[R] Issues with convolve
Vincent Goulet
vincent.goulet at act.ulaval.ca
Wed Jul 20 18:52:16 CEST 2005
We obtained some disturbing results from convolve() (inaccuracies and negative
probabilities). We'll try to make the context clear in as few lines as
possible...
Our function panjer() (code below) basically computes recursively the
probability mass function of a compound Poisson distribution. When the
Poisson parameter lambda is very large, the starting value of the recursive
scheme --- the mass at 0 --- is 0 and the recursion fails. One way to solve
this problem is to divide lambda by 2^n, apply the panjer() function and then
convolve the result with itself n times.
We applied the panjer() function with a lambda such that the mass at 0 is just
larger than .Machine$double.xmin. We thus know that once this pmf is
convoluted with itself, the first probabilities will be 0 (for the computer).
Here are the two issues we have with convolve():
1. The probabilities we know should be 0 are rather in the vicinity of 1E-19,
as if convolve() could not "go lower". Using a hand made convolution function
(not given here), we obtained the correct values. When probabilities get
around 1E-12, results from convolve() and our home made function are
essentially identical.
2. We obtained negative probabilities. More accurately, the same example
returns negative probabilities under Windows, but not under Linux. We also
obtained negative probabilities for another example under Linux, though.
We understand that convolve() computes the convolutions using fft(), but we
are not familiar enough with the latter to assess if the above issues are
some sort of bugs or normal behavior. In the latter case, is there is any
workaround?
Any help/comments/ideas appreciated.
=== EXAMPLES ===
panjer <- function(fx, lambda)
{
fx0 <- fx[1]
fx <- fx[-1]
r <- length(fx)
cumul <- fs <- exp(-lambda * (1 - fx0))
repeat
{
x <- length(fs)
m <- min(x, r)
fs <- c(fs, sum((lambda * 1:m / x) * head(fx, m) * rev(tail(fs, m))))
if ((1-1E-8) < (cumul <- cumul + tail(fs, 1)))
break
}
fs
}
### Linux example ###
> R.version
_
platform i386-pc-linux-gnu
arch i386
os linux-gnu
system i386, linux-gnu
status
major 2
minor 1.0
year 2005
month 04
day 18
language R
> fs <- panjer(rep(0.2, 5), 600) # compute pmf
> fs[1:10] # small values
[1] 3.456597e-209 4.147916e-207 2.530229e-205 1.045690e-203
[5] 3.292657e-202 8.422924e-201 1.822768e-199 3.431181e-198
[9] 5.733481e-197 8.637025e-196
> fsc <- convolve(fs, rev(fs), type="o") # convolution
> sum(fsc < 0) # no negatives under Linux
[1] 0
> fsc[1:10] # these should be 0
[1] 4.819870e-19 4.135471e-19 4.511455e-19 3.994485e-19 3.820177e-19
[6] 4.738272e-19 3.885447e-19 3.167399e-19 3.695636e-19 3.701792e-19
> sum(fsc) # no impact on the sum
[1] 1
### Windows example ###
> R.version
_
platform i386-pc-mingw32
arch i386
os mingw32
system i386, mingw32
status
major 2
minor 1.1
year 2005
month 06
day 20
language R
> fs <- panjer(rep(0.2, 5), 600) # compute pmf
> fs[1:10] # small values
[1] 3.456597e-209 4.147916e-207 2.530229e-205 1.045690e-203
[5] 3.292657e-202 8.422924e-201 1.822768e-199 3.431181e-198
[9] 5.733481e-197 8.637025e-196
> fsc <- convolve(fs, rev(fs), type="o") # convolution
> sum(fsc < 0) # negatives under Windows
[1] 39
> fsc[1:10] # these should be 0
[1] 4.049552e-19 3.345584e-19 4.126913e-19 3.351211e-19 2.758626e-19
[6] 3.530111e-19 2.735041e-19 2.376711e-19 2.591287e-19 3.196405e-19
> sum(fsc) # no impact on the sum
[1] 1
--
Vincent Goulet, Associate Professor
École d'actuariat
Université Laval, Québec
Vincent.Goulet at act.ulaval.ca http://vgoulet.act.ulaval.ca
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