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https://issues.apache.org/jira/browse/MATH-753?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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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));
In order to improve performance, log(beta) and Gamma.logGamma(alpha) could also
be precomputed and stored during initialization.
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));
> 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));
> In order to improve performance, log(beta) and Gamma.logGamma(alpha) could
> also be precomputed and stored during initialization.
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