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Update log1mexp and remove redundant local reimplementations in the library #4394

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merged 5 commits into from
Jan 2, 2021
Merged

Update log1mexp and remove redundant local reimplementations in the library #4394

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c3fcc96
Fix cutoff value in `log1mexp` and redundant reimplementation in `Exp…
ricardoV94 Dec 29, 2020
7ca4f31
Get more digits :)
ricardoV94 Dec 29, 2020
2af5b03
Remove redundant reimplementation in Weibull
ricardoV94 Dec 31, 2020
fea4a87
Tiny rewrite to use `|` instead of `tt.or_`.
ricardoV94 Jan 2, 2021
d7f82a8
retrigger checks
ricardoV94 Jan 2, 2021
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20 changes: 4 additions & 16 deletions pymc3/distributions/continuous.py
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Original file line number Diff line number Diff line change
Expand Up @@ -45,7 +45,7 @@
)
from pymc3.distributions.distribution import Continuous, draw_values, generate_samples
from pymc3.distributions.special import log_i0
from pymc3.math import invlogit, logdiffexp, logit
from pymc3.math import invlogit, log1mexp, logdiffexp, logit
from pymc3.theanof import floatX

__all__ = [
Expand Down Expand Up @@ -1513,12 +1513,6 @@ def logcdf(self, value):
Compute the log of cumulative distribution function for the Exponential distribution
at the specified value.

References
----------
.. [Machler2012] Martin Mächler (2012).
"Accurately computing :math:`\log(1-\exp(-\mid a \mid))` Assessed by the Rmpfr
package"

Parameters
----------
value: numeric
Expand All @@ -1533,9 +1527,9 @@ def logcdf(self, value):
lam = self.lam
a = lam * value
return tt.switch(
tt.le(value, 0.0),
tt.le(value, 0.0) | tt.le(lam, 0),
-np.inf,
tt.switch(tt.le(a, tt.log(2.0)), tt.log(-tt.expm1(-a)), tt.log1p(-tt.exp(-a))),
log1mexp(a),
)


Expand Down Expand Up @@ -2806,12 +2800,6 @@ def logcdf(self, value):
Compute the log of the cumulative distribution function for Weibull distribution
at the specified value.

References
----------
.. [Machler2012] Martin Mächler (2012).
"Accurately computing `\log(1-\exp(- \mid a \mid))` Assessed by the Rmpfr
package"

Parameters
----------
value: numeric
Expand All @@ -2828,7 +2816,7 @@ def logcdf(self, value):
return tt.switch(
tt.le(value, 0.0),
-np.inf,
tt.switch(tt.le(a, tt.log(2.0)), tt.log(-tt.expm1(-a)), tt.log1p(-tt.exp(-a))),
log1mexp(a),
)


Expand Down
13 changes: 10 additions & 3 deletions pymc3/math.py
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Original file line number Diff line number Diff line change
Expand Up @@ -219,14 +219,21 @@ def log1pexp(x):


def log1mexp(x):
"""Return log(1 - exp(-x)).
r"""Return log(1 - exp(-x)).

This function is numerically more stable than the naive approach.

For details, see
https://cran.r-project.org/web/packages/Rmpfr/vignettes/log1mexp-note.pdf

References
----------
.. [Machler2012] Martin Mächler (2012).
"Accurately computing `\log(1-\exp(- \mid a \mid))` Assessed by the Rmpfr
package"

"""
return tt.switch(tt.lt(x, 0.683), tt.log(-tt.expm1(-x)), tt.log1p(-tt.exp(-x)))
return tt.switch(tt.lt(x, 0.6931471805599453), tt.log(-tt.expm1(-x)), tt.log1p(-tt.exp(-x)))


def log1mexp_numpy(x):
Expand All @@ -235,7 +242,7 @@ def log1mexp_numpy(x):
For details, see
https://cran.r-project.org/web/packages/Rmpfr/vignettes/log1mexp-note.pdf
"""
return np.where(x < 0.683, np.log(-np.expm1(-x)), np.log1p(-np.exp(-x)))
return np.where(x < 0.6931471805599453, np.log(-np.expm1(-x)), np.log1p(-np.exp(-x)))


def flatten_list(tensors):
Expand Down