Ignore overflow error when multiplication result is bigger than what a double can hold
During some iterative optimization, the following VBA code for the computation of the bivariate normal CDF sometimes throws an Overflow error on the line with z = hx * hy * c
inside the while
loop of the upper function.
I debugged the code and the overflow occurs when the numbers being multiplied result in a number bigger than what a double can hold.
Can you show me how to handle the problem by ignoring the iterations of the loop with such high values - I guess that's the only feasible solution (?). I tried myself with a On Error Goto nextiteration line before the multiplication and placing the nextiteration jump point before the Wend, but the error persists.
Function tetrachoric(x As Double, y As Double, rho As Double) As Double
Const FACCURACY As Double = 0.0000000000001
Const MinStopK As Integer = 20
Dim k As Integer
Dim c As Double
Dim z As Double
Dim s As Double
Dim hx As Double
Dim hx1 As Double
Dim hx2 As Double
Dim hy As Double
Dim hy1 As Double
Dim hy2 As Double
Dim CheckPass As Integer
hx = 1
hy = 1
hx1 = 0
hy1 = 0
k = 0
c = rho
z = c
s = z
CheckPass = 0
While CheckPass < MinStopK
k = k + 1
hx2 = hx1
hy2 = hy1
hx1 = hx
hy1 = hy
hx = x * hx1 - (k - 1) * hx2
hy = y * hy1 - (k - 1) * hy2
c = c * rho / (k + 1)
z = hx * hy * c
s = s + z
If Abs(z / s) < FACCURACY Then
CheckPass = CheckPass + 1
Else
CheckPass = 0
End If
Wend
tetrachoric = s
End Function
Public Function bivnor(x As Double, y As Double, rho As Double) As Double
'
' bivnor function
' Calculates bivariat normal CDF F(x,y,rho) for a pair of standard normal
' random variables with correlation RHO
'
If rho = 0 Then
bivnor = Application.WorksheetFunction.NormSDist(x) * 开发者_如何学运维_
Application.WorksheetFunction.NormSDist(y)
Else
bivnor = Application.WorksheetFunction.NormSDist(x) * _
Application.WorksheetFunction.NormSDist(y) + _
Application.WorksheetFunction.NormDist(x, 0, 1, False) * _
Application.WorksheetFunction.NormDist(y, 0, 1, False) * _
tetrachoric(x, y, rho)
End If
End Function
Source: Available for download at http://michael.marginalq.com/
you're hitting on the limits of the computer architecture. Many complex algorithms can't be implemented 1:1 with their mathematical representation because of performance reasons and/or erroneous behavior when overflowing. There's an exceptionally good blog about these issues - John D. Cook.
Please take a look here for a better implementation.
You can also try binding an external library, that gives you arbitrary precision number handling, of course implemented using very expensive (in terms of CPU time) software algorithms. More can be found here.
Updated code using On Error Resume Next
instead of On Error Goto
:
While CheckPass < MinStopK
k = k + 1
hx2 = hx1
hy2 = hy1
hx1 = hx
hy1 = hy
hx = x * hx1 - (k - 1) * hx2
hy = y * hy1 - (k - 1) * hy2
c = c * rho / (k + 1)
On Error Resume Next
z = hx * hy * c
If Err.Number = 0 Then
s = s + z
If Abs(z / s) < FACCURACY Then
CheckPass = CheckPass + 1
Else
CheckPass = 0
End If
Else
Err.Clear
End If
Wend
http://www.codeproject.com/KB/recipes/float_point.aspx treats how to "Use Logarithms to Avoid Overflow and Underflow", which is a simple but quite effective way of working around overflow problems. In fact, it's so simple yet logical, why haven't we thought of that solution ourselves? ;)
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