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https://issues.apache.org/jira/browse/MATH-785?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Colin J. Fuller updated MATH-785:
---------------------------------
Attachment: patch.txt
Patch to fix the numerical underflow problem in ContinuedFraction.
> Numerical Underflow in ContinuedFraction
> ----------------------------------------
>
> Key: MATH-785
> URL: https://issues.apache.org/jira/browse/MATH-785
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 3.0
> Environment: Issue seen in both 3.0 release binary version as well as
> a fresh checkout of the subversion trunk.
> java -version output:
> java version "1.6.0_26"
> Java(TM) SE Runtime Environment (build 1.6.0_26-b03)
> Java HotSpot(TM) 64-Bit Server VM (build 20.1-b02, mixed mode)
> (On Ubuntu 12.04)
> Reporter: Colin J. Fuller
> Attachments: patch.txt
>
>
> The ContinuedFraction calculation can underflow in the evaluate method,
> similar to the overflow case already dealt with. I encountered this problem
> while trying to evaluate the inverse cumulative probability of an F
> distribution with a large number of degrees of freedom.
> I would guess this has the same cause as MATH-718 and MATH-738, though I am
> not experiencing inaccurate results but rather an exception.
> For instance, the following test case fails:
> double prob = 0.01;
> FDistribution f = new FDistribution(200000, 200000);
> double fails = f.inverseCumulativeProbability(prob);
> This produces a NoBracketingException with the following stack trace:
> org.apache.commons.math3.exception.NoBracketingException: function values at
> endpoints do not have different signs, endpoints: [0, 1], values: [-0.01, -∞]
> at
> org.apache.commons.math3.analysis.solvers.BrentSolver.doSolve(BrentSolver.java:118)
> at
> org.apache.commons.math3.analysis.solvers.BaseAbstractUnivariateSolver.solve(BaseAbstractUnivariateSolver.java:190)
> at
> org.apache.commons.math3.analysis.solvers.BaseAbstractUnivariateSolver.solve(BaseAbstractUnivariateSolver.java:195)
> at
> org.apache.commons.math3.analysis.solvers.UnivariateSolverUtils.solve(UnivariateSolverUtils.java:77)
> at
> org.apache.commons.math3.distribution.AbstractRealDistribution.inverseCumulativeProbability(AbstractRealDistribution.java:156)
> I could avoid the issue as in the comment to MATH-718 by relaxing the default
> value of epsilon in ContinuedFraction, although in my test case I can't see
> any reason the current default precision shouldn't be attainable.
> I fixed the issue by implementing underflow detection in ContinuedFraction
> and rescaling to larger values similarly to how the overflow detection that
> is already there works. I will attach a patch shortly.
> One possible issue with this fix is that if there exists a case where there
> is a legitimate reason for p2 or q2 to be zero (I cannot think of one), it
> might break that case.
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