// Visit http://www.johndcook.com/stand_alone_code.html for the source of this code and more like it. #include #include #include #include #include "Gamma.h" // Note that the functions Gamma and LogGamma are mutually dependent. double Gamma ( double x // We require x > 0 ) { if (x <= 0.0) { std::stringstream os; os << "Invalid input argument " << x << ". Argument must be positive."; throw std::invalid_argument( os.str() ); } // Split the function domain into three intervals: // (0, 0.001), [0.001, 12), and (12, infinity) /////////////////////////////////////////////////////////////////////////// // First interval: (0, 0.001) // // For small x, 1/Gamma(x) has power series x + gamma x^2 - ... // So in this range, 1/Gamma(x) = x + gamma x^2 with error on the order of x^3. // The relative error over this interval is less than 6e-7. const double gamma = 0.577215664901532860606512090; // Euler's gamma constant if (x < 0.001) return 1.0/(x*(1.0 + gamma*x)); /////////////////////////////////////////////////////////////////////////// // Second interval: [0.001, 12) if (x < 12.0) { // The algorithm directly approximates gamma over (1,2) and uses // reduction identities to reduce other arguments to this interval. double y = x; int n = 0; bool arg_was_less_than_one = (y < 1.0); // Add or subtract integers as necessary to bring y into (1,2) // Will correct for this below if (arg_was_less_than_one) { y += 1.0; } else { n = static_cast (floor(y)) - 1; // will use n later y -= n; } // numerator coefficients for approximation over the interval (1,2) static const double p[] = { -1.71618513886549492533811E+0, 2.47656508055759199108314E+1, -3.79804256470945635097577E+2, 6.29331155312818442661052E+2, 8.66966202790413211295064E+2, -3.14512729688483675254357E+4, -3.61444134186911729807069E+4, 6.64561438202405440627855E+4 }; // denominator coefficients for approximation over the interval (1,2) static const double q[] = { -3.08402300119738975254353E+1, 3.15350626979604161529144E+2, -1.01515636749021914166146E+3, -3.10777167157231109440444E+3, 2.25381184209801510330112E+4, 4.75584627752788110767815E+3, -1.34659959864969306392456E+5, -1.15132259675553483497211E+5 }; double num = 0.0; double den = 1.0; int i; double z = y - 1; for (i = 0; i < 8; i++) { num = (num + p[i])*z; den = den*z + q[i]; } double result = num/den + 1.0; // Apply correction if argument was not initially in (1,2) if (arg_was_less_than_one) { // Use identity gamma(z) = gamma(z+1)/z // The variable "result" now holds gamma of the original y + 1 // Thus we use y-1 to get back the orginal y. result /= (y-1.0); } else { // Use the identity gamma(z+n) = z*(z+1)* ... *(z+n-1)*gamma(z) for (i = 0; i < n; i++) result *= y++; } return result; } /////////////////////////////////////////////////////////////////////////// // Third interval: [12, infinity) if (x > 171.624) { // Correct answer too large to display. Force +infinity. double temp = DBL_MAX; return temp*2.0; } return exp(LogGamma(x)); } double LogGamma ( double x // x must be positive ) { if (x <= 0.0) { std::stringstream os; os << "Invalid input argument " << x << ". Argument must be positive."; throw std::invalid_argument( os.str() ); } if (x < 12.0) { return log(fabs(Gamma(x))); } // Abramowitz and Stegun 6.1.41 // Asymptotic series should be good to at least 11 or 12 figures // For error analysis, see Whittiker and Watson // A Course in Modern Analysis (1927), page 252 static const double c[8] = { 1.0/12.0, -1.0/360.0, 1.0/1260.0, -1.0/1680.0, 1.0/1188.0, -691.0/360360.0, 1.0/156.0, -3617.0/122400.0 }; double z = 1.0/(x*x); double sum = c[7]; for (int i=6; i >= 0; i--) { sum *= z; sum += c[i]; } double series = sum/x; static const double halfLogTwoPi = 0.91893853320467274178032973640562; double logGamma = (x - 0.5)*log(x) - x + halfLogTwoPi + series; return logGamma; } // Can delete these functions and the #include for if not testing. void TestGamma() { struct TestCase { double input; double expected; }; TestCase test[] = { // Test near branches in code for (0, 0.001), [0.001, 12), (12, infinity) {1e-20, 1e+20}, {2.19824158876e-16, 4.5490905327e+15}, // 0.99*DBL_EPSILON {2.24265050974e-16, 4.45900953205e+15}, // 1.01*DBL_EPSILON {0.00099, 1009.52477271}, {0.00100, 999.423772485}, {0.00101, 989.522792258}, {6.1, 142.451944066}, {11.999, 39819417.4793}, {12, 39916800.0}, {12.001, 40014424.1571}, {15.2, 149037380723.0} }; size_t numTests = sizeof(test) / sizeof(TestCase); double worst_absolute_error = 0.0; double worst_relative_error = 0.0; size_t worst_absolute_error_case = 0; size_t worst_relative_error_case = 0; for (size_t t = 0; t < numTests; t++) { double computed = Gamma( test[t].input ); double absolute_error = fabs(computed - test[t].expected); double relative_error = absolute_error / test[t].expected; if (absolute_error > worst_absolute_error) { worst_absolute_error = absolute_error; worst_absolute_error_case = t; } if (relative_error > worst_relative_error) { worst_relative_error = absolute_error; worst_relative_error_case = t; } } size_t t = worst_absolute_error_case; double x = test[t].input; double y = test[t].expected; std::cout << "Worst absolute error: " << fabs(Gamma(x) - y) << "\nGamma( " << x << ") computed as " << Gamma(x) << " but exact value is " << y << "\n"; t = worst_relative_error_case; x = test[t].input; y = test[t].expected; std::cout << "Worst relative error: " << (Gamma(x) - y) / y << "\nGamma( " << x << ") computed as " << Gamma(x) << " but exact value is " << y << "\n"; } void TestLogGamma() { struct TestCase { double input; double expected; }; TestCase test[] = { {1e-12, 27.6310211159}, {0.9999, 5.77297915613e-05}, {1.0001, -5.77133422205e-05}, {3.1, 0.787375083274}, {6.3, 5.30734288962}, {11.9999, 17.5020635801}, {12, 17.5023078459}, {12.0001, 17.5025521125}, {27.4, 62.5755868211} }; size_t numTests = sizeof(test) / sizeof(TestCase); double worst_absolute_error = 0.0; double worst_relative_error = 0.0; size_t worst_absolute_error_case = 0; size_t worst_relative_error_case = 0; for (size_t t = 0; t < numTests; t++) { double computed = LogGamma( test[t].input ); double absolute_error = fabs(computed - test[t].expected); double relative_error = absolute_error / test[t].expected; if (absolute_error > worst_absolute_error) { worst_absolute_error = absolute_error; worst_absolute_error_case = t; } if (relative_error > worst_relative_error) { worst_relative_error = absolute_error; worst_relative_error_case = t; } } size_t t = worst_absolute_error_case; double x = test[t].input; double y = test[t].expected; std::cout << "Worst absolute error: " << fabs(LogGamma(x) - y) << "\nGamma( " << x << ") computed as " << LogGamma(x) << " but exact value is " << y << "\n"; t = worst_relative_error_case; x = test[t].input; y = test[t].expected; std::cout << "Worst relative error: " << (LogGamma(x) - y) / y << "\nGamma( " << x << ") computed as " << LogGamma(x) << " but exact value is " << y << "\n"; }