// Original code derived from Boost and is distributed here // under the Boost license (licenses/boost-license.txt) // Copyright (c) 2006 Xiaogang Zhang // Copyright (c) 2007, 2017 John Maddock // Secondary code copyright by its author and is distributed here // under the BSD-3 license (LICENSE.md). Derived from // stan/math/prim/fun/log_modified_bessel_first_kind.hpp #ifndef __COSMOTOOL_SPECIAL_MATH_HPP #define __COSMOTOOL_SPECIAL_MATH_HPP #include "algo.hpp" #include #include #include #include // Taken and adapted from // https://github.com/stan-dev/math/blob/develop/stan/math/prim/fun/log_modified_bessel_first_kind.hpp namespace CosmoTool { template T log1p_exp(T x) { if (x > T(0)) { return x + std::log1p(std::exp(-x)); } return std::log1p(std::exp(x)); } template T multiply_log(T a, T b) { if (a == 0 && b == 0) return 0; return a * std::log(b); } template T inf() { return std::numeric_limits::infinity(); } template T log_sum_exp(T const a, T const b) { if (a == -inf()) { return b; } if (a == inf() && b == inf()) { return inf(); } if (a > b) { return a + log1p_exp(b - a); } return b + log1p_exp(a - b); } /* Log of the modified Bessel function of the first kind, * which is better known as the Bessel I function. See * modified_bessel_first_kind.hpp for the function definition. * The derivatives are known to be incorrect for v = 0 because a * simple constant 0 is returned. * * @tparam T common type for calculation * @param v Order, can be a non-integer but must be at least -1 * @param z Real non-negative number * @throws std::domain_error if either v or z is NaN, z is * negative, or v is less than -1 * @return log of Bessel I function */ template T log_modified_bessel_first_kind(T const v, T const z) { using boost::math::tools::evaluate_polynomial; using std::log; using std::pow; using std::sqrt; static const double LOG_TWO = std::log(2.0); static const double EPSILON = std::numeric_limits::epsilon(); static const double TWO_PI = 2.0 * boost::math::constants::pi(); if (z == 0) { if (v == 0) { return 0.0; } if (v > 0) { return -std::numeric_limits::infinity(); } return std::numeric_limits::infinity(); } if (std::isinf(z)) { return z; } if (v == 0) { // Modified Bessel function of the first kind of order zero // we use the approximating forms derived in: // "Rational Approximations for the Modified Bessel Function of the // First Kind -- I0(x) for Computations with Double Precision" // by Pavel Holoborodko, see // http://www.advanpix.com/2015/11/11/rational-approximations-for-the-modified-bessel-function-of-the-first-kind-i0-computations-double-precision // The actual coefficients used are [Boost's] own, and extend // Pavel's work to precisions other than double. if (z < 7.75) { // Bessel I0 over[10 ^ -16, 7.75] // Max error in interpolated form : 3.042e-18 // Max Error found at double precision = Poly : 5.106609e-16 // Cheb : 5.239199e-16 static const double P[] = { 1.00000000000000000e+00, 2.49999999999999909e-01, 2.77777777777782257e-02, 1.73611111111023792e-03, 6.94444444453352521e-05, 1.92901234513219920e-06, 3.93675991102510739e-08, 6.15118672704439289e-10, 7.59407002058973446e-12, 7.59389793369836367e-14, 6.27767773636292611e-16, 4.34709704153272287e-18, 2.63417742690109154e-20, 1.13943037744822825e-22, 9.07926920085624812e-25}; return log1p_exp(multiply_log(2.0, z) - log(4.0) + log(evaluate_polynomial(P, 0.25 * square(z)))); } if (z < 500) { // Max error in interpolated form : 1.685e-16 // Max Error found at double precision = Poly : 2.575063e-16 // Cheb : 2.247615e+00 static const double P[] = { 3.98942280401425088e-01, 4.98677850604961985e-02, 2.80506233928312623e-02, 2.92211225166047873e-02, 4.44207299493659561e-02, 1.30970574605856719e-01, -3.35052280231727022e+00, 2.33025711583514727e+02, -1.13366350697172355e+04, 4.24057674317867331e+05, -1.23157028595698731e+07, 2.80231938155267516e+08, -5.01883999713777929e+09, 7.08029243015109113e+10, -7.84261082124811106e+11, 6.76825737854096565e+12, -4.49034849696138065e+13, 2.24155239966958995e+14, -8.13426467865659318e+14, 2.02391097391687777e+15, -3.08675715295370878e+15, 2.17587543863819074e+15}; return z + log(evaluate_polynomial(P, 1 / z)) - multiply_log(0.5, z); } // Max error in interpolated form : 2.437e-18 // Max Error found at double precision = Poly : 1.216719e-16 static const double P[] = {3.98942280401432905e-01, 4.98677850491434560e-02, 2.80506308916506102e-02, 2.92179096853915176e-02, 4.53371208762579442e-02}; return z + log(evaluate_polynomial(P, 1 / z)) - multiply_log(0.5, z); } if (v == 1) { // WARNING: will not autodiff for v = 1 correctly // modified from Boost's bessel_i1_imp in the double precision case // see credits above in the v == 0 case if (z < 7.75) { // Bessel I0 over[10 ^ -16, 7.75] // Max error in interpolated form: 5.639e-17 // Max Error found at double precision = Poly: 1.795559e-16 static const double P[] = { 8.333333333333333803e-02, 6.944444444444341983e-03, 3.472222222225921045e-04, 1.157407407354987232e-05, 2.755731926254790268e-07, 4.920949692800671435e-09, 6.834657311305621830e-11, 7.593969849687574339e-13, 6.904822652741917551e-15, 5.220157095351373194e-17, 3.410720494727771276e-19, 1.625212890947171108e-21, 1.332898928162290861e-23}; T a = square(z) * 0.25; T Q[3] = {1, 0.5, evaluate_polynomial(P, a)}; return log(z) + log(evaluate_polynomial(Q, a)) - LOG_TWO; } if (z < 500) { // Max error in interpolated form: 1.796e-16 // Max Error found at double precision = Poly: 2.898731e-16 static const double P[] = { 3.989422804014406054e-01, -1.496033551613111533e-01, -4.675104253598537322e-02, -4.090895951581637791e-02, -5.719036414430205390e-02, -1.528189554374492735e-01, 3.458284470977172076e+00, -2.426181371595021021e+02, 1.178785865993440669e+04, -4.404655582443487334e+05, 1.277677779341446497e+07, -2.903390398236656519e+08, 5.192386898222206474e+09, -7.313784438967834057e+10, 8.087824484994859552e+11, -6.967602516005787001e+12, 4.614040809616582764e+13, -2.298849639457172489e+14, 8.325554073334618015e+14, -2.067285045778906105e+15, 3.146401654361325073e+15, -2.213318202179221945e+15}; return z + log(evaluate_polynomial(P, 1 / z)) - multiply_log(0.5, z); } // Max error in interpolated form: 1.320e-19 // Max Error found at double precision = Poly: 7.065357e-17 static const double P[] = { 3.989422804014314820e-01, -1.496033551467584157e-01, -4.675105322571775911e-02, -4.090421597376992892e-02, -5.843630344778927582e-02}; return z + log(evaluate_polynomial(P, 1 / z)) - multiply_log(0.5, z); } if (z > 100) { // Boost does something like this in asymptotic_bessel_i_large_x T lim = pow((square(v) + 2.5) / (2 * z), 3) / 24; if (lim < (EPSILON * 10)) { T s = 1; T mu = 4 * square(v); T ex = 8 * z; T num = mu - 1; T denom = ex; s -= num / denom; num *= mu - 9; denom *= ex * 2; s += num / denom; num *= mu - 25; denom *= ex * 3; s -= num / denom; s = z - log(sqrt(z * TWO_PI)) + log(s); return s; } } T log_half_z = log(0.5 * z); T lgam = (v > -1) ? lgamma(v + 1.0) : 0; T lcons = (2.0 + v) * log_half_z; T out; if (v > -1) { out = log_sum_exp(v * log_half_z - lgam, lcons - lgamma(v + 2)); lgam += log1p(v); } else { out = lcons; } double m = 2; double lfac = 0; T old_out; do { lfac += log(m); lgam += log(v + m); lcons += 2 * log_half_z; old_out = out; out = log_sum_exp(out, lcons - lfac - lgam); // underflows eventually m++; } while (out > old_out || out < old_out); return out; } } // namespace CosmoTool #endif