bounds_binomial_proportions.hpp

/*
 * Licensed to the Apache Software Foundation (ASF) under one
 * or more contributor license agreements.  See the NOTICE file
 * distributed with this work for additional information
 * regarding copyright ownership.  The ASF licenses this file
 * to you under the Apache License, Version 2.0 (the
 * "License"); you may not use this file except in compliance
 * with the License.  You may obtain a copy of the License at
 *
 *   http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing,
 * software distributed under the License is distributed on an
 * "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
 * KIND, either express or implied.  See the License for the
 * specific language governing permissions and limitations
 * under the License.
 */
 
#ifndef _BOUNDS_BINOMIAL_PROPORTIONS_HPP_
#define _BOUNDS_BINOMIAL_PROPORTIONS_HPP_
 
#include <cmath>
#include <stdexcept>
 
namespace datasketches {
 
class bounds_binomial_proportions { // confidence intervals for binomial proportions
 
public:
  static inline double approximate_lower_bound_on_p(uint64_t n, uint64_t k, double num_std_devs) {
    check_inputs(n, k);
    if (n == 0) { return 0.0; } // the coin was never flipped, so we know nothing
    else if (k == 0) { return 0.0; }
    else if (k == 1) { return (exact_lower_bound_on_p_k_eq_1(n, delta_of_num_stdevs(num_std_devs))); }
    else if (k == n) { return (exact_lower_bound_on_p_k_eq_n(n, delta_of_num_stdevs(num_std_devs))); }
    else {
      double x = abramowitz_stegun_formula_26p5p22((n - k) + 1.0, static_cast<double>(k), (-1.0 * num_std_devs));
      return (1.0 - x); // which is p
    }
  }
 
  static inline double approximate_upper_bound_on_p(uint64_t n, uint64_t k, double num_std_devs) {
    check_inputs(n, k);
    if (n == 0) { return 1.0; } // the coin was never flipped, so we know nothing
    else if (k == n) { return 1.0; }
    else if (k == (n - 1)) {
      return (exact_upper_bound_on_p_k_eq_minusone(n, delta_of_num_stdevs(num_std_devs)));
    }
    else if (k == 0) {
      return (exact_upper_bound_on_p_k_eq_zero(n, delta_of_num_stdevs(num_std_devs)));
    }
    else {
      double x = abramowitz_stegun_formula_26p5p22(static_cast<double>(n - k), k + 1.0, num_std_devs);
      return (1.0 - x); // which is p
    }
  }
 
  static inline double estimate_unknown_p(uint64_t n, uint64_t k) {
    check_inputs(n, k);
    if (n == 0) { return 0.5; } // the coin was never flipped, so we know nothing
    else { return ((double) k / (double) n); }
  }
 
  static inline double erf(double x) {
    if (x < 0.0) { return (-1.0 * (erf_of_nonneg(-1.0 * x))); }
    else { return (erf_of_nonneg(x)); }
  }
 
   static inline double normal_cdf(double x) {
    return (0.5 * (1.0 + (erf(x / (sqrt(2.0))))));
  }
 
private:
  static inline void check_inputs(uint64_t n, uint64_t k) {
    if (k > n) { throw std::invalid_argument("K cannot exceed N"); }
  }
 
  //@formatter:off
  // Abramowitz and Stegun formula 7.1.28, p. 88; Claims accuracy of about 7 decimal digits */
  static inline double erf_of_nonneg(double x) {
    // The constants that appear below, formatted for easy checking against the book.
    //    a1 = 0.07052 30784
    //    a3 = 0.00927 05272
    //    a5 = 0.00027 65672
    //    a2 = 0.04228 20123
    //    a4 = 0.00015 20143
    //    a6 = 0.00004 30638
    static const double a1 = 0.0705230784;
    static const double a3 = 0.0092705272;
    static const double a5 = 0.0002765672;
    static const double a2 = 0.0422820123;
    static const double a4 = 0.0001520143;
    static const double a6 = 0.0000430638;
    const double x2 = x * x; // x squared, x cubed, etc.
    const double x3 = x2 * x;
    const double x4 = x2 * x2;
    const double x5 = x2 * x3;
    const double x6 = x3 * x3;
    const double sum = ( 1.0
                 + (a1 * x)
                 + (a2 * x2)
                 + (a3 * x3)
                 + (a4 * x4)
                 + (a5 * x5)
                 + (a6 * x6) );
    const double sum2 = sum * sum; // raise the sum to the 16th power
    const double sum4 = sum2 * sum2;
    const double sum8 = sum4 * sum4;
    const double sum16 = sum8 * sum8;
    return (1.0 - (1.0 / sum16));
  }
 
  static inline double delta_of_num_stdevs(double kappa) {
    return (normal_cdf(-1.0 * kappa));
  }
 
  //@formatter:on
  // Formula 26.5.22 on page 945 of Abramowitz & Stegun, which is an approximation
  // of the inverse of the incomplete beta function I_x(a,b) = delta
  // viewed as a scalar function of x.
  // In other words, we specify delta, and it gives us x (with a and b held constant).
  // However, delta is specified in an indirect way through yp which
  // is the number of stdDevs that leaves delta probability in the right
  // tail of a standard gaussian distribution.
 
  // We point out that the variable names correspond to those in the book,
  // and it is worth keeping it that way so that it will always be easy to verify
  // that the formula was typed in correctly.
 
  static inline double abramowitz_stegun_formula_26p5p22(double a, double b, double yp) {
    const double b2m1 = (2.0 * b) - 1.0;
    const double a2m1 = (2.0 * a) - 1.0;
    const double lambda = ((yp * yp) - 3.0) / 6.0;
    const double htmp = (1.0 / a2m1) + (1.0 / b2m1);
    const double h = 2.0 / htmp;
    const double term1 = (yp * (sqrt(h + lambda))) / h;
    const double term2 = (1.0 / b2m1) - (1.0 / a2m1);
    const double term3 = (lambda + (5.0 / 6.0)) - (2.0 / (3.0 * h));
    const double w = term1 - (term2 * term3);
    const double xp = a / (a + (b * (exp(2.0 * w))));
    return xp;
  }
 
  // Formulas for some special cases.
 
  static inline double exact_upper_bound_on_p_k_eq_zero(uint64_t n, double delta) {
    return (1.0 - pow(delta, (1.0 / n)));
  }
 
  static inline double exact_lower_bound_on_p_k_eq_n(uint64_t n, double delta) {
    return (pow(delta, (1.0 / n)));
  }
 
  static inline double exact_lower_bound_on_p_k_eq_1(uint64_t n, double delta) {
    return (1.0 - pow((1.0 - delta), (1.0 / n)));
  }
 
  static inline double exact_upper_bound_on_p_k_eq_minusone(uint64_t n, double delta) {
    return (pow((1.0 - delta), (1.0 / n)));
  }
 
};
 
}
 
#endif // _BOUNDS_BINOMIAL_PROPORTIONS_HPP_