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Limit number of Newton iterations in beta_inc_inv #396

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Limit number of Newton iterations in beta_inc_inv #396

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14 changes: 10 additions & 4 deletions src/beta_inc.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -919,6 +919,9 @@ function beta_inc_inv(a::Real, b::Real, p::Real, q::Real)
end

function _beta_inc_inv(a::Float64, b::Float64, p::Float64, q::Float64=1-p)

maxiter = 30

#change tail if necessary
if p > 0.5
y, x = _beta_inc_inv(b, a, q, p)
Expand Down Expand Up @@ -968,8 +971,8 @@ function _beta_inc_inv(a::Float64, b::Float64, p::Float64, q::Float64=1-p)
sq = 1.0
prev = 1.0

if x < 0.0001
x = 0.0001
if x < 1e-200
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Is there any specific reason for this choice?

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Implementation-wise, it seems the section here could be simplified to

    x = clamp(x, 1e-200, 0.9999)

x = 1e-200
end
if x > .9999
x = .9999
Expand Down Expand Up @@ -1001,7 +1004,7 @@ function _beta_inc_inv(a::Float64, b::Float64, p::Float64, q::Float64=1-p)
acu = exp10(iex)

#iterate
while true
for i in 1:maxiter
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Maybe

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for i in 1:maxiter
for _ in 1:maxiter

since we don't use i?

p_approx = beta_inc(a, b, x)[1]
xin = x
p_approx = (p_approx - p)*min(
Expand All @@ -1026,7 +1029,7 @@ function _beta_inc_inv(a::Float64, b::Float64, p::Float64, q::Float64=1-p)
end

#check if current estimate is acceptable

prev, acu, p_approx, x, tx
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I assume this was for debugging?

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prev, acu, p_approx, x, tx

if prev <= acu || p_approx^2 <= acu
x = tx
return (x, 1.0 - x)
Expand All @@ -1039,6 +1042,9 @@ function _beta_inc_inv(a::Float64, b::Float64, p::Float64, q::Float64=1-p)
x = tx
p_approx_prev = p_approx
end

@debug "Newton iterations didn't converge in $maxiter iterations. The result might have reduced precision."
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This probably deserves a higher logging level?

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@debug "Newton iterations didn't converge in $maxiter iterations. The result might have reduced precision."
@warn "Newton iterations didn't converge in $maxiter iterations. The result might have reduced precision."

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I deliberately chose @debug over @warn to avoid that we raise warnings in normal usage. These functions sometimes lose precision in corner cases and it's not something we generally warn about. Eventually, we should have a better and more granular way of providing this information. E.g. via error codes and that's why I added the @debug statement.

return (x, 1.0 - x)
end

function _beta_inc_inv(a::T, b::T, p::T) where {T<:Union{Float16, Float32}}
Expand Down
6 changes: 6 additions & 0 deletions test/beta_inc.jl
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Expand Up @@ -299,4 +299,10 @@ end
@test first(beta_inc_inv(1.0, 1.0, 1e-21)) ≈ 1e-21
@test beta_inc_inv(1.0e30, 1.0, 0.49) == (1.0, 0.0)
end

@testset "Avoid infinite loops" begin
# See https://github.com/JuliaStats/StatsFuns.jl/issues/133#issuecomment-1069602721
y = 2.0e-280
@test beta_inc(2.0, 1.0, beta_inc_inv(2.0, 1.0, y, 1.0)[1])[1] ≈ y
end
end