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fix: avoid overflow/underflow in C implementation of truncated-normal/pdf #15576

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Merged
kgryte merged 1 commit into from
Sep 27, 2026
Merged

fix: avoid overflow/underflow in C implementation of truncated-normal/pdf #15576

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9 changes: 3 additions & 6 deletions lib/node_modules/@stdlib/stats/base/dists/truncated-normal/pdf/manifest.json
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Original file line number Diff line number Diff line change
Expand Up @@ -42,8 +42,7 @@
"@stdlib/math/base/assert/is-nan",
"@stdlib/math/base/special/exp",
"@stdlib/math/base/special/abs2",
"@stdlib/constants/float64/pi",
"@stdlib/math/base/special/sqrt",
"@stdlib/constants/float64/sqrt-two-pi",
"@stdlib/stats/base/dists/normal/cdf"
]
},
Expand All @@ -62,8 +61,7 @@
"@stdlib/math/base/assert/is-nan",
"@stdlib/math/base/special/exp",
"@stdlib/math/base/special/abs2",
"@stdlib/constants/float64/pi",
"@stdlib/math/base/special/sqrt",
"@stdlib/constants/float64/sqrt-two-pi",
"@stdlib/stats/base/dists/normal/cdf"
]
},
Expand All @@ -82,8 +80,7 @@
"@stdlib/math/base/assert/is-nan",
"@stdlib/math/base/special/exp",
"@stdlib/math/base/special/abs2",
"@stdlib/constants/float64/pi",
"@stdlib/math/base/special/sqrt",
"@stdlib/constants/float64/sqrt-two-pi",
"@stdlib/stats/base/dists/normal/cdf"
]
}
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14 changes: 5 additions & 9 deletions lib/node_modules/@stdlib/stats/base/dists/truncated-normal/pdf/src/main.c
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Expand Up @@ -20,9 +20,8 @@
#include "stdlib/math/base/assert/is_nan.h"
#include "stdlib/math/base/special/exp.h"
#include "stdlib/math/base/special/abs2.h"
#include "stdlib/math/base/special/sqrt.h"
#include "stdlib/stats/base/dists/normal/cdf.h"
#include "stdlib/constants/float64/pi.h"
#include "stdlib/constants/float64/sqrt_two_pi.h"

/**
* Evaluates the probability density function (PDF) for a truncated normal distribution with endpoints `a` and `b`, location parameter `mu`, and scale parameter `sigma` at a value `x`.
Expand All @@ -39,9 +38,8 @@
* // returns ~0.7795
*/
double stdlib_base_dists_truncated_normal_pdf( const double x, const double a, const double b, const double mu, const double sigma ) {
double s2x2;
double z;
double A;
double B;
double C;

if (
Expand All @@ -56,10 +54,8 @@ double stdlib_base_dists_truncated_normal_pdf( const double x, const double a, c
if ( x < a || x > b ) {
return 0.0;
}
s2x2 = 2.0 * stdlib_base_abs2( sigma );
A = 1.0 / ( stdlib_base_sqrt( s2x2 * STDLIB_CONSTANT_FLOAT64_PI ) );
B = -1.0 / s2x2;
A = 1.0 / ( sigma * STDLIB_CONSTANT_FLOAT64_SQRT_TWO_PI );
C = stdlib_base_dists_normal_cdf( ( b - mu ) / sigma, 0.0, 1.0 ) - stdlib_base_dists_normal_cdf( ( a - mu ) / sigma, 0.0, 1.0 );

return A * stdlib_base_exp( B * stdlib_base_abs2( x - mu ) ) / C;
z = ( x - mu ) / sigma;
return A * stdlib_base_exp( -0.5 * stdlib_base_abs2( z ) ) / C;
}
14 changes: 14 additions & 0 deletions lib/node_modules/@stdlib/stats/base/dists/truncated-normal/pdf/test/test.native.js
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Expand Up @@ -105,6 +105,20 @@ tape( 'the function returns `0` when `x` is outside `[a,b]`', opts, function tes
t.end();
});

tape( 'the function does not overflow or underflow for extreme inputs', opts, function test( t ) {
var y;

// Verified against SciPy:
y = pdf( 0.0, -1e-160, 1e-160, 0.0, 1e-160 );
t.strictEqual( isAlmostSameValue( y, 5.843685672568167e+159, 1.0 ), true, 'returns expected value' );

// Verified against SciPy:
y = pdf( 1e200, -1e201, 1e201, 0.0, 1e200 );
t.strictEqual( isAlmostSameValue( y, 2.4197072451914336e-201, 1.0 ), true, 'returns expected value' );

t.end();
});

tape( 'the function evaluates the PDF', opts, function test( t ) {
var expected;
var sigma;
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14 changes: 14 additions & 0 deletions lib/node_modules/@stdlib/stats/base/dists/truncated-normal/pdf/test/test.pdf.js
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Expand Up @@ -96,6 +96,20 @@ tape( 'the function returns `0` if provided `x` outside `[a, b]`', function test
t.end();
});

tape( 'the function does not overflow or underflow for extreme inputs', function test( t ) {
var y;

// Verified against SciPy:
y = pdf( 0.0, -1e-160, 1e-160, 0.0, 1e-160 );
t.strictEqual( isAlmostSameValue( y, 5.843685672568167e+159, 1.0 ), true, 'returns expected value' );

// Verified against SciPy:
y = pdf( 1e200, -1e201, 1e201, 0.0, 1e200 );
t.strictEqual( isAlmostSameValue( y, 2.4197072451914336e-201, 1.0 ), true, 'returns expected value' );

t.end();
});

tape( 'the function evaluates the PDF', function test( t ) {
var expected;
var sigma;
Expand Down
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