td align="right"><div class="copyright-footer">Copyright © 2006-2019 Nikhar
196 Agrawal, Anton Bikineev, Paul A. Bristow, Marco Guazzone, Christopher Kormanyos,
197 Hubert Holin, Bruno Lalande, John Maddock, Jeremy Murphy, Matthew Pulver, Johan
198 Råde, Gautam Sewani, Benjamin Sobotta, Nicholas Thompson, Thijs van den Berg,
199 Daryle Walker and Xiaogang Zhang<p>
200 Distributed under the Boost Software License, Version 1.0. (See accompanying
201 file LICENSE_1_0.txt or copy at <a href="http://www.boost.org/LICENSE_1_0.txt" target="_top">http://www.boost.org/LICENSE_1_0.txt</a>)
206 <div class="spirit-nav">
207 <a accesskey="p" href="find_location_eg.html"><img src="../../../../../../../../doc/src/images/prev.png" alt="Prev"></a><a accesskey="u" href="../find_eg.html"><img src="../../../../../../../../doc/src/images/up.png" alt="Up"></a><a accesskey="h" href="../../../../index.html"><img src="../../../../../../../../doc/src/images/home.png" alt="Home"></a><a accesskey="n" href="find_mean_and_sd_eg.html"><img src="../../../../../../../../doc/src/images/next.png" alt="Next"></a>