lssum: Compute Logarithm of a Sum with Signed Large Summands

In DPQ: Density, Probability, Quantile ('DPQ') Computations

Compute Logarithm of a Sum with Signed Large Summands

Description

Properly compute \log(x_1 + \ldots + x_n) for given log absolute values lxabs = log(|x_1|),.., log(|x_n|) and corresponding signs signs = sign(x_1),.., sign(x_n). Here, x_i is of arbitrary sign.

Notably this works in many cases where the direct sum would have summands that had overflown to +Inf or underflown to -Inf.

This is a (simpler, vector-only) version of copula:::lssum() (CRAN package copula).

Note that the precision is often not the problem for the direct summation, as R's sum() internally uses "long double" precision on most platforms.

Usage

lssum(lxabs, signs, l.off = max(lxabs), strict = TRUE)

Arguments

lxabs	n-vector of values \log(|x_1|), \ldots, \log(|x_n|).
signs	corresponding signs sign(x_1), \ldots, sign(x_n).
l.off	the offset to substract and re-add; ideally in the order of max(.).
strict	logical indicating if the function should stop on some negative sums.

Value

log(x_1 + .. + x_n) = = log(sum(x)) = log(sum(sign(x)*|x|)) = = log(sum(sign(x)*exp(log(|x|)))) = = log(exp(log(x0))*sum(signs*exp(log(|x|)-log(x0)))) = = log(x0) + log(sum(signs* exp(log(|x|)-log(x0)))) = = l.off + log(sum(signs* exp(lxabs - l.off )))

Author(s)

Marius Hofert and Martin Maechler (for package copula).

See Also

lsum() which computes an exponential sum in log scale with out signs.

Examples

rSamp <- function(n, lmean, lsd = 1/4, roundN = 16) {
  lax <- sort((1+1e-14*rnorm(n))*round(roundN*rnorm(n, m = lmean, sd = lsd))/roundN)
  sx <- rep_len(c(-1,1), n)
  list(lax=lax, sx=sx, x = sx*exp(lax))
}

set.seed(101)
L1 <- rSamp(1000, lmean = 700) # here, lssum() is not needed (no under-/overflow)
summary(as.data.frame(L1))
ax <- exp(lax <- L1$lax)
hist(lax); rug(lax)
hist( ax); rug( ax)
sx <- L1$sx
table(sx)
(lsSimple <- log(sum(L1$x)))           # 700.0373
(lsS <- lssum(lxabs = lax, signs = sx))# ditto
lsS - lsSimple # even exactly zero (in 64b Fedora 30 Linux which has nice 'long double')
stopifnot(all.equal(700.037327351478, lsS, tol=1e-14), all.equal(lsS, lsSimple))

L2 <- within(L1, { lax <- lax + 10; x <- sx*exp(lax) }) ; summary(L2$x) # some -Inf, +Inf
(lsSimpl2 <- log(sum(L2$ x)))                    # NaN
(lsS2 <- lssum(lxabs = L2$ lax, signs = L2$ sx)) # 710.0373
stopifnot(all.equal(lsS2, lsS + 10, tol = 1e-14))

DPQ documentation built on Nov. 3, 2024, 3 a.m.