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v1.2.3 patch underflow bug in saddlepoint routine
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@wzhorton
wzhorton committed May 16, 2023
1 parent 38ca7a0 commit 495584b
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Showing 3 changed files with 10 additions and 2 deletions.
2 changes: 1 addition & 1 deletion Project.toml
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@@ -1,7 +1,7 @@
name = "PolyaGammaHybridSamplers"
uuid = "c636ee4f-4591-4d8c-9fae-2dea21daa433"
authors = ["W.Z. Horton"]
version = "1.2.2"
version = "1.2.3"

[deps]
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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2 changes: 1 addition & 1 deletion src/rand_pgsaddlepoint.jl
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Expand Up @@ -70,7 +70,7 @@ function rand_Jstar_tilted(b::Real, z::Real, rng::AbstractRNG)
lcn = 0.5 * log(0.5 * b *inv(π))
rt2rl = sqrt(2 * rl)

if abs(z) > 1e16 && iszero(K2md) # bypass for numerical stability
if abs(z) > 1e16 && K2md <= zero(K2md) # bypass for numerical stability
return rtigauss(inv(rt2rl), b, md, rng)
end

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8 changes: 8 additions & 0 deletions test/rand_pgsaddlepoint_tests.jl
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Expand Up @@ -13,7 +13,15 @@ function test_rand_pgsaddlepoint_mean_var()
@test var(draws) ≈ var(s) rtol=0.005
end

function test_pgsaddlepoint_underflow()
b = 17
z = -6.128797345912032e16
s = PolyaGammaHybridSamplers.PolyaGammaHybridSampler(b, z, PolyaGammaHybridSamplers.SADDLEPOINT)
@test rand(s) ≈ 8.158207422758152e-18
end

# Run tests
@testset "Sampling method tests for Saddlepoint" begin
test_rand_pgsaddlepoint_mean_var()
test_pgsaddlepoint_underflow()
end

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Registration pull request created: JuliaRegistries/General/83711

After the above pull request is merged, it is recommended that a tag is created on this repository for the registered package version.

This will be done automatically if the Julia TagBot GitHub Action is installed, or can be done manually through the github interface, or via:

git tag -a v1.2.3 -m "<description of version>" 495584bf4be6cce528ad3f631395d10ffeb28d83
git push origin v1.2.3

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