pnorm.c

/*
 *  Mathlib : A C Library of Special Functions
 *  Copyright (C) 1998	    Ross Ihaka
 *  Copyright (C) 2000-2010 The R Core Team
 *  Copyright (C) 2003	    The R Foundation
 *
 *  This program is free software; you can redistribute it and/or modify
 *  it under the terms of the GNU General Public License as published by
 *  the Free Software Foundation; either version 2 of the License, or
 *  (at your option) any later version.
 *
 *  This program is distributed in the hope that it will be useful,
 *  but WITHOUT ANY WARRANTY; without even the implied warranty of
 *  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *  GNU General Public License for more details.
 *
 *  You should have received a copy of the GNU General Public License
 *  along with this program; if not, a copy is available at
 *  http://www.r-project.org/Licenses/
 *
 *  SYNOPSIS
 *
 *   #include <Rmath.h>
 *
 *   double pnorm5(double x, double mu, double sigma, int lower_tail,int log_p);
 *	   {pnorm (..) is synonymous and preferred inside R}
 *
 *   void   pnorm_both(double x, double *cum, double *ccum,
 *		       int i_tail, int log_p);
 *
 *  DESCRIPTION
 *
 *	The main computation evaluates near-minimax approximations derived
 *	from those in "Rational Chebyshev approximations for the error
 *	function" by W. J. Cody, Math. Comp., 1969, 631-637.  This
 *	transportable program uses rational functions that theoretically
 *	approximate the normal distribution function to at least 18
 *	significant decimal digits.  The accuracy achieved depends on the
 *	arithmetic system, the compiler, the intrinsic functions, and
 *	proper selection of the machine-dependent constants.
 *
 *  REFERENCE
 *
 *	Cody, W. D. (1993).
 *	ALGORITHM 715: SPECFUN - A Portable FORTRAN Package of
 *	Special Function Routines and Test Drivers".
 *	ACM Transactions on Mathematical Software. 19, 22-32.
 *
 *  EXTENSIONS
 *
 *  The "_both" , lower, upper, and log_p  variants were added by
 *  Martin Maechler, Jan.2000;
 *  as well as log1p() and similar improvements later on.
 *
 *  James M. Rath contributed bug report PR#699 and patches correcting SIXTEN
 *  and if() clauses {with a bug: "|| instead of &&" -> PR #2883) more in line
 *  with the original Cody code.
 */

#include "nmath.h"
#include "dpq.h"
double pnorm5(double x, double mu, double sigma, int lower_tail, int log_p)
{
    double p, cp;

    /* Note: The structure of these checks has been carefully thought through.
     * For example, if x == mu and sigma == 0, we get the correct answer 1.
     */
#ifdef IEEE_754
    if(ISNAN(x) || ISNAN(mu) || ISNAN(sigma))
	return x + mu + sigma;
#endif
    if(!R_FINITE(x) && mu == x) return ML_NAN;/* x-mu is NaN */
    if (sigma <= 0) {
	if(sigma < 0) ML_ERR_return_NAN;
	/* sigma = 0 : */
	return (x < mu) ? R_DT_0 : R_DT_1;
    }
    p = (x - mu) / sigma;
    if(!R_FINITE(p))
	return (x < mu) ? R_DT_0 : R_DT_1;
    x = p;

    pnorm_both(x, &p, &cp, (lower_tail ? 0 : 1), log_p);

    return(lower_tail ? p : cp);
}

#define SIXTEN	16 /* Cutoff allowing exact "*" and "/" */

void pnorm_both(double x, double *cum, double *ccum, int i_tail, int log_p)
{
/* i_tail in {0,1,2} means: "lower", "upper", or "both" :
   if(lower) return  *cum := P[X <= x]
   if(upper) return *ccum := P[X >  x] = 1 - P[X <= x]
*/
    const static double a[5] = {
	2.2352520354606839287,
	161.02823106855587881,
	1067.6894854603709582,
	18154.981253343561249,
	0.065682337918207449113
    };
    const static double b[4] = {
	47.20258190468824187,
	976.09855173777669322,
	10260.932208618978205,
	45507.789335026729956
    };
    const static double c[9] = {
	0.39894151208813466764,
	8.8831497943883759412,
	93.506656132177855979,
	597.27027639480026226,
	2494.5375852903726711,
	6848.1904505362823326,
	11602.651437647350124,
	9842.7148383839780218,
	1.0765576773720192317e-8
    };
    const static double d[8] = {
	22.266688044328115691,
	235.38790178262499861,
	1519.377599407554805,
	6485.558298266760755,
	18615.571640885098091,
	34900.952721145977266,
	38912.003286093271411,
	19685.429676859990727
    };
    const static double p[6] = {
	0.21589853405795699,
	0.1274011611602473639,
	0.022235277870649807,
	0.001421619193227893466,
	2.9112874951168792e-5,
	0.02307344176494017303
    };
    const static double q[5] = {
	1.28426009614491121,
	0.468238212480865118,
	0.0659881378689285515,
	0.00378239633202758244,
	7.29751555083966205e-5
    };

    double xden, xnum, temp, del, eps, xsq, y;
#ifdef NO_DENORMS
    double min = DBL_MIN;
#endif
    int i, lower, upper;

#ifdef IEEE_754
    if(ISNAN(x)) { *cum = *ccum = x; return; }
#endif

    /* Consider changing these : */
    eps = DBL_EPSILON * 0.5;

    /* i_tail in {0,1,2} =^= {lower, upper, both} */
    lower = i_tail != 1;
    upper = i_tail != 0;

    y = fabs(x);
    if (y <= 0.67448975) { /* qnorm(3/4) = .6744.... -- earlier had 0.66291 */
	if (y > eps) {
	    xsq = x * x;
	    xnum = a[4] * xsq;
	    xden = xsq;
	    for (i = 0; i < 3; ++i) {
		xnum = (xnum + a[i]) * xsq;
		xden = (xden + b[i]) * xsq;
	    }
	} else xnum = xden = 0.0;

	temp = x * (xnum + a[3]) / (xden + b[3]);
	if(lower)  *cum = 0.5 + temp;
	if(upper) *ccum = 0.5 - temp;
	if(log_p) {
	    if(lower)  *cum = log(*cum);
	    if(upper) *ccum = log(*ccum);
	}
    }
    else if (y <= M_SQRT_32) {

	/* Evaluate pnorm for 0.674.. = qnorm(3/4) < |x| <= sqrt(32) ~= 5.657 */

	xnum = c[8] * y;
	xden = y;
	for (i = 0; i < 7; ++i) {
	    xnum = (xnum + c[i]) * y;
	    xden = (xden + d[i]) * y;
	}
	temp = (xnum + c[7]) / (xden + d[7]);

#define do_del(X)							\
	xsq = trunc(X * SIXTEN) / SIXTEN;				\
	del = (X - xsq) * (X + xsq);					\
	if(log_p) {							\
	    *cum = (-xsq * xsq * 0.5) + (-del * 0.5) + log(temp);	\
	    if((lower && x > 0.) || (upper && x <= 0.))			\
		  *ccum = log1p(-exp(-xsq * xsq * 0.5) *		\
				exp(-del * 0.5) * temp);		\
	}								\
	else {								\
	    *cum = exp(-xsq * xsq * 0.5) * exp(-del * 0.5) * temp;	\
	    *ccum = 1.0 - *cum;						\
	}

#define swap_tail						\
	if (x > 0.) {/* swap  ccum <--> cum */			\
	    temp = *cum; if(lower) *cum = *ccum; *ccum = temp;	\
	}

	do_del(y);
	swap_tail;
    }

/* else	  |x| > sqrt(32) = 5.657 :
 * the next two case differentiations were really for lower=T, log=F
 * Particularly	 *not*	for  log_p !

 * Cody had (-37.5193 < x  &&  x < 8.2924) ; R originally had y < 50
 *
 * Note that we do want symmetry(0), lower/upper -> hence use y
 */
    else if((log_p && y < 1e170) /* avoid underflow below */
	/*  ^^^^^ MM FIXME: can speedup for log_p and much larger |x| !
	 * Then, make use of  Abramowitz & Stegun, 26.2.13, something like

	 xsq = x*x;

	 if(xsq * DBL_EPSILON < 1.)
	    del = (1. - (1. - 5./(xsq+6.)) / (xsq+4.)) / (xsq+2.);
	 else
	    del = 0.;
	 *cum = -.5*xsq - M_LN_SQRT_2PI - log(x) + log1p(-del);
	 *ccum = log1p(-exp(*cum)); /.* ~ log(1) = 0 *./

 	 swap_tail;

	 [Yes, but xsq might be infinite.]

	*/
	    || (lower && -37.5193 < x  &&  x < 8.2924)
	    || (upper && -8.2924  < x  &&  x < 37.5193)
	) {

	/* Evaluate pnorm for x in (-37.5, -5.657) union (5.657, 37.5) */
	xsq = 1.0 / (x * x); /* (1./x)*(1./x) might be better */
	xnum = p[5] * xsq;
	xden = xsq;
	for (i = 0; i < 4; ++i) {
	    xnum = (xnum + p[i]) * xsq;
	    xden = (xden + q[i]) * xsq;
	}
	temp = xsq * (xnum + p[4]) / (xden + q[4]);
	temp = (M_1_SQRT_2PI - temp) / y;

	do_del(x);
	swap_tail;
    } else { /* large x such that probs are 0 or 1 */
	if(x > 0) {	*cum = R_D__1; *ccum = R_D__0;	}
	else {	        *cum = R_D__0; *ccum = R_D__1;	}
    }


#ifdef NO_DENORMS
    /* do not return "denormalized" -- we do in R */
    if(log_p) {
	if(*cum > -min)	 *cum = -0.;
	if(*ccum > -min)*ccum = -0.;
    }
    else {
	if(*cum < min)	 *cum = 0.;
	if(*ccum < min)	*ccum = 0.;
    }
#endif
    return;
}