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Update kolmogorov quantile newton ub to 1 #1002

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merged 4 commits into from
Jul 31, 2023
Merged

Update kolmogorov quantile newton ub to 1 #1002

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37ba5a4
change kolmogorov quantile Newton ub from max to 1
ryanelandt Jul 25, 2023
b612afa
remove no longer needed newton step size logic
ryanelandt Jul 25, 2023
6bf5125
add infinity skew test back
ryanelandt Jul 25, 2023
e7ada7f
do not use Inf for Newton Bounds
ryanelandt Jul 25, 2023
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4 changes: 2 additions & 2 deletions include/boost/math/distributions/kolmogorov_smirnov.hpp
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Expand Up @@ -382,7 +382,7 @@ inline RealType quantile(const kolmogorov_smirnov_distribution<RealType, Policy>
std::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.

return tools::newton_raphson_iterate(detail::kolmogorov_smirnov_quantile_functor<RealType, Policy>(dist, p),
k, RealType(0), boost::math::tools::max_value<RealType>(), get_digits, m);
k, RealType(0), RealType(1), get_digits, m);
} // quantile

template <class RealType, class Policy>
Expand All @@ -407,7 +407,7 @@ inline RealType quantile(const complemented2_type<kolmogorov_smirnov_distributio

return tools::newton_raphson_iterate(
detail::kolmogorov_smirnov_complementary_quantile_functor<RealType, Policy>(dist, p),
k, RealType(0), boost::math::tools::max_value<RealType>(), get_digits, m);
k, RealType(0), RealType(1), get_digits, m);
} // quantile (complemented)

template <class RealType, class Policy>
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4 changes: 2 additions & 2 deletions include/boost/math/distributions/skew_normal.hpp
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Expand Up @@ -676,8 +676,8 @@ namespace boost{ namespace math{

// refine the result by numerically searching the root of (p-cdf)

const RealType search_min = range(dist).first;
const RealType search_max = range(dist).second;
const RealType search_min = support(dist).first;
const RealType search_max = support(dist).second;

const int get_digits = policies::digits<RealType, Policy>();// get digits from policy,
std::uintmax_t m = policies::get_max_root_iterations<Policy>(); // and max iterations.
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9 changes: 1 addition & 8 deletions include/boost/math/tools/roots.hpp
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Expand Up @@ -275,14 +275,7 @@ T newton_raphson_iterate(F f, T guess, T min, T max, int digits, std::uintmax_t&
if (fabs(delta * 2) > fabs(delta2))
{
// Last two steps haven't converged.
T shift = (delta > 0) ? (result - min) / 2 : (result - max) / 2;
if ((result != 0) && (fabs(shift) > fabs(result)))
{
delta = sign(delta) * fabs(result) * 1.1f; // Protect against huge jumps!
//delta = sign(delta) * result; // Protect against huge jumps! Failed for negative result. https://github.com/boostorg/math/issues/216
}
else
delta = shift;
delta = (delta > 0) ? (result - min) / 2 : (result - max) / 2;
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Wait, we may need to protect against huge jumps in other people's code right? We only know that this is now unnecessary for Komogorov-Smirnov.

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@ryanelandt ryanelandt Jul 25, 2023 •
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I looked into this. Here is the history...

#145 @jzmaddock opened an issue where skew-normal quantiles return non-finite values. This issue occurs because the min/max bounds for the 1D Newton search problem are -Inf/+Inf. Attempting to bisect the search point at either ends gets one stuck at either -Inf/+Inf.
91c193d @jzmaddock Fixed #145 by adding an early version of huge step protection. A test was also added to test_roots to prevent possible regressions.
3ab69d0 The test in test_roots was removed as part of adding the complex Newton solver, possibly due to a merge conflict oversight.
#422 @evanmiller added the kolmogorov-smirnov distribution. The min/max bounds for the 1D Newton search problem are 0/max_value(). This new functionality requires huge step protection because evaluating the functor at large values causes the program to hang.

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@ryanelandt ryanelandt Jul 25, 2023 •
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Huge step protection seems to cover up issues with Newton search bounds for quantile problems.

This PR attempts to resolve this with the following steps:

  1. Change the skew_normal quantile search to go from -max_value/+max_value instead of -Inf/+Inf.
  2. Change the upper search bound of the kolmogorov-smirov distribution to RealType(1). This fixes the hang issue, and causes no test issues, I don't know if it is right though.
  3. Add the test that the skew-normal quantile is finite back in

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I think that changing the bounds to [0, 1] is correct per this table of sample values http://www.matf.bg.ac.rs/p/files/69-[Michael_J_Panik]_Advanced_Statistics_from_an_Elem(b-ok.xyz)-776-779.pdf since it doesn't look like we support D_n,m.

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Apologies for being late to the party... it'll still be another week at least till I have any time.

Removing the large step protection is probably a bad idea, but I would have to go searching for a test case to tell you why ;)

These root finders are rather problematic to test because they are fundamentally quite resilient even to bugs/errors in their code because of the way they work. I worry about that, but I also want them to be resilient!

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Removing the large step protection is probably a bad idea, but I would have to go searching for a test case to tell you why ;)

There's a test case that requires it in the current code-base, although it isn't causing a test failure. Discussed further here: #1000 (comment).

// reset delta1/2 so we don't take this branch next time round:
delta1 = 3 * delta;
delta2 = 3 * delta;
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4 changes: 4 additions & 0 deletions test/test_roots.cpp
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Expand Up @@ -654,6 +654,10 @@ BOOST_AUTO_TEST_CASE( test_main )

test_beta(0.1, "double");

// bug reports:
boost::math::skew_normal_distribution<> dist(2.0, 1.0, -2.5);
BOOST_CHECK(boost::math::isfinite(quantile(dist, 0.075)));

#if !defined(BOOST_NO_CXX11_AUTO_DECLARATIONS) && !defined(BOOST_NO_CXX11_UNIFIED_INITIALIZATION_SYNTAX) && !defined(BOOST_NO_CXX11_LAMBDAS)
test_complex_newton<std::complex<float>>();
test_complex_newton<std::complex<double>>();
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