cbivnorm.cpp

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/*
t.f -- translated by f2c (version 20000121).
You must link the resulting object file with the libraries:
-lf2c -lm   (in that order)
*/
#include <fvar.hpp>
//#include <fstream.h>
#ifdef __cplusplus
extern "C" {
#endif

/* f2c.h  --  Standard Fortran to C header file */

#ifndef F2C_INCLUDE
#define F2C_INCLUDE

#if defined(USE_DDOUBLE)
# define doublereal dd_real
#endif
typedef long int integer;
typedef unsigned long int uinteger;
//typedef char *address;
typedef short int shortint;
typedef float real;
typedef double doublereal;
typedef struct { real r, i; } complex;
typedef struct { doublereal r, i; } doublecomplex;
typedef long int logical;
typedef short int shortlogical;
typedef char logical1;
typedef char integer1;
#ifdef INTEGER_STAR_8    /* Adjust for integer*8. */
typedef long long longint;        /* system-dependent */
typedef unsigned long long ulongint;    /* system-dependent */
#define qbit_clear(a,b)    ((a) & ~((ulongint)1 << (b)))
#define qbit_set(a,b)    ((a) |  ((ulongint)1 << (b)))
#endif

#define TRUE_ (1)
#define FALSE_ (0)

/* Extern is for use with -E */
#ifndef Extern
#define Extern extern
#endif

/* I/O stuff */

#ifdef f2c_i2
/* for -i2 */
typedef short flag;
typedef short ftnlen;
typedef short ftnint;
#else
typedef long int flag;
typedef long int ftnlen;
typedef long int ftnint;
#endif

/*external read, write*/
typedef struct
{
    flag cierr;
    ftnint ciunit;
    flag ciend;
    char *cifmt;
    ftnint cirec;
} cilist;

/*internal read, write*/
typedef struct
{
    flag icierr;
    char *iciunit;
    flag iciend;
    char *icifmt;
    ftnint icirlen;
    ftnint icirnum;
} icilist;

/*open*/
typedef struct
{
    flag oerr;
    ftnint ounit;
    char *ofnm;
    ftnlen ofnmlen;
    char *osta;
    char *oacc;
    char *ofm;
    ftnint orl;
    char *oblnk;
} olist;

/*close*/
typedef struct
{
    flag cerr;
    ftnint cunit;
    char *csta;
} cllist;

/*rewind, backspace, endfile*/
typedef struct
{
    flag aerr;
    ftnint aunit;
} alist;

/* inquire */
typedef struct
{
    flag inerr;
    ftnint inunit;
    char *infile;
    ftnlen infilen;
    ftnint    *inex;    /*parameters in standard's order*/
    ftnint    *inopen;
    ftnint    *innum;
    ftnint    *innamed;
    char    *inname;
    ftnlen    innamlen;
    char    *inacc;
    ftnlen    inacclen;
    char    *inseq;
    ftnlen    inseqlen;
    char     *indir;
    ftnlen    indirlen;
    char    *infmt;
    ftnlen    infmtlen;
    char    *inform;
    ftnint    informlen;
    char    *inunf;
    ftnlen    inunflen;
    ftnint    *inrecl;
    ftnint    *innrec;
    char    *inblank;
    ftnlen    inblanklen;
} inlist;

#define VOID void
 //
 //
 // union Multitype {    /* for multiple entry points */
 //     integer1 g;
 //     shortint h;
 //     integer i;
 //     /* longint j; */
 //     real r;
 //     doublereal d;
 //     complex c;
 //     doublecomplex z;
 //     };
 //
 // typedef union Multitype Multitype;
 //

/*typedef long int Long;*/    /* No longer used; formerly in Namelist */

struct Vardesc {    /* for Namelist */
    char *name;
    char *addr;
    ftnlen *dims;
    int  type;
    };
typedef struct Vardesc Vardesc;

struct Namelist {
    char *name;
    Vardesc **vars;
    int nvars;
    };
typedef struct Namelist Namelist;

#define abs(x) ((x) >= 0 ? (x) : -(x))
#define dabs(x) (doublereal)abs(x)
#define min(a,b) ((a) <= (b) ? (a) : (b))
#define max(a,b) ((a) >= (b) ? (a) : (b))
#define dmin(a,b) (doublereal)min(a,b)
#define dmax(a,b) (doublereal)max(a,b)
#define bit_test(a,b)    ((a) >> (b) & 1)
#define bit_clear(a,b)    ((a) & ~((uinteger)1 << (b)))
#define bit_set(a,b)    ((a) |  ((uinteger)1 << (b)))

/* procedure parameter types for -A and -C++ */

#define F2C_proc_par_types 1
#ifdef __cplusplus
typedef int /* Unknown procedure type */ (*U_fp)(...);
typedef shortint (*J_fp)(...);
typedef integer (*I_fp)(...);
typedef real (*R_fp)(...);
typedef doublereal (*D_fp)(...), (*E_fp)(...);
typedef /* Complex */ VOID (*C_fp)(...);
typedef /* Double Complex */ VOID (*Z_fp)(...);
typedef logical (*L_fp)(...);
typedef shortlogical (*K_fp)(...);
typedef /* Character */ VOID (*H_fp)(...);
typedef /* Subroutine */ int (*S_fp)(...);
#else
typedef int /* Unknown procedure type */ (*U_fp)();
typedef shortint (*J_fp)();
typedef integer (*I_fp)();
typedef real (*R_fp)();
typedef doublereal (*D_fp)(), (*E_fp)();
typedef /* Complex */ VOID (*C_fp)();
typedef /* Double Complex */ VOID (*Z_fp)();
typedef logical (*L_fp)();
typedef shortlogical (*K_fp)();
typedef /* Character */ VOID (*H_fp)();
typedef /* Subroutine */ int (*S_fp)();
#endif
/* E_fp is for real functions when -R is not specified */
typedef VOID C_f;    /* complex function */
typedef VOID H_f;    /* character function */
typedef VOID Z_f;    /* double complex function */
typedef doublereal E_f;    /* real function with -R not specified */

/* undef any lower-case symbols that your C compiler predefines, e.g.: */

#ifndef Skip_f2c_Undefs
#undef cray
#undef gcos
#undef mc68010
#undef mc68020
#undef mips
#undef pdp11
#undef sgi
#undef sparc
#undef sun
#undef sun2
#undef sun3
#undef sun4
#undef u370
#undef u3b
#undef u3b2
#undef u3b5
#undef unix
#undef vax
#endif
#endif
double cmvbvu_(const double *sh,const  double *sk,
  const double  *r__);

#ifdef __cplusplus
}
#endif

double cumbvn(const double& x,const double& y,const double& rho)
{
  gradient_structure* gs = gradient_structure::_instance;
  gs->RETURN_ARRAYS_INCREMENT();

  double retval;
  double mx=-x;
  double my=-y;
  retval=cmvbvu_(&mx,&my,&rho);
  gs->RETURN_ARRAYS_DECREMENT();
  return retval;
}

double cumbvn(const double& xl,const double& yl,
  const double& xu,const double& yu,const double& rho)
{
  gradient_structure* gs = gradient_structure::_instance;
  gs->RETURN_ARRAYS_INCREMENT();
  double my=cumbvn(xl,yl,rho);
  my+=cumbvn(xu,yu,rho);
  my-=cumbvn(xl,yu,rho);
  my-=cumbvn(xu,yl,rho);
  gs->RETURN_ARRAYS_DECREMENT();
  return my;
}

#ifdef __cplusplus
extern "C" {
#endif
/* BVN - calculate the probability that X is larger than SH and Y is */
/*       larger than SK. */
double cmvbvu_(const double *sh,const double *sk,const double *r__)
{
  gradient_structure* gs = gradient_structure::_instance;
  gs->RETURN_ARRAYS_INCREMENT();
    /* Initialized data */

    static struct {
    doublereal e_1[3];
    doublereal fill_2[7];
    doublereal e_3[6];
    doublereal fill_4[4];
    doublereal e_5[10];
    } equiv_21 = { {.1713244923791705, .3607615730481384,
        .4679139345726904}, {0, 0, 0, 0, 0, 0, 0},
        {.04717533638651177, .1069393259953183,
         .1600783285433464, .2031674267230659, .2334925365383547,
        .2491470458134029}, {0, 0, 0, 0}, {.01761400713915212,
        .04060142980038694, .06267204833410906, .08327674157670475,
        .1019301198172404, .1181945319615184, .1316886384491766,
        .1420961093183821, .1491729864726037, .1527533871307259}};

#define w ((doublereal *)&equiv_21)

    static struct {
    doublereal e_1[3];
    doublereal fill_2[7];
    doublereal e_3[6];
    doublereal fill_4[4];
    doublereal e_5[10];
    } equiv_22 = { {-.9324695142031522, -.6612093864662647,
        -.238619186083197}, {0, 0, 0, 0, 0, 0, 0}, {-.9815606342467191,
        -.904117256370475,
         -.769902674194305, -.5873179542866171, -.3678314989981802,
        -.1252334085114692}, {0, 0, 0, 0}, {-.9931285991850949,
        -.9639719272779138, -.9122344282513259, -.8391169718222188,
        -.7463319064601508, -.636053680726515, -.5108670019508271,
        -.3737060887154196, -.2277858511416451, -.07652652113349733}};

#define x ((doublereal *)&equiv_22)


    /* System generated locals */
    integer i__1;
    double  ret_val, d__1, d__2,d__3,d__4;

    /* Builtin functions */
    //double asin(doublereal), sin(doublereal), exp(doublereal), sqrt(
//        doublereal);

    /* Local variables */
    static double  a, b, c__, d__, h__;
    static integer i__;
    //static doublereal k;
    static double k;
    extern double cmvphi_(double *);
    static integer lg;
    //static doublereal as;
    static double as;
    static integer ng;
    static double  bs,rs,xs;
    static double hs, hk, sn, asr, bvn;


/*     A function for computing bivariate normal probabilities; */
/*       developed using */
/*         Drezner, Z. and Wesolowsky, G. O. (1989), */
/*         On the Computation of the Bivariate Normal Integral, */
/*         J. Stat. Comput. Simul.. 35 pp. 101-107. */
/*       with extensive modications for double precisions by */
/*         Alan Genz and Yihong Ge */
/*         Department of Mathematics */
/*         Washington State University */
/*         Pullman, WA 99164-3113 */
/*         Email : alangenz@wsu.edu */

/* BVN - calculate the probability that X is larger than SH and Y is */
/*       larger than SK. */

/* Parameters */

/*   SH  REAL, integration limit */
/*   SK  REAL, integration limit */
/*   R   REAL, correlation coefficient */
/*   LG  INTEGER, number of Gauss Rule Points and Weights */

/*     Gauss Legendre Points and Weights, N =  6 */
/*     Gauss Legendre Points and Weights, N = 12 */
/*     Gauss Legendre Points and Weights, N = 20 */
    if (abs(*r__) < (float).3) {
        ng = 1;
        lg = 3;
    } else if (abs(*r__) < (float).75) {
        ng = 2;
        lg = 6;
    } else {
        ng = 3;
        lg = 10;
    }
    h__ = *sh;
    k = *sk;
    hk = h__ * k;
    bvn = 0.;
    if (abs(*r__) < (float).925) {
    hs = (h__ * h__ + k * k) / 2;
    asr = asin(*r__);
    i__1 = lg;
    for (i__ = 1; i__ <= i__1; ++i__) {
        sn = sin(asr * (x[i__ + ng * 10 - 11] + 1) / 2);
        bvn += w[i__ + ng * 10 - 11] * exp((sn * hk - hs) / (1 - sn * sn));
        sn = sin(asr * (-x[i__ + ng * 10 - 11] + 1) / 2);
        bvn += w[i__ + ng * 10 - 11] * exp((sn * hk - hs) / (1 - sn * sn));
    }
    d__1 = -h__;
    d__2 = -k;
    bvn = bvn * asr / 12.566370614359172 + cmvphi_(&d__1) * cmvphi_(&d__2);
    } else {
        if (*r__ < 0.) {
            k = -k;
            hk = -hk;
        }
        if (abs(*r__) < 1.) {
            as = (1 - *r__) * (*r__ + 1);
            a = sqrt(as);
/* Computing 2nd power */
            d__1 = h__ - k;
            bs = d__1 * d__1;
            c__ = (4 - hk) / 8;
            d__ = (12 - hk) / 16;
            bvn = a * exp(-(bs / as + hk) / 2) * (1 - c__ * (bs - as) * (1 -
                d__ * bs / 5) / 3 + c__ * d__ * as * as / 5);
            if (hk > -160.) {
                b = sqrt(bs);
                d__1 = -b / a;
                bvn -= exp(-hk / 2) * sqrt(6.283185307179586) * cmvphi_(&d__1)
                * b * (1 - c__ * bs * (1 - d__ * bs / 5) / 3);
            }
            a /= 2;
            i__1 = lg;
            for (i__ = 1; i__ <= i__1; ++i__) {
/* Computing 2nd power */
                d__1 = a * (x[i__ + ng * 10 - 11] + 1);
                xs = d__1 * d__1;
                rs = sqrt(1 - xs);
                bvn += a * w[i__ + ng * 10 - 11] * (exp(-bs / (xs * 2) - hk /
                    (rs + 1)) / rs - exp(-(bs / xs + hk) / 2) * (c__ * xs
                    * (d__ * xs + 1) + 1));
/* Computing 2nd power */
                d__1 = -x[i__ + ng * 10 - 11] + 1;
                xs = as * (d__1 * d__1) / 4;
                rs = sqrt(1 - xs);
                bvn += a * w[i__ + ng * 10 - 11] * exp(-(bs / xs + hk) / 2) *
                    (exp(-hk * (1 - rs) / ((rs + 1) * 2)) / rs - (c__ *
                    xs * (d__ * xs + 1) + 1));
            }
            bvn = -bvn / 6.283185307179586;
        }
        if (*r__ > 0.) {
            d__1 = -max(h__,k);
            bvn += cmvphi_(&d__1);
        }
        if (*r__ < 0.) {
/* Computing MAX */
            d__3 = -h__;
            d__4 = -k;
            d__1 = 0., d__2 = cmvphi_(&d__3) - cmvphi_(&d__4);
            bvn = -bvn + max(d__1,d__2);
        }
    }
    ret_val = bvn;
    gs->RETURN_ARRAYS_DECREMENT();
    return ret_val;
} /* cmvbvu_ */

#undef x
#undef w

double cmvphi_(double *z__)
{
  gradient_structure* gs = gradient_structure::_instance;
  gs->RETURN_ARRAYS_INCREMENT();

    /* System generated locals */
    doublereal ret_val, d__1;

    /* Builtin functions */
#if !defined(USE_DDOUBLE)
    double exp(doublereal);
#endif

    /* Local variables */
    static doublereal zabs, p, expntl;


/*     Normal distribution probabilities accurate to 1.e-15. */
/*     Z = no. of standard deviations from the mean. */

/*     Based upon algorithm 5666 for the error function, from: */
/*     Hart, J.F. et al, 'Computer Approximations', Wiley 1968 */

/*     Programmer: Alan Miller */

/*     Latest revision - 30 March 1986 */


    zabs = abs(*z__);

/*     |Z| > 37 */

    if (zabs > 37.) {
        p = 0.;
    } else {
/*     |Z| <= 37 */

/* Computing 2nd power */
    d__1 = zabs;
    expntl = exp(-(d__1 * d__1) / 2);

/*     |Z| < CUTOFF = 10/SQRT(2) */

        if (zabs < 7.071067811865475) {
            p = expntl * ((((((zabs * .03526249659989109 + .7003830644436881)
                * zabs + 6.37396220353165) * zabs + 33.912866078383) *
                zabs + 112.0792914978709) * zabs + 221.2135961699311) *
                zabs + 220.2068679123761) / (((((((zabs *
                .08838834764831844 + 1.755667163182642) * zabs +
                16.06417757920695) * zabs + 86.78073220294608) * zabs +
                296.5642487796737) * zabs + 637.3336333788311) * zabs +
                793.8265125199484) * zabs + 440.4137358247522);

/*     |Z| >= CUTOFF. */

        } else {
            p = expntl / (zabs + 1 / (zabs + 2 / (zabs + 3 / (zabs + 4 / (
                zabs + .65))))) / 2.506628274631001;
        }
    }
    if (*z__ > 0.) {
        p = 1 - p;
    }
    ret_val = p;
    gs->RETURN_ARRAYS_DECREMENT();
    return ret_val;
} /* cmvphi_ */

#ifdef __cplusplus
}
#endif