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Posted to issues@commons.apache.org by "Francesco Strino (Updated) (JIRA)" <ji...@apache.org> on 2012/02/24 22:41:49 UTC
[jira] [Updated] (MATH-753) Better implementation for the gamma
distribution density function
[ https://issues.apache.org/jira/browse/MATH-753?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Francesco Strino updated MATH-753:
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Description:
The way the density of the gamma distribution function is estimated can be improved.
It's much more stable to calculate first the log of the density and then exponentiate, otherwise the function returns NaN for high values of the parameters alpha and beta.
It would be sufficient to change the public double density(double x) function at line 204 in the file org.apache.commons.math.distribution.GammaDistributionImpl as follows:
return Math.exp(Math.log( x )*(alpha-1) - Math.log(beta)*alpha - x/beta - Gamma.logGamma(alpha));
was:
The way the density of the gamma distribution function is estimated can be improved.
It's much more stable to calculate first the log of the density and then exponentiate, otherwise the function returns NaN for high values of the parameters alpha and beta.
It would be sufficient to change the public double density(double x) function at line 204 in the file org.apache.commons.math.distribution.GammaDistributionImpl as follows:
return Math.exp(Math.log(x)*(alpha-1) - Math.log(beta)*alpha - x/beta - Gamma.logGamma(alpha));
Summary: Better implementation for the gamma distribution density function (was: Better implementation for the gamma distribution implementation)
> Better implementation for the gamma distribution density function
> -----------------------------------------------------------------
>
> Key: MATH-753
> URL: https://issues.apache.org/jira/browse/MATH-753
> Project: Commons Math
> Issue Type: Improvement
> Affects Versions: 2.2
> Reporter: Francesco Strino
> Priority: Minor
> Labels: improvement, stability
> Fix For: 2.2
>
>
> The way the density of the gamma distribution function is estimated can be improved.
> It's much more stable to calculate first the log of the density and then exponentiate, otherwise the function returns NaN for high values of the parameters alpha and beta.
> It would be sufficient to change the public double density(double x) function at line 204 in the file org.apache.commons.math.distribution.GammaDistributionImpl as follows:
> return Math.exp(Math.log( x )*(alpha-1) - Math.log(beta)*alpha - x/beta - Gamma.logGamma(alpha));
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