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https://issues.apache.org/jira/browse/MATH-311?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Brent Worden resolved MATH-311.
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Resolution: Fixed
Fix Version/s: 2.1
- Made the SaddlePointExpansion (probably not the best name) utility class that
implements Catheline Loader's saddle point expansion approximation.
- Utilized this new class in the Binomial, Hypergeometric, and Poisson
distributions.
- Updated the Binomial test cases with the data provided by Nipun.
Changes are all checked in and critiques are welcome.
> Replaced the BinomialDistribution existing PDF with Catherine Loader's
> algorithm (as per wishlist on the wiki page)
> -------------------------------------------------------------------------------------------------------------------
>
> Key: MATH-311
> URL: https://issues.apache.org/jira/browse/MATH-311
> Project: Commons Math
> Issue Type: Improvement
> Reporter: Nipun Jawalkar
> Priority: Minor
> Fix For: 2.1
>
> Attachments: BinomialDistributionPatch.txt
>
>
> The existing PDF for Binomial distributions cannot handle n>1029. This
> implementation of Catherine Loader's algorithm can handle n upto and larger
> than 1000000. The Commons-Math wiki page has a wishlist entry asking for
> this, with a link to the paper describing the new algorithm:
> http://projects.scipy.org/scipy/raw-attachment/ticket/620/loader2000Fast.pdf
> I've updated the probability() function in BInomialDistributionImpl.java, as
> well as the unit test for this method. The updated unit test has higher
> precision expected values, which were calculated with Mathematica 6.
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