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Better treatment for numerical errors #330

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merged 4 commits into from
Oct 9, 2024
Merged

Better treatment for numerical errors #330

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193f6ae
Better treatment for numerical errors
guilhermebodin Oct 9, 2024
77fd677
[no ci] bump patch
guilhermebodin Oct 9, 2024
82ff7ec
add try catch blocks in update_llk!
guilhermebodin Oct 9, 2024
07f2871
add try catch blocks in filter recursions
guilhermebodin Oct 9, 2024
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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "StateSpaceModels"
uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
version = "0.6.8"
version = "0.6.9"

[deps]
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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12 changes: 9 additions & 3 deletions src/filters/multivariate_kalman_filter.jl
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Expand Up @@ -187,9 +187,15 @@ function update_P!(
end

function update_llk!(kalman_state::MultivariateKalmanState{Fl}) where Fl
kalman_state.llk -=
HALF_LOG_2_PI + 0.5 * (logdet(kalman_state.F) +
kalman_state.v' * inv(kalman_state.F) * kalman_state.v)
try
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (logdet(kalman_state.F) +
kalman_state.v' * inv(kalman_state.F) * kalman_state.v)
)
catch
@error("Numerical error in the log-likelihood calculation. F = $(kalman_state.F), v = $(kalman_state.v). det(F) can only be positive.")
rethrow()
end
return kalman_state
end

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11 changes: 8 additions & 3 deletions src/filters/regression_kalman_filter.jl
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Expand Up @@ -58,9 +58,14 @@ function regression_update_v!(
end

function update_llk!(kalman_state::RegressionKalmanState{Fl}) where Fl
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
try
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
catch
@error("Numerical error in the log-likelihood calculation. F = $(kalman_state.F), v = $(kalman_state.v). F can only be positive.")
rethrow()
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Wondering if this is any different than just

catch e
     @error("Numerical error... :, $e)

But looks good to me!

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this one does not stop the program, only logs to screen

julia> try; log(-10); catch; @error("oi"); rethrow() end
┌ Error: oi
└ @ Main REPL[102]:1
ERROR: DomainError with -10.0:
log was called with a negative real argument but will only return a complex result if called with a complex argument. Try log(Complex(x)).
Stacktrace:
 [1] throw_complex_domainerror(f::Symbol, x::Float64)
   @ Base.Math .\math.jl:33
 [2] _log
   @ .\special\log.jl:295 [inlined]
 [3] log(x::Float64)
   @ Base.Math .\special\log.jl:261
 [4] log(x::Int64)
   @ Base.Math .\math.jl:1531
 [5] top-level scope
   @ REPL[102]:1

julia> try; log(-10); catch ex; @error("oi", ex) end
┌ Error: oi
│   ex =
│    DomainError with -10.0:
│    log was called with a negative real argument but will only return a complex result if called with a complex argument. Try log(Complex(x)).
└ @ Main REPL[103]:1

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Ah, it's been a while since I programmed in julia... forgot @error just logs! Thanks

end
return kalman_state
end

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11 changes: 8 additions & 3 deletions src/filters/scalar_kalman_filter.jl
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Expand Up @@ -125,9 +125,14 @@ function scalar_update_P!(kalman_state::ScalarKalmanState{Fl}, T::Fl, RQR::Fl) w
end

function update_llk!(kalman_state::ScalarKalmanState{Fl}) where Fl
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
try
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
catch
@error("Numerical error in the log-likelihood calculation. F = $(kalman_state.F), v = $(kalman_state.v). F can only be positive.")
rethrow()
end
return kalman_state
end

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11 changes: 8 additions & 3 deletions src/filters/sparse_univariate_kalman_filter.jl
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Expand Up @@ -179,9 +179,14 @@ function update_P!(
end

function update_llk!(kalman_state::SparseUnivariateKalmanState{Fl}) where Fl
kalman_state.llk -= (
HALF_LOG_2_PI + (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F) / 2
)
try
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
catch
@error("Numerical error in the log-likelihood calculation. F = $(kalman_state.F), v = $(kalman_state.v). F can only be positive.")
rethrow()
end
return kalman_state
end

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11 changes: 8 additions & 3 deletions src/filters/univariate_kalman_filter.jl
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Expand Up @@ -195,9 +195,14 @@ function update_P!(
end

function update_llk!(kalman_state::UnivariateKalmanState{Fl}) where Fl
kalman_state.llk -= (
HALF_LOG_2_PI + (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F) / 2
)
try
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
catch
@error("Numerical error in the log-likelihood calculation. F = $(kalman_state.F), v = $(kalman_state.v). F can only be positive.")
rethrow()
end
return kalman_state
end

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