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From pste...@apache.org
Subject svn commit: r558450 - in /jakarta/commons/proper/math/trunk: src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java src/test/org/apache/commons/math/distribution/NormalDistributionTest.java xdocs/changes.xml
Date Sun, 22 Jul 2007 02:33:09 GMT
Author: psteitz
Date: Sat Jul 21 19:33:08 2007
New Revision: 558450

URL: http://svn.apache.org/viewvc?view=rev&rev=558450
Log:
Modified NormalDistributionImpl.cumulativeProbablity to catch
MaxIterationsExceededException and return 0 or 1, resp. if the argument
is more than 20 standard deviations from the mean.

JIRA: MATH-167

Modified:
    jakarta/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java
    jakarta/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/NormalDistributionTest.java
    jakarta/commons/proper/math/trunk/xdocs/changes.xml

Modified: jakarta/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java
URL: http://svn.apache.org/viewvc/jakarta/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java?view=diff&rev=558450&r1=558449&r2=558450
==============================================================================
--- jakarta/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java
(original)
+++ jakarta/commons/proper/math/trunk/src/java/org/apache/commons/math/distribution/NormalDistributionImpl.java
Sat Jul 21 19:33:08 2007
@@ -20,6 +20,7 @@
 import java.io.Serializable;
 
 import org.apache.commons.math.MathException;
+import org.apache.commons.math.MaxIterationsExceededException;
 import org.apache.commons.math.special.Erf;
 
 /**
@@ -100,11 +101,23 @@
      * For this disbution, X, this method returns P(X &lt; <code>x</code>).
      * @param x the value at which the CDF is evaluated.
      * @return CDF evaluted at <code>x</code>. 
-     * @throws MathException if the algorithm fails to converge.
+     * @throws MathException if the algorithm fails to converge; unless
+     * x is more than 20 standard deviations from the mean, in which case the
+     * convergence exception is caught and 0 or 1 is returned.
      */
     public double cumulativeProbability(double x) throws MathException {
-        return 0.5 * (1.0 + Erf.erf((x - mean) /
-                (standardDeviation * Math.sqrt(2.0))));
+        try {
+            return 0.5 * (1.0 + Erf.erf((x - mean) /
+                    (standardDeviation * Math.sqrt(2.0))));
+        } catch (MaxIterationsExceededException ex) {
+            if (x < (mean - 20 * standardDeviation)) { // JDK 1.5 blows at 38
+                return 0.0d;
+            } else if (x > (mean + 20 * standardDeviation)) {
+                return 1.0d;
+            } else {
+                throw ex;
+            }
+        }
     }
     
     /**

Modified: jakarta/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/NormalDistributionTest.java
URL: http://svn.apache.org/viewvc/jakarta/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/NormalDistributionTest.java?view=diff&rev=558450&r1=558449&r2=558450
==============================================================================
--- jakarta/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/NormalDistributionTest.java
(original)
+++ jakarta/commons/proper/math/trunk/src/test/org/apache/commons/math/distribution/NormalDistributionTest.java
Sat Jul 21 19:33:08 2007
@@ -120,4 +120,26 @@
             // Expected
         }
     }
+    
+    /**
+     * Check to make sure top-coding of extreme values works correctly.
+     * Verifies fix for JIRA MATH-167
+     */
+    public void testExtremeValues() throws Exception {
+        NormalDistribution distribution = (NormalDistribution) getDistribution();
+        distribution.setMean(0);
+        distribution.setStandardDeviation(1);
+        for (int i = 0; i < 100; i+=5) { // make sure no convergence exception
+            double lowerTail = distribution.cumulativeProbability((double)-i);
+            double upperTail = distribution.cumulativeProbability((double) i);
+            if (i < 10) { // make sure not top-coded
+                assertTrue(lowerTail > 0.0d);
+                assertTrue(upperTail < 1.0d);
+            }
+            else { // make sure top coding not reversed
+                assertTrue(lowerTail < 0.00001);
+                assertTrue(upperTail > 0.99999);
+            }
+        } 
+   }
 }

Modified: jakarta/commons/proper/math/trunk/xdocs/changes.xml
URL: http://svn.apache.org/viewvc/jakarta/commons/proper/math/trunk/xdocs/changes.xml?view=diff&rev=558450&r1=558449&r2=558450
==============================================================================
--- jakarta/commons/proper/math/trunk/xdocs/changes.xml (original)
+++ jakarta/commons/proper/math/trunk/xdocs/changes.xml Sat Jul 21 19:33:08 2007
@@ -87,6 +87,11 @@
       <action dev="psteitz" type="update" issue="MATH-160" due-to "Matthias Hummel">
         Added two sample (binned comparison) ChiSquare test.
       </action>
+      <action dev="psteitz" type="fix" issue="MATH-167">
+        Modified NormalDistributionImpl.cumulativeProbablity to catch
+        MaxIterationsExceededException and return 0 or 1, resp. if the argument
+        is more than 20 standard deviations from the mean.
+      </action>
     </release>
     <release version="1.1" date="2005-12-17"  
  description="This is a maintenance release containing bug fixes and enhancements.



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