Add betainc C implementation

pytensor/scalar/c_code/incbet.c

@@ -0,0 +1,311 @@
+/*    adapted from file incbet.c, obtained from the Cephes library (MIT License)
+Cephes Math Library, Release 2.8:  June, 2000
+Copyright 1984, 1995, 2000 by Stephen L. Moshier
+*/
+
+//For GPU support
+#ifdef __CUDACC__
+#define DEVICE __device__
+#else
+#define DEVICE
+#endif
+
+#include <float.h>
+#include <math.h>
+#include <stdio.h>
+#include <numpy/npy_math.h>
+
+
+#define MINLOG     -170.0    // XXX TODO!
+#define MAXLOG     +170.0    // XXX TODO!
+#define MAXGAM     171.624376956302725
+#define EPSILON     2.2204460492503131e-16
+
+DEVICE static double pseries(double, double, double);
+DEVICE static double incbcf(double, double, double);
+DEVICE static double incbd(double, double, double);
+
+static double big = 4.503599627370496e15;
+static double biginv =  2.22044604925031308085e-16;
+
+
+DEVICE double BetaInc(double a, double b, double x)
+{
+    double xc, y, w, t;
+    /* check function arguments */
+    if (a <= 0.0) return NPY_NAN;
+    if (b <= 0.0) return NPY_NAN;
+    if (x < 0.0) return NPY_NAN;
+    if (1.0 < x) return NPY_NAN;
+
+    /* some special cases */
+    if (x == 0.0) return 0.0;
+    if (x == 1.0) return 1.0;
+
+    if ( (b * x) <= 1.0 && x <= 0.95)
+    {
+        return pseries(a, b, x);
+    }
+
+    xc = 1.0 - x;
+    /* reverse a and b if x is greater than the mean */
+    if (x > (a / (a + b)))
+    {
+        t = BetaInc(b, a, xc);
+        if (t <= EPSILON) return 1.0 - EPSILON;
+        return 1.0 - t;
+    }
+
+    /* Choose expansion for better convergence. */
+    y = x * (a+b-2.0) - (a-1.0);
+    if( y < 0.0 )
+        w = incbcf( a, b, x );
+    else
+        w = incbd( a, b, x ) / xc;
+
+    y = a * log(x);
+    t = b * log(xc);
+    if( (a+b) < MAXGAM && fabs(y) < MAXLOG && fabs(t) < MAXLOG )
+    {
+        t = pow(xc, b);
+        t *= pow(x, a);
+        t /= a;
+        t *= w;
+        t *= tgamma(a + b) / (tgamma(a) * tgamma(b));
+
+        return t;
+    }
+
+    /* Resort to logarithms.  */
+    y += t + lgamma(a+b) - lgamma(a) - lgamma(b);
+    y += log(w / a);
+    if( y < MINLOG )
+        t = 0.0;
+    else
+        t = exp(y);
+
+    return t;
+}
+
+/* Continued fraction expansion #1
+ * for incomplete beta integral
+ */
+
+DEVICE static double incbcf(double a, double b, double x)
+{
+    double xk, pk, pkm1, pkm2, qk, qkm1, qkm2;
+    double k1, k2, k3, k4, k5, k6, k7, k8;
+    double r, t, ans, thresh;
+    int n;
+
+    k1 = a;
+    k2 = a + b;
+    k3 = a;
+    k4 = a + 1.0;
+    k5 = 1.0;
+    k6 = b - 1.0;
+    k7 = k4;
+    k8 = a + 2.0;
+
+    pkm2 = 0.0;
+    qkm2 = 1.0;
+    pkm1 = 1.0;
+    qkm1 = 1.0;
+    ans = 1.0;
+    r = 1.0;
+    n = 0;
+    thresh = 3.0 * EPSILON;
+    do
+    {
+
+        xk = -( x * k1 * k2 ) / ( k3 * k4 );
+        pk = pkm1 +  pkm2 * xk;
+        qk = qkm1 +  qkm2 * xk;
+        pkm2 = pkm1;
+        pkm1 = pk;
+        qkm2 = qkm1;
+        qkm1 = qk;
+
+        xk = ( x * k5 * k6 ) / ( k7 * k8 );
+        pk = pkm1 +  pkm2 * xk;
+        qk = qkm1 +  qkm2 * xk;
+        pkm2 = pkm1;
+        pkm1 = pk;
+        qkm2 = qkm1;
+        qkm1 = qk;
+
+        if( qk != 0.0 )
+            r = pk/qk;
+        if( r != 0.0 )
+        {
+            t = fabs( (ans - r) / r );
+            ans = r;
+        }
+        else
+            t = 1.0;
+
+        if( t < thresh )
+            break;
+
+        k1 += 1.0;
+        k2 += 1.0;
+        k3 += 2.0;
+        k4 += 2.0;
+        k5 += 1.0;
+        k6 -= 1.0;
+        k7 += 2.0;
+        k8 += 2.0;
+
+        if( (fabs(qk) + fabs(pk)) > big )
+        {
+            pkm2 *= biginv;
+            pkm1 *= biginv;
+            qkm2 *= biginv;
+            qkm1 *= biginv;
+        }
+        if( (fabs(qk) < biginv) || (fabs(pk) < biginv) )
+        {
+            pkm2 *= big;
+            pkm1 *= big;
+            qkm2 *= big;
+            qkm1 *= big;
+        }
+    }
+    while( ++n < 300 );
+
+    return ans;
+}
+
+/* Continued fraction expansion #2
+ * for incomplete beta integral
+ */
+
+DEVICE static double incbd(double a, double b, double x)
+{
+    double xk, pk, pkm1, pkm2, qk, qkm1, qkm2;
+    double k1, k2, k3, k4, k5, k6, k7, k8;
+    double r, t, ans, z, thresh;
+    int n;
+
+    k1 = a;
+    k2 = b - 1.0;
+    k3 = a;
+    k4 = a + 1.0;
+    k5 = 1.0;
+    k6 = a + b;
+    k7 = a + 1.0;;
+    k8 = a + 2.0;
+
+    pkm2 = 0.0;
+    qkm2 = 1.0;
+    pkm1 = 1.0;
+    qkm1 = 1.0;
+    z = x / (1.0-x);
+    ans = 1.0;
+    r = 1.0;
+    n = 0;
+    thresh = 3.0 * EPSILON;
+    do
+    {
+
+        xk = -( z * k1 * k2 ) / ( k3 * k4 );
+        pk = pkm1 +  pkm2 * xk;
+        qk = qkm1 +  qkm2 * xk;
+        pkm2 = pkm1;
+        pkm1 = pk;
+        qkm2 = qkm1;
+        qkm1 = qk;
+
+        xk = ( z * k5 * k6 ) / ( k7 * k8 );
+        pk = pkm1 +  pkm2 * xk;
+        qk = qkm1 +  qkm2 * xk;
+        pkm2 = pkm1;
+        pkm1 = pk;
+        qkm2 = qkm1;
+        qkm1 = qk;
+
+        if( qk != 0 )
+            r = pk/qk;
+        if( r != 0 )
+        {
+            t = fabs( (ans - r) / r );
+            ans = r;
+        }
+        else
+            t = 1.0;
+
+        if( t < thresh )
+            break;
+
+        k1 += 1.0;
+        k2 -= 1.0;
+        k3 += 2.0;
+        k4 += 2.0;
+        k5 += 1.0;
+        k6 += 1.0;
+        k7 += 2.0;
+        k8 += 2.0;
+
+        if( (fabs(qk) + fabs(pk)) > big )
+        {
+            pkm2 *= biginv;
+            pkm1 *= biginv;
+            qkm2 *= biginv;
+            qkm1 *= biginv;
+        }
+        if( (fabs(qk) < biginv) || (fabs(pk) < biginv) )
+        {
+            pkm2 *= big;
+            pkm1 *= big;
+            qkm2 *= big;
+            qkm1 *= big;
+        }
+    }
+    while( ++n < 300 );
+
+    return ans;
+}
+
+
+/* Power series for incomplete beta integral.
+   Use when b*x is small and x not too close to 1.  */
+
+DEVICE static double pseries(double a, double b, double x)
+{
+    double s, t, u, v, n, t1, z, ai;
+
+    ai = 1.0 / a;
+    u = (1.0 - b) * x;
+    v = u / (a + 1.0);
+    t1 = v;
+    t = u;
+    n = 2.0;
+    s = 0.0;
+    z = EPSILON * ai;
+    while( fabs(v) > z )
+    {
+    u = (n - b) * x / n;
+    t *= u;
+    v = t / (a + n);
+    s += v;
+    n += 1.0;
+    }
+    s += t1;
+    s += ai;
+
+    u = a * log(x);
+    if( (a+b) < MAXGAM && fabs(u) < MAXLOG )
+    {
+    t = tgamma(a + b) / (tgamma(a) * tgamma(b));
+    s = s * t * pow(x,a);
+    }
+    else
+    {
+    t = lgamma(a + b) - lgamma(a) - lgamma(b) + u + log(s);
+    if( t < MINLOG )
+    s = 0.0;
+    else
+    s = exp(t);
+    }
+    return s;
+}

pytensor/scalar/math.py

@@ -1495,8 +1495,21 @@ def grad(self, inp, grads):
             ),
         ]
 
-    def c_code(self, *args, **kwargs):
-        raise NotImplementedError()
+    def c_support_code(self, **kwargs):
+        with open(os.path.join(os.path.dirname(__file__), "c_code", "incbet.c")) as f:
+            raw = f.read()
+            return raw
+
+    def c_code(self, node, name, inp, out, sub):
+        (a, b, x) = inp
+        (z,) = out
+        if node.inputs[0].type in float_types:
+            return f"""{z} = BetaInc({a}, {b}, {x});"""
+
+        raise NotImplementedError("type not supported", type)
+
+    def c_code_cache_version(self):
+        return (0, 0, 1)
 
 
 betainc = BetaInc(upgrade_to_float_no_complex, name="betainc")