Monday, June 2, 2008

Gamma Distribution CDF

See In GAMS we have the GAMMAREG function (see so no need to program this yourself using external functions.

The Gamma CDF from denoted by F(x;k,θ) with
  • scale parameter θ
  • shape parameter k
  • mean: k·θ
  • variance: k·θ2

can be expressed in GAMS by:

F(x;k,θ) = GAMMAREG(x/θ,k)

Both first and second derivatives are available for solvers calling this function.