Compares numerical ODE solvers for the holonomic gradient method applied to statistical normalizing constants.
Multiple precision evaluation of the Airy Ai function with reduced cancellation
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abstract
The series expansion at the origin of the Airy function Ai(x) is alternating and hence problematic to evaluate for x > 0 due to cancellation. Based on a method recently proposed by Gawronski, M\"uller, and Reinhard, we exhibit two functions F and G, both with nonnegative Taylor expansions at the origin, such that Ai(x) = G(x)/F(x). The sums are now well-conditioned, but the Taylor coefficients of G turn out to obey an ill-conditioned three-term recurrence. We use the classical Miller algorithm to overcome this issue. We bound all errors and our implementation allows an arbitrary and certified accuracy, that can be used, e.g., for providing correct rounding in arbitrary precision.
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math.NA 1years
2021 1verdicts
UNVERDICTED 1representative citing papers
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Comparison of Numerical Solvers for Differential Equations for Holonomic Gradient Method in Statistics
Compares numerical ODE solvers for the holonomic gradient method applied to statistical normalizing constants.