more accurate and faster lgamma, and use a more standard branch cut (#…

…18330)

* more accurate and faster lgamma, and use a more standard branch cut for real(x)<0

* more tests

* use trick from Hare (1997) to compute log(prod of shifts) rather than sum(logs of shifts) with the correct branch cut

* even more tests

* whoops, use 1e14 and not 10^14 to avoid integer overflow on 32-bit Windows

* fix accuracy near zero at z=2

* update manual for lgamma

* news for lgamma changes

* can use a lower-degree Taylor series around z=2 because the coefficients decrease faster

* linewrap poly coefs

NEWS.md

@@ -24,6 +24,10 @@ This section lists changes that do not have deprecation warnings.
  * Keyword arguments are processed left-to-right: if the same keyword is specified more than
  once, the rightmost occurrence takes precedence ([#17785]).
 
+ * The `lgamma(z)` function now uses a different (more standard) branch cut
+ for `real(z) < 0`, which differs from `log(gamma(z))` by multiples of 2π
+ in the imaginary part ([#18330]).
+
 Library improvements
 --------------------
 
@@ -648,3 +652,4 @@ Language tooling improvements
 [#17546]: https://github.com/JuliaLang/julia/issues/17546
 [#17668]: https://github.com/JuliaLang/julia/issues/17668
 [#17785]: https://github.com/JuliaLang/julia/issues/17785
+[#18330]: https://github.com/JuliaLang/julia/issues/18330

base/special/gamma.jl

@@ -31,49 +31,106 @@ Compute the logarithmic factorial of `x`
 """
 lfact(x::Real) = (x<=1 ? zero(float(x)) : lgamma(x+one(x)))
 
-const clg_coeff = [76.18009172947146,
- -86.50532032941677,
- 24.01409824083091,
- -1.231739572450155,
- 0.1208650973866179e-2,
- -0.5395239384953e-5]
-
-function clgamma_lanczos(z)
- const sqrt2pi = 2.5066282746310005
-
- y = x = z
- temp = x + 5.5
- zz = log(temp)
- zz = zz * (x+0.5)
- temp -= zz
- ser = complex(1.000000000190015, 0)
- for j=1:6
- y += 1.0
- zz = clg_coeff[j]/y
- ser += zz
- end
- zz = sqrt2pi*ser / x
- return log(zz) - temp
-end
-
 """
  lgamma(x)
 
 Compute the logarithm of the absolute value of [`gamma`](:func:`gamma`) for
 [`Real`](:obj:`Real`) `x`, while for [`Complex`](:obj:`Complex`) `x` it computes the
-logarithm of `gamma(x)`.
+principal branch cut of the logarithm of `gamma(x)` (defined for negative `real(x)`
+by analytic continuation from positive `real(x)`).
 """
-function lgamma(z::Complex)
- if real(z) <= 0.5
- a = clgamma_lanczos(1-z)
- b = log(sinpi(z))
- const logpi = 1.14472988584940017
- z = logpi - b - a
+function lgamma end
+
+# asymptotic series for log(gamma(z)), valid for sufficiently large real(z) or |imag(z)|
+@inline function lgamma_asymptotic(z::Complex{Float64})
+ zinv = inv(z)
+ t = zinv*zinv
+ # coefficients are bernoulli[2:n+1] .// (2*(1:n).*(2*(1:n) - 1))
+ return (z-0.5)*log(z) - z + 9.1893853320467274178032927e-01 + # <-- log(2pi)/2
+ zinv*@evalpoly(t, 8.3333333333333333333333368e-02,-2.7777777777777777777777776e-03,
+ 7.9365079365079365079365075e-04,-5.9523809523809523809523806e-04,
+ 8.4175084175084175084175104e-04,-1.9175269175269175269175262e-03,
+ 6.4102564102564102564102561e-03,-2.9550653594771241830065352e-02)
+end
+
+# Compute the logΓ(z) function using a combination of the asymptotic series,
+# the Taylor series around z=1 and z=2, the reflection formula, and the shift formula.
+# Many details of these techniques are discussed in D. E. G. Hare,
+# "Computing the principal branch of log-Gamma," J. Algorithms 25, pp. 221-236 (1997),
+# and similar techniques are used (in a somewhat different way) by the
+# SciPy loggamma function. The key identities are also described
+# at http:https://functions.wolfram.com/GammaBetaErf/LogGamma/
+function lgamma(z::Complex{Float64})
+ x = real(z)
+ y = imag(z)
+ yabs = abs(y)
+ if !isfinite(x) || !isfinite(y) # Inf or NaN
+ if isinf(x) && isfinite(y)
+ return Complex(x, x > 0 ? (y == 0 ? y : copysign(Inf, y)) : copysign(Inf, -y))
+ elseif isfinite(x) && isinf(y)
+ return Complex(-Inf, y)
+ else
+ return Complex(NaN, NaN)
+ end
+ elseif x > 7 || yabs > 7 # use the Stirling asymptotic series for sufficiently large x or |y|
+ return lgamma_asymptotic(z)
+ elseif x < 0.1 # use reflection formula to transform to x > 0
+ if x == 0 && y == 0 # return Inf with the correct imaginary part for z == 0
+ return Complex(Inf, signbit(x) ? copysign(oftype(x, pi), -y) : -y)
+ end
+ # the 2pi * floor(...) stuff is to choose the correct branch cut for log(sinpi(z))
+ return Complex(1.1447298858494001741434262, # log(pi)
+ copysign(6.2831853071795864769252842, y) # 2pi
+ * floor(0.5*x+0.25)) -
+ log(sinpi(z)) - lgamma(1-z)
+ elseif abs(x - 1) + yabs < 0.1
+ # taylor series around zero at z=1
+ # ... coefficients are [-eulergamma; [(-1)^k * zeta(k)/k for k in 2:15]]
+ w = Complex(x - 1, y)
+ return w * @evalpoly(w, -5.7721566490153286060651188e-01,8.2246703342411321823620794e-01,
+ -4.0068563438653142846657956e-01,2.705808084277845478790009e-01,
+ -2.0738555102867398526627303e-01,1.6955717699740818995241986e-01,
+ -1.4404989676884611811997107e-01,1.2550966952474304242233559e-01,
+ -1.1133426586956469049087244e-01,1.000994575127818085337147e-01,
+ -9.0954017145829042232609344e-02,8.3353840546109004024886499e-02,
+ -7.6932516411352191472827157e-02,7.1432946295361336059232779e-02,
+ -6.6668705882420468032903454e-02)
+ elseif abs(x - 2) + yabs < 0.1
+ # taylor series around zero at z=2
+ # ... coefficients are [1-eulergamma; [(-1)^k * (zeta(k)-1)/k for k in 2:12]]
+ w = Complex(x - 2, y)
+ return w * @evalpoly(w, 4.2278433509846713939348812e-01,3.2246703342411321823620794e-01,
+ -6.7352301053198095133246196e-02,2.0580808427784547879000897e-02,
+ -7.3855510286739852662729527e-03,2.8905103307415232857531201e-03,
+ -1.1927539117032609771139825e-03,5.0966952474304242233558822e-04,
+ -2.2315475845357937976132853e-04,9.9457512781808533714662972e-05,
+ -4.4926236738133141700224489e-05,2.0507212775670691553131246e-05)
+ end
+ # use recurrence relation lgamma(z) = lgamma(z+1) - log(z) to shift to x > 7 for asymptotic series
+ shiftprod = Complex(x,yabs)
+ x += 1
+ sb = false # == signbit(imag(shiftprod)) == signbit(yabs)
+ # To use log(product of shifts) rather than sum(logs of shifts),
+ # we need to keep track of the number of + to - sign flips in
+ # imag(shiftprod), as described in Hare (1997), proposition 2.2.
+ signflips = 0
+ while x <= 7
+ shiftprod *= Complex(x,yabs)
+ sb′ = signbit(imag(shiftprod))
+ signflips += sb′ & (sb′ != sb)
+ sb = sb′
+ x += 1
+ end
+ shift = log(shiftprod)
+ if signbit(y) # if y is negative, conjugate the shift
+ shift = Complex(real(shift), signflips*-6.2831853071795864769252842 - imag(shift))
  else
- z = clgamma_lanczos(z)
+ shift = Complex(real(shift), imag(shift) + signflips*6.2831853071795864769252842)
  end
- complex(real(z), angle_restrict_symm(imag(z)))
+ return lgamma_asymptotic(Complex(x,y)) - shift
 end
+lgamma{T<:Union{Integer,Rational}}(z::Complex{T}) = lgamma(float(z))
+lgamma{T<:Union{Float32,Float16}}(z::Complex{T}) = Complex{T}(lgamma(Complex{Float64}(z)))
 
 gamma(z::Complex) = exp(lgamma(z))
 

doc/stdlib/math.rst

@@ -1485,7 +1485,7 @@ Mathematical Functions
 
  .. Docstring generated from Julia source
 
- Compute the logarithm of the absolute value of :func:`gamma` for :obj:`Real` ``x``\ , while for :obj:`Complex` ``x`` it computes the logarithm of ``gamma(x)``\ .
+ Compute the logarithm of the absolute value of :func:`gamma` for :obj:`Real` ``x``\ , while for :obj:`Complex` ``x`` it computes the principal branch cut of the logarithm of ``gamma(x)`` (defined for negative ``real(x)`` by analytic continuation from positive ``real(x)``\ ).
 
 .. function:: lfact(x)
 

test/math.jl

@@ -554,7 +554,7 @@ for elty in (Float32, Float64)
 end
 @test lgamma(1.4+3.7im) ≈ -3.7094025330996841898 + 2.4568090502768651184im
 @test lgamma(1.4+3.7im) ≈ log(gamma(1.4+3.7im))
-@test lgamma(-4.2+0im) ≈ lgamma(-4.2)-pi*im
+@test lgamma(-4.2+0im) ≈ lgamma(-4.2)-5pi*im
 @test factorial(3.0) == gamma(4.0) == factorial(3)
 for x in (3.2, 2+1im, 3//2, 3.2+0.1im)
  @test factorial(x) == gamma(1+x)
@@ -654,6 +654,43 @@ for x in -10.2:0.3456:50
  @test 1e-12 > relerr(digamma(x+0im), digamma(x))
 end
 
+# lgamma test cases (from Wolfram Alpha)
+@test lgamma(-300im) ≅ -473.17185074259241355733179182866544204963885920016823743 - 1410.3490664555822107569308046418321236643870840962522425im
+@test lgamma(3.099) ≅ lgamma(3.099+0im) ≅ 0.786413746900558058720665860178923603134125854451168869796
+@test lgamma(1.15) ≅ lgamma(1.15+0im) ≅ -0.06930620867104688224241731415650307100375642207340564554
+@test lgamma(0.89) ≅ lgamma(0.89+0im) ≅ 0.074022173958081423702265889979810658434235008344573396963
+@test lgamma(0.91) ≅ lgamma(0.91+0im) ≅ 0.058922567623832379298241751183907077883592982094770449167
+@test lgamma(0.01) ≅ lgamma(0.01+0im) ≅ 4.599479878042021722513945411008748087261001413385289652419
+@test lgamma(-3.4-0.1im) ≅ -1.1733353322064779481049088558918957440847715003659143454 + 12.331465501247826842875586104415980094316268974671819281im
+@test lgamma(-13.4-0.1im) ≅ -22.457344044212827625152500315875095825738672314550695161 + 43.620560075982291551250251193743725687019009911713182478im
+@test lgamma(-13.4+0.0im) ≅ conj(lgamma(-13.4-0.0im)) ≅ -22.404285036964892794140985332811433245813398559439824988 - 43.982297150257105338477007365913040378760371591251481493im
+@test lgamma(-13.4+8im) ≅ -44.705388949497032519400131077242200763386790107166126534 - 22.208139404160647265446701539526205774669649081807864194im
+@test lgamma(1+exp2(-20)) ≅ lgamma(1+exp2(-20)+0im) ≅ -5.504750066148866790922434423491111098144565651836914e-7
+@test lgamma(1+exp2(-20)+exp2(-19)*im) ≅ -5.5047799872835333673947171235997541985495018556426e-7 - 1.1009485171695646421931605642091915847546979851020e-6im
+@test lgamma(-300+2im) ≅ -1419.3444991797240659656205813341478289311980525970715668 - 932.63768120761873747896802932133229201676713644684614785im
+@test lgamma(300+2im) ≅ 1409.19538972991765122115558155209493891138852121159064304 + 11.4042446282102624499071633666567192538600478241492492652im
+@test lgamma(1-6im) ≅ -7.6099596929506794519956058191621517065972094186427056304 - 5.5220531255147242228831899544009162055434670861483084103im
+@test lgamma(1-8im) ≅ -10.607711310314582247944321662794330955531402815576140186 - 9.4105083803116077524365029286332222345505790217656796587im
+@test lgamma(1+6.5im) ≅ conj(lgamma(1-6.5im)) ≅ -8.3553365025113595689887497963634069303427790125048113307 + 6.4392816159759833948112929018407660263228036491479825744im
+@test lgamma(1+1im) ≅ conj(lgamma(1-1im)) ≅ -0.6509231993018563388852168315039476650655087571397225919 - 0.3016403204675331978875316577968965406598997739437652369im
+@test lgamma(-pi*1e7 + 6im) ≅ -5.10911758892505772903279926621085326635236850347591e8 - 9.86959420047365966439199219724905597399295814979993e7im
+@test lgamma(-pi*1e7 + 8im) ≅ -5.10911765175690634449032797392631749405282045412624e8 - 9.86959074790854911974415722927761900209557190058925e7im
+@test lgamma(-pi*1e14 + 6im) ≅ -1.0172766411995621854526383224252727000270225301426e16 - 9.8696044010873714715264929863618267642124589569347e14im
+@test lgamma(-pi*1e14 + 8im) ≅ -1.0172766411995628137711690403794640541491261237341e16 - 9.8696044010867038531027376655349878694397362250037e14im
+@test lgamma(2.05 + 0.03im) ≅ conj(lgamma(2.05 - 0.03im)) ≅ 0.02165570938532611215664861849215838847758074239924127515 + 0.01363779084533034509857648574107935425251657080676603919im
+@test lgamma(2+exp2(-20)+exp2(-19)*im) ≅ 4.03197681916768997727833554471414212058404726357753e-7 + 8.06398296652953575754782349984315518297283664869951e-7im
+
+# lgamma for non-finite arguments:
+@test lgamma(Inf + 0im) === Inf + 0im
+@test lgamma(Inf - 0.0im) === Inf - 0.0im
+@test lgamma(Inf + 1im) === Inf + Inf*im
+@test lgamma(Inf - 1im) === Inf - Inf*im
+@test lgamma(-Inf + 0.0im) === -Inf - Inf*im
+@test lgamma(-Inf - 0.0im) === -Inf + Inf*im
+@test lgamma(Inf*im) === -Inf + Inf*im
+@test lgamma(-Inf*im) === -Inf - Inf*im
+@test lgamma(Inf + Inf*im) === lgamma(NaN + 0im) === lgamma(NaN*im) === NaN + NaN*im
+
 # digamma, trigamma, polygamma & zeta test cases (compared to Wolfram Alpha)
 @test digamma(7+0im) ≅ 1.872784335098467139393487909917597568957840664060076401194232
 @test digamma(7im) ≅ 1.94761433458434866917623737015561385331974500663251349960124 + 1.642224898223468048051567761191050945700191089100087841536im