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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-790) Mann-Whitney U Test Suffers From Integer Overflow With Large Data Sets
Date Tue, 12 Jun 2012 11:52:43 GMT

    [ https://issues.apache.org/jira/browse/MATH-790?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13293552#comment-13293552
] 

Thomas Neidhart commented on MATH-790:
--------------------------------------

As discussed on the ML, there may be still a problem with integer overflow in the code fragment
below:

{noformat}
final double n1n2prod = n1 * n2;

// http://en.wikipedia.org/wiki/Mann%E2%80%93Whitney_U#Normal_approximation
final double EU = n1n2prod / 2.0;
final double VarU = n1n2prod * (n1 + n2 + 1) / 12.0;

final double z = (Umin - EU) / FastMath.sqrt(VarU);
{noformat}

The calculation of n1n2prod may still overflow if n1 and n2 are too big as it still does an
int multiplication, so I would suggest to do it like that:

{noformat}
final long n1n2prod = (long) n1 * n2;

// http://en.wikipedia.org/wiki/Mann%E2%80%93Whitney_U#Normal_approximation
final double EU = n1n2prod / 2.0;
final double VarU = n1n2prod * (n1 + n2 + 1) / 12.0;

final double z = (Umin - EU) / FastMath.sqrt(VarU);
{noformat}

                
> Mann-Whitney U Test Suffers From Integer Overflow With Large Data Sets
> ----------------------------------------------------------------------
>
>                 Key: MATH-790
>                 URL: https://issues.apache.org/jira/browse/MATH-790
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 3.0, Nightly Builds
>         Environment: Ubuntu Linux x64, Sun Java 6
>            Reporter: James Pickering
>            Assignee: Mikkel Meyer Andersen
>            Priority: Minor
>              Labels: newbie, patch
>             Fix For: 3.1
>
>         Attachments: MannWhitnetUOVerflowPatch.diff
>
>   Original Estimate: 1h
>  Remaining Estimate: 1h
>
> When performing a Mann-Whitney U Test on large data sets (the attached test uses two
1500 element sets), intermediate integer values used in calculateAsymptoticPValue can overflow,
leading to invalid results, such as p-values of NaN, or incorrect calculations.
> Attached is a patch, including a test, and a fix, which modifies the affected code to
use doubles

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