Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Handle Beta degen from Inf params #167

Closed
wants to merge 1 commit into from
Closed

Handle Beta degen from Inf params #167

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
80 changes: 69 additions & 11 deletions src/distrs/beta.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -20,6 +20,28 @@ betapdf(α::Real, β::Real, x::Real) = exp(betalogpdf(α, β, x))

betalogpdf(α::Real, β::Real, x::Real) = betalogpdf(promote(α, β, x)...)
function betalogpdf(α::T, β::T, x::T) where {T<:Real}
# Handle degenerate cases
xf = float(typeof(x))
if isinf(α)
if isinf(β)
return float(last(promote(α, β, x,
x == .5 ? convert(xf, NaN) : convert(xf, -Inf)
)))
else
return float(last(promote(α, β, x,
x == 1 ? convert(xf, NaN) : convert(xf, -Inf)
)))
end
elseif (iszero(α) && β > 0) || isinf(β)
return float(last(promote(α, β, x,
x == 0 ? convert(xf, NaN) : convert(xf, -Inf)
)))
elseif iszero(β) && α > 0
return float(last(promote(α, β, x,
x == 1 ? convert(xf, NaN) : convert(xf, -Inf)
)))
end

# we ensure that `log(x)` and `log1p(-x)` do not error
y = clamp(x, 0, 1)
val = xlogy(α - 1, y) + xlog1py(β - 1, -y) - logbeta(α, β)
Expand All @@ -28,7 +50,13 @@ end

function betacdf(α::Real, β::Real, x::Real)
# Handle degenerate cases
if iszero(α) && β > 0
if isinf(α)
if isinf(β)
return float(last(promote(α, β, x, x >= 0.5f0)))
else
return float(last(promote(α, β, x, x >= 1)))
end
elseif (iszero(α) && β > 0) || isinf(β)
return float(last(promote(α, β, x, x >= 0)))
elseif iszero(β) && α > 0
return float(last(promote(α, β, x, x >= 1)))
Expand All @@ -39,7 +67,13 @@ end

function betaccdf(α::Real, β::Real, x::Real)
# Handle degenerate cases
if iszero(α) && β > 0
if isinf(α)
if isinf(β)
return float(last(promote(α, β, x, x < 0.5f0)))
else
return float(last(promote(α, β, x, x < 1)))
end
elseif (iszero(α) && β > 0) || isinf(β)
return float(last(promote(α, β, x, x < 0)))
elseif iszero(β) && α > 0
return float(last(promote(α, β, x, x < 1)))
Expand All @@ -52,7 +86,13 @@ end
# to an implementation based on the hypergeometric function ₂F₁ to avoid underflow.
function betalogcdf(α::T, β::T, x::T) where {T<:Real}
# Handle degenerate cases
if iszero(α) && β > 0
if isinf(α)
if isinf(β)
return log(last(promote(x, x >= 0.5f0)))
else
return log(last(promote(x, x >= 1)))
end
elseif (iszero(α) && β > 0) || isinf(β)
return log(last(promote(x, x >= 0)))
elseif iszero(β) && α > 0
return log(last(promote(x, x >= 1)))
Expand All @@ -74,7 +114,13 @@ betalogcdf(α::Real, β::Real, x::Real) = betalogcdf(promote(α, β, x)...)

function betalogccdf(α::Real, β::Real, x::Real)
# Handle degenerate cases
if iszero(α) && β > 0
if isinf(α)
if isinf(β)
return log(last(promote(α, β, x, x < 0.5f0)))
else
return log(last(promote(α, β, x, x < 1)))
end
elseif (iszero(α) && β > 0) || isinf(β)
return log(last(promote(α, β, x, x < 0)))
elseif iszero(β) && α > 0
return log(last(promote(α, β, x, x < 1)))
Expand All @@ -91,10 +137,16 @@ end
function betainvcdf(α::Real, β::Real, p::Real)
# Handle degenerate cases
if 0 ≤ p ≤ 1
if iszero(α) && β > 0
return last(promote(α, β, p, false))
if isinf(α)
if isinf(β)
return last(promote(α, β, p, convert(float(typeof(p)), 0.5)))
else
return last(promote(α, β, p, 1))
end
elseif (iszero(α) && β > 0) || isinf(β)
return last(promote(α, β, p, 0))
elseif iszero(β) && α > 0
return last(promote(α, β, p, p > 0))
return last(promote(α, β, p, 1))
end
end

Expand All @@ -104,12 +156,18 @@ end
function betainvccdf(α::Real, β::Real, p::Real)
# Handle degenerate cases
if 0 ≤ p ≤ 1
if iszero(α) && β > 0
return last(promote(α, β, p, p == 0))
if isinf(α)
if isinf(β)
return last(promote(α, β, p, convert(float(typeof(p)), 0.5)))
else
return last(promote(α, β, p, 1))
end
elseif (iszero(α) && β > 0) || isinf(β)
return last(promote(α, β, p, 0))
elseif iszero(β) && α > 0
return last(promote(α, β, p, true))
return last(promote(α, β, p, 1))
end
end

return last(beta_inc_inv(β, α, p))
end
end
45 changes: 39 additions & 6 deletions test/rmath.jl
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -191,28 +191,61 @@ end
# Beta(α, 0) is a Dirac distribution at x=1
α = β = 1//2

for x in 0f0:0.01f0:1f0
for x in -1f0:0.05f0:1f0
# Check betapdf
@test @inferred(betapdf(0, β, x)) === (x == 0 ? NaN32 : 0f0)
@test @inferred(betapdf(α, 0, x)) === (x == 1 ? NaN32 : 0f0)
@test @inferred(betapdf(Inf32, β, x)) === (x == 1 ? NaN32 : 0f0)
@test @inferred(betapdf(α, Inf32, x)) === (x == 0 ? NaN32 : 0f0)
@test @inferred(betapdf(Inf32, Inf32, x)) === (x === 0.5f0 ? NaN32 : 0f0)

# Check betalogpdf
@test @inferred(betalogpdf(0, β, x)) === (x == 0 ? NaN32 : -Inf32)
@test @inferred(betalogpdf(α, 0, x)) === (x == 1 ? NaN32 : -Inf32)
@test @inferred(betalogpdf(Inf32, β, x)) === (x == 1 ? NaN32 : -Inf32)
@test @inferred(betalogpdf(α, Inf32, x)) === (x == 0 ? NaN32 : -Inf32)
@test @inferred(betalogpdf(Inf32, Inf32, x)) === (x === 0.5f0 ? NaN32 : -Inf32)

# Check betacdf
@test @inferred(betacdf(0, β, x)) === 1f0
@test @inferred(betacdf(0, β, x)) === (x < 0 ? 0f0 : 1f0)
@test @inferred(betacdf(α, 0, x)) === (x < 1 ? 0f0 : 1f0)

@test @inferred(betacdf(Inf32, β, x)) === (x < 1 ? 0f0 : 1f0)
@test @inferred(betacdf(α, Inf32, x)) === (x < 0 ? 0f0 : 1f0)
@test @inferred(betacdf(Inf32, Inf32, x)) === (x < .5 ? 0f0 : 1f0)

# Check betaccdf, betalogcdf, and betalogccdf based on betacdf
@test @inferred(betaccdf(0, β, x)) === 1 - betacdf(0, β, x)
@test @inferred(betaccdf(α, 0, x)) === 1 - betacdf(α, 0, x)
@test @inferred(betaccdf(Inf32, β, x)) === 1 - betacdf(Inf32, β, x)
@test @inferred(betaccdf(α, Inf32, x)) === 1 - betacdf(α, Inf32, x)
@test @inferred(betaccdf(Inf32, Inf32, x)) === 1 - betacdf(Inf32, Inf32, x)

@test @inferred(betalogcdf(0, β, x)) === log(betacdf(0, β, x))
@test @inferred(betalogcdf(α, 0, x)) === log(betacdf(α, 0, x))
@test @inferred(betalogcdf(Inf32, β, x)) === log(betacdf(Inf32, β, x))
@test @inferred(betalogcdf(α, Inf32, x)) === log(betacdf(α, Inf32, x))
@test @inferred(betalogcdf(Inf32, Inf32, x)) === log(betacdf(Inf32, Inf32, x))

@test @inferred(betalogccdf(0, β, x)) === log(betaccdf(0, β, x))
@test @inferred(betalogccdf(α, 0, x)) === log(betaccdf(α, 0, x))
@test @inferred(betalogccdf(Inf32, β, x)) === log(betaccdf(Inf32, β, x))
@test @inferred(betalogccdf(α, Inf32, x)) === log(betaccdf(α, Inf32, x))
@test @inferred(betalogccdf(Inf32, Inf32, x)) === log(betaccdf(Inf32, Inf32, x))
end

for p in 0f0:0.01f0:1f0
for p in 0f0:0.05f0:1f0
# Check betainvcdf
@test @inferred(betainvcdf(0, β, p)) === 0f0
@test @inferred(betainvcdf(α, 0, p)) === (p > 0 ? 1f0 : 0f0)
@test @inferred(betainvcdf(α, 0, p)) === 1f0
@test @inferred(betainvcdf(Inf32, β, p)) === 1f0
@test @inferred(betainvcdf(α, Inf32, p)) === 0f0
@test @inferred(betainvcdf(Inf32, Inf32, p)) === 0.5f0

# Check betainvccdf
@test @inferred(betainvccdf(0, β, p)) === (p > 0 ? 0f0 : 1f0)
@test @inferred(betainvccdf(0, β, p)) === 0f0
@test @inferred(betainvccdf(α, 0, p)) === 1f0
@test @inferred(betainvccdf(Inf32, β, p)) === 1f0
@test @inferred(betainvccdf(Inf32, Inf32, p)) === 0.5f0
end
end

Expand Down
Loading