Numeric.Sum

math-functions-0.2.0.1: Special functions and Chebyshev polynomials

Copyright | (c) 2014 Bryan O'Sullivan
License | BSD3
Maintainer | bos@serpentine.com
Stability | experimental
Portability | portable
Safe Haskell | None
Language | Haskell2010

Numeric.Sum

Contents

- Summation type class
  - Usage
- Kahan-Babuška-Neumaier summation
- Order-2 Kahan-Babuška summation
- Less desirable approaches
  - Kahan summation
  - Pairwise summation
- References

Description

Functions for summing floating point numbers more accurately than the naive `sum` function and its counterparts in the `vector` package and elsewhere.

When used with floating point numbers, in the worst case, the `sum` function accumulates numeric error at a rate proportional to the number of values being summed. The algorithms in this module implement different methods of /compensated summation/, which reduce the accumulation of numeric error so that it either grows much more slowly than the number of inputs (e.g. logarithmically), or remains constant.

Synopsis

- class Summation s where
- sumVector :: (Vector v Double, Summation s) => (s -> Double) -> v Double -> Double
- data KBNSum = KBNSum !Double !Double
- kbn :: KBNSum -> Double
- data KB2Sum = KB2Sum !Double !Double !Double
- kb2 :: KB2Sum -> Double
- data KahanSum = KahanSum !Double !Double
- kahan :: KahanSum -> Double
- pairwiseSum :: Vector v Double => v Double -> Double

# Summation type class

class Summation s where #

A class for summation of floating point numbers.

Minimal complete definition

zero, add

Methods

zero :: s #

The identity for summation.

add :: s -> Double -> s #

Add a value to a sum.

sum :: Foldable f => (s -> Double) -> f Double -> Double #

Sum a collection of values.

Example: `foo = `sum` `kbn` [1,2,3]`

Instances

Summation Double # |
Methods zero :: Double # add :: Double -> Double -> Double # sum :: Foldable f => (Double -> Double) -> f Double -> Double #
Summation KahanSum # |
Methods zero :: KahanSum # add :: KahanSum -> Double -> KahanSum # sum :: Foldable f => (KahanSum -> Double) -> f Double -> Double #
Summation KBNSum # |
Methods zero :: KBNSum # add :: KBNSum -> Double -> KBNSum # sum :: Foldable f => (KBNSum -> Double) -> f Double -> Double #
Summation KB2Sum # |
Methods zero :: KB2Sum # add :: KB2Sum -> Double -> KB2Sum # sum :: Foldable f => (KB2Sum -> Double) -> f Double -> Double #

sumVector :: (Vector v Double, Summation s) => (s -> Double) -> v Double -> Double #

O(n) Sum a vector of values.

## Usage

Most of these summation algorithms are intended to be used via the `Summation` typeclass interface. Explicit type annotations should not be necessary, as the use of a function such as `kbn` or `kb2` to extract the final sum out of a `Summation` instance gives the compiler enough information to determine the precise type of summation algorithm to use.

As an example, here is a (somewhat silly) function that manually computes the sum of elements in a list.

    sillySumList :: [Double] -> Double
    sillySumList = loop zero
      where loop s []     = kbn s
            loop s (x:xs) = seq s' loop s' xs
              where s'    = add s x

In most instances, you can simply use the much more general `sum` function instead of writing a summation function by hand.

    -- Avoid ambiguity around which sum function we are using.
    import Prelude hiding (sum)
    --
    betterSumList :: [Double] -> Double
    betterSumList xs = sum kbn xs

# Kahan-Babuška-Neumaier summation

data KBNSum #

Kahan-Babuška-Neumaier summation. This is a little more computationally costly than plain Kahan summation, but is always at least as accurate.

Constructors

KBNSum !Double !Double |

Instances

Eq KBNSum # |
Methods (==) :: KBNSum -> KBNSum -> Bool # (/=) :: KBNSum -> KBNSum -> Bool #
Data KBNSum # |
Methods gfoldl :: (forall d b. Data d => c (d -> b) -> d -> c b) -> (forall g. g -> c g) -> KBNSum -> c KBNSum # gunfold :: (forall b r. Data b => c (b -> r) -> c r) -> (forall r. r -> c r) -> Constr -> c KBNSum # toConstr :: KBNSum -> Constr # dataTypeOf :: KBNSum -> DataType # dataCast1 :: Typeable (* -> *) t => (forall d. Data d => c (t d)) -> Maybe (c KBNSum) # dataCast2 :: Typeable (* -> * -> *) t => (forall d e. (Data d, Data e) => c (t d e)) -> Maybe (c KBNSum) # gmapT :: (forall b. Data b => b -> b) -> KBNSum -> KBNSum # gmapQl :: (r -> r' -> r) -> r -> (forall d. Data d => d -> r') -> KBNSum -> r # gmapQr :: (r' -> r -> r) -> r -> (forall d. Data d => d -> r') -> KBNSum -> r # gmapQ :: (forall d. Data d => d -> u) -> KBNSum -> [u] # gmapQi :: Int -> (forall d. Data d => d -> u) -> KBNSum -> u # gmapM :: Monad m => (forall d. Data d => d -> m d) -> KBNSum -> m KBNSum # gmapMp :: MonadPlus m => (forall d. Data d => d -> m d) -> KBNSum -> m KBNSum # gmapMo :: MonadPlus m => (forall d. Data d => d -> m d) -> KBNSum -> m KBNSum #
Show KBNSum # |
Methods showsPrec :: Int -> KBNSum -> ShowS # show :: KBNSum -> String # showList :: [KBNSum] -> ShowS #
NFData KBNSum # |
Methods rnf :: KBNSum -> () #
Unbox KBNSum # |
Summation KBNSum # |
Methods zero :: KBNSum # add :: KBNSum -> Double -> KBNSum # sum :: Foldable f => (KBNSum -> Double) -> f Double -> Double #
Vector Vector KBNSum # |
Methods basicUnsafeFreeze :: PrimMonad m => Mutable Vector (PrimState m) KBNSum -> m (Vector KBNSum) # basicUnsafeThaw :: PrimMonad m => Vector KBNSum -> m (Mutable Vector (PrimState m) KBNSum) # basicLength :: Vector KBNSum -> Int # basicUnsafeSlice :: Int -> Int -> Vector KBNSum -> Vector KBNSum # basicUnsafeIndexM :: Monad m => Vector KBNSum -> Int -> m KBNSum # basicUnsafeCopy :: PrimMonad m => Mutable Vector (PrimState m) KBNSum -> Vector KBNSum -> m () # elemseq :: Vector KBNSum -> KBNSum -> b -> b #
MVector MVector KBNSum # |
Methods basicLength :: MVector s KBNSum -> Int # basicUnsafeSlice :: Int -> Int -> MVector s KBNSum -> MVector s KBNSum # basicOverlaps :: MVector s KBNSum -> MVector s KBNSum -> Bool # basicUnsafeNew :: PrimMonad m => Int -> m (MVector (PrimState m) KBNSum) # basicInitialize :: PrimMonad m => MVector (PrimState m) KBNSum -> m () # basicUnsafeReplicate :: PrimMonad m => Int -> KBNSum -> m (MVector (PrimState m) KBNSum) # basicUnsafeRead :: PrimMonad m => MVector (PrimState m) KBNSum -> Int -> m KBNSum # basicUnsafeWrite :: PrimMonad m => MVector (PrimState m) KBNSum -> Int -> KBNSum -> m () # basicClear :: PrimMonad m => MVector (PrimState m) KBNSum -> m () # basicSet :: PrimMonad m => MVector (PrimState m) KBNSum -> KBNSum -> m () # basicUnsafeCopy :: PrimMonad m => MVector (PrimState m) KBNSum -> MVector (PrimState m) KBNSum -> m () # basicUnsafeMove :: PrimMonad m => MVector (PrimState m) KBNSum -> MVector (PrimState m) KBNSum -> m () # basicUnsafeGrow :: PrimMonad m => MVector (PrimState m) KBNSum -> Int -> m (MVector (PrimState m) KBNSum) #
data Vector KBNSum # |
data Vector KBNSum = V_KBNSum (Vector (Double, Double))
data MVector s KBNSum # |
data MVector s KBNSum = MV_KBNSum (MVector s (Double, Double))

kbn :: KBNSum -> Double #

Return the result of a Kahan-Babuška-Neumaier sum.

# Order-2 Kahan-Babuška summation

data KB2Sum #

Second-order Kahan-Babuška summation. This is more computationally costly than Kahan-Babuška-Neumaier summation, running at about a third the speed. Its advantage is that it can lose less precision (in admittedly obscure cases).

This method compensates for error in both the sum and the first-order compensation term, hence the use of "second order" in the name.

Constructors

KB2Sum !Double !Double !Double |

Instances

Eq KB2Sum # |
Methods (==) :: KB2Sum -> KB2Sum -> Bool # (/=) :: KB2Sum -> KB2Sum -> Bool #
Data KB2Sum # |
Methods gfoldl :: (forall d b. Data d => c (d -> b) -> d -> c b) -> (forall g. g -> c g) -> KB2Sum -> c KB2Sum # gunfold :: (forall b r. Data b => c (b -> r) -> c r) -> (forall r. r -> c r) -> Constr -> c KB2Sum # toConstr :: KB2Sum -> Constr # dataTypeOf :: KB2Sum -> DataType # dataCast1 :: Typeable (* -> *) t => (forall d. Data d => c (t d)) -> Maybe (c KB2Sum) # dataCast2 :: Typeable (* -> * -> *) t => (forall d e. (Data d, Data e) => c (t d e)) -> Maybe (c KB2Sum) # gmapT :: (forall b. Data b => b -> b) -> KB2Sum -> KB2Sum # gmapQl :: (r -> r' -> r) -> r -> (forall d. Data d => d -> r') -> KB2Sum -> r # gmapQr :: (r' -> r -> r) -> r -> (forall d. Data d => d -> r') -> KB2Sum -> r # gmapQ :: (forall d. Data d => d -> u) -> KB2Sum -> [u] # gmapQi :: Int -> (forall d. Data d => d -> u) -> KB2Sum -> u # gmapM :: Monad m => (forall d. Data d => d -> m d) -> KB2Sum -> m KB2Sum # gmapMp :: MonadPlus m => (forall d. Data d => d -> m d) -> KB2Sum -> m KB2Sum # gmapMo :: MonadPlus m => (forall d. Data d => d -> m d) -> KB2Sum -> m KB2Sum #
Show KB2Sum # |
Methods showsPrec :: Int -> KB2Sum -> ShowS # show :: KB2Sum -> String # showList :: [KB2Sum] -> ShowS #
NFData KB2Sum # |
Methods rnf :: KB2Sum -> () #
Unbox KB2Sum # |
Summation KB2Sum # |
Methods zero :: KB2Sum # add :: KB2Sum -> Double -> KB2Sum # sum :: Foldable f => (KB2Sum -> Double) -> f Double -> Double #
Vector Vector KB2Sum # |
Methods basicUnsafeFreeze :: PrimMonad m => Mutable Vector (PrimState m) KB2Sum -> m (Vector KB2Sum) # basicUnsafeThaw :: PrimMonad m => Vector KB2Sum -> m (Mutable Vector (PrimState m) KB2Sum) # basicLength :: Vector KB2Sum -> Int # basicUnsafeSlice :: Int -> Int -> Vector KB2Sum -> Vector KB2Sum # basicUnsafeIndexM :: Monad m => Vector KB2Sum -> Int -> m KB2Sum # basicUnsafeCopy :: PrimMonad m => Mutable Vector (PrimState m) KB2Sum -> Vector KB2Sum -> m () # elemseq :: Vector KB2Sum -> KB2Sum -> b -> b #
MVector MVector KB2Sum # |
Methods basicLength :: MVector s KB2Sum -> Int # basicUnsafeSlice :: Int -> Int -> MVector s KB2Sum -> MVector s KB2Sum # basicOverlaps :: MVector s KB2Sum -> MVector s KB2Sum -> Bool # basicUnsafeNew :: PrimMonad m => Int -> m (MVector (PrimState m) KB2Sum) # basicInitialize :: PrimMonad m => MVector (PrimState m) KB2Sum -> m () # basicUnsafeReplicate :: PrimMonad m => Int -> KB2Sum -> m (MVector (PrimState m) KB2Sum) # basicUnsafeRead :: PrimMonad m => MVector (PrimState m) KB2Sum -> Int -> m KB2Sum # basicUnsafeWrite :: PrimMonad m => MVector (PrimState m) KB2Sum -> Int -> KB2Sum -> m () # basicClear :: PrimMonad m => MVector (PrimState m) KB2Sum -> m () # basicSet :: PrimMonad m => MVector (PrimState m) KB2Sum -> KB2Sum -> m () # basicUnsafeCopy :: PrimMonad m => MVector (PrimState m) KB2Sum -> MVector (PrimState m) KB2Sum -> m () # basicUnsafeMove :: PrimMonad m => MVector (PrimState m) KB2Sum -> MVector (PrimState m) KB2Sum -> m () # basicUnsafeGrow :: PrimMonad m => MVector (PrimState m) KB2Sum -> Int -> m (MVector (PrimState m) KB2Sum) #
data Vector KB2Sum # |
data Vector KB2Sum = V_KB2Sum (Vector (Double, Double, Double))
data MVector s KB2Sum # |
data MVector s KB2Sum = MV_KB2Sum (MVector s (Double, Double, Double))

kb2 :: KB2Sum -> Double #

Return the result of an order-2 Kahan-Babuška sum.

# Less desirable approaches

## Kahan summation

data KahanSum #

Kahan summation. This is the least accurate of the compensated summation methods. In practice, it only beats naive summation for inputs with large magnitude. Kahan summation can be less accurate than naive summation for small-magnitude inputs.

This summation method is included for completeness. Its use is not recommended. In practice, `KBNSum` is both 30% faster and more accurate.

Constructors

KahanSum !Double !Double |

Instances

Eq KahanSum # |
Methods (==) :: KahanSum -> KahanSum -> Bool # (/=) :: KahanSum -> KahanSum -> Bool #
Data KahanSum # |
Methods gfoldl :: (forall d b. Data d => c (d -> b) -> d -> c b) -> (forall g. g -> c g) -> KahanSum -> c KahanSum # gunfold :: (forall b r. Data b => c (b -> r) -> c r) -> (forall r. r -> c r) -> Constr -> c KahanSum # toConstr :: KahanSum -> Constr # dataTypeOf :: KahanSum -> DataType # dataCast1 :: Typeable (* -> *) t => (forall d. Data d => c (t d)) -> Maybe (c KahanSum) # dataCast2 :: Typeable (* -> * -> *) t => (forall d e. (Data d, Data e) => c (t d e)) -> Maybe (c KahanSum) # gmapT :: (forall b. Data b => b -> b) -> KahanSum -> KahanSum # gmapQl :: (r -> r' -> r) -> r -> (forall d. Data d => d -> r') -> KahanSum -> r # gmapQr :: (r' -> r -> r) -> r -> (forall d. Data d => d -> r') -> KahanSum -> r # gmapQ :: (forall d. Data d => d -> u) -> KahanSum -> [u] # gmapQi :: Int -> (forall d. Data d => d -> u) -> KahanSum -> u # gmapM :: Monad m => (forall d. Data d => d -> m d) -> KahanSum -> m KahanSum # gmapMp :: MonadPlus m => (forall d. Data d => d -> m d) -> KahanSum -> m KahanSum # gmapMo :: MonadPlus m => (forall d. Data d => d -> m d) -> KahanSum -> m KahanSum #
Show KahanSum # |
Methods showsPrec :: Int -> KahanSum -> ShowS # show :: KahanSum -> String # showList :: [KahanSum] -> ShowS #
NFData KahanSum # |
Methods rnf :: KahanSum -> () #
Unbox KahanSum # |
Summation KahanSum # |
Methods zero :: KahanSum # add :: KahanSum -> Double -> KahanSum # sum :: Foldable f => (KahanSum -> Double) -> f Double -> Double #
Vector Vector KahanSum # |
Methods basicUnsafeFreeze :: PrimMonad m => Mutable Vector (PrimState m) KahanSum -> m (Vector KahanSum) # basicUnsafeThaw :: PrimMonad m => Vector KahanSum -> m (Mutable Vector (PrimState m) KahanSum) # basicLength :: Vector KahanSum -> Int # basicUnsafeSlice :: Int -> Int -> Vector KahanSum -> Vector KahanSum # basicUnsafeIndexM :: Monad m => Vector KahanSum -> Int -> m KahanSum # basicUnsafeCopy :: PrimMonad m => Mutable Vector (PrimState m) KahanSum -> Vector KahanSum -> m () # elemseq :: Vector KahanSum -> KahanSum -> b -> b #
MVector MVector KahanSum # |
Methods basicLength :: MVector s KahanSum -> Int # basicUnsafeSlice :: Int -> Int -> MVector s KahanSum -> MVector s KahanSum # basicOverlaps :: MVector s KahanSum -> MVector s KahanSum -> Bool # basicUnsafeNew :: PrimMonad m => Int -> m (MVector (PrimState m) KahanSum) # basicInitialize :: PrimMonad m => MVector (PrimState m) KahanSum -> m () # basicUnsafeReplicate :: PrimMonad m => Int -> KahanSum -> m (MVector (PrimState m) KahanSum) # basicUnsafeRead :: PrimMonad m => MVector (PrimState m) KahanSum -> Int -> m KahanSum # basicUnsafeWrite :: PrimMonad m => MVector (PrimState m) KahanSum -> Int -> KahanSum -> m () # basicClear :: PrimMonad m => MVector (PrimState m) KahanSum -> m () # basicSet :: PrimMonad m => MVector (PrimState m) KahanSum -> KahanSum -> m () # basicUnsafeCopy :: PrimMonad m => MVector (PrimState m) KahanSum -> MVector (PrimState m) KahanSum -> m () # basicUnsafeMove :: PrimMonad m => MVector (PrimState m) KahanSum -> MVector (PrimState m) KahanSum -> m () # basicUnsafeGrow :: PrimMonad m => MVector (PrimState m) KahanSum -> Int -> m (MVector (PrimState m) KahanSum) #
data Vector KahanSum # |
data Vector KahanSum = V_KahanSum (Vector (Double, Double))
data MVector s KahanSum # |
data MVector s KahanSum = MV_KahanSum (MVector s (Double, Double))

kahan :: KahanSum -> Double #

Return the result of a Kahan sum.

## Pairwise summation

pairwiseSum :: Vector v Double => v Double -> Double #

O(n) Sum a vector of values using pairwise summation.

This approach is perhaps 10% faster than `KBNSum`, but has poorer bounds on its error growth. Instead of having roughly constant error regardless of the size of the input vector, in the worst case its accumulated error grows with O(log n).

# References

- Kahan, W. (1965), Further remarks on reducing truncation errors. Communications of the ACM 8(1):40.
- Neumaier, A. (1974), Rundungsfehleranalyse einiger Verfahren zur Summation endlicher Summen. Zeitschrift für Angewandte Mathematik und Mechanik 54:39–51.
- Klein, A. (2006), A Generalized Kahan-Babuška-Summation-Algorithm. Computing 76(3):279-293.
- Higham, N.J. (1993), The accuracy of floating point summation. SIAM Journal on Scientific Computing 14(4):783–799.