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https://issues.apache.org/jira/browse/MATH-294?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Luc Maisonobe updated MATH-294:
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Attachment: math-294.patch
The failure seems to be related with a wrong detection of out of bound cases.
In the example given the failure occurs at iteration 125 on my computer (Open
JDK 1.6, Linux, 64bits). At the beginning of the loop, the u = nextUniform(0.0,
c) random drawing leads to a value u smaller than c1. So the first branch of
the if is taken and another random drawing is done : z = nextGaussian(0.0, 1.0)
which leads to a value for x far below mu (x = -8, mu = 2).
This is detected as w is set to positive infinity, but in fact this is not
sufficient. The "accept" boolean is still computed despite it will always be
false.
The attached patch is an attempt to compute "accept" only in some cases and to
force it to "false" in other cases without computation.
I did *not* check this in subversion because I would like some other people to
have a look at it. I am not sure it does work properly because when I compute
for example the mean of 200, 100000, 1000000 or 10000000 calls to
nextPoisson(6.0), I always get values between 14.7 and 15.2. I have seen the
variance of a Poisson distribution is the same as its mean and so could expect
a large value, but this still looked strange to me.
> RandomDataImpl.nextPoisson fails for means in range 6.0 - 19.99
> ---------------------------------------------------------------
>
> Key: MATH-294
> URL: https://issues.apache.org/jira/browse/MATH-294
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 1.2, 2.0
> Environment: Java 1.6 on mac osX
> Reporter: Jason McFall
> Attachments: math-294.patch
>
>
> math.random.RandomDataImpl.nextPoisson(double mean) fails frequently (but not
> always) for values of mean between 6.0 and 19.99 inclusive. For values below
> 6.0 (where I see there is a branch in the logic) and above 20.0 it seems to
> be okay (though I've only randomly sampled the space and run a million trials
> for the values I've tried)
> When it fails, the exception is as follows (this for a mean of 6.0)
> org.apache.commons.math.MathRuntimeException$4: must have n >= 0 for n!, got
> n = -2
> at
> org.apache.commons.math.MathRuntimeException.createIllegalArgumentException(MathRuntimeException.java:282)
> at
> org.apache.commons.math.util.MathUtils.factorialLog(MathUtils.java:561)
> at
> org.apache.commons.math.random.RandomDataImpl.nextPoisson(RandomDataImpl.java:434)
>
> ie MathUtils.factorialLog is being called with a negative input
> To reproduce:
> JDKRandomGenerator random = new JDKRandomGenerator();
> random.setSeed(123456);
> RandomData randomData = new RandomDataImpl(random);
> for (int i=0; i< 1000000; i++){
> randomData.nextPoisson(6.0);
> }
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