p1l1: Numerically Stable p1l1(t) = (t+1)*log(1+t) - t
In DPQ: Density, Probability, Quantile ('DPQ') Computations
p1l1 R Documentation
Numerically Stable p1l1(t) = (t+1)*log(1+t) - t
Description
The binomial deviance function bd0(x,M) can mathematically
be re-written as bd0(x,M) = M * p1l1((x-M)/M) where we look into providing
numerically stable formula for p1l1(t) as its mathematical formula
p1l1(t) = (t+1)\log(1+t) - t
suffers from cancellation for small |t|, even when
log1p(t) is used instead of log(1+t).
Using a hybrid implementation, p1l1() uses a direct formula, now
the stable one in p1l1p(), for \left| t \right| > c
and a series approximation for \left|t\right| \le c for
some c.
NB: The re-expression log1pmx() is almost perfect; it
fixes the cancellation problem entirely (and exposes the fact that
log1pmx()'s internal cutoff seems sub optimal.
Usage
p1l1p (t, ...)
p1l1. (t)
p1l1 (t, F = t^2/2)
p1l1ser(t, k, F = t^2/2)
.p1l1ser(t, k, F = t^2/2)
Arguments
t
numeric a-like vector ("mpfr" included), larger (or equal) to -1.
...
optional (tuning) arguments, passed to log1pmx().
k
small positive integer, the number of terms to use in the Taylor
series approximation p1l1ser(t,k) of p1l1(t).
F
numeric vector of multiplication factor; must be
t^2/2 for the p1l1() function, but can be modified,
e.g. in more direct bd0() computations.
Details
for now see in bd0().
Value
numeric vector “as” t.
Author(s)
Martin Maechler
See Also
bd0; our package vignette log1pmx, bd0, stirlerr - Probability Computations in R.
dbinom the latter for the C.Loader(2000) reference.
Examples
t <- seq(-1, 4, by=1/64)
plot(t, p1l1ser(t, 1), type="l")
lines(t, p1l1.(t), lwd=5, col=adjustcolor(1, 1/2)) # direct formula
for(k in 2:6) lines(t, p1l1ser(t, k), col=k)
## zoom in
t <- 2^seq(-59,-1, by=1/4)
t <- c(-rev(t), 0, t)
stopifnot(!is.unsorted(t))
k.s <- 1:12; names(k.s) <- paste0("k=", 1:12)
## True function values: use Rmpfr with 256 bits precision: ---
### eventually move this to ../tests/ & ../vignettes/log1pmx-etc.Rnw
#### FIXME: eventually replace with if(requireNamespace("Rmpfr")){ ......}
#### =====
if((needRmpfr <- is.na(match("Rmpfr", (srch0 <- search())))))
require("Rmpfr")
p1l1.T <- p1l1.(mpfr(t, 256)) # "true" values
p1l1.n <- asNumeric(p1l1.T)
all.equal(sapply(k.s, function(k) p1l1ser(t,k)) -> m.p1l1,
sapply(k.s, function(k) .p1l1ser(t,k)) -> m.p1l., tolerance = 0)
p1tab <-
cbind(b1 = bd0(t+1, 1),
b.10 = bd0(10*t+10,10)/10,
dirct = p1l1.(t),
p1l1p = p1l1p(t),
p1l1 = p1l1 (t),
sapply(k.s, function(k) p1l1ser(t,k)))
matplot(t, p1tab, type="l", ylab = "p1l1*(t)")
## (absolute) error:
##' legend for matplot()
mpLeg <- function(leg = colnames(p1tab), xy = "top", col=1:6, lty=1:5, lwd=1,
pch = c(1L:9L, 0L, letters, LETTERS)[seq_along(leg)], ...)
legend(xy, legend=leg, col=col, lty=lty, lwd=lwd, pch=pch, ncol=3, ...)
titAbs <- "Absolute errors of p1l1(t) approximations"
matplot(t, asNumeric(p1tab - p1l1.T), type="o", main=titAbs); mpLeg()
i <- abs(t) <= 1/10 ## zoom in a bit
matplot(t[i], abs(asNumeric((p1tab - p1l1.T)[i,])), type="o", log="y",
main=titAbs, ylim = c(1e-18, 0.003)); mpLeg()
## Relative Error
titR <- "|Relative error| of p1l1(t) approximations"
matplot(t[i], abs(asNumeric((p1tab/p1l1.T - 1)[i,])), type="o", log="y",
ylim = c(1e-18, 2^-10), main=titR)
mpLeg(xy="topright", bg= adjustcolor("gray80", 4/5))
i <- abs(t) <= 2^-10 # zoom in more
matplot(t[i], abs(asNumeric((p1tab/p1l1.T - 1)[i,])), type="o", log="y",
ylim = c(1e-18, 1e-9))
mpLeg(xy="topright", bg= adjustcolor("gray80", 4/5))
## Correct number of digits
corDig <- asNumeric(-log10(abs(p1tab/p1l1.T - 1)))
cbind(t, round(corDig, 1))# correct number of digits
matplot(t, corDig, type="o", ylim = c(1,17))
(cN <- colnames(corDig))
legend(-.5, 14, cN, col=1:6, lty=1:5, pch = c(1L:9L, 0L, letters), ncol=2)
## plot() function >>>> using global (t, corDig) <<<<<<<<<
p.relEr <- function(i, ylim = c(11,17), type = "o",
leg.pos = "left", inset=1/128,
main = sprintf(
"Correct #{Digits} in p1l1() approx., notably Taylor(k=1 .. %d)",
max(k.s)))
{
if((neg <- all(t[i] < 0)))
t <- -t
stopifnot(all(t[i] > 0), length(ylim) == 2) # as we use log="x"
matplot(t[i], corDig[i,], type=type, ylim=ylim, log="x", xlab = quote(t), xaxt="n",
main=main)
legend(leg.pos, cN, col=1:6, lty=1:5, pch = c(1L:9L, 0L, letters), ncol=2,
bg=adjustcolor("gray90", 7/8), inset=inset)
t.epsC <- -log10(c(1,2,4)* .Machine$double.eps)
axis(2, at=t.epsC, labels = expression(epsilon[C], 2*epsilon[C], 4*epsilon[C]),
las=2, col=2, line=1)
tenRs <- function(t) floor(log10(min(t))) : ceiling(log10(max(t)))
tenE <- tenRs(t[i])
tE <- 10^tenE
abline (h = t.epsC,
v = tE, lty=3, col=adjustcolor("gray",.8), lwd=2)
AX <- if(requireNamespace("sfsmisc")) sfsmisc::eaxis else axis
AX(1, at= tE, labels = as.expression(
lapply(tenE,
if(neg)
function(e) substitute(-10^{E}, list(E = e+0))
else
function(e) substitute( 10^{E}, list(E = e+0)))))
}
p.relEr(t > 0, ylim = c(1,17))
p.relEr(t > 0) # full positive range
p.relEr(t < 0) # full negative range
if(FALSE) {## (actually less informative):
p.relEr(i = 0 < t & t < .01) ## positive small t
p.relEr(i = -.1 < t & t < 0) ## negative small t
}
## Find approximate formulas for accuracy of k=k* approximation
d.corrD <- cbind(t=t, as.data.frame(corDig))
names(d.corrD) <- sub("k=", "nC_", names(d.corrD))
fmod <- function(k, data, cut.y.at = -log10(2 * .Machine$double.eps),
good.y = -log10(.Machine$double.eps), # ~ 15.654
verbose=FALSE) {
varNm <- paste0("nC_",k)
stopifnot(is.numeric(y <- get(varNm, data, inherits=FALSE)),
is.numeric(t <- data$t))# '$' works for data.frame, list, environment
i <- 3 <= y & y <= cut.y.at
i.pos <- i & t > 0
i.neg <- i & t < 0
if(verbose) cat(sprintf("k=%d >> y <= %g ==> #{pos. t} = %d ; #{neg. t} = %d\n",
k, cut.y.at, sum(i.pos), sum(i.neg)))
nCoefLm <- function(x,y) `names<-`(.lm.fit(x=x, y=y)$coeff, c("int", "slp"))
nC.t <- function(x,y) { cf <- nCoefLm(x,y); c(cf, t.0 = exp((good.y - cf[[1]])/cf[[2]])) }
cbind(pos = nC.t(cbind(1, log( t[i.pos])), y[i.pos]),
neg = nC.t(cbind(1, log(-t[i.neg])), y[i.neg]))
}
rr <- sapply(k.s, fmod, data=d.corrD, verbose=TRUE, simplify="array")
stopifnot(rr["slp",,] < 0) # all slopes are negative (important!)
matplot(k.s, t(rr["slp",,]), type="o", xlab = quote(k), ylab = quote(slope[k]))
## fantastcally close to linear in k
## The numbers, nicely arranged
ftable(aperm(rr, c(3,2,1)))
signif(t(rr["t.0",,]),3) # ==> Should be boundaries for the hybrid p1l1()
## pos neg
## k=1 6.60e-16 6.69e-16
## k=2 3.65e-08 3.65e-08
## k=3 1.30e-05 1.32e-05
## k=4 2.39e-04 2.42e-04
## k=5 1.35e-03 1.38e-03
## k=6 4.27e-03 4.34e-03
## k=7 9.60e-03 9.78e-03
## k=8 1.78e-02 1.80e-02
## k=9 2.85e-02 2.85e-02
## k=10 4.13e-02 4.14e-02
## k=11 5.62e-02 5.64e-02
## k=12 7.24e-02 7.18e-02
###------------- Well, p1l1p() is really basically good enough ... with a small exception:
rErr1k <- curve(asNumeric(p1l1p(x) / p1l1.(mpfr(x, 4096)) - 1), -.999, .999,
n = 4000, col=2, lwd=2)
abline(h = c(-8,-4,-2:2,4,8)* 2^-52, lty=2, col=adjustcolor("gray20", 1/4))
## well, have a "spike" at around -0.8 -- why?
plot(abs(y) ~ x, data = rErr1k, ylim = c(4e-17, max(abs(y))),
ylab = expression(abs(hat(p)/p - 1)),
main = "p1l1p(x) -- Relative Error wrt mpfr(*. 4096) [log]",
col=2, lwd=1.5, type = "b", cex=1/2, log="y", yaxt="n")
sfsmisc::eaxis(2)
eps124 <- c(1, 2,4,8)* 2^-52
abline(h = eps124, lwd=c(3,1,1,1), lty=c(1,2,2,2), col=adjustcolor("gray20", 1/4))
axLab <- expression(epsilon[c], 2*epsilon[c], 4*epsilon[c], 8*epsilon[c])
axis(4, at = eps124, labels = axLab, col="gray20", las=1)
abline(v= -.791, lty=3, lwd=2, col="blue4") # -.789 from visual ..
##--> The "error" is in log1pmx() which has cutoff minLog1Value = -0.79149064
##--> which is clearly not optimal, at least not for computing p1l1p()
d <- 1/2048; x <- seq(-1+d, 1, by=d)
p1l1Xct <- p1l1.(mpfr(x, 4096))
rEx.5 <- asNumeric(p1l1p(x, minL1 = -0.5) / p1l1Xct - 1)
lines(x, abs(rEx.5), lwd=2.5, col=adjustcolor(4, 1/2)); abline(v=-.5, lty=2,col=4)
rEx.25 <- asNumeric(p1l1p(x, minL1 = -0.25) / p1l1Xct - 1)
lines(x, abs(rEx.25), lwd=3.5, col=adjustcolor(6, 1/2)); abline(v=-.25, lty=2,col=6)
lines(lowess(x, abs(rEx.5), f=1/20), col=adjustcolor(4,offset=rep(1,4)/3), lwd=3)
lines(lowess(x, abs(rEx.25), f=1/20), col=adjustcolor(6,offset=rep(1,4)/3), lwd=
3)
rEx.4 <- asNumeric(p1l1p(x, tol_logcf=1e-15, minL1 = -0.4) / p1l1Xct - 1)
lines(x, abs(rEx.4), lwd=5.5, col=adjustcolor("brown", 1/2)); abline(v=-.25, lty=2,col="brown")
if(needRmpfr && isNamespaceLoaded("Rmpfr"))
detach("package:Rmpfr")
DPQ documentation built on Nov. 3, 2023, 5:07 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| p1l1 | R Documentation |
Numerically Stable p1l1(t) = (t+1)*log(1+t) - t
Description
The binomial deviance function bd0(x,M) can mathematically
be re-written as bd0(x,M) = M * p1l1((x-M)/M) where we look into providing
numerically stable formula for p1l1(t) as its mathematical formula
p1l1(t) = (t+1)\log(1+t) - t
suffers from cancellation for small |t|, even when
log1p(t) is used instead of log(1+t).
Using a hybrid implementation, p1l1() uses a direct formula, now
the stable one in p1l1p(), for \left| t \right| > c
and a series approximation for \left|t\right| \le c for
some c.
NB: The re-expression log1pmx() is almost perfect; it
fixes the cancellation problem entirely (and exposes the fact that
log1pmx()'s internal cutoff seems sub optimal.
Usage
p1l1p (t, ...)
p1l1. (t)
p1l1 (t, F = t^2/2)
p1l1ser(t, k, F = t^2/2)
.p1l1ser(t, k, F = t^2/2)
Arguments
t |
numeric a-like vector ("mpfr" included), larger (or equal) to -1. |
... |
optional (tuning) arguments, passed to |
k |
small positive integer, the number of terms to use in the Taylor
series approximation |
F |
numeric vector of multiplication factor; must be
|
Details
for now see in bd0().
Value
numeric vector “as” t.
Author(s)
Martin Maechler
See Also
bd0; our package vignette log1pmx, bd0, stirlerr - Probability Computations in R.
dbinom the latter for the C.Loader(2000) reference.
Examples
t <- seq(-1, 4, by=1/64)
plot(t, p1l1ser(t, 1), type="l")
lines(t, p1l1.(t), lwd=5, col=adjustcolor(1, 1/2)) # direct formula
for(k in 2:6) lines(t, p1l1ser(t, k), col=k)
## zoom in
t <- 2^seq(-59,-1, by=1/4)
t <- c(-rev(t), 0, t)
stopifnot(!is.unsorted(t))
k.s <- 1:12; names(k.s) <- paste0("k=", 1:12)
## True function values: use Rmpfr with 256 bits precision: ---
### eventually move this to ../tests/ & ../vignettes/log1pmx-etc.Rnw
#### FIXME: eventually replace with if(requireNamespace("Rmpfr")){ ......}
#### =====
if((needRmpfr <- is.na(match("Rmpfr", (srch0 <- search())))))
require("Rmpfr")
p1l1.T <- p1l1.(mpfr(t, 256)) # "true" values
p1l1.n <- asNumeric(p1l1.T)
all.equal(sapply(k.s, function(k) p1l1ser(t,k)) -> m.p1l1,
sapply(k.s, function(k) .p1l1ser(t,k)) -> m.p1l., tolerance = 0)
p1tab <-
cbind(b1 = bd0(t+1, 1),
b.10 = bd0(10*t+10,10)/10,
dirct = p1l1.(t),
p1l1p = p1l1p(t),
p1l1 = p1l1 (t),
sapply(k.s, function(k) p1l1ser(t,k)))
matplot(t, p1tab, type="l", ylab = "p1l1*(t)")
## (absolute) error:
##' legend for matplot()
mpLeg <- function(leg = colnames(p1tab), xy = "top", col=1:6, lty=1:5, lwd=1,
pch = c(1L:9L, 0L, letters, LETTERS)[seq_along(leg)], ...)
legend(xy, legend=leg, col=col, lty=lty, lwd=lwd, pch=pch, ncol=3, ...)
titAbs <- "Absolute errors of p1l1(t) approximations"
matplot(t, asNumeric(p1tab - p1l1.T), type="o", main=titAbs); mpLeg()
i <- abs(t) <= 1/10 ## zoom in a bit
matplot(t[i], abs(asNumeric((p1tab - p1l1.T)[i,])), type="o", log="y",
main=titAbs, ylim = c(1e-18, 0.003)); mpLeg()
## Relative Error
titR <- "|Relative error| of p1l1(t) approximations"
matplot(t[i], abs(asNumeric((p1tab/p1l1.T - 1)[i,])), type="o", log="y",
ylim = c(1e-18, 2^-10), main=titR)
mpLeg(xy="topright", bg= adjustcolor("gray80", 4/5))
i <- abs(t) <= 2^-10 # zoom in more
matplot(t[i], abs(asNumeric((p1tab/p1l1.T - 1)[i,])), type="o", log="y",
ylim = c(1e-18, 1e-9))
mpLeg(xy="topright", bg= adjustcolor("gray80", 4/5))
## Correct number of digits
corDig <- asNumeric(-log10(abs(p1tab/p1l1.T - 1)))
cbind(t, round(corDig, 1))# correct number of digits
matplot(t, corDig, type="o", ylim = c(1,17))
(cN <- colnames(corDig))
legend(-.5, 14, cN, col=1:6, lty=1:5, pch = c(1L:9L, 0L, letters), ncol=2)
## plot() function >>>> using global (t, corDig) <<<<<<<<<
p.relEr <- function(i, ylim = c(11,17), type = "o",
leg.pos = "left", inset=1/128,
main = sprintf(
"Correct #{Digits} in p1l1() approx., notably Taylor(k=1 .. %d)",
max(k.s)))
{
if((neg <- all(t[i] < 0)))
t <- -t
stopifnot(all(t[i] > 0), length(ylim) == 2) # as we use log="x"
matplot(t[i], corDig[i,], type=type, ylim=ylim, log="x", xlab = quote(t), xaxt="n",
main=main)
legend(leg.pos, cN, col=1:6, lty=1:5, pch = c(1L:9L, 0L, letters), ncol=2,
bg=adjustcolor("gray90", 7/8), inset=inset)
t.epsC <- -log10(c(1,2,4)* .Machine$double.eps)
axis(2, at=t.epsC, labels = expression(epsilon[C], 2*epsilon[C], 4*epsilon[C]),
las=2, col=2, line=1)
tenRs <- function(t) floor(log10(min(t))) : ceiling(log10(max(t)))
tenE <- tenRs(t[i])
tE <- 10^tenE
abline (h = t.epsC,
v = tE, lty=3, col=adjustcolor("gray",.8), lwd=2)
AX <- if(requireNamespace("sfsmisc")) sfsmisc::eaxis else axis
AX(1, at= tE, labels = as.expression(
lapply(tenE,
if(neg)
function(e) substitute(-10^{E}, list(E = e+0))
else
function(e) substitute( 10^{E}, list(E = e+0)))))
}
p.relEr(t > 0, ylim = c(1,17))
p.relEr(t > 0) # full positive range
p.relEr(t < 0) # full negative range
if(FALSE) {## (actually less informative):
p.relEr(i = 0 < t & t < .01) ## positive small t
p.relEr(i = -.1 < t & t < 0) ## negative small t
}
## Find approximate formulas for accuracy of k=k* approximation
d.corrD <- cbind(t=t, as.data.frame(corDig))
names(d.corrD) <- sub("k=", "nC_", names(d.corrD))
fmod <- function(k, data, cut.y.at = -log10(2 * .Machine$double.eps),
good.y = -log10(.Machine$double.eps), # ~ 15.654
verbose=FALSE) {
varNm <- paste0("nC_",k)
stopifnot(is.numeric(y <- get(varNm, data, inherits=FALSE)),
is.numeric(t <- data$t))# '$' works for data.frame, list, environment
i <- 3 <= y & y <= cut.y.at
i.pos <- i & t > 0
i.neg <- i & t < 0
if(verbose) cat(sprintf("k=%d >> y <= %g ==> #{pos. t} = %d ; #{neg. t} = %d\n",
k, cut.y.at, sum(i.pos), sum(i.neg)))
nCoefLm <- function(x,y) `names<-`(.lm.fit(x=x, y=y)$coeff, c("int", "slp"))
nC.t <- function(x,y) { cf <- nCoefLm(x,y); c(cf, t.0 = exp((good.y - cf[[1]])/cf[[2]])) }
cbind(pos = nC.t(cbind(1, log( t[i.pos])), y[i.pos]),
neg = nC.t(cbind(1, log(-t[i.neg])), y[i.neg]))
}
rr <- sapply(k.s, fmod, data=d.corrD, verbose=TRUE, simplify="array")
stopifnot(rr["slp",,] < 0) # all slopes are negative (important!)
matplot(k.s, t(rr["slp",,]), type="o", xlab = quote(k), ylab = quote(slope[k]))
## fantastcally close to linear in k
## The numbers, nicely arranged
ftable(aperm(rr, c(3,2,1)))
signif(t(rr["t.0",,]),3) # ==> Should be boundaries for the hybrid p1l1()
## pos neg
## k=1 6.60e-16 6.69e-16
## k=2 3.65e-08 3.65e-08
## k=3 1.30e-05 1.32e-05
## k=4 2.39e-04 2.42e-04
## k=5 1.35e-03 1.38e-03
## k=6 4.27e-03 4.34e-03
## k=7 9.60e-03 9.78e-03
## k=8 1.78e-02 1.80e-02
## k=9 2.85e-02 2.85e-02
## k=10 4.13e-02 4.14e-02
## k=11 5.62e-02 5.64e-02
## k=12 7.24e-02 7.18e-02
###------------- Well, p1l1p() is really basically good enough ... with a small exception:
rErr1k <- curve(asNumeric(p1l1p(x) / p1l1.(mpfr(x, 4096)) - 1), -.999, .999,
n = 4000, col=2, lwd=2)
abline(h = c(-8,-4,-2:2,4,8)* 2^-52, lty=2, col=adjustcolor("gray20", 1/4))
## well, have a "spike" at around -0.8 -- why?
plot(abs(y) ~ x, data = rErr1k, ylim = c(4e-17, max(abs(y))),
ylab = expression(abs(hat(p)/p - 1)),
main = "p1l1p(x) -- Relative Error wrt mpfr(*. 4096) [log]",
col=2, lwd=1.5, type = "b", cex=1/2, log="y", yaxt="n")
sfsmisc::eaxis(2)
eps124 <- c(1, 2,4,8)* 2^-52
abline(h = eps124, lwd=c(3,1,1,1), lty=c(1,2,2,2), col=adjustcolor("gray20", 1/4))
axLab <- expression(epsilon[c], 2*epsilon[c], 4*epsilon[c], 8*epsilon[c])
axis(4, at = eps124, labels = axLab, col="gray20", las=1)
abline(v= -.791, lty=3, lwd=2, col="blue4") # -.789 from visual ..
##--> The "error" is in log1pmx() which has cutoff minLog1Value = -0.79149064
##--> which is clearly not optimal, at least not for computing p1l1p()
d <- 1/2048; x <- seq(-1+d, 1, by=d)
p1l1Xct <- p1l1.(mpfr(x, 4096))
rEx.5 <- asNumeric(p1l1p(x, minL1 = -0.5) / p1l1Xct - 1)
lines(x, abs(rEx.5), lwd=2.5, col=adjustcolor(4, 1/2)); abline(v=-.5, lty=2,col=4)
rEx.25 <- asNumeric(p1l1p(x, minL1 = -0.25) / p1l1Xct - 1)
lines(x, abs(rEx.25), lwd=3.5, col=adjustcolor(6, 1/2)); abline(v=-.25, lty=2,col=6)
lines(lowess(x, abs(rEx.5), f=1/20), col=adjustcolor(4,offset=rep(1,4)/3), lwd=3)
lines(lowess(x, abs(rEx.25), f=1/20), col=adjustcolor(6,offset=rep(1,4)/3), lwd=
3)
rEx.4 <- asNumeric(p1l1p(x, tol_logcf=1e-15, minL1 = -0.4) / p1l1Xct - 1)
lines(x, abs(rEx.4), lwd=5.5, col=adjustcolor("brown", 1/2)); abline(v=-.25, lty=2,col="brown")
if(needRmpfr && isNamespaceLoaded("Rmpfr"))
detach("package:Rmpfr")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.