bugGNU Octave - Bugs: bug #44130, [octave forge] (statistics) mvncdf...

 
 

bug #44130: [octave forge] (statistics) mvncdf outputs different results for same input parameters

Submitted by:  Pham <dkgpoctave>
Submitted on:  Fri 30 Jan 2015 06:29:28 AM UTC  
 
Category: Octave Forge PackageSeverity: 3 - Normal
Priority: 5 - NormalItem Group: Inaccurate Result
Status: NoneAssigned to: None
Originator Name: Open/Closed: Open
Release: 3.8.1Operating System: GNU/Linux

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Wed 22 Jul 2015 06:02:09 PM UTC, comment #1:

Hi Pham,

I believe this is not a bug but a matter of precision.

The function always(*) uses a Monte Carlo method to approximate the integrals, that runs until error is smaller than a predefined precision of 1e-3. Look at the variable 'error'

[p,error] = mvncdf(x, mu, sigma).

best, Andrej

(*) unlike Matlab that uses adaptive quadrature for 2- and 3- dimensional data. It would be nice to have this in Octave, too, since it is faster than Monte Carlo.

Andrej <mangosauce35>
Fri 30 Jan 2015 06:29:28 AM UTC, original submission:

Hi all,
I've just "discovered" that executing mvncdf several times with the exact same input parameters yields different numerical results.

I expected that the function yield exactly the same result.

Here is a minimal working example (from the doc) :

The outputs are :

I get other (different) results when exiting and restarting Octave.

Computer setup :
Xubuntu 14.04.1 LTS x86_64
octave from official repos

Pham <dkgpoctave>

 

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  • -unavailable- added by jwe (Updated the item)
  • -unavailable- added by mangosauce35 (Posted a comment)
  • -unavailable- added by dkgpoctave (Submitted the item)
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    Follows 1 latest change.

    Date Changed By Updated Field Previous Value => Replaced By
    Sun 13 Aug 2017 01:34:59 PM UTCjweSummarymvncdf outputs different results for same input parameters=>[octave forge] (statistics) mvncdf outputs different results for same input parameters

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