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mblondel/logsum.py

Created Apr 13, 2010
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Logarithm of a sum without underflow
import numpy as np
def _logsum(logx, logy):
"""
Return log(x+y), avoiding arithmetic underflow/overflow.
logx: log(x)
logy: log(y)
Rationale:
x + y = e^logx + e^logy
= e^logx (1 + e^(logy-logx))
log(x+y) = logx + log(1 + e^(logy-logx)) (1)
Likewise,
log(x+y) = logy + log(1 + e^(logx-logy)) (2)
The computation of the exponential overflows earlier and is less precise
for big values than for small values. Due to the presence of logy-logx
(resp. logx-logy), (1) is preferred when logx > logy and (2) is preferred
otherwise.
"""
if logx > logy:
return logx + np.log(1 + np.exp(logy-logx))
else:
return logy + np.log(1 + np.exp(logx-logy))
"""
logsum_ufunc is a numpy ufunc (universal function) and as a result contains
reduce, accumulate, reduceat and outer.
"""
logsum_ufunc = np.frompyfunc(_logsum, 2, 1)
"""
logsum(loga, axis=0, dtype=None, out=None)
Take the log of the sum of array elements over a given axis.
For example, for an array a=[a_1,...,a_N], it returns \log \sum_n a_n.
loga: numpy.log(a)
axis: The axis along which to apply the log sum.
dtype: The type used to represent the intermediate results.
out: A location into which the result is stored.
Examples:
logsum(1darray) => scalar
logsum(2darray, axis=0) => 1darray
"""
logsum = logsum_ufunc.reduce
# Unit-tests...
if __name__ == "__main__":
import unittest
class Test(unittest.TestCase):
def test_1d(self):
inp = np.arange(1,10)
out = logsum(np.log(inp))
expected = np.log(np.sum(inp))
self.assertAlmostEquals(out, expected)
def test_2d(self):
for a in (0,1):
inp = np.arange(1,10).reshape(3,3)
out = logsum(np.log(inp), axis=a)
expected = np.log(np.sum(inp, axis=a))
#self.assertTrue(np.allclose(out, expected))
for i in range(3):
self.assertAlmostEquals(out[i], expected[i])
unittest.main()
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@larsmans larsmans commented May 16, 2011

What's the advantage of your _logsum over numpy.logaddexp?

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@mblondel mblondel commented May 16, 2011

I didn't know that numpy had this function at that time. I know two tricks to compute log sums but I don't remember which one does numpy use.

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@larsmans larsmans commented May 16, 2011

Ok. I was summing a lot of logprobs today, so I wondered if your method would buy me anything that logaddexp wouldn't :)

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@timvieira timvieira commented Jun 3, 2018

Protip: use log1p(x) instead of log(1+x), but it only makes a difference for small x.

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@timvieira timvieira commented Jun 3, 2018

If you really want to go down the rabbit hole, check out this article. Despite the title, it does cover log(1+exp(x)), which is the crux of logaddexp.

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