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From "Brent Worden (JIRA)" <j...@apache.org>
Subject [jira] Resolved: (MATH-311) Replaced the BinomialDistribution existing PDF with Catherine Loader's algorithm (as per wishlist on the wiki page)
Date Wed, 28 Oct 2009 20:04:59 GMT

     [ https://issues.apache.org/jira/browse/MATH-311?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Brent Worden resolved MATH-311.
-------------------------------

       Resolution: Fixed
    Fix Version/s: 2.1

- Made the SaddlePointExpansion (probably not the best name) utility class that implements
Catheline Loader's saddle point expansion approximation.
- Utilized this new class in the Binomial, Hypergeometric, and Poisson distributions.
- Updated the Binomial test cases with the data provided by Nipun.

Changes are all checked in and critiques are welcome.

> Replaced the BinomialDistribution existing PDF with Catherine Loader's algorithm (as
per wishlist on the wiki page)
> -------------------------------------------------------------------------------------------------------------------
>
>                 Key: MATH-311
>                 URL: https://issues.apache.org/jira/browse/MATH-311
>             Project: Commons Math
>          Issue Type: Improvement
>            Reporter: Nipun Jawalkar
>            Priority: Minor
>             Fix For: 2.1
>
>         Attachments: BinomialDistributionPatch.txt
>
>
> The existing PDF for Binomial distributions cannot handle n>1029. This implementation
of Catherine Loader's algorithm can handle n upto and larger than 1000000. The Commons-Math
wiki page has a wishlist entry asking for this, with a link to the paper describing the new
algorithm:  http://projects.scipy.org/scipy/raw-attachment/ticket/620/loader2000Fast.pdf
> I've updated the probability() function in BInomialDistributionImpl.java, as well as
the unit test for this method. The updated unit test has higher precision expected values,
which were calculated with Mathematica 6.

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