incbeta.c

/*
 * zlib License
 *
 * Regularized Incomplete Beta Function
 *
 * Copyright (c) 2016, 2017 Lewis Van Winkle
 * http://CodePlea.com
 *
 * This software is provided 'as-is', without any express or implied
 * warranty. In no event will the authors be held liable for any damages
 * arising from the use of this software.
 *
 * Permission is granted to anyone to use this software for any purpose,
 * including commercial applications, and to alter it and redistribute it
 * freely, subject to the following restrictions:
 *
 * 1. The origin of this software must not be misrepresented; you must not
 *    claim that you wrote the original software. If you use this software
 *    in a product, an acknowledgement in the product documentation would be
 *    appreciated but is not required.
 * 2. Altered source versions must be plainly marked as such, and must not be
 *    misrepresented as being the original software.
 * 3. This notice may not be removed or altered from any source distribution.
 */



#include <math.h>

#define STOP 1.0e-8
#define TINY 1.0e-30

double incbeta(double a, double b, double x) {
    if (x < 0.0 || x > 1.0) return 1.0/0.0;

    /*The continued fraction converges nicely for x < (a+1)/(a+b+2)*/
    if (x > (a+1.0)/(a+b+2.0)) {
        return (1.0-incbeta(b,a,1.0-x)); /*Use the fact that beta is symmetrical.*/
    }

    /*Find the first part before the continued fraction.*/
    const double lbeta_ab = lgamma(a)+lgamma(b)-lgamma(a+b);
    const double front = exp(log(x)*a+log(1.0-x)*b-lbeta_ab) / a;

    /*Use Lentz's algorithm to evaluate the continued fraction.*/
    double f = 1.0, c = 1.0, d = 0.0;

    int i, m;
    for (i = 0; i <= 200; ++i) {
        m = i/2;

        double numerator;
        if (i == 0) {
            numerator = 1.0; /*First numerator is 1.0.*/
        } else if (i % 2 == 0) {
            numerator = (m*(b-m)*x)/((a+2.0*m-1.0)*(a+2.0*m)); /*Even term.*/
        } else {
            numerator = -((a+m)*(a+b+m)*x)/((a+2.0*m)*(a+2.0*m+1)); /*Odd term.*/
        }

        /*Do an iteration of Lentz's algorithm.*/
        d = 1.0 + numerator * d;
        if (fabs(d) < TINY) d = TINY;
        d = 1.0 / d;

        c = 1.0 + numerator / c;
        if (fabs(c) < TINY) c = TINY;

        const double cd = c*d;
        f *= cd;

        /*Check for stop.*/
        if (fabs(1.0-cd) < STOP) {
            return front * (f-1.0);
        }
    }

    return 1.0/0.0; /*Needed more loops, did not converge.*/
}