CODEWITHSUNDEEP
rfactorialnumerical-integrationlargenumber
Vinicius Riffel
Vinicius Riffel

Reputation: 112

Eval very large factorial in R

I need to integrate a function which has a factorial in its expression. But, if you try to evaluate factorial, when n > 170, R returns Inf.

I found a lot of packages that allow you to calculate very large numbers, however, they always returns an object from a class that I can't integrate. The final result from the integral always will be a small number.

Here's my code:

integrand <- function(n, i, x) {
    (factorial(n) / (factorial(i - 1) * factorial(n - i))) *
        x^(i - 1) * (1 - x)^(n - i)
}

forder <- function(Fx, x, n, i, ...) {
    lower <- sapply(x - 1, Fx, ...)
    upper <- sapply(x, Fx, ...)
     integrate(integrand,
               lower = lower, upper = upper, n = n, i = i,
               stop.on.error = FALSE)$value
}
forder <- Vectorize(forder, "x")

##------------------------------------------------------------------------------
## Some example
y <- sort(rpois(100, 1))

## Works fine
forder(ppois, y, 170, 10, lambda = 1)

## Does not work
forder(ppois, y, 171, 10, lambda = 1)
##------------------------------------------------------------------------------

Upvotes: 3

Views: 294

Answers (2)

Rui Barradas
Rui Barradas

Reputation: 76683

Changing the integrand to use logarithms both calls work. I also post functions @StéphaneLaurent's ideas of using choose/lchoose and the pbeta/beta functions.

integrand <- function(n, i, x) {
  y <- lfactorial(n) - lfactorial(i - 1) - lfactorial(n - i) +
    (i - 1)*log(x) + log(1 - x)*(n - i)
  exp(y)
}

forder <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  integrate(integrand,
            lower = lower, upper = upper, n = n, i = i,
            stop.on.error = FALSE)$value
}
forder <- Vectorize(forder, "x")

integrandSL <- function(n, i, x) {
  y <- log(i) + lchoose(n, i) + (i - 1)*log(x) + log(1 - x)*(n - i)
  exp(y)
}

forderSL <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  integrate(integrandSL,
            lower = lower, upper = upper, n = n, i = i,
            stop.on.error = FALSE)$value
}
forderSL <- Vectorize(forderSL, "x")

forderSL2 <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  lg <- log(i) + lchoose(n, i) + 
    log(pbeta(upper, i, n-i+1) - pbeta(lower, i, n-i+1)) + lbeta(i, n-i+1)
  exp(lg)
}

Now the tests. All results are all.equal.

##-------------------------------------------------
set.seed(1234)
y <- sort(rpois(100, 1))

res_170 <- forder(ppois, y, 170, 10, lambda = 1)
res_171 <- forder(ppois, y, 171, 10, lambda = 1)

resSL_170 <- forderSL(ppois, y, 170, 10, lambda = 1)
resSL_171 <- forderSL(ppois, y, 171, 10, lambda = 1)

resSL2_170 <- forderSL2(ppois, y, 170, 10, lambda = 1)
resSL2_171 <- forderSL2(ppois, y, 171, 10, lambda = 1)

all.equal(res_170, resSL_170)    # TRUE
all.equal(res_170, resSL2_170)   # TRUE
all.equal(res_171, resSL_171)    # TRUE
all.equal(res_171, resSL2_171)   # TRUE

Upvotes: 1

St&#233;phane Laurent
St&#233;phane Laurent

Reputation: 84719

As said in my comment, you can replace (factorial(n) / (factorial(i - 1) * factorial(n - i))) with i*choose(n, i). These two quantities are equal but choose(n,i) allows higher values of n.

Or you can use the pbeta function instead of doing a numerical integration:

forder <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  i*choose(n, i) * (pbeta(upper, i, n-i+1) - pbeta(lower, i, n-i+1)) * beta(i, n-i+1)
}

Even better, use logarithms:

forder <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  lg <- log(i) + lchoose(n, i) + 
    log(pbeta(upper, i, n-i+1) - pbeta(lower, i, n-i+1)) + lbeta(i, n-i+1)
  exp(lg)
}

EDIT

I didn't notice this simplification: i*choose(n, i) * beta(i, n-i+1) = 1. So you can simply do:

forder <- function(Fx, x, n, i, ...) {
  lower <- sapply(x - 1, Fx, ...)
  upper <- sapply(x, Fx, ...)
  pbeta(upper, i, n-i+1) - pbeta(lower, i, n-i+1)
}

Upvotes: 6

Related Questions