Boost C++ Libraries

Synopsis

#include <boost/math/special_functions/logaddexp.hpp>

namespace boost { namespace math {

template <typename Real>
Real logaddexp (Real x1, Real x2);

}} // namespaces

#include <boost/math/special_functions/logsumexp.hpp>

namespace boost { namespace math {

template <typename ForwardIterator, typename Real = std::iterator_traits<ForwardIterator>::value_type>
Real logsumexp (ForwardIterator first, ForwardIterator last);

template <typename ForwardContainer, typename Real = ForwardContainer::value_type>
Real logsumexp (const ForwardContainer& c);

template <typename... Args, typename Real = typename std::common_type<Args...>::type>
Real logsumexp(Args&& ...args)

}} // namespace

The function logaddexp(x1, x2) computes log(exp(x1) + exp(x2)). The function logsumexp(x1, x2, ...) is generalized to compute log(exp(x1) + exp(x2) + ...). This function is useful in statistics where the calculated probabilities of events may be so small as to exceed the range of normal floating point numbers. In such cases the logarithm of the calculated probability is stored.

The use is

using std::log;

double x1 = log(1e-50);
double x2 = log(2.5e-50);
double x3 = log(3e-50);
std::vector<double> x = {x1, x2, x3};

double probability1 = boost::math::logaddexp(x1, x2);
double probability2 = boost::math::logsumexp(x1, x2, x3);
double probability3 = boost::math::logsumexp(x);
double probability4 = boost::math::logsumexp(x.begin(), x.end());

Performance Data:

Running ./logaddexp_performance
Run on Apple M1 Pro
CPU Caches:
  L1 Data 64 KiB (x10)
  L1 Instruction 128 KiB (x10)
  L2 Unified 4096 KiB (x5)
Load Average: 2.23, 1.89, 1.88
-----------------------------------------------------------------------------
Benchmark                                   Time             CPU   Iterations
-----------------------------------------------------------------------------
logaddexp_performance<float>             1.05 ns         1.05 ns    597983940
logaddexp_performance<double>            1.03 ns         1.03 ns    672682369

Running ./logsumexp_performance
Run on Apple M1 Pro
CPU Caches:
  L1 Data 64 KiB (x10)
  L1 Instruction 128 KiB (x10)
  L2 Unified 4096 KiB (x5)
Load Average: 1.56, 1.67, 1.81
-----------------------------------------------------------------------------------------------
Benchmark                                                     Time             CPU   Iterations
-----------------------------------------------------------------------------------------------
logsumexp_performance<float>/64/real_time                   388 ns          388 ns      1797191
logsumexp_performance<float>/128/real_time                  761 ns          761 ns       890017
logsumexp_performance<float>/256/real_time                 1513 ns         1513 ns       460217
logsumexp_performance<float>/512/real_time                 3026 ns         3026 ns       231454
logsumexp_performance<float>/1024/real_time                6043 ns         6043 ns       113901
logsumexp_performance<float>/2048/real_time               12084 ns        12084 ns        57590
logsumexp_performance<float>/4096/real_time               24240 ns        24240 ns        28835
logsumexp_performance<float>/8192/real_time               48326 ns        48323 ns        14478
logsumexp_performance<float>/16384/real_time              96645 ns        96642 ns         7181
logsumexp_performance<float>/32768/real_time             193351 ns       193351 ns         3607
logsumexp_performance<float>/65536/real_time             386537 ns       386538 ns         1810
logsumexp_performance<float>/131072/real_time            774055 ns       774056 ns          894
logsumexp_performance<float>/262144/real_time           1548913 ns      1548847 ns          451
logsumexp_performance<float>/524288/real_time           3092771 ns      3092770 ns          226
logsumexp_performance<float>/1048576/real_time          6188087 ns      6188089 ns          112
logsumexp_performance<float>/real_time_BigO                5.90 N          5.90 N
logsumexp_performance<float>/real_time_RMS                    0 %             0 %
logsumexp_performance<double>/64/real_time                  388 ns          388 ns      1806669
logsumexp_performance<double>/128/real_time                 770 ns          770 ns       898340
logsumexp_performance<double>/256/real_time                1534 ns         1534 ns       454768
logsumexp_performance<double>/512/real_time                3063 ns         3063 ns       228057
logsumexp_performance<double>/1024/real_time               6126 ns         6126 ns       112667
logsumexp_performance<double>/2048/real_time              12243 ns        12243 ns        56963
logsumexp_performance<double>/4096/real_time              24476 ns        24476 ns        28485
logsumexp_performance<double>/8192/real_time              48979 ns        48978 ns        14215
logsumexp_performance<double>/16384/real_time             97929 ns        97929 ns         7070
logsumexp_performance<double>/32768/real_time            195826 ns       195826 ns         3560
logsumexp_performance<double>/65536/real_time            391855 ns       391835 ns         1787
logsumexp_performance<double>/131072/real_time           784119 ns       784110 ns          882
logsumexp_performance<double>/262144/real_time          1566408 ns      1566386 ns          446
logsumexp_performance<double>/524288/real_time          3151649 ns      3150955 ns          223
logsumexp_performance<double>/1048576/real_time         6300578 ns      6299027 ns          110
logsumexp_performance<double>/real_time_BigO               6.01 N          6.01 N

References