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Improve numerical precision of discrete uniform and geometric ICDFs #6671

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merged 1 commit into from
Apr 27, 2023
Merged

Improve numerical precision of discrete uniform and geometric ICDFs #6671

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11 changes: 10 additions & 1 deletion pymc/distributions/discrete.py
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Original file line number Diff line number Diff line change
Expand Up @@ -48,7 +48,7 @@
from pymc.distributions.distribution import Discrete
from pymc.distributions.mixture import Mixture
from pymc.distributions.shape_utils import rv_size_is_none
from pymc.logprob.basic import logp
from pymc.logprob.basic import logcdf, logp
from pymc.math import sigmoid
from pymc.pytensorf import floatX, intX
from pymc.vartypes import continuous_types
Expand Down Expand Up @@ -823,6 +823,10 @@ def logcdf(value, p):

def icdf(value, p):
res = pt.ceil(pt.log1p(-value) / pt.log1p(-p)).astype("int64")
res_1m = pt.maximum(res - 1, 0)
dist = pm.Geometric.dist(p=p)
value_1m = pt.exp(logcdf(dist, res_1m))
res = pt.switch(value_1m >= value, res_1m, res)
res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
Expand Down Expand Up @@ -1060,6 +1064,11 @@ def logcdf(value, lower, upper):

def icdf(value, lower, upper):
res = pt.ceil(value * (upper - lower + 1)).astype("int64") + lower - 1
res_1m = pt.maximum(res - 1, lower)
dist = pm.DiscreteUniform.dist(lower=lower, upper=upper)
value_1m = pt.exp(logcdf(dist, res_1m))
res = pt.switch(value_1m >= value, res_1m, res)

res = check_icdf_value(res, value)
return check_icdf_parameters(
res,
Expand Down